/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240407.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 7, 2024, Vol. 28, No. 97 Headlines A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs ACRE COMMERCIAL 2017-FL3: DBRS Cuts Class F Notes Rating to CCC AGL CLO 19: Fitch Affirms BB- Rating on Class E Notes AIMCO CLO 22: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ANGEL OAK 2024-4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Certs ARIVO ACCEPTANCE 2024-1: DBRS Finalizes BB Rating on Class D Notes ATLANTIC AVENUE 2024-2: S&P Assigns B-(sf) Rating on Class F Notes BBCMS MORTGAGE 2024-5C25: Fitch Assigns B- Rating on Cl. G-RR Certs BEAR STEARNS 2006-AR2: Moody's Ups Rating on Cl. I-A-1 Certs to B1 BENCHMARK 2018-B4: Fitch Lowers Rating on Class G-RR Debt to CCC BENCHMARK 2024-V6: Fitch Assigns 'B-sf' Rating on Class G-RR Certs BLUEMOUNTAIN CLO 2016-3: S&P Affirms BB- (sf) Rating on E-R Notes BLUEMOUNTAIN CLO XXXV: Fitch Affirms 'BB+sf' Rating on Cl. E Notes BMO 2024-C8: S&P Affirms BB- (sf) Rating on Class XGRR Certs BRAVO RESIDENTIAL 2024-NQM3: Fitch Assigns B Rating on B-2 Notes BRIGHTWOOD CAPITAL 2024-2: S&P Assigns BB- (sf) Rating on E notes BUSINESS JET 2024-1: S&P Assigns Prelim 'BB' Rating on Cl. C Notes BX TRUST 2024-CNYN: Moody's Assigns B1 Rating on Cl. HRR Certs CANTOR COMMERCIAL 2016-C6: Fitch Lowers Rating on 2 Tranches to CC CARLYLE CLO C17: Moody's Cuts Rating on $22MM Cl. D-R Notes to B1 CEDAR FUNDING XVIII: S&P Assigns B- (sf) Rating on Class F Notes CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs CHASE HOME 2024-3: DBRS Gives Prov. B(low) Rating on B-5 Certs CITIGROUP COMMERCIAL 2014-GC19: DBRS Confirms BB Rating on F Certs CITIGROUP COMMERCIAL 2015-GC31: DBRS Cuts Rating on 2 Classes to C COLT 2024-2: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs COMM 2014-CCRE18: DBRS Cuts Class E Certs Rating to B(low) CROWN CITY IV: S&P Assigns BB- (sf) Rating on Class DR Notes DBWF 2024-LCRS: Fitch Assigns 'B-(EXP)sf' Rating on Class F Certs DIAMETER CAPITAL 6: S&P Assigns BB- (sf) Rating on Class D Notes EATON VANCE 2015-1: Moody's Cuts Rating on $8MM F-R Notes to Caa2 ELMWOOD CLO 26: S&P Assigns BB- (sf) Rating on Class E Notes FLAGSHIP CREDIT 2024-1: S&P Assigns Prelim 'BB' Rating on E Notes GS MORTGAGE 2024-PJ3: DBRS Gives Prov. B(high) Rating on B-5 Notes GS MORTGAGE 2024-PJ3: Fitch Assigns 'B-sf' Rating on Cl. B-5 Notes GS MORTGAGE 2024-PJ4: DBRS Gives Prov. B(high) Rating on B-5 Notes GS MORTGAGE 2024-PJ4: Fitch Assigns 'B-sf' Rating on Cl. B-5 Certs HINNT LLC 2024-A: Fitch Assigns 'Bsf' Rating on Class E Notes JP MORGAN 2024-CES1: DBRS Gives Prov. B(high) Rating on B-2 Certs JP MORGAN 2024-CES1: Fitch Assigns 'B-sf' Rating on Class B-2 Certs JP MORGAN 2024-VIS1: S&P Assigns B- (sf) Rating on B-2 Certs JPMBB COMMERCIAL 2014-C25: DBRS Cuts Rating on 2 Classes to CCC JPMBB COMMERCIAL 2014-C26: DBRS Cuts Class D Certs Rating to BB JPMCC COMMERCIAL 2017-JP6: DBRS Cuts G-RR Certs Rating to CCC KATAYMA CLO II: S&P Assigns BB- (sf) Rating on Class E Notes LCM 41: S&P Assigns Prelim BB+ (sf) Rating on $6MM Class E Notes MAGNETITE XXXVIII: S&P Assigns BB- (sf) Rating on Class E Notes MCF CLO IX: S&P Assigns BB- (sf) Rating on Class E-R Notes MIDOCEAN CREDIT XIV: Fitch Assigns 'BB-sf' Rating on Cl. E-2 Notes MORGAN STANLEY 2005-HQ7: Moody's Cuts Cl. E Certs Rating to Caa2 NEW MOUNTAIN II: DBRS Gives Prov. BB(low) Rating on Class D Notes OCP CLO 2020-20: S&P Assigns Prelim BB(sf) Rating on Cl. E-R Notes OCTAGON 71: Fitch Assigns Final 'BB-sf' Rating on Class E Notes OCTAGON INVESTMENT XVII: S&P Cuts Cl. F-R2 Notes Rating to 'CCC+' OHA CREDIT XV: S&P Assigns BB- (sf) Rating on Class E-R Notes ONE SOUND II: S&P Lowers Class B3-R Notes Rating to 'CCC (sf)' PALMER SQUARE 2018-2: Fitch Assigns 'BB+sf' Rating on Cl. D-R Notes PPM CLO 2: S&P Assigns BB- (sf) Rating on Class E-R Notes PRESTIGE AUTO 2021-1: S&P Raises Class E Notes Rating to BB (sf) PRESTIGE AUTO 2024-1: S&P Assigns BB- (sf) Rating on Cl. E Notes PRET 2024-RPL1: DBRS Finalizes B Rating on Class B-2 Notes PRIMA CAPITAL 2019-RK1: DBRS Confirms BB(high) Rating on C-G Certs PRPM 2024-NQM1: DBRS Finalizes BB Rating on Class B-1 Certs SALUDA GRADE 2024-CES1: DBRS Finalizes B(low) Rating on B-2 Notes SBNA AUTO 2024-A: Fitch Assigns 'BBsf' Rating on Class E Notes SCG 2024-MSP: DBRS Gives Prov. B Rating on Class F Certs SEQUOIA MORTGAGE 2024-4: Fitch Gives BB-(EXP)sf Rating on B4 Certs SLM STUDENT 2003-1: Moody's Puts Ba1 Rating on 4 Tranches on Review SLM STUDENT 2004-2: Fitch Lowers Rating on Class B Debt to Bsf SOUND POINT 38: Fitch Assigns 'BB-sf' Rating on Class E Notes TAUBMAN CENTERS 2022-DPM: DBRS Confirms BB(high) on HRR Certs THORNBURG MORTGAGE 2007-2: S&P Lowers A-2A Notes Rating to 'D(sf)' TICP CLO XI: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes UNITED AUTO 2022-2: DBRS Cuts Class E Notes Rating to B UPSTART SECURITIZATION 2022-1: DBRS Cuts Class B Trust Rating to BB VERUS SECURITIZATION 2024-INV1: DBRS Finalizes BB on B-1 Notes VOYA CLO 2019-2: S&P Affirms BB- (sf) Rating on Class E Notes WARWICK CAPITAL 3: S&P Assigns BB- (sf) Rating on Class E Notes WELLS FARGO 2016-C34: Fitch Affirms CC Rating on 3 Tranches WELLS FARGO 2016-NXS6: DBRS Cuts Class G Certs Rating to C WELLS FARGO 2018-1: Moody's Lowers Rating on Cl. B-4 Certs to Ba1 WELLS FARGO 2019-2: Moody's Hikes Rating on Cl. B-4 Certs From Ba1 ZIPLY FIBER: Fitch Rates Series 2024-1C Class C Notes 'BB-' [*] DBRS Reviews 180 Classes from 27 US RMBS Transactions [*] DBRS Reviews 219 Classes from 25 US RMBS Transactions [*] DBRS Reviews 310 Classes from 36 US RMBS Transactions [*] DBRS Takes Rating Actions on Five Data Center Transactions [*] Moody's Takes Action on $132MM of US RMBS Issued 2003-2007 [*] Moody's Ups Ratings on $66.8MM of US RMBS Issued 2001-2006 ********* A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LRMR issued by A10 SACM 2021-LRMR as follows: -- Class A 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 (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the collateral, which has remained consistent with Morningstar DBRS' expectations at issuance. The loan is secured by the borrower's fee-simple and leasehold interests in Larimer Square, a 246,000-square-foot (sf) mixed-use property consisting of retail and office components in Denver. Larimer Square is a protected historic district and comprises 26 buildings, including a parking garage, on 12 separate real estate tax parcels. Two of the buildings are subject to ground leases. The four-year loan pays interest-only (IO) payments for three years and has a conditional performance test determinant of amortization for its fourth year. If the following conditions are met at the beginning of year four (July 2024), then the loan will continue on an IO basis. The performance criteria include benchmarks of a 70.0% occupancy rate for three consecutive months prior to the test and an 8.0% debt yield based on a trailing three-month reported financial statement. The loan-to-value (LTV) ratio requirement is 60% or lower based on a new appraisal. However, given that the loan does not yet meet these requirements, Morningstar DBRS believes it is likely the loan will begin amortization on a 25-year amortization schedule. The loan has an initial maturity in July 2025, and is structured with two 12-month extension options, which are also subject to performance criteria. The fully funded loan amount of $88.7 million consisted of an initial loan balance of $61.0 million and $27.7 million of future funding. Initial loan proceeds were used to recapitalize the sponsor's purchase of Larimer Square, while future funding, along with future sponsor equity, was to be used to execute the sponsor's business plan of completing capital improvements and leasing up the property to market occupancy and rental rates. The renovations were initially budgeted at $30.9 million and are to be completed in three phases. Phase I consists of repairs to the roof and facades on the majority of the 26 buildings at a cost of $2.3 million. Phase II mainly consists of the redevelopment of the Granite, Buerger-Sussex, and Lincoln Hall buildings to repurpose the space for large office tenant users. In addition, these buildings will receive infrastructure upgrades related to mechanical, electrical, and plumbing with some modifications to ingress/egress points at a total budgeted cost of $16.0 million. Phase III consists of improvements to the streetscape and general improvements to the exterior of the overall property at a cost of $2.0 million. At issuance, the sponsor's ultimate goal for the subject was to develop the property into a 24-hour destination for the local population, while catering to office and retail demands. At closing, restaurants represented approximately 70.0% of the retail space, which the sponsor plans to reduce to approximately 55.0%, with a goal to retain only restaurant tenants with high sales volume. Replacement tenants offering a wider range of goods and services are expected to be targeted to backfill the potential vacant suites. As leases roll, the sponsor plans to increase rents to market, while adding strong and national retailers to its tenant roster. Lastly, the sponsor will be converting office leases to a triple net (NNN) structure upon renewal or new leasing activity. According to the collateral manager, Phase I has been completed and the borrower is currently working on Phase II. Through February 2024, $8.1 million (30.0%) of the future funding has been advanced to the borrower as the current funded A note balance is $69.1 million. The remaining available dollars for capital expenditure and tenant leasing costs are $13.0 million and $6.6 million, respectively. It was also noted that the most recent budget for this project is $53.2 million, with the additional scope and costs to be funded entirely out of pocket. The borrower anticipates receiving $4.4 million in historic tax credits, reducing the net budget amount to $48.8 million. The increased scope in work is to improve access to the buildings and the increase in costs is attributed to the intensive work and higher cost than initial estimates. Morningstar DBRS requested further details on whether the execution of this project will delay the timeline for the completion of the current business plan; however, an update was not provided by the collateral manager by the date of this writing. Morningstar DBRS credits this recent development as a positive consideration in its analysis as it strengthens the sponsor's commitment to the property. According to the most recent reporting, the collateral was 50.3% occupied as of June 2023 compared with 66.0% occupied at issuance. Occupancy is expected to remain depressed as the sponsor continues to implement its capital improvement program prior to initiating its lease-up strategy. According to Reis, retail properties in the Midtown/Central Business District (CBD) submarket of Denver reported a YE2023 vacancy rate of 6.7% with an average five-year vacancy rate of 7.5%, while office properties reported a YE2023 vacancy rate of 23.6% with an average five-year forecast vacancy rate of 21.2%. Morningstar DBRS analyzed the loan with a stabilized vacancy rate of approximately 10.0% for the entire portfolio, which is in line with the appraiser's estimate. In regard to rental rates, Morningstar DBRS assumed a rental rate of $50.00 per sf (psf) NNN for both retail and restaurant space with new and renewal leasing costs of $75.00 psf and $40.00 psf, respectively. Morningstar DBRS analyzed the office space with a rental rate of $35.00 psf NNN with new and renewal leasing costs of $35.00 psf and $18.00 psf, respectively. The Morningstar DBRS stabilized net cash flow (NCF) was $7.2 million, a variance of -21.1% from the sponsor's projected stabilized NCF of $9.2 million. Morningstar DBRS valued the collateral at a stabilized value of $96.4 million based on the concluded NCF and a capitalization rate of 7.50%. The loan is structured with a $25.0 million limited guaranty by the sponsor, which may be terminated upon the loan meeting certain performance metrics including an average occupancy rate of 90.0% for a period of six months, a debt yield of 9.0% for a period of three months, and a loan-to-value ratio of 60.0% based on an updated appraisal. Notes: All figures are in U.S. dollars unless otherwise noted. ACRE COMMERCIAL 2017-FL3: DBRS Cuts Class F Notes Rating to CCC --------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on two classes of Floating Rate Notes issued by ACRE Commercial Mortgage 2017-FL3 Ltd. as follows: -- Class E to B (low) (sf) from BB (low) (sf) -- Class F to CCC (sf) from B (low) (sf) Morningstar DBRS also confirmed its credit ratings on the remaining classes of notes as follows: -- 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) The trends on all classes are Stable with the exception of Class F, which has a rating that does not carry a trend. The credit rating downgrades reflect the increased credit risk to the transaction as a result of an increase in projected losses to the trust in connection with the resolution of the Old Orchard Towers loan. The loan represents 9.2% of the transaction and is in special servicing for delinquency and a maturity default. The loan is secured by an office property in Skokie, Illinois, and according to a Q4 2023 update from the collateral manager, the property is expected to be sold, with closing planned for the end of Q1 2024. A previous attempt to sell the property at a price of approximately $11.0 million was unsuccessful and Morningstar DBRS expects the property will ultimately sell even lower than that figure, with a projected loss severity of approximately 90.0% upon resolution of the $56.9 million loan. While the expected loss is expected to be contained to the $52.9 million unrated equity bond held by the issuer, the resulting deterioration in credit support to the rated bonds supports the credit rating downgrades to Classes E and F. The remaining collateral in the pool is generally performing in line with Morningstar DBRS' expectations, with individual borrowers progressing in the stated business plans. As such, the remaining credit ratings have been confirmed with Stable trends. 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 March 2024 remittance, the pool comprises 16 loans secured by 17 properties with a cumulative trust balance of $525.8 million. Most loans are in a period of transition with plans to stabilize and improve asset value. Since the previous Morningstar DBRS rating action in March 2023, three loans with a former cumulative trust balance of $23.1 million have been repaid in full. The transaction is structured with a Reinvestment Period, which ended with the March 2024 Payment Date. Since March 2023, the issuer has contributed three additional loans to the trust with a cumulative balance of $114.5 million. With the March 2024 remittance, the issuer applied $31.1 million of cash collateral previously held in the Reinvestment Account to the outstanding Class A balance, thereby increasing the credit enhancement to the bonds. Total collateral reduction to date is 5.6% In general, borrowers are progressing toward completion of the stated business plans. Twelve of the 16 outstanding loans were structured with future funding components and, according to an update from the collateral manager, $87.9 million in loan future funding had been advanced to 11 borrowers through February 2024. The largest advances were made to the borrowers of the Caterpillar Aurora ($36.0 million) and Northridge Commons ($19.3 million) loans. The Caterpillar Aurora loan is secured by a 4.0 million-square-foot industrial property in Montgomery, Illinois. The loan's potential fully funded balance was upsized in 2023 to $137.7 million after the borrower's business plan to complete a capital expenditure project and release individual buildings throughout the property proved to be successful. The collateral manager reported the property was expected to become 100.0% leased; however, a pending tenant for approximately 50.0% of the net rentable area had yet to be finalized. There is no future funding remaining and the loan matures in May 2024. Morningstar DBRS expects the borrower to exercise a one-year extension option to provide time to for property operations to continue to stabilize. The Northridge Commons loan is secured by an office and flex industrial property in Sandy Springs, Georgia. The borrower used loan future funding for accretive leasing costs and capital improvements. The property is approaching stabilized occupancy as the December 2023 occupancy rate was reported at 87.0%; however, the reported year-end (YE) 2023 net operating income of $4.0 million remains below the issuer's stabilized net cash flow (NCF) figure of $4.9 million. The loan has no more future funding dollars available and has a final maturity date in December 2024 after the borrower exercised its final extension option in December 2023. An additional $2.9 million of unadvanced loan future funding remains across the pool, allocated to four individual borrowers. The largest portion ($1.6 million) is allocated to the borrower of the 251 Monroe loan, secured by an industrial property in Kenilworth, New Jersey, with loan future funding available to fund leasing costs and as a performance-based earn-out. The transaction is concentrated by loan size, as the largest 10 loans represent 84.2% of the current trust balance and 79.5% of the maximum funded pool balance. The transaction consists of four loans (totaling 32.4% of the current trust balance) secured by industrial properties, three loans (totaling 23.9% of the current trust balance) secured by office properties, three loans (totaling 18.8% of the current trust balance) secured by multifamily properties (including one student-housing property), and five loans (totaling 12.1% of the current trust balance) secured by self-storage properties. There are currently five loans, representing 33.6% of the current trust balance, on the servicer's watchlist. These loans have generally been flagged for upcoming maturity dates or below breakeven debt service coverage ratios (DSCRs). The largest loan on the servicer's watchlist, Accent Overlook & 525 East Bay (Prospectus ID#48, 12.7% of the current trust balance), is primarily secured by a 283-unit multifamily property in Charleston, South Carolina; however, the collateral also includes a separate 27,000-sf office property. The loan is on the servicer's watchlist for a low DSCR, which the collateral manager reported as 0.53x at YE2023. The multifamily component of the property was only 67.0% occupied as of December 2023 with the consolidated property NCF reported at $2.8 million, below the issuer's stabilized projection of $4.6 million. The borrower is reportedly achieving its targeted rental rate, having chosen to sacrifice the occupancy rate to date in order to maintain rental rates similar with competitive Class A properties in the submarket. The loan matures in November 2024 with a fully extended maturity date of November 2026, allowing the borrower additional time to stabilize operations. In its analysis, Morningstar DBRS recognized the desirability and overall stability of the Charleston multifamily market. The credit risk on the loan remains similar with issuance levels with an expected loss slightly above the overall expected loss for the pool. The collateral manager reported four loans, representing 28.7% of the current trust balance, have been modified. The modifications have allowed borrowers to extend loans while waiving performance-based extension tests or to amend interest rate cap agreement requirements. In the context of loan maturity extensions, borrowers were required to either make a principal curtailment on the loan or to consent to the placement of cash traps through the remaining loan term in addition to purchasing new interest rate cap agreements. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 19: Fitch Affirms BB- Rating on Class E Notes ----------------------------------------------------- Fitch Ratings has affirmed the ratings for the class A-1, A-2, B-1, B-2, C, D, and E notes of AGL CLO 19 Ltd. (AGL 19), the class B, C, D, and E notes of AGL CLO 20 Ltd. (AGL 20), and the class B, C, D, and E notes of AGL CLO 21 Ltd. (AGL 21). The Rating Outlook on all rated tranches remains Stable. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 20 Ltd. B 00119CAC5 LT AAsf Affirmed AAsf C 00119CAE1 LT Asf Affirmed Asf D 00119CAG6 LT BBB-sf Affirmed BBB-sf E 00091RAA8 LT BB-sf Affirmed BB-sf AGL CLO 19 Ltd. A-1 001210AA1 LT AAAsf Affirmed AAAsf A-2 001210AL7 LT AAAsf Affirmed AAAsf B-1 001210AC7 LT AAsf Affirmed AAsf B-2 001210AE3 LT AAsf Affirmed AAsf C 001210AG8 LT A+sf Affirmed A+sf D 001210AJ2 LT BBB-sf Affirmed BBB-sf E 001211AA9 LT BB-sf Affirmed BB-sf AGL CLO 21 LTD. B 00119FAC8 LT AAsf Affirmed AAsf C 00119FAE4 LT Asf Affirmed Asf D 00119FAG9 LT BBB-sf Affirmed BBB-sf E 00120GAA7 LT BBsf Affirmed BBsf TRANSACTION SUMMARY AGL 19, AGL 20, and AGL 21 are broadly syndicated collateralized loan obligations (CLOs) managed by AGL CLO Credit Management LLC. AGL 19 closed in June 2022 while the latter two closed in August 2022. All three of the deals will exit their reinvestment periods in July 2027. The CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Stable Portfolio Performance The affirmations are driven by the stable performance of the portfolios since their last respective reviews. The credit quality of the portfolios as of the latest trustee reporting has remained at the 'B'/'B-' level, with the Fitch weighted average rating factor (WARF) for these portfolios averaging 24.9, relatively unchanged from the last review. The average obligor count for the three portfolios is 331, and the largest 10 obligors represent 6.5% of the portfolios on average. The average exposure to issuers with a Negative Outlook and Fitch's watchlist is 17.6% and 6.9%, respectively. First lien loans, cash and eligible investments comprise 99.6% of the portfolios. Fitch's weighted average recovery rate (WARR) of the portfolios is 75.0%, compared to an average of 74.9% at last year's review. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance for all transactions. Updated Cash Flow Analysis Fitch conducted updated cash flow analyses based on newly run Fitch Stressed Portfolio (FSP) since each transaction is still in their reinvestment period. The FSP analysis stressed the current portfolios to account for permissible concentration and CQT limits. The FSP analysis assumed weighted average lives of 6.50, 6.56, and 6.57 years for AGL 19, AGL 20 and AGL 21, respectively. Fixed rate assets were stressed to 2.5% of the portfolio for both AGL 19 and AGL 20 and then 5% for AGL 21. Other FSP assumptions for the CLOs include 5% non-senior secured assets and 7.5% CCC assets. The model-implied ratings (MIRs), as defined in Fitch's CLO and Corporate CDOs Rating Criteria ranged between one to two notches above the notes' current ratings, except for the class A-1, A-2, and C notes in AGL 19, which were in line with their current ratings. Fitch affirmed the ratings with Stable Outlooks due to the remaining reinvestment period and stable portfolio performance to date. 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. 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 if the notes' credit enhancement does 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 downgrades of up to three rating notches for AGL 19, AGL 20 and AGL 21, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for 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 five rating notches for AGL 19, AGL 20, and AGL 21, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AIMCO CLO 22: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AIMCO CLO 22 Ltd./AIMCO CLO 22 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 Allstate Investment Management Co. The preliminary ratings are based on information as of March 28, 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 AIMCO CLO 22 Ltd./AIMCO CLO 22 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $45.00 million: Not rated ANGEL OAK 2024-4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2024-4 (AOMT 2024-4). Entity/Debt Rating ----------- ------ AOMT 2024-4 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 2024-4 series 2024-4 (AOMT 2024-4) as indicated above. The certificates are supported by 701 loans with a balance of $299.83 million as of the cut-off date. This represents the 37th Fitch-rated AOMT transaction, and the fourth Fitch-rated AOMT transaction in 2024. The certificates are secured by mortgage loans mainly (78.98%) originated by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL) and the remaining 21.02% of the loans were originated by various third party originators. Fitch considers Angel Oak (AOMS and AOHL) as an average originator. The servicer of the loans is Select Portfolio Servicing, Inc. (RPS1-/Negative). Of the loans, 55.7% are designated as non-qualified mortgage (non-QM) loans and 44.3% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no Libor exposure in this transaction. ARM loans represent 0.4% of the pool, 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. The class M-1 certificate rate will equal the lesser of (a) the fixed rate for such class set forth and (b) the net WAC Rate for the related Distribution Date. Class B-1, B-2 and B-3 certificates are based on the net WAC. In addition, on any distribution date where the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 8.8% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q23, up 1.68% 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 have increased 5.5% yoy nationally as of December 2023 despite modest regional declines, but are still being supported by limited inventory. Non-QM Credit Quality (Mixed): The collateral consists of 701 loans totaling $299.83 million and seasoned at about 13 months in aggregate, according to Fitch, and 11 months, per the transaction documents. The borrowers have a relatively strong credit profile, with a 743 non-zero FICO and a 43.2% debt-to-income (DTI) ratio, as determined by Fitch. They have relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 69.9%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 74.6%. Per Fitch's analysis of the pool, 55.0% represent loans of which the borrower maintains a primary or secondary residence, while the remaining 45.0% comprise investor properties. Fitch's analysis considered the 23 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 10.5% of the loans were originated via a retail channel. Additionally, 55.7% are designated as non-QM, while the remaining 44.3% are exempt from QM status, as they are investor loans. The pool contains 59 loans over $1.00 million, with the largest amounting to $3.36 million. Loans on investor properties, 13.5% underwritten to the borrower's credit profile and 31.5% comprising investor cash flow loans, represent 45.0% of the pool, as determined by Fitch. Furthermore, only 1.9% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. Additionally, 0.7% of the loans have a junior lien in addition to the first-lien mortgage. There are no second-lien loans in the pool, as 100% of the pool consists of first-lien mortgages. In Fitch's analysis, loans with deferred balances are considered as having subordinate financing. In this transaction, none of the loans have a deferred balance; therefore, Fitch viewed two loans in the pool as having subordinate financing due to the borrower taking out additional financing on the home that ranks subordinate to the mortgage in the pool. Fitch viewed the limited subordinate financing as a positive aspect of the transaction. As stated, Fitch determined that 23 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 (30.4%), followed by California and Texas. The largest MSA is Miami-Fort Lauderdale-Miami Beach, FL (15.5%), followed by Los Angeles-Long Beach-Santa Ana, CA (13.4%) and Dallas-Fort Worth-Arlington, TX (4.0%). The top three MSAs account for 32.9% of the pool. As a result, no penalty was applied for geographic concentration. Loan Documentation (Negative): Fitch determined 93.8% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 93.8% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan a less than 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 56.8% were underwritten to a 12- or 24-month business or personal bank statement program for verifying income. This 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, 31.5% constitute a debt service coverage ratio (DSCR) product and 1.0% are an asset qualifier product. None of the loans in the pool are no-ratio DSCR loans. Fitch viewed the fact that there were not any no ratio loans in the pool favorably. 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 April 2028, since the class A certificates have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. These features are supportive of classes A-1 being paid timely interest at the step up coupon rate under Fitch's stresses and class A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. 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 40.7% 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, Selene, Inglet Blair, Covius, Recovco, Canopy, Maxwell, Evolve, Incenter, and Clarifii. 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 negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the overall expected loss was reduced by 0.46%. 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, Selene, Inglet Blair, Covius, Recovco, Canopy, Maxwell, Evolve, Incenter, and Clarifii 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. ARIVO ACCEPTANCE 2024-1: DBRS Finalizes BB Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc (Morningstar DBRS) finalized its provisional ratings on the following classes of notes issued by Arivo Acceptance Auto Loan Receivables Trust 2024-1 (ARIVO 2024-1 or the Issuer): -- $108,740,000 Class A Notes at AA (sf) -- $24,920,000 Class B Notes at A (sf) -- $14,270,000 Class C Notes at BBB (sf) -- $27,840,000 Class D 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 and the form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the cash collateral account, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The Morningstar DBRS CNL assumption is 18.80% based on the cut-off date pool composition. (3) 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. (4) Morningstar DBRS performed an operational review of Arivo Acceptance, LLC (Arivo) and considers the entity an acceptable originator and servicer of subprime and nonprime auto loans. The transaction structure provides for a transition of servicing in the event a Servicer Termination Event occurs. Wilmington Trust, National Association (rated AA (low) with a Negative trend by Morningstar DBRS) is the Backup Servicer, and Systems & Services Technologies, Inc. is the contracted subagent to perform the Backup Servicer's duties. (5) The credit quality of the collateral and performance of Arivo's auto loan portfolio. The weighted-average (WA) remaining term of the Initial Receivables is approximately 63.0 months with WA seasoning of approximately 8.3 months. Approximately 5.47% of the pool was originated prior to 2022. The nonzero WA credit score of the pool is 565 and the WA annual percentage rate is 18.52%. (6) Loss performance for Arivo's loan originations is limited. As a result, in addition to Arivo's loan performance data, Morningstar DBRS incorporated proxy analysis to help determine the timing of expected losses for the pool. The proxy analysis evaluated certain demographic characteristics of Arivo's originations relative to those of other issuers where Morningstar DBRS possessed more extensive performance history. (7) The legal structure and presence of legal opinions which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Arivo, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 46.90% of initial hard credit enhancement provided by subordinated notes in the pool (33.35%), OC (12.55%), and cash collateral account (1.00% of the aggregate pool balance, including the initial pool balance plus the subsequent receivable balance, and nondeclining). The ratings on the Class B, C, and D Notes reflect 34.50%, 27.40% and 13.55% of initial hard credit enhancement, respectively. Morningstar DBRS' credit ratings on the Class A, Class B, Class C, and Class D Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Note Interest and Note Principal Balance for each of the Class A, Class B, Class C, and Class D Notes. 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. Contractual payment obligations that are not financial obligations are the accrued interest on the overdue interest on each of the Class A, Class B, Class C, and Class D 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. ATLANTIC AVENUE 2024-2: S&P Assigns B-(sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Atlantic Avenue 2024-2 Ltd./Atlantic Avenue 2024-2 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Atlantic Avenue Management L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Atlantic Avenue 2024-2 Ltd./Atlantic Avenue 2024-2 LLC Class A, $241.00 million: AAA (sf) Class A-F, $15.00 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), $13.00 million: BB- (sf) Class F (deferrable), $3.00 million: B- (sf) Subordinated notes, $37.85 million: Not rated BBCMS MORTGAGE 2024-5C25: Fitch Assigns B- Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2024-5C25 Commercial Mortgage Pass-Through Certificates, Series 2024-5C25 as follows: - $821,000 class A-1 'AAAsf'; Outlook Stable; - $619,650,000 class A-3 'AAAsf'; Outlook Stable; - $620,471,000a class X-A 'AAAsf'; Outlook Stable; - $171,738,000a class X-B 'A-sf'; Outlook Stable; - $96,395,000 class A-S 'AAAsf'; Outlook Stable; - $43,211,000 class B 'AA-sf'; Outlook Stable; - $32,132,000 class C 'A-sf'; Outlook Stable; - $14,404,000ab class X-D 'BBBsf'; Outlook Stable; - $14,404,000b class D 'BBBsf'; Outlook Stable; - $13,295,000bc class E-RR 'BBB-sf'; Outlook Stable; - $17,728,000bc class F-RR 'BB-sf'; Outlook Stable; - $12,188,000bc class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $9,972,000bc class H-RR; - $26,592,000bc class J-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificate represents the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 38 commercial properties with an aggregate principal balance of $886,388,000 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., 3650 Real Estate Investment Trust 2 LLC, Citi Real Estate Funding Inc., German American Capital Corp., UBS AG, Societe General Financial Corporation, Bank of Montreal, Argentic Real Estate Finance 2 LLC, Starwood Mortgage Capital LLC, KeyBank National Association, BSPRT CMBS Finance, LLC, as loan sellers; Midland Loan Services, a Division of PNC Bank, National Association, as master servicer, 3650 REIT Loan Servicing LLC, as special servicer; and Computershare Trust Company, National Association, as trustee and certificate administrator. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 28 loans totaling 94.8% of the pool by balance, including all of the pool's hospitality and office loans. Fitch's cash flow sample included the largest 20 loans in the pool, as well as loans numbers 22-27, 30 and 33. Fitch's resulting net cash flow (NCF) of $94.0million represents a 14.8% decline from the issuer's underwritten NCF of $110.3million. Higher Leverage Compared to Recent Transactions: The pool has higher leverage than U.S. private-label multi-borrower five-year transactions rated by Fitch during 2023 and 2024 YTD. The pool's Fitch loan-to-value ratio (LTV) of 92.5% is higher than the 2023 and 2024 TYD averages of 89.7% and 86.1%, respectively. The pool's Fitch NCF debt yield (DY) of 10.6% is equal to 2023 average, but worse than the 2024 YTD average of 11.2%. Investment Grade Credit Opinion Loans: Two loans totaling 8.5% of the pool received an investment grade credit opinion on a standalone basis. Kenwood Towne Centre (5.6% of pool) received a standalone credit opinion of 'BBBsf*'. Tysons Corner Center (2.8%) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is lower than averages for five-year transactions rated by Fitch during 2023 and 2024 YTD of 14.6% and 16.7%, respectively. Excluding these credit opinion loans, the pool's Fitch LTV and DY are 90.0% and 10.9%, respectively. High Loan Concentration: The largest 10 loans make up 59.9% of the pool; however, this is less concentrated than recently rated Fitch transactions. The average top 10 loan concentration for five-year transactions rated by Fitch during 2023 and YTD 2024 are 63.3% and 65.3%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'/'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BEAR STEARNS 2006-AR2: Moody's Ups Rating on Cl. I-A-1 Certs to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating of Class I-A-1 issued by Bear Stearns Mortgage Funding Trust 2006-AR2. The collateral backing this deal consists of option ARM mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Mortgage Funding Trust 2006-AR2 Cl. I-A-1, Upgraded to B1 (sf); previously on Dec 7, 2010 Downgraded to Caa2 (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. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US 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. BENCHMARK 2018-B4: Fitch Lowers Rating on Class G-RR Debt to CCC ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 12 classes of Benchmark 2018-B4 Mortgage Trust. The Rating Outlooks for seven classes were revised to Negative from Stable, and two classes were assigned Negative Outlooks following downgrades of those classes. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B4 A-2 08161HAB6 LT AAAsf Affirmed AAAsf A-3 08161HAC4 LT AAAsf Affirmed AAAsf A-4 08161HAE0 LT AAAsf Affirmed AAAsf A-5 08161HAF7 LT AAAsf Affirmed AAAsf A-M 08161HAH3 LT AAAsf Affirmed AAAsf A-SB 08161HAD2 LT AAAsf Affirmed AAAsf B 08161HAJ9 LT AA-sf Affirmed AA-sf C 08161HAK6 LT A-sf Affirmed A-sf D 08161HAQ3 LT BBBsf Affirmed BBBsf E-RR 08161HAS9 LT BB-sf Downgrade BBB-sf F-RR 08161HAU4 LT B-sf Downgrade BB-sf G-RR 08161HAW0 LT CCCsf Downgrade B-sf X-A 08161HAG5 LT AAAsf Affirmed AAAsf X-B 08161HAL4 LT AA-sf Affirmed AA-sf X-D 08161HAN0 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance Declines and Increased 'Bsf' Loss Expectations: The downgrades reflect increased pool loss expectations driven by continued performance deterioration of Fitch Loans of Concern (FLOCs), most notably among several office properties with performance concerns and/or increased expected losses since the prior rating action including AON Center (4.8% of the pool), Meridian Corporate Center (4.3%) and Westbrook Corporate Center (3.5%). Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.05%. A total of 11 loans are identified as FLOCs (32.7%), with one loan (2.7%) currently in special servicing. Office properties comprise 32% of the pool, with one additional mixed-use property primarily comprised of office collateral (0.8%). The Outlook revisions to Negative from Stable reflect the overall office concentration, continued performance declines of the office collateral and refinanceability concerns. Fitch no longer considers 181 Fremont Street (7.6%) to exhibit performance characteristics consistent with an investment grade credit opinion given the majority of the space remains vacant and the deteriorating office market conditions in San Francisco. In addition, tenants for several single-tenant office loans in the pool including 181 Fremont Street, as well as Marina Heights State Farm (5.7%) and 636 11th Avenue (4.8%) have vacated or sublet portions of their space. However, the dark or sublet space is mitigated by credit tenancy and long-term leases. Fitch Loans of Concern: 181 Fremont (7.6%) is secured by 436,332-sf of LEED Platinum office collateral located in San Francisco, CA, which is 100% leased to Meta Platforms Inc through 2031. The property has remained mostly vacant for the last several years and although there are media reports of subleasing activity, no terms are available. Meta is currently paying $70 psf which compares to the submarket average of $58 psf, per CoStar. Given the long-term lease and 3.71% interest rate, Fitch expects the loan to continue to perform during the term. The loan received an investment grade credit opinion at issuance. However, given the majority of the collateral remains vacant, the deterioration in San Francisco market conditions and uncertainty of refinance prospects at loan maturity in 2028, Fitch no longer considers the loan to be investment grade. AON Center (4.8%) is secured by a 2.8 million-sf office tower located in downtown Chicago, IL. The 83-story LEED Silver certified building serves as a headquarters location for several Chicago based companies. The property's occupancy declined to 76% as in 2023, in line with 2022 but below 88% at issuance. This has resulted in a 17% decline in NOI compared to the originator's underwritten NOI from issuance. The third largest tenant, JLL (7.3% of the NRA), with lease expiration in 2032, has listed two floors (61,281 sf) for sublease, which represents 30% of the JLL space and 2.2% of the total building square footage. The loan defaulted at maturity in July 2023 and received a three-year extension. Fitch's 'Bsf' rating case loss of 8.3% (prior to concentration adjustments) is based on a 9.50% cap rate and 10% stress to YE 2022 NOI. It also reflects a higher probability of default given the outstanding debt amount, Chicago market conditions and expected refinancing challenges in 2026 at extended maturity date. The Meridian Corporate Center loan (4.3%) is secured by 11 suburban office properties totaling 691,705-sf located in Durham, NC. The properties were built between 1985-1998 and are all located adjacent to the Research Triangle Park (RTP). Performance of the portfolio continues to decline with December 2023 occupancy falling to 73% from 81% at YE 2022. As of September 2023, NOI DSCR also declined to 1.83x from 2.15x at YE 2022. The portfolio has significant upcoming rollover with 40% of the NRA expected to expire in the next three years and Costar reflecting a current availability rate of 39% for the properties. Fitch's 'Bsf' rating case loss of 12.8% (prior to concentration adjustments) factors a higher probability of default given the concerns with the high availability rate and rollover risk and a 10% cap rate. The Westbrook Corporate Center loan (3.5%) is secured by a 1.14 million-sf suburban office property complex located in Westchester, IL. Occupancy for the complex continues to steadily decline, dropping to 67% as of December 2023, compared with 71% at YE 2022 and 84% at issuance. According to CoStar, approximately 50% of the total NRA is being listed as available for lease. Additionally, 23% of the NRA is scheduled to roll within next three years, including the largest tenant, Follett Higher Education Group (11%). As of December 2023, NOI DSCR was 1.66x in-line with YE 2022 NOI DSCR of 1.56x. YE 2023 NOI is 16% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 13.2% (prior to concentration adjustments) reflects a higher probability of default due to the increasing vacancy, high concentration of space available for sublease and near-term rollover, as well as a cap rate of 10.25%. The JAGR Hotel Portfolio loan (2.7%) is secured by a portfolio of three full-service hotels totaling 721 rooms located in Jackson, MS, Annapolis, MD and Grand Rapids, MI. All three hotels carry the Hilton brand flag and are managed by Spire Hospitality, a wholly-owned subsidiary of the sponsors. The loan transferred to special servicing in March 2023 due to imminent monetary default and the special servicer is in process of appointing a receiver. The portfolio has exhibited a slow recovery from 2020, reporting an NOI DSCR of 0.59x as of the TTM June 2023 reporting period, below the YE 2022 NOI DSCR of 0.81x. As of TTM January 2024, the weighted-average occupancy, ADR, and RevPAR for the portfolio was 53.3%, $121, and $65, respectively, which compares with TTM December 2021 weighted-average occupancy, ADR, and RevPAR of 49.9%, $111, and $56, and issuance metrics of 63.6%, $124, and $79, respectively. The January 2024 STR shows reported RevPAR penetration rate for all three hotels is 81%, 71% and 102%, respectively. The 226-unit DoubleTree Grand Rapids was built in 1979 and renovated in 2015. As of TTM January 2024, STR reported occupancy, ADR, and RevPAR of 52.4%, $106, and $55, respectively. The 276-unit Hilton Jackson was built in 1984 and renovated in 2014. As of TTM January 2024, STR reported occupancy, ADR, and RevPAR of 47.2%, $117, and $55, respectively. The 219-unit Doubletree Annapolis was built in 1963 and renovated in 2014. As of TTM January 2024, STR reported occupancy, ADR, and RevPAR of 61.8%, $143, and $89, respectively. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 24.0% reflects a stress to the most recently reported appraisal values equating to a weighted-average stressed value of $55,922 per key. Change to Credit Enhancement: The pool balance has been reduced by 9.6%. The loan maturities are concentrated in 2028 (36 loans for 89.6% of the pool). Single-Tenant Concentration: Five loans representing 21.9% of the pool are secured by single-tenant properties including three office (18.1%) and two retail properties (3.7%) Undercollateralization: The transaction is undercollateralized by approximately $160,000 due to a workout delayed reimbursement of advances (WODRA) on the JAGR Hotel Portfolio loan, which was reflected in the January 2022 remittance report. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' classes are not likely due to expected increase in CE from amortization and loan payoffs. Downgrades to classes with Negative Outlooks are possible with an increase in pool level expected losses from underperforming or specially serviced loans including single-tenant office properties that are vacant or with tenants subleasing a portion of their space. Downgrades to the subordinate 'AAAsf' may occur with continued deterioration of the larger office FLOCs without improvement in CE. Downgrades to the 'BBBsf' and A-sf' category would occur should overall pool losses increase on the office FLOCs and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'Bsf', 'BB-sf', and 'BBB-sf' categories would occur should loss expectations increase and if performance of the FLOCs fail to stabilize, or loans default and/or transfer to the special servicer. Downgrades to distressed rating of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not expected but would be possible for the 'AAsf' and 'Asf' rated classes with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to the distressed ratings of 'CCCsf' are not expected but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2024-V6: Fitch Assigns 'B-sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2024-V6 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series V6 as follows: - $3,107,000 class A-1 'AAAsf'; Outlook Stable; - $741,850,000 class A-3 'AAAsf'; Outlook Stable; - $744,957,000a class X-A 'AAAsf'; Outlook Stable; - $216,836,000a class X-B 'A-sf'; Outlook Stable; - $130,368,000 class A-S 'AAAsf'; Outlook Stable; - $50,551,000 class B 'AA-sf'; Outlook Stable; - $35,917,000 class C 'A-sf'; Outlook Stable; - $29,267,000a,b class X-D 'BBB-sf'; Outlook Stable; - $18,624,000a,b class X-F 'BB-sf'; Outlook Stable; - $18,624,000b class D 'BBBsf'; Outlook Stable; - $10,643,000b class E 'BBB-sf'; Outlook Stable; - $18,624,000b class F 'BB-sf'; Outlook Stable; - $11,972,000b,c class G-RR 'B-sf'; Outlook Stable; Fitch does not rate the following classes: - $42,569,577b,c class J-RR; - $25,834,423b,d RR Certificates. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes G-RR and J-RR certificates comprise the transaction's eligible horizontal risk retention interest. (d) The RR certificates comprise the transaction's eligible vertical risk retention interest and the certificate balance is subject to change based on the final pricing of all classes. Since Fitch published its expecting ratings on March 11, 2024, no changes have occurred. The ratings are based on information provided by the issuer as of March 19, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 37 fixed-rate, commercial mortgage loans with an aggregate principal balance of $1,090,060,000 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 62 commercial properties. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., German American Capital Corporation and Bank of Montreal. The master servicer is Midland Loan Services, and the special servicer is LNR Partners, LLC. Computershare Trust Company, N.A. will act as trustee and certificate administrator. These certificates will follow a sequential paydown structure. KEY RATING DRIVERS Higher Leverage than Recent Transactions: The pool has higher leverage than U.S. private-label multiborrower transactions rated by Fitch during 2023, but lower leverage than Fitch-rated transactions in 2022. The pool's Fitch loan-to value ratio (LTV) of 94.5% is higher than the 2023 average of 88.3%, but still lower than the 2022 average of 99.3%. The pool's Fitch net cash flow (NCF) debt yield (DY) of 10.7% is lower than the 2023 average of 10.9% but higher than the 2022 average of 9.9%. Lower Proportion of Investment-Grade Credit Opinion Loans: Two loans representing 9.9% of the pool balance received an investment-grade credit opinion. Kenwood Towne Centre (6.0% of pool) received a standalone credit opinion of 'BBBsf*'. Tyson's Corner Center (3.9%) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage of 9.9% is well below the 2023 and 2022 averages of 17.8% and 14.4%, respectively. Lower Loan Concentration: The pool is less concentrated than recently rated Fitch transactions. The largest 10 loans make up 55.0% of the pool, which is lower than the 2023 average of 63.7% and slightly lower than the 2022 average of 55.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 27.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'CCC+sf' / 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' /'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BLUEMOUNTAIN CLO 2016-3: S&P Affirms BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R2 and A-2R2 replacement debt from BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC, a CLO originally issued in November 2016 that is managed by Sound Point Capital Management L.P. At the same time, S&P withdrew its ratings on the class A-1R debt following payment in full on the April 2, 2024, refinancing date (S&P did not rate the refinanced class A-2R debt). S&P also affirmed its ratings on the class B-R, C-R, D-R and E-R debt, which were not refinanced. The replacement debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period for the newly issued debt was set to Oct. 2, 2024. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-1R2, $276.79 million: Three-month term SOFR + 1.20% -- Class A-2R2, $19.00 million: Three-month term SOFR + 1.70% Outstanding debt -- Class A-1R, $276.79 million: Three-month term SOFR + 1.41% -- Class A-2R, $19.00 million: Three-month term SOFR + 1.71% 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. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-R debt. Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our rating on the class E-R debt. "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 we will take rating actions as we deem necessary." Ratings Assigned BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC Class A-1R2, $276.79 million: 'AAA (sf)' Class A-2R2, $19.00 million: 'AAA (sf)' Ratings Affirmed BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Class E-R: BB- (sf) Rating Withdrawn BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC Class A-1R to NR from 'AAA (sf)' Other Outstanding Debt BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC Subordinated notes: NR Class A-2R: NR NR--Not rated. BLUEMOUNTAIN CLO XXXV: Fitch Affirms 'BB+sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has affirmed 20 classes from six broadly syndicated collateralized loan obligations (CLOs). The Rating Outlook on all rated tranches remains Stable. Entity/Debt Rating Prior ----------- ------ ----- BlueMountain CLO XXXV Ltd. B 09631RAC2 LT AAsf Affirmed AAsf C 09631RAE8 LT A+sf Affirmed A+sf D 09631RAG3 LT BBB-sf Affirmed BBB-sf E 09631TAA2 LT BB+sf Affirmed BB+sf Apidos CLO XLIV Ltd A-2 037989AC4 LT AAAsf Affirmed AAAsf B 037989AE0 LT AAsf Affirmed AAsf C 037989AG5 LT Asf Affirmed Asf D 037989AJ9 LT BBB-sf Affirmed BBB-sf E 03770KAA5 LT BB-sf Affirmed BB-sf Elevation CLO 2022-16, Ltd. D-1 28623YAJ2 LT BBB+sf Affirmed BBB+sf D-2 28623YAN3 LT BBB-sf Affirmed BBB-sf Rockford Tower CLO 2022-1, Ltd. B 77340JAC9 LT AAsf Affirmed AAsf C 77340JAE5 LT Asf Affirmed Asf D 77340JAG0 LT BBB-sf Affirmed BBB-sf Apidos CLO XL Ltd B 03769RAE5 LT AAsf Affirmed AAsf C 03769RAG0 LT Asf Affirmed Asf D 03769RAJ4 LT BBB-sf Affirmed BBB-sf E 03769TAA9 LT BB-sf Affirmed BB-sf Regatta XXII Funding Ltd. C 758968AE1 LT A+sf Affirmed A+sf D 758968AG6 LT BBBsf Affirmed BBBsf TRANSACTION SUMMARY All six CLOs are secured primarily by first-lien, senior secured leveraged loans and closed in 2022, except for Apidos CLO XLIV Ltd (Apidoso XLIV) which closed in April 2023. Apidos XLIV and Elevation CLO 2022-16, Ltd. (Elevation 2022-16) will exit their reinvestment period in April and July 2026, respectively, while Regatta XXII Funding Ltd. (Regatta XXII), Rockford Tower CLO 2022-1, Ltd. (Rockford Tower 2022-1), BlueMountain CLO XXXV Ltd. (BlueMountain XXXV), and Apidos CLO XL Ltd. (Apidos XL) will exit their reinvestment periods in July 2027. KEY RATING DRIVERS Stable Portfolio Performance The affirmations are driven by the portfolios' stable performance since last rating actions and by credit enhancement (CE) levels against relevant rating stress loss levels. Fitch analyzed each CLO based on the current portfolio, and an updated Fitch Stressed Portfolio (FSP) cash flow analysis. The FSP analysis stressed the current portfolio to account for permissible concentration and collateral quality test (CQT) limits. The current ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria," except for nine classes that were affirmed one to two notches below their respective MIRs. The MIR variations are due to the remaining time in the reinvestment periods and the limited positive cushions at the respective MIR rating levels for Apidos XL and Apidos XLIV. The Stable Outlooks for all remaining tranches 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. Asset Credit Quality and Asset Security Please refer to the supplemental Rating Action Report in the "Related Content" section above for additional deal specific information. For further information and expanded data, analytics, and visualization tools, please refer to the interactive deal-specific CLO trackers available on fitchconnect.com. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. A 25% increase to the mean default rate and a 25% decrease to recovery rate at all rating levels for the current portfolios, would lead to downgrades of up to three notches for BlueMountain XXXV and Apidos XLIV, two notches for Elevation 2022-16 and Apidos XL, and one notch for Regatta XXII and Rockford Tower 2022-1, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for 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% decrease to the mean default rate and a 25% increase to recovery rate at all rating levels for the current portfolio, which would lead to upgrades of up to six notches for Regatta XXII and five notches for all other transactions in this review, 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. 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. BMO 2024-C8: S&P Affirms BB- (sf) Rating on Class XGRR Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to BMO 2024-C8 Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a U.S. CMBS transaction backed by 52 commercial mortgage loans with an aggregate principal balance of $683.434 million ($616.000 million of offered certificates), secured by the fee-simple interests in 65 properties across 19 U.S. states. The ratings reflect: -- The credit support provided by the transaction's structure, -- S&P's view of the underlying collateral's economics, -- The trustee-provided liquidity, -- The collateral pool's relative diversity, and -- S&P's overall qualitative assessment of the transaction. Ratings Assigned BMO 2024-C8 Mortgage Trust Class A-1, $3,431,000: AAA (sf) Class A-2, $23,712,000: AAA (sf) Class A-5, $444,341,000: AAA (sf) Class A-SB, $6,921,000: AAA (sf) Class X-A(i), $478,405,000: AAA (sf) Class X-B(i), $137,761,000: A- (sf) Class A-S, $83,721,000: AA+ (sf) Class B, $28,192,000: AA- (sf) Class C, $25,848,000: A- (sf) Class D-RR(ii), $16,867,000: BBB (sf) Class XDRR(i)(ii), $16,867,000: BBB (sf) Class E-RR(ii), $7,689,000: BBB- (sf) Class XERR(i)(ii), $7,689,000: BBB- (sf) Class F-RR(ii), $13,668,000: BB (sf) Class XFRR(i)(ii), $13,668,000: BB (sf) Class G-RR(ii), $6,835,000: BB- (sf) Class XGRR(i)(ii), $6,835,000: BB- (sf) Class J-RR(ii), $22,211,933: NR Class XJRR(i)(ii), $22,211,933: NR (i)Notional balance. The notional amount of the class X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-2, A-4, A-5, and A-SB certificates. The notional amount of the class X-B certificates will be equal to the aggregate certificate balance of the class A-S, B, and C certificates. The notional amount of classes XDRR, XERR, XFRR, XGRR, and XJRR will be equal to certificate balance of classes D-RR, E-RR, F-RR, G-RR, and J-RR, respectively. (ii)Non-offered horizontal risk retention certificates. NR--Not rated. BRAVO RESIDENTIAL 2024-NQM3: Fitch Assigns B Rating on B-2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings to BRAVO Residential Funding Trust 2024-NQM3 (BRAVO 2024-NQM3). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2024-NQM3 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The BRAVO 2024-NQM3 notes are supported by 686 loans with a total balance of approximately $325.63 million as of the cutoff date. Approximately 36.0% of the loans in the pool were originated by Citadel (dba Acra Lending) [Citadel], 12.2% by Deephaven Mortgage LLC (Deephaven), 9.8% by ClearEdge Lending LLC (ClearEdge), 5.2% by All Credit Considered Mortgage, Inc. (ACC), and the remaining loans by multiple originators, each of which originated less than 5% of the mortgage loans. Approximately 40.7% of the loans will be serviced by Selene Finance LP (Selene), 36.0% by Citadel Servicing Corporation (Citadel), primarily subserviced by ServiceMac, and 23.3% by Select Portfolio Servicing Inc (SPS). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values of this pool as 9.5% above a long-term sustainable level, versus 11.4% on a national level, as of 3Q23, up 1.7% since 2Q23. Housing affordability is at its worst in decades driven by high interest rates and elevated home prices. Home prices increased 5.5% YoY nationally, as of December 2023, despite modest regional declines but are still supported by limited inventory. Non-Qualified Mortgage Credit Quality (Mixed): The collateral consists of 686 loans totaling around $325.63 million and seasoned at around seven months in aggregate, calculated by Fitch as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, a 731 model FICO and a 40% debt to income (DTI) ratio, including mapping for debt service coverage ratio (DSCR) loans, and moderate leverage of 76% for a sustainable loan to value (sLTV) ratio. Of the pool, 60.8% of loans are treated as owner-occupied, while 39.2% are treated as an investor property or second home, which include loans to foreign nationals or loans where the residency status was not confirmed. Additionally, 2.8% of the loans were originated through a retail channel. Of the loans, 64.5% are non-qualified mortgages (non-QMs), 0.2% are high-priced qualified mortgages (HPQM), while the Ability to Repay (ATR)/Qualified Mortgage Rule is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 89.1% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 48.5% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. Additionally, 21.4% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12- or 24-month tax returns, award letter and written verification of employment (WVOE) products. Separately, 0.01% (6 loans) were originated to foreign nationals or the borrower residency status of the loans could not be confirmed. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes, while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon but are limited by the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC in its analysis. On or after April 2028, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the P&I allocation for the senior classes as long as class B-3 is not written down and helps ensure payment of the 100bps step up. As additional analysis to its rating stresses, Fitch factored a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (the historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut, given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but, ultimately, will not default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. No P&I Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement (CE) to pay timely interest to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.1% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 48bps as a result of the diligence review. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRIGHTWOOD CAPITAL 2024-2: S&P Assigns BB- (sf) Rating on E notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Brightwood Capital MM CLO 2024-2 Ltd./Brightwood Capital MM CLO 2024-2 LLC's floating- and fixed-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 Brightwood SPV Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Brightwood Capital MM CLO 2024-2 Ltd./ Brightwood Capital MM CLO 2024-2 LLC Class A-1, $292.00 million: AAA (sf) Class A-1L loans, $100.00 million: AAA (sf) Class A-2, $28.00 million: AAA (sf) Class B-1, $21.00 million: AA (sf) Class B-L loans, $15.00 million: AA (sf) Class B-2, $13.00 million: AA (sf) Class C (deferrable), $56.00 million: A (sf) Class D (deferrable), $49.00 million: BBB- (sf) Class E (deferrable), $35.00 million: BB- (sf) Subordinated notes, $98.30 million: Not rated BUSINESS JET 2024-1: S&P Assigns Prelim 'BB' Rating on Cl. C Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Business Jet Securities 2024-1 LLC's fixed-rate notes. The note issuance is an ABS transaction backed by loans and leases related to 31 aircraft with an initial aggregate asset value of $729.93 million as of the cut-off date, the corresponding security or ownership interests in the underlying aircraft, and shares and beneficial interests in entities that directly and indirectly receive aircraft portfolio cash flows, among others. The preliminary ratings are based on information as of April 3, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The likelihood of timely interest on the class A notes (excluding the post-anticipated repayment date [post-ARD] additional interest or deferred post-ARD additional interest) on each payment date; the timely interest on the class B notes (excluding the post-ARD additional interest or deferred post-ARD additional interest) when the class A notes are no longer outstanding on each payment date; and the ultimate payment of interest and principal on the class A, B, and C notes on or before the legal final maturity at the respective rating stress levels ('A', 'BBB+', and 'BB', respectively). -- The approximately 63.00% loan-to-value (LTV) ratio (based on the aggregate asset value) on the class A notes, the 73.00% LTV ratio on the class B notes, and the 78.75% LTV ratio on the class C notes. -- A fairly diversified and young portfolio of business jets that are either on loan, finance lease, or operating lease to corporates or high net worth individuals. -- The scheduled amortization profile, which is a straight line over 12 years for the class A and B notes and 70 months for the class C notes. However, the amortization of all classes will switch to full turbo after year six. -- The transaction's debt service coverage ratios, net loss trigger, and utilization trigger, which if failed will result in sequential turbo amortization of the notes. -- The transaction's LTV test (class A notes balance divided by aggregate asset value), which if failed will result in turbo amortization of the class A notes until the test is brought back to compliance. -- The subordination of class C notes' interest and principal to the class A and B notes' interest and principal. -- The sequential partial sweep payments to the class A and B notes, whereby, starting on the 49th payment date and continuing until and including the 72nd payment date, 50.00% of remaining available funds after all prior payments. -- A liquidity facility account, which is available to cover senior expenses and interest on the class A and B notes. The amount available will equal nine months of interest on the class A and B notes. The initial liquidity facility provider is Natixis S.A. (A/Stable/A-1). -- The class C interest reserve account, which will not be funded initially but will be funded in the payment priority subject to available amounts in an amount equal to 12 months of interest on the C notes. Preliminary Ratings Assigned Business Jet Securities 2024-1 LLC Class A, $459.85 million: A (sf) Class B, $73.00 million: BBB+ (sf) Class C, $41.97 million: BB (sf) BX TRUST 2024-CNYN: Moody's Assigns B1 Rating on Cl. HRR Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by BX Trust 2024-CNYN, Commercial Mortgage Pass-Through Certificates, Series 2024-CNYN: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interests in in a portfolio of 134 primarily industrial properties encompassing approximately 19,877,285 SF. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The collateral portfolio consists of 134 industrial properties located across seventeen states and 22 markets. The largest concentrations are in Chicago (16.8% of underwritten NOI), Dallas-Fort Worth (13.5% of underwritten NOI), and California's Inland Empire (8.5% of underwritten NOI). The portfolio is highly diverse, with no single asset contributing more than 4.2% of underwritten NOI. The portfolio's property-level Herfindahl score is 90.6 based on allocated loan amount (the "ALA"). The properties are leased to over 300 unique tenants, none of which comprises more than 3.4% of underwritten gross rent. The collateral properties contain a total of 19,877,285 SF of NRA and includes warehouse (50.8% of NRA, 53.9% of UW NOI), light industrial (19.7% of NRA, 25.4% of underwritten NOI), and bulk warehouse (29.5% of NRA, 20.6% of underwritten NOI) properties. Property size ranges between 22,710 SF and 1,001,344 SF, and averages 148,338 SF. Clear heights for properties range between 16 feet and 45 feet, and average approximately 28 feet. The properties were built between 1970 and 2021 with an average year built of 1997. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 0.94x and Moody's first mortgage actual stressed DSCR is 0.69x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $1,700,000,00 represents a Moody's LTV ratio of 121.4% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 108.7% based on Moody's Value using a cap rate adjusted for the current interest rate environment. With respect to loan level diversity, the pool's loan level Herfindahl score is 90.6. The ten largest loans represent 20.35% of the pool balance. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's quality grade is 0.75. Notable strengths of the transaction include: proximity to global gateway markets, infill locations, strong occupancy with rent growth, geographic diversity, tenant granularity, multiple property pooling and experienced sponsorship. Notable concerns of the transaction include: high Moody's LTV, rollover risk, property age, floating-rate interest-only loan profile, non-sequential prepayment provision, and credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. CANTOR COMMERCIAL 2016-C6: Fitch Lowers Rating on 2 Tranches to CC ------------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed seven classes of the Cantor Commercial Real Estate's CFCRE 2016-C6 Mortgage Trust (CFCRE 2016-C6) Commercial Mortgage Pass-Through Certificates. Following the downgrades to classes C and D, the classes were assigned Negative Rating Outlooks. Additionally, the Outlook for classes B and X-B have been revised to Negative from Stable. Fitch has also downgraded five and affirmed eight classes CFCRE 2016-C7 Mortgage Trust (CFCRE 2016-C7) Commercial Mortgage Pass-Through Certificates. Following the downgrade of class D, the class was assigned a Negative Rating Outlook. Additionally, the Rating Outlook for class C was revised to Negative from Stable. In addition, Fitch has affirmed 15 classes of CFCRE 2017-C8 Mortgage Trust (CFCRE 2017-C8) Commercial Mortgage Pass-Through Certificates. The Outlooks for classes E and X-E have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CFCRE 2016-C6 A-2 12532AAY5 LT AAAsf Affirmed AAAsf A-3 12532AAZ2 LT AAAsf Affirmed AAAsf A-M 12532ABA6 LT AAAsf Affirmed AAAsf A-SB 12532AAX7 LT AAAsf Affirmed AAAsf B 12532ABB4 LT AA-sf Affirmed AA-sf C 12532ABC2 LT BBBsf Downgrade A-sf D 12532AAA7 LT B+sf Downgrade BBsf E 12532AAC3 LT CCCsf Downgrade B-sf F 12532AAE9 LT CCsf Downgrade CCCsf X-A 12532ABD0 LT AAAsf Affirmed AAAsf X-B 12532ABE8 LT AA-sf Affirmed AA-sf X-E 12532AAL3 LT CCCsf Downgrade B-sf X-F 12532AAN9 LT CCsf Downgrade CCCsf CFCRE 2017-C8 A-3 12532CAZ8 LT AAAsf Affirmed AAAsf A-4 12532CBA2 LT AAAsf Affirmed AAAsf A-M 12532CBB0 LT AAAsf Affirmed AAAsf A-SB 12532CAY1 LT AAAsf Affirmed AAAsf B 12532CBC8 LT AA+sf Affirmed AA+sf C 12532CBD6 LT Asf Affirmed Asf D 12532CAA3 LT BBB-sf Affirmed BBB-sf E 12532CAC9 LT Bsf Affirmed Bsf F 12532CAE5 LT CCCsf Affirmed CCCsf X-A 12532CBE4 LT AAAsf Affirmed AAAsf X-B 12532CBF1 LT AA+sf Affirmed AA+sf X-C 12532CBG9 LT Asf Affirmed Asf X-D 12532CAJ4 LT BBB-sf Affirmed BBB-sf X-E 12532CAL9 LT Bsf Affirmed Bsf X-F 12532CAN5 LT CCCsf Affirmed CCCsf CFCRE 2016-C7 A-2 12532BAC1 LT AAAsf Affirmed AAAsf A-3 12532BAD9 LT AAAsf Affirmed AAAsf A-M 12532BAE7 LT AAAsf Affirmed AAAsf A-SB 12532BAB3 LT AAAsf Affirmed AAAsf B 12532BAF4 LT AA-sf Affirmed AA-sf C 12532BAG2 LT A-sf Affirmed A-sf D 12532BAL1 LT B+sf Downgrade BBsf E 12532BAN7 LT CCsf Downgrade CCCsf F 12532BAQ0 LT Csf Downgrade CCsf X-A 12532BAH0 LT AAAsf Affirmed AAAsf X-B 12532BAJ6 LT AA-sf Affirmed AA-sf X-E 12532BAW7 LT CCsf Downgrade CCCsf X-F 12532BAY3 LT Csf Downgrade CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Downgrades of classes C, D, E, F, X-E, and X-F in the CFCRE 2016-C6 transaction reflect credit deterioration due to realized losses impacting the non-rated class G, as well as exposure to Fitch Loans of Concern (FLOCs), particularly the Hill7 Office and 7th and Pine Seattle Retail and Parking loans. The Negative Outlooks for classes B, C, and D reflect the potential for downgrades should performance of the FLOCs further deteriorate, additional loans transfer to special servicing, or more loans fail to pay off at maturity. Fitch identified 10 loans (30.0% of the pool) as FLOCs, including four loans (7.1%) in special servicing. Fitch's 'Bsf' ratings case loss is 6.2% (prior to concentration add-ons). Fitch included a sensitivity analysis on the Hill7 Office loan that factors in an increased probability of default. In this scenario the 'Bsf' ratings case loss increases to 6.9% (prior to concentration add-ons). Downgrades of classes D, E, F, X-E and X-F in the CFCRE 2016-C7 transaction reflect credit deterioration due to realized losses impacting the non-rated class G, as well as exposure to the specially serviced 681 Fifth Avenue loan. Negative Outlooks on classes C and D reflect the potential for downgrades should the performance of FLOCs further decline, additional loans transfer to special servicing, or loans fail to pay off at maturity. Fitch identified three loans (9.6% of the pool) as FLOCs, which includes one loan (5.9%) in special servicing. Fitch's 'Bsf' ratings case loss is 5.1%. The affirmations in the CFCRE 2017-C8 transaction reflect overall stable loan performance for a majority of the loans. The Negative Outlooks to classes E and X-E reflect the potential for downgrades should the FLOCs experience sustained performance declines and/or more loans transfer to special servicing. Fitch identified nine loans (30.0% of the pool) as FLOCs, which includes two loans (7.1% of the pool) in special servicing. Fitch's 'Bsf' ratings case loss is 6.3% (prior to concentration add-ons). Fitch Loans of Concern: The Hill7 Office loan (9.9% of the pool) in the CFCRE 2016-C6 transaction was identified as a FLOC due to upcoming rollover concerns and high market vacancy rates. The loan was previously listed as a FLOC due to exposure to WeWork, which occupies about 20% of the NRA and declared bankruptcy in 2023. Concerns surrounding the tenant have been mitigated as a subtenant, Moderna Labs, took occupancy in 2023. Other tenants include Redfin Corporation, which occupies about 39% of the NRA on a lease through July 2027 and sublets its space on the 7th floor (10% of the NRA) to ABC Legal and HBO Code Labs (40% of the NRA) which have a lease expiration in May 2025. Per CoStar, the subject is located in the Seattle CBD submarket and Seattle MSA, that have office vacancy rates of 24.3% and 14.5%, respectively, but higher availability rates of 29.6% and 17.6% respectively. Fitch's base case analysis includes a 9.00% cap rate and a 30% stress to the YE 2022 NOI to reflect the upcoming rollover of HBO Code Labs. Fitch's 'Bsf' ratings case loss is 2.4% (prior to concentration add-ons). Given the concerns surrounding a large lease expiration relative to the loan's maturity in November 2026, Fitch's analysis includes a sensitivity stress that increases the probability of default. Loan-level sensitivity losses increase to 9.0% (prior to concentration add-ons) in this sensitivity scenario. The 7th and Pine Seattle Retail & Parking (8.4% of the pool) in the CFCRE 2016-C6 transaction was identified as a FLOC due to sustained performance declines particularly from the parking garage component of the collateral. Base rents remain about 36% lower relative to pre-pandemic levels. Due to the decline, the loan's NOI DSCR has remained below a 1.00x since YE 2020. Fitch's 'Bsf' ratings case loss of 23.3% (prior to concentration add-ons) includes a 9.5% cap rate to the annualized September 2023 NOI and an increased probability of default given the loan's heightened maturity default risk. The 681 Fifth Avenue (5.9% of the pool) in the CFCRE 2016-C7 transaction, transferred to special servicing in September 2023 due to imminent monetary default after Tommy Hilfiger (27.3% of the NRA; 74.4% of base rents) vacated at their May 2023 lease expiration. Additionally, Apex (7.0% of the NRA) vacated at their March 2023 lease expiration, causing occupancy to fall to 52%. The loan's NOI DSCR declined to 0.93x for the YTD September 2023 reporting period from 1.65x at YE 2022. Fitch's 'Bsf' ratings case loss of 31.0% (prior to concentration add-ons) includes a stress to the YE 2022 NOI. The 340 Bryant (3.0% of the pool) in the CFCRE 2017-C8 transaction transferred to special servicing in September 2022 due to monetary default after the largest tenant WeWork (76.6% of the NRA) vacated their space in 2021, ahead of their February 2028 lease expiration. The remaining tenant Logitech (23% of the NRA) vacated at their April 2023 lease expiration, leaving the building entirely vacant and the loan with a negative NOI DSCR since YE 2022. The subject is located in an infill location approximately 1 mile from downtown San Francisco, CA. According to CoStar, the property is located in the Rincon/South Beach office submarket and San Francisco MSA which have vacancy rates of 25.4% and 21.7%, respectively, and higher availability rates of 35.8% and 26.0%. Fitch's loss expectations of 74.0% (prior to concentration add-ons) are based off the August 2023 appraised value, which is approximately 84% below the value at issuance. The loan is the largest contributor to loss expectations. Credit Enhancement Bifurcation: In the CFCRE 2016-C7 transaction, credit enhancement (CE) for the senior 'AAAsf' rated classes remains in-line with issuance levels CE, however all other classes have experienced deterioration in CE, relative to issuance levels, due to realized losses on the non-rated class G. Defeasance across the CFCRE 2016-C6, CFCRE 2016-C7 and CFCRE 2017-C8 transactions includes 10 loans for 14.40% of the pool, five loans for 4.50% of the pool, and four loans for 6.1% of the pool, respectively. Changes to Credit Enhancement: As of the February 2024 remittance report, the balance of the CFCRE 2016-C6, CFCRE 2016-C7 and CFCRE 2017-C8 transactions have been reduced by 9.1%, 11.8%, and 18%, respectively. Loan maturities in CFCRE 2016-C6 and CFCRE 2016-C7 are concentrated in 2026 (100% of both pools) while maturities in CFCRE 2017-C8 are concentrated in 2026 (10.5% of the pool) and 2027 (89.5%). Interest shortfalls and realized losses are impacting class G across all three transactions; $350,877 and $5.94 million, respectively in CFCRE 2016-C6, $965,315 and $18.39 million in CFCRE 2016-C7, and $13,572 and $2.55 million in CFCRE 2017-C8. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes with Negative Outlooks are possible with further loan performance deterioration, additional transfers to special servicing, or failure of loans to pay off at maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are possible should performance of FLOCs rebound, loans in special servicing have favorable workout outcomes, and improved CE with continued amortization and loan pay-offs. 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. CARLYLE CLO C17: Moody's Cuts Rating on $22MM Cl. D-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Carlyle C17 CLO, Ltd.: US$47,500,000 Class A-2-R Floating Rate Notes due 2031 (the "Class A-2-R Notes"), Upgraded to Aaa (sf); previously on April 6, 2023 Upgraded to Aa1 (sf) Moody's has also downgraded the ratings on the following notes: US$22,000,000 Class D-R Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Downgraded to B1 (sf); previously on May 10, 2018 Assigned Ba3 (sf) US$8,500,000 Class E-R Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Downgraded to Caa3 (sf); previously on April 6, 2023 Downgraded to Caa2 (sf) Carlyle C17 CLO, Ltd., originally issued in February 2013 and refinanced in May 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 May 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2023. The Class A-1A-R notes have been paid down by approximately 9% or $20.5 million since April 2023. Based on Moody's calculation, the OC ratio for the Class A notes is currently 130.26% versus April 2023 level of 129.78%. The deal has also benefited from a shortening of the portfolio's weighted average life since April 2023. The downgrade rating actions on the Class D-R and E-R notes reflect the specific risks to the more junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the total collateral par balance and expected recoveries from defaulted securities is $363.4 million, or $16.1 million less than the $400 million initial par amount targeted during the deal's ramp-up, after accounting for amounts repaid to the notes. Furthermore, the Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 2789 compared to 2736 in April 2023. No actions were taken on the Class A-1A-R, Class A-1B-R, Class B-R, and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in 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: $362,817,661 Defaulted par: $2,693,613 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2789 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.27% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 47.53% Weighted Average Life (WAL): 4.11 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. CEDAR FUNDING XVIII: S&P Assigns B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Cedar Funding XVIII CLO Ltd./Cedar Funding XVIII CLO 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+' and lower) senior secured term loans. The transaction is managed by AEGON USA Investment Management LLC, an affiliate of Aegon Asset, which is a subsidiary of Aegon N.V. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Cedar Funding XVIII CLO Ltd./Cedar Funding XVIII CLO LLC Class X, $4.00 million: AAA (sf) 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) $15.00 million: BB- (sf) Class F (deferrable) $1.00 million: B- (sf) Subordinated notes, $35.30 million: Not rated CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs ----------------------------------------------------------------- DBRS Limited confirmed the credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-FAX issued by CFK Trust 2019-FAX as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations considering the healthy cash flow and occupancy levels. The loan is secured by the Fairfax Multifamily Portfolio, which consists of three cross-collateralized and cross-defaulted Class B+ multifamily properties totaling 870 units, in Fairfax and Herndon, Virginia. The previous owner invested more than $22.8 million in capital improvements and renovated 248 of the 870 units in the portfolio. At issuance, it was noted that an additional $11.0 million, or $12,800 per unit, was allocated for future renovations and upgrades, suggesting potential upside in rental revenues. In December 2022, The Milestone Group purchased the portfolio and assumed the loan. The $82.0 million trust loan consists of two senior notes and two junior notes. In addition to the trust loan, five senior notes comprise a $70.0 million nontrust pari passu companion loan, a $25.0 million senior mezzanine loan, and a $20.0 million junior mezzanine loan, which are held outside the trust. The loan is interest only (IO) throughout its 10-year loan term and matures in January 2029. According to the September 2023 rent rolls, the weighted-average (WA) portfolio occupancy was 96.5%, a slight increase from 93.9% at YE2022. At the property level, Windsor at Fair Lakes reported a September 2023 occupancy of 97.2%, while Ellipse at Fairfax Corner and Townes at Herndon Center reported figures of 96.5% and 95.8%, respectively. For the same reporting period, the WA rental rate was $2,165 per unit. According to Reis, properties in the Western Fairfax County submarket reported effective and asking rental rates of $1,928 per unit and $2,012 per unit, respectively. The submarket average vacancy rate increased130 basis points from YE2022 to 5.7%. According to the most recent financials, the annualized net cash flow (NCF) for the trailing-nine-month period ended September 30, 2023, was $13.7 million (reflecting a debt service coverage ratio (DSCR) of 1.54 times (x)), compared with $14.0 million at YE2022 (a DSCR of 1.58x) and the Morningstar DBRS NCF of $11.4 million. As of February 2024, the replacement reserve balance was $5.6 million, compared with $6.1 million in April 2023 and $11.0 million at issuance, suggesting some renovation work was completed. Morningstar DBRS has requested an update from the servicer. For this review, Morningstar DBRS maintained the Morningstar DBRS NCF of $11.4 million and a capitalization rate of 6.3% in its analysis, resulting in a Morningstar DBRS value of $180.4 million, which represents a 28.3% haircut from the issuance appraised value and a whole-loan loan-to-value of approximately 110.0%. Positive qualitative adjustments totaling 2.5% were maintained to reflect the low cash flow volatility and healthy market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2024-3: DBRS Gives Prov. B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2024-3 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-3 (CHASE 2024-3) as follows: -- $499.5 million Class A-2 at AAA (sf) -- $499.5 million Class A-3 at AAA (sf) -- $499.5 million Class A-3-X at AAA (sf) -- $374.6 million Class A-4 at AAA (sf) -- $374.6 million Class A-4-A at AAA (sf) -- $374.6 million Class A-4-X at AAA (sf) -- $124.9 million Class A-5 at AAA (sf) -- $124.9 million Class A-5-A at AAA (sf) -- $124.9 million Class A-5-X at AAA (sf) -- $299.7 million Class A-6 at AAA (sf) -- $299.7 million Class A-6-A at AAA (sf) -- $299.7 million Class A-6-X at AAA (sf) -- $199.8 million Class A-7 at AAA (sf) -- $199.8 million Class A-7-A at AAA (sf) -- $199.8 million Class A-7-X at AAA (sf) -- $74.9 million Class A-8 at AAA (sf) -- $74.9 million Class A-8-A at AAA (sf) -- $74.9 million Class A-8-X at AAA (sf) -- $61.1 million Class A-9 at AAA (sf) -- $61.1 million Class A-9-A at AAA (sf) -- $61.1 million Class A-9-X at AAA (sf) -- $560.6 million Class A-X-1 at AAA (sf) -- $11.8 million Class B-1 at AA (low) (sf) -- $11.8 million Class B-1-A at AA (low) (sf) -- $11.8 million Class B-1-X at AA (low) (sf) -- $5.6 million Class B-2 at A (low) (sf) -- $5.6 million Class B-2-A at A (low) (sf) -- $5.6 million Class B-2-X at A (low) (sf) -- $4.4 million Class B-3 at BBB (low) (sf) -- $2.1 million Class B-4 at BB (low)(sf) -- $1.2 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-3-X, 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 (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 4.60% 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 2.60%, 1.65%, 0.90%, 0.55%, and 0.35% 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 518 loans with a total principal balance of $587,666,723 as of the Cut-Off Date (March 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' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2014-GC19: DBRS Confirms BB Rating on F Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-GC19 issued by Citigroup Commercial Mortgage Trust 2014-GC19 as follows: -- Class X-D at BB (high) (sf) -- Class F at BB (sf) In addition, Morningstar DBRS discontinued its credit ratings on Classes C, D, E, X-C, and PEZ. The trends on Classes F and X-D were changed from Stable to Negative. Although the pool has been substantially repaid, with significant credit enhancement for the remaining rated principal class, Class F, the credit rating confirmation reflects Morningstar DBRS' expectation that, although the remaining balance of $5.9 million is expected to be paid in full, the servicer could short interest payments to that certificate if all three remaining loans are ultimately with the special servicer. As of the March 2024 remittance, interest shortfalls stood at a cumulative $1.0 million, contained to the unrated Class G certificate, which has realized losses of $3.2 million and a remaining balance of $46.2 million. Morningstar DBRS has a tolerance for unpaid interest of up to six months for the BB (sf) credit rating category. In the event that loan dispositions are delayed, there is an increased propensity for interest shortfalls affecting Class F, supporting the trend change on the two remaining rated classes to Negative. As of the March 2024 remittance, only three of the original 78 loans remain in the pool, with an outstanding balance of $52.0 million, representing a collateral reduction of 94.9% since issuance. Of the remaining three loans, two loans, representing 79.1% of the pool, were transferred to special servicing for maturity default, and one loan is on the servicer's watchlist, with a likely transfer to special servicing on the horizon in the event that take-out financing cannot be obtained. Since Morningstar DBRS' last review, 63 loans have been repaid, and all three remaining loans are now beyond their original scheduled maturity dates in January of 2024. In a conservative scenario, Morningstar DBRS anticipates proceeds from the liquidation of all three loans will be sufficient to cover the outstanding balance on Class F. The rating on Class F is constrained by the possibility of accruing interest shortfalls prior to its full repayment. Interest shortfalls currently total $1.0 million, up from approximately $409,000 at the time of Morningstar DBRS' last credit rating action. The largest loan remaining in the pool is 136-138 West 34th Street (57.7% of the pool). The loan is collateralized by a 25,000-square foot (sf) Class B retail building in Manhattan that was occupied by two tenants, each occupying 50% of net rentable area (NRA). One of the two tenants, Simple Capital Partners, vacated its space at its lease expiry in December 2023, leaving the property 50% occupied. Given the recent lack of capital market appetite for Class B retail assets, as well as the recent vacancy, refinancing efforts have been difficult, eventually resulting in the loan's transfer to special servicing in January 2024. Prior to Simple Capital Partners' departure, the property was 100% occupied with a debt service coverage ratio (DSCR) of 1.12 times (x) and an annualized net cash flow (NCF) of $1.65 million, per the Q3 2023 financials. However, both DSCR and NCF figures are well below the Morningstar DBRS issuance values of 2.00x and $2.95 million, respectively. According to Reis, since 2019, the average sales price per square foot (psf) for all classes of retail properties within a 0.5 mile radius was $324 psf; this compares with the trust's exposure of $1,200 psf on the principal balance of $30.0 million. With this review, Morningstar DBRS liquidated the loan from the pool based on a haircut of 85.0% to the collateral's issuance value, resulting in a value of $366 psf and a loss severity of 80%. Festival Plaza (21.4% of the pool), secured by an anchored retail property in Montgomery, Alabama, transferred to special servicing in May 2020 for monetary default and has been real estate owned since November 2022. As of the Q3 2023 financial reporting, the property was 88.0% occupied with a DSCR of 0.77x and an annualized NCF of approximately $697,000, well below the MDBRS NCF of $1.3 million. The property's largest tenant, AMC Cinemas, had a lease expiration date at the end of December 2023, and has since renewed for one year through December 2024. The property was recently re-appraised in October 2023 at a value of $6.2 million, in line with its November 2022 value and 65.6% below its issuance value of $18.0 million. With this review, Morningstar DBRS liquidated the loan from the pool with a haircut to the October 2023 appraised value, resulting in a loss severity of 77.5%. The third loan in the pool, 1415 North Loop West (20.9% of the pool), is secured by a suburban office property in Houston. The loan was scheduled to mature in January 2024 and is now being monitored on the servicer's watchlist. The borrower has requested a 60-day forbearance agreement and is in contact with the master servicer. Per the YE2023 financials, the property was 84.2% occupied, in line with recent years, but below the issuance figure of 90.2%. The in-place tenant roster is granular, with no tenant representing more than 8.1% of NRA. DSCR was reported at 1.50x, representing a minor improvement from the YE2022 DSCR of 1.45x. Although the loan has performed in line with issuance expectations, given the current capitalization rate and interest rate environments, as well as the property's suburban location, Morningstar DBRS believes the refinance could take longer to finalize, potentially increasing the exposure to shortfall risk for the Class F certificate. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP COMMERCIAL 2015-GC31: DBRS Cuts Rating on 2 Classes to C ------------------------------------------------------------------ DBRS, Inc. downgraded the credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC31 issued by Citigroup Commercial Mortgage Trust 2015-GC31 as follows: -- Class X-A to AA (high) (sf) from AAA (sf) -- Class A-S to AA (sf) from AAA (sf) -- Class B to BBB (sf) from AA (low) (sf) -- Class C to CCC (sf) from A (low) (sf) -- Class PEZ to CCC (sf) from A (low) (sf) -- Class D to C (sf) from BB (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class F at C (sf) -- Class G at C (sf) Trends on Classes A-S, B, and X-A are Negative. Classes C, PEZ, D, E, F, and G have ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) ratings. All other classes have Stable trends. The credit rating downgrades reflect the increased loss projections for loans in special servicing primarily driven by 135 South LaSalle (Prospectus ID#1; 15.6% of the pool), the largest loan in the pool. At the last credit rating action in March 2023, Morningstar DBRS downgraded Classes D, E, F, and G largely as a result of loss projections for the 135 S LaSalle loan. However, since that time, a new appraisal, dated January 2024, has been obtained, indicating a higher-than-expected deterioration in property value. As a result, Morningstar DBRS' loss projections have increased, further suggesting trust losses are likely through Class D. Furthermore, five loans have been added to the servicer's watchlist for a total of six loans, representing 14.3% of the pool, further stressing Morningstar DBRS' weighted-average (WA) expected loss (EL) for the remaining pool. The largest loan in the pool is secured by 135 South LaSalle, a Class A office property commonly known as the Field Building, in the central business district of Chicago. The loan transferred to special servicing in November 2021 for payment default after the former largest tenant, Bank of America (previously 62.3% of the net rentable area (NRA)), vacated the majority of its space at the July 2021 lease expiration, bringing the occupancy rate down to just under 20%. A January 2024 appraisal valued the property at $67.7 million compared with the January 2023 value of $90.0 million and the issuance value of $330.0 million. Since the last credit rating action, the occupancy rate has slipped further to 16% as of the YE2023 operating statement analysis report and additional leases are scheduled to roll by YE2024. Chicago's Central Loop submarket continues to report an elevated vacancy rate of 14.1% as of Q4 2023, according to Reis. Although this is 10 basis points lower than the previous quarter, vacancy is projected to tick up over the next few years. Additionally, loan level advances have increased by more than $6 million in the same time period. The January 2024 appraised value is well below the total loan exposure of approximately $125.0 million. The subject property was selected as one of five finalists for the LaSalle Reimagined redevelopment project in March 2023. The redevelopment program is geared toward transforming dated office space into residential housing, of which a portion of the units will be designated for affordable housing. According to recent news reports, the current mayoral administration plans to move forward with the project in the Spring of 2024, aiming to provide city funding to aid the redevelopment of select properties. While the potential for redevelopment is promising, the timing and extent to which funding will be available remains unclear. Morningstar DBRS analyzed this loan with a liquidation scenario based on a haircut to the January 2024 value, resulting in a loss severity approaching 65.0%. Outside of the loans in special servicing, Morningstar DBRS identified nine other loans, representing 28.3% of the deal balance, as being at elevated credit risk related to concentrated rollover, performance declines, and submarket pressures. Four of these loans, representing 19.3% of the pool balance, are backed by office properties. Morningstar DBRS has a cautious outlook for this asset type as sustained upward pressure on vacancy rates in the broader office market may challenge landlords' efforts to backfill vacant space, and, in certain instances, contribute to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Where applicable, Morningstar DBRS increased the probability of default penalties and/or applied stressed loan-to-value ratios for these nine loans. The WA EL for these loans was more than 15% higher than the WA EL for the pool. The WA EL for the office-backed loans in particular was more than 20.0% higher than the WA EL for the pool. As of the March 2024 remittance, 47 of the original 50 loans remain in the trust with an aggregate balance of $639.5 million, representing a collateral reduction of 11.6% since issuance. The pool is primarily concentrated in mixed used and office properties, which comprise 37.7% and 21.5% of the pool balance, respectively. A total of six loans, representing 24.7% of the pool, are on the servicer's watchlist, and 19 loans, representing 21.7% of the pool, are fully defeased. All of the remaining loans are scheduled to mature within the next 12 to 18 months. While Morningstar DBRS expects the majority of outstanding loans will refinance, a number exhibit signs of elevated maturity default risk. As noted above, Morningstar DBRS adjusted its analysis to reflect these concerns, further supporting the downgrades and negative trends. Should additionally loans default as they near maturity or should assets wallow in special servicing, Morningstar DBRS' loss projections may increase. Notes: All figures are in U.S dollars unless otherwise noted. COLT 2024-2: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs -------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-2 Mortgage Loan Trust (COLT 2024-2). Entity/Debt Rating ----------- ------ COLT 2024-2 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-2 Mortgage Loan Trust as indicated above. The certificates are supported by 695 nonprime loans with a total balance of approximately $362.9 million as of the cut-off date. Loans in the pool were originated by multiple originators, including, HomeXpress Mortgage Corp. OCMBC, Inc (d/b/a LoanStream Mortgage), Northpointe Bank and others. Loans were aggregated by Hudson Americas L.P. Loans are currently serviced by Fay Servicing LLC (Fay), Select Portfolio Servicing, Inc. (SPS) and Northpointe Bank KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.3% above a long-term sustainable level (versus 11.1% on a national level as of 3Q23, up 1.7% qoq). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 5.5% yoy nationally as of December 2023, despite modest regional declines, but are still being supported by limited inventory. COLT 2024-2 has a combined original LTV (cLTV) of 74.6%, slightly higher than the cLTV of the previous Hudson transaction, COLT 2024-1. However, based on Fitch's updated view of housing market overvaluation, this pool's sustainable loan-to-value ratio (sLTV) is 82.4% compared to 81.8% for the previous transaction. NQM Credit Quality (Negative): The collateral consists of 695 loans totaling $362.9 million and seasoned at approximately three months in aggregate. The borrowers have a moderate credit profile, consisting of a 731 model FICO, and moderate leverage with a 82.4% sLTV and a 74.6% combined original LTV (cLTV). The pool consists of 60.8% of loans where the borrower maintains a primary residence, while 35.1% comprise an investor property. Additionally, 51.8% are nonqualified mortgages (NQM, or non-QM), 8.0% are Safe Harbor QM (SHQM)and 5.3% are high-priced QM (HPQM). The QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 26.5%. This is mainly driven by the NQM collateral and the significant investor cash flow product (debt service coverage ratio [DSCR]) concentration. Loan Documentation (Negative): Around 91.5% of loans in the pool were underwritten to less than full documentation and 62.2% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule (ATR Rule, or the Rule). Fitch's treatment of alternative loan documentation increased 'AAAsf' expected losses by 650bps compared with a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 210 DSCR products in the pool (20.1% by unpaid principal balance [UPB]). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported non-zero DTI. Of the DSCR loans, 14.2% include a default interest rate feature whereby the interest rate to the borrower increases upon delinquency/default. Fitch expects a lower cure rate on loans with this feature and increases the likely default rate similar to the impact of an adjustable-rate mortgage (ARM). Its average expected losses for DSCR loans is 45.2% in the 'AAAsf' stress. Modified Sequential Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) 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. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then the securities administrator will be obligated to make such advance. 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 to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2024-2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to the class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As an additional analysis to Fitch's rating stresses, it took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (the historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the backloaded benchmark scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined 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. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Clayton, Evolve, Selene, Canopy, Covious, Clarifii, Opus and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 51bps reduction to the 'AAA' expected loss. DATA ADEQUACY 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 data layout format. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2014-CCRE18: DBRS Cuts Class E Certs Rating to B(low) ---------------------------------------------------------- DBRS Limited downgraded credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE18 issued by COMM 2014-CCRE18 Mortgage Trust as follows: -- Class E to B (low) (sf) from B (high) (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class X-B at BBB (sf) -- Class D at BBB (low) (sf) The trends on Classes D, E, and X-B are Negative. Class F does not carry a trend given the C (sf) credit rating. The trends on all remaining classes are stable. The credit rating downgrades and trend changes reflect the stressed value estimates for the collateral backing select loans in the pool that Morningstar DBRS believes are unlikely to be paid off at their respective 2024 maturity dates. One of those loans, Southfield Town Center (Prospectus ID#4, 11.9% of the pool), transferred to special servicing in March 2024 for imminent default ahead of its May 2024 maturity. Although the loan is performing in line with issuance expectations, the collateral's suburban location and soft submarket suggest the value has likely declined since issuance, particularly amid the current environment for office properties in secondary and/or suburban locations. As a result, the refinance prospects are cloudy and should the loan ultimately be liquidated, Morningstar DBRS believes a loss to the trust is likely. As the transaction is in wind-down, the analysis for this review generally focused on the recoverability prospects for the remaining loans in the pool. At issuance, the transaction consisted of 49 loans with an original trust balance of $996.3 million. As of the March 2024 remittance report, 28 loans remained in the transaction with a current trust balance of $460.4 million, representing a collateral reduction of approximately 53.8% since issuance. In addition to significant paydown from issuance, the transaction also benefits from defeasance, as eight loans, totaling 17.8% of the pool, are fully defeased. Eighteen loans, representing 66.2% of the pool, are currently monitored on the servicer's watchlist, and the aforementioned Southfield Town Center is the only loan in special servicing. All 31 of the pool's remaining loans are scheduled to mature by July 2024. Although the watchlist loans are concentrated in those being monitored for upcoming maturity, there are six loans, representing 17.2% of the pool, which are being monitored for credit issues, such as low debt service coverage ratios (DSCRs), low occupancy rates, and upcoming tenant rollover. The pool benefits from the relatively low concentration of loans backed by office properties (19.9% of the pool); however, the office loans are generally significantly weaker than the pool as a whole, with the weighted-average expected loss (EL) approximately 150.0% greater than the pool average EL. The transaction is heavily concentrated in loans backed by retail collateral, with 10 loans, representing 44.9% of the pool, including the largest loan in the pool, Bronx Terminal Market (Prospectus ID#1, 29.3% of the pool), which is secured by a 912,333-square foot (sf) anchored retail center in The Bronx. The loan reported a DSCR of 1.74 times (x) as of Q3 2023, and the collateral property has long-term leases with all its major tenants, including Target (20.0% of net rentable area (NRA), lease expires October 2033), BJ's Wholesale Club (14.3% of NRA, lease expires August 2029), and The Home Depot (13.7% of NRA, lease expires February 2034). Given the current interest rate and capitalization (cap) rate environment, as well as declining investor demand for office properties, Morningstar DBRS remains skeptical regarding the refinancing prospects for the two largest office loans in the pool. The 399 Thornall Street loan (Prospectus ID#8, 7.0% of the pool) is secured by a 335,000-sf, Class A, suburban office property in Edison, New Jersey. In addition to being monitored on the watchlist for its upcoming June 2024 maturity, the loan has also been flagged for low DSCR and occupancy since 2021 when occupancy fell significantly after the property's largest tenant downsized and the second largest tenant vacated. More recently, Mazar's USA LLP (7.4% of NRA), vacated its space at its lease expiry in July 2023. The sponsor has been unable to back fill the vacant space, as occupancy was reported at 35.6% as of the September 2023 rent roll. Occupancy is expected to decline further as former largest tenant, Daiichi Sankyo (7.2% of NRA), will vacate its remaining space at the subject at lease expiry in May 2024. According to Reis, the Metropark/Edison/Woodbridge submarket reported a vacancy rate of 14.1% for Class A properties as of YE2023. As of the Q3 2023 financials, the loan reported a DSCR of just 0.59x. Given occupancy and cash flow have remained depressed since 2021, a successful loan payoff at maturity in June 2024 is not likely. Although the loan does report a notable amount of reserves with $5.0 million in tenant reserves and $1.6 million in other reserves, the property's suburban location and lack of demand for office space will make re-leasing efforts difficult. Morningstar DBRS estimates the as-is value has fallen significantly from issuance, with a balloon loan-to-value ratio (LTV) well over 100.0%. The largest office loan in the pool, Southfield Town Center, is secured by a 2.15 million-sf, five-building suburban office property in the Detroit suburb of Southfield, Michigan. The loan transferred to special servicing with the March 2024 remittance due to imminent monetary default as the borrower was unable to secure refinancing ahead of the loan's May 2024 maturity date. Workout strategy discussions are still in their preliminary stages; however, the special servicer has stated that a forbearance is being considered and that a loan modification would require additional principal paydown and significant contributions to loan reserves. Occupancy remained stable at 77.5% as of YE2023, compared with 79.0% and 80.0% at YE2022 and YE2021, respectively, and is outperforming the North Southfield submarket YE2023 vacancy of 27.1%, according to Reis. Tenants representing 8.0% of NRA are scheduled to roll in 2024. The loan continues to perform above issuance expectations, reporting a DSCR of 2.00x as of YE2022 and 2.06x as of Q3 2023. Although the collateral is performing, the suburban location and relatively high LTV of 78.5% on the issuance balance and appraisal pushes the loan's baseline EL up significantly, with the resulting figure 180.0% higher than the pool average. Morningstar DBRS believes the As-Is LTV on a stressed value to reflect current market conditions is likely much higher. Notes: All figures are in U.S. dollars unless otherwise noted. CROWN CITY IV: S&P Assigns BB- (sf) Rating on Class DR Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1R, A-J, A-2R, B-1R, B-F, C-1R, C-2R, and DR replacement debt and new class X debt from Crown City CLO IV/Crown City CLO IV LLC, a CLO originally issued in September 2022 that is managed by Western Asset Management Co. LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, and D debt following payment in full on the March 28, 2024, refinancing date. 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 A-1R, A-J, A-2R, B-1R, B-F, C-1R, C-2R, and DR debt were issued at a lower weighted average cost of debt; and the class B-F debt was issued at a fixed coupon. -- The replacement class A-1R, A-J, A-2R, B-1R, C-1R, C-2R, and DR debt were issued at a floating spread; and the class B-F debt was issued at a fixed coupon. -- The sequential class A-1R and A-J debt replaced the existing class A-1 debt. -- The pro rata class B-1R and B-F debt replaced the existing class B debt. -- The sequential class C-1R and C-2R debt replaced the existing class C debt. -- The stated maturity, reinvestment period, and noncall period will be extended by 3.5, 4.5, and 2.0 years, respectively. -- In connection with the refinancing, the issuer is modifying some of the provisions related to workout assets. -- The new class X debt issued in connection with this refinancing will be paid down using interest proceeds during the first 12 payment dates, beginning with the July 2024 payment date. -- The target par amount increased to $400.00 million from $360.00 million. Replacement And Original Debt Issuances Replacement debt -- Class X, $1.00 million: Three-month CME term SOFR + 1.10% -- Class A-1R, $241.00 million: Three-month CME term SOFR + 1.61% -- Class A-J, $19.00 million: Three-month CME term SOFR + 1.82% -- Class A-2R, $44.00 million: Three-month CME term SOFR + 2.25% -- Class B-1R (deferrable), $10.00 million: Three-month CME term SOFR + 2.80% -- Class B-F (deferrable), $14.00 million: 6.52% -- Class C-1R (deferrable), $21.00 million: Three-month CME term SOFR + 4.50% -- Class C-2R (deferrable), $7.00 million: Three-month CME term SOFR + 5.67% -- Class DR (deferrable), $10.00 million: Three-month CME term SOFR + 7.41% Original debt -- Class A-1, $216.00 million: Three-month CME term SOFR + 2.23% -- Class A-2, $57.50 million: Three-month CME term SOFR + 3.05% -- Class B (deferrable), $19.00 million: Three-month CME term SOFR + 4.15% -- Class C (deferrable), $20.50 million: Three-month CME term SOFR + 5.44% -- Class D (deferrable), $14.00 million: Three-month CME term SOFR + 7.90% 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 Crown City CLO IV/Crown City CLO IV LLC Class X, $1.00 million: AAA (sf) Class A-1R, $241.00 million: AAA (sf) Class A-J, $19.00 million: AAA (sf) Class A-2R, $44.00 million: AA (sf) Class B-1R (deferrable), $10.00 million: A (sf) Class B-F (deferrable), $14.00 million: A (sf) Class C-1R (deferrable), $21.00 million: BBB+ (sf) Class C-2R (deferrable), $7.00 million: BBB- (sf) Class DR (deferrable), $10.00 million: BB- (sf) Ratings Withdrawn Crown City CLO IV/Crown City CLO IV LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB- (sf)' Class D to NR from 'BB- (sf)' Other Outstanding Notes Crown City CLO IV/Crown City CLO IV LLC Subordinated notes, $32.30 million: NR NR--Not rated. DBWF 2024-LCRS: Fitch Assigns 'B-(EXP)sf' Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to DBWF 2024-LCRS Mortgage Trust commercial mortgage pass-through certificates series 2024-LCRS: - $93,000,000 class A 'AAA(EXP)sf'; Outlook Stable; - $19,100,000 class B 'AA-(EXP)sf'; Outlook Stable; - $15,000,000 class C 'A-(EXP)sf'; Outlook Stable. - $21,100,000 class D 'BBB-(EXP)sf'; Outlook Stable. - $32,400,000 class E 'BB-(EXP)sf'; Outlook Stable. - $35,700,000 class F 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $11,960,000 class G; - $12,040,000 class HRR. HRR is a Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Entity/Debt Rating ----------- ------ DBWF 2024-LCRS A 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 F LT B-(EXP)sf Expected Rating G LT NR(EXP)sf Expected Rating HRR LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates represent the beneficial interest in a trust that will hold a $240.3 million, two-year, floating-rate, interest-only (IO) mortgage loan with three, one-year extension options. The mortgage will be secured by the borrower's fee simple interest in the 496-key La Cantera Resort & Spa, which is situated on 339 acres in San Antonio, TX. The property is owned by a joint-venture between Ohana Real Estate Investors and DivcoWest, who acquired the property from USAA in June 2021. Loan proceeds are being used to refinance $235.5 million of existing debt and pay estimated closing costs of approximately $4.8 million. The sponsorship acquired the property for $327.5 million ($660,282 per key) and has subsequently invested approximately $9.0 million ($18,246 per key). Prior to this acquisition, the property underwent a $166.7-million ($336,079 per key) conversion from a Westin flag to the La Cantera Resort & Spa in 2014. The loan is being co-originated by German American Capital Corporation and Wells Fargo Bank, National Association. Wells Fargo Bank, National Association will act as master servicer and Situs Holding, LLC will be the special servicer. Wilmington Savings Fund Society, FSB, a federal savings bank, will act as the trustee and Deutsche Bank National Trust Company will serve as the certificate administrator. Park Bridge Lender Services LLC will act as the operating advisor. The certificates are expected to follow a sequential-pay structure. The transaction is scheduled to close on April 24, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $21.0 million; this is 11.2% lower than the issuer's NCF and 13.0% lower than the TTM ended February 2024 NCF. Fitch applied a 10.25% cap rate to derive a Fitch value of $204.4 million for the property. High Fitch Leverage: The $240.3 million trust loan equates to debt of approximately $484,476 per key, with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.87x, 117.6% and 8.7%, respectively. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch base case LTV is 96.8%. Fitch does not expect the its base case LTV for non-investment-grade tranches to exceed 100%. The Fitch DSCR, LTV and DY through class F (rated B-sf, the lowest Fitch-rated class) are 0.97, 105.8% and 9.7%, respectively. Premium Quality Property with Comprehensive Amenities: The collateral consists of a fee simple interest in the 496-key La Cantera Resort & Spa located in San Antonio, TX. The resort, which is a AAA Four Diamond-rated property, includes eight food and beverage (F&B) outlets, a championship 18-hole golf course, a 25,000-sf luxury spa, five swimming pools, a nature trail and over 115,000sf of combined meeting and event space. Fitch assigned the property a quality grade of "B+". Strong Post-Pandemic Performance: Overall resort-level ADR and RevPAR increased 46.0% and 19.9%, respectively, from 2019 to February 2024 (TTM), driving a 105.4% increase in NCF. Additionally, the property realized an 111.8% increase in golf revenue, and a 44.7% increase in spa, fitness and recreation revenue over the same period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/ 'BBsf'/'Bsf'/ CCCsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: AAAsf, AA-sf, A-sf, BBB-sf, BB-sf, B-sf - 10% NCF Increase: AAAsf, AAs, A+sf, BBBsf, BBsf, Bsf. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of 3, unless otherwise disclosed in this section. A score of 3 means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DIAMETER CAPITAL 6: S&P Assigns BB- (sf) Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Diameter Capital CLO 6 Ltd./Diameter Capital CLO 6 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The 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. Ratings Assigned Diameter Capital CLO 6 Ltd./Diameter Capital CLO 6 LLC Class A-1, $305.00 million: AAA (sf) Class A-2A, $62.50 million: AA (sf) Class A-2B, $10.00 million: AA (sf) Class B (deferrable), $32.50 million: A (sf) Class C-1 (deferrable), $23.75 million: BBB (sf) Class C-2 (deferrable), $6.25 million: BBB- (sf) Class D (deferrable), $15.00 million: BB- (sf) Subordinated notes, $43.40 million: Not rated EATON VANCE 2015-1: Moody's Cuts Rating on $8MM F-R Notes to Caa2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Eaton Vance CLO 2015-1, Ltd. US$30,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Aa2 (sf); previously on April 6, 2023 Upgraded to A1 (sf) Moody's has also downgraded the rating on the following notes: US$8,000,000 Class F-R Secured Deferrable Floating Rate Notes due 2030 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on April 6, 2023 Downgraded to Caa1 (sf) Eaton Vance CLO 2015-1, Ltd., originally issued in October 2015 and refinanced in December 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2023. The Class A-1-R notes have been paid down by approximately 27.1% or $66.7 million since then. Based on Moody's calculation, the OC ratios for the Class A/B and Class C-R notes are currently 137.25% and 121.23%, versus April 2023 levels of 131.23% and 119.02%. The downgrade rating action on the Class F-R 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-R notes is at 102.08% versus April 2023 level of 103.55%. No actions were taken on the Class A-1-R, Class A-2-R, Class B-R, Class D-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: $314,338,561 Defaulted par: $5,479,235 Diversity Score: 68 Weighted Average Rating Factor (WARF): 2816 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.34% Weighted Average Recovery Rate (WARR): 47.69% Weighted Average Life (WAL): 3.95 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. ELMWOOD CLO 26: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elmwood CLO 26 Ltd./Elmwood CLO 26 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 Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 26 Ltd./Elmwood CLO 26 LLC Class A-1, $372.0 million: AAA (sf) Class A-2, $12.0 million: AAA (sf) Class B, $72.0 million: AA (sf) Class C (deferrable), $36.0 million: A (sf) Class D (deferrable), $36.0 million: BBB- (sf) Class E (deferrable), $21.0 million: BB- (sf) Subordinated notes, $59.2 million: Not rated FLAGSHIP CREDIT 2024-1: S&P Assigns Prelim 'BB' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2024-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 3, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 47.47%, 40.77%, 31.53%, 24.18%, and 21.34% credit support--hard credit enhancement and haircut to excess spread--for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.55x coverage of S&P's expected net loss of 13.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans in this transaction, S&P's view of the credit risk of the collateral, its updated macroeconomic forecast, and its forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Flagship Credit Acceptance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with UMB Bank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Flagship Credit Auto Trust 2024-1 Class A-1, $37.80 million: A-1+ (sf) Class A-2, $145.00 million: AAA (sf) Class A-3, $34.64 million: AAA (sf) Class B, $37.62 million: AA (sf) Class C, $46.98 million: A (sf) Class D, $33.30 million: BBB (sf) Class E, $11.70 million: BB (sf) GS MORTGAGE 2024-PJ3: 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-PJ3 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ3: -- $265.6 million Class A-1 at AAA (sf) -- $265.6 million Class A-1-X at AAA (sf) -- $265.6 million Class A-2 at AAA (sf) -- $248.6 million Class A-3 at AAA (sf) -- $248.6 million Class A-3A at AAA (sf) -- $248.6 million Class A-3L at AAA (sf) -- $248.6 million Class A-3-X at AAA (sf) -- $248.6 million Class A-4 at AAA (sf) -- $248.6 million Class A-4A at AAA (sf) -- $248.6 million Class A-4L at AAA (sf) -- $124.3 million Class A-5 at AAA (sf) -- $124.3 million Class A-5-X at AAA (sf) -- $124.3 million Class A-6 at AAA (sf) -- $149.2 million Class A-7 at AAA (sf) -- $149.2 million Class A-7-X at AAA (sf) -- $149.2 million Class A-8 at AAA (sf) -- $24.9 million Class A-9 at AAA (sf) -- $24.9 million Class A-9-X at AAA (sf) -- $24.9 million Class A-10 at AAA (sf) -- $62.2 million Class A-11 at AAA (sf) -- $62.2 million Class A-11-X at AAA (sf) -- $62.2 million Class A-12 at AAA (sf) -- $37.3 million Class A-13 at AAA (sf) -- $37.3 million Class A-13-X at AAA (sf) -- $37.3 million Class A-14 at AAA (sf) -- $186.5 million Class A-15 at AAA (sf) -- $186.5 million Class A-15-X at AAA (sf) -- $186.5 million Class A-16 at AAA (sf) -- $186.5 million Class A-16L at AAA (sf) -- $124.3 million Class A-17 at AAA (sf) -- $124.3 million Class A-17-X at AAA (sf) -- $124.3 million Class A-18 at AAA (sf) -- $99.5 million Class A-19 at AAA (sf) -- $99.5 million Class A-19-X at AAA (sf) -- $99.5 million Class A-20 at AAA (sf) -- $62.2 million Class A-21 at AAA (sf) -- $62.2 million Class A-21-X at AAA (sf) -- $62.2 million Class A-22 at AAA (sf) -- $62.2 million Class A-22L at AAA (sf) -- $17.0 million Class A-23 at AAA (sf) -- $17.0 million Class A-23-X at AAA (sf) -- $17.0 million Class A-24 at AAA (sf) -- $265.6 million Class A-X at AAA (sf) -- $11.0 million Class B-1 at AA (high) (sf) -- $11.0 million Class B-1-A at AA (high) (sf) -- $11.0 million Class B-1-X at AA (high) (sf) -- $6.0 million Class B-2 at A (high) (sf) -- $6.0 million Class B-2-A at A (high) (sf) -- $6.0 million Class B-2-X at A (high) (sf) -- $4.1 million Class B-3 at BBB (high) (sf) -- $4.1 million Class B-3-A at BBB (high) (sf) -- $4.1 million Class B-3-X at BBB (high) (sf) -- $2.3 million Class B-4 at BB (high) (sf) -- $1.5 million Class B-5 at B (high) (sf) -- $21.1 million Class B at BBB (high) (sf) -- $21.1 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 9.20% 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 5.45%, 3.40%, 2.00%, 1.20%, and 0.70% 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 299 loans with a total principal balance of $292,520,144 as of the Cut-Off Date (March 1, 2024). The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined LTV (CLTV) for the portfolio is 73.6%. A small portion of the pool (9.2%) comprises a loan with Morningstar DBRS calculated current CLTV ratios between 80.0% and 90.0%, while no loans fall between 90.0% and 95.0% Morningstar DBRS calculated current CLTV. In addition, 99.8% of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM) (30.2%) and Cross Country Mortgage, LLC (CCM) (10.7%), Guaranteed Rate, Inc. (5.7%), and various other originators, each comprising less than 5.0% of the pool. The mortgage loans will be serviced by Newrez, LLC doing business as (d/b/a) Shellpoint Mortgage Servicing (SMS) (96.2%) and United Wholesale Mortgage, LLC (UWM) (3.8%). 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 (U.S. Bank; rated AA (high) with a Negative trend by Morningstar DBRS) will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-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 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. 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. GS MORTGAGE 2024-PJ3: Fitch Assigns 'B-sf' Rating on Cl. B-5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2024-PJ3 (GSMBS 2024-PJ3). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2024-PJ3 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-17-X LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-19-X LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-21-X LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-23-X LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-A LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4A LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-R LT NRsf New Rating NR(EXP)sf A-X LT AAAsf New Rating AAA(EXP)sf A16L LT WDsf Withdrawn AAA(EXP)sf A22L LT WDsf Withdrawn AAA(EXP)sf A3L LT WDsf Withdrawn AAA(EXP)sf A4L LT WDsf Withdrawn AAA(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-3-A LT BBB-sf New Rating BBB-(EXP)sf B-3-X LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B-X LT BBB-sf New Rating BBB-(EXP)sf TRANSACTION SUMMARY The transaction is expected to close on March 28, 2024. The notes are supported by 299 prime loans with a total balance of approximately $293 million as of the cut-off date. Classes A-3L, A-4L, A-16L and A-22L have been cancelled by the issuer as they are not being funded at close and will not be funded at any point in the future. Therefore, Fitch has withdrawn the ratings for those classes. 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 10.2% above a long-term sustainable level, which is lower than the projected overvaluation of 11.1% on a national level as of 3Q23, up 1.68% since last quarter. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices, which increased 5.5% yoy nationally as of December 2023, despite modest regional declines, but are still supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately 10 months in aggregate, calculated as the difference between the cutoff date and origination date. The average loan balance is $978,328. The collateral comprises primarily prime-jumbo loans and 92 agency-conforming loans. Borrowers in this pool have strong credit profiles (a 767 model FICO) but lower than Fitch observed for earlier vintage prime-jumbo securitizations. The sustainable loan to value ratio (sLTV) is 79%, and the mark-to-market (MTM) combined loan to value (CLTV) ratio is 70.5%. Fitch treated 100% of the loans as full documentation collateral, and 98% of the loans are qualified mortgages (QMs). Of the pool, 85.8% are loans for which the borrower maintains a primary residence, while 14.2% are for second homes. Additionally, 70.2% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 8.50%, similar to those of prior issuances and other prime-jumbo shelves. Loan Concentration (Negative): Fitch adjusted the expected losses due to concentration concerns over small loan counts. Fitch increased the losses at the 'AAAsf' level by 101 basis points (bps), due to the low loan count of 299, with a weighted average number (WAN) of 229. As a loan pool becomes more concentrated, the pool is at a greater risk of experiencing defaults. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 3.30% of the original balance will be maintained for the senior notes and a subordination floor of 2.30% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 situsAMC, Canopy, Clayton, Consolidated Analytics, Covius and Digital Risk. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: - A 5% reduction to each loan's probability of default. This adjustment resulted in a 33bps reduction to the 'AAAsf' expected loss. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2024-PJ4: DBRS Gives Prov. B(high) Rating on B-5 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2024-PJ4 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ4 as follows: -- $269.4 million Class A-1 at AAA (sf) -- $269.4 million Class A-1-X at AAA (sf) -- $269.4 million Class A-2 at AAA (sf) -- $255.8 million Class A-3 at AAA (sf) -- $255.8 million Class A-3A at AAA (sf) -- $255.8 million Class A-3L at AAA (sf) -- $255.8 million Class A-3-X at AAA (sf) -- $255.8 million Class A-4 at AAA (sf) -- $255.8 million Class A-4A at AAA (sf) -- $255.8 million Class A-4L at AAA (sf) -- $127.9 million Class A-5 at AAA (sf) -- $127.9 million Class A-5-X at AAA (sf) -- $127.9 million Class A-6 at AAA (sf) -- $153.5 million Class A-7 at AAA (sf) -- $153.5 million Class A-7-X at AAA (sf) -- $153.5 million Class A-8 at AAA (sf) -- $25.6 million Class A-9 at AAA (sf) -- $25.6 million Class A-9-X at AAA (sf) -- $25.6 million Class A-10 at AAA (sf) -- $64.0 million Class A-11 at AAA (sf) -- $64.0 million Class A-11-X at AAA (sf) -- $64.0 million Class A-12 at AAA (sf) -- $38.4 million Class A-13 at AAA (sf) -- $38.4 million Class A-13-X at AAA (sf) -- $38.4 million Class A-14 at AAA (sf) -- $191.9 million Class A-15 at AAA (sf) -- $191.9 million Class A-15-X at AAA (sf) -- $191.9 million Class A-16 at AAA (sf) -- $191.9 million Class A-16L at AAA (sf) -- $127.9 million Class A-17 at AAA (sf) -- $127.9 million Class A-17-X at AAA (sf) -- $127.9 million Class A-18 at AAA (sf) -- $102.3 million Class A-19 at AAA (sf) -- $102.3 million Class A-19-X at AAA (sf) -- $102.3 million Class A-20 at AAA (sf) -- $64.0 million Class A-21 at AAA (sf) -- $64.0 million Class A-21-X at AAA (sf) -- $64.0 million Class A-22 at AAA (sf) -- $64.0 million Class A-22L at AAA (sf) -- $13.6 million Class A-23 at AAA (sf) -- $13.6 million Class A-23-X at AAA (sf) -- $13.6 million Class A-24 at AAA (sf) -- $269.4 million Class A-X at AAA (sf) -- $13.2 million Class B-1 at AA (high) (sf) -- $13.2 million Class B-1-A at AA (high) (sf) -- $13.2 million Class B-1-X at AA (high) (sf) -- $6.9 million Class B-2 at A (high) (sf) -- $6.9 million Class B-2-A at A (high) (sf) -- $6.9 million Class B-2-X at A (high) (sf) -- $5.0 million Class B-3 at BBB (high) (sf) -- $5.0 million Class B-3-A at BBB (high) (sf) -- $5.0 million Class B-3-X at BBB (high) (sf) -- $2.4 million Class B-4 at BB (high) (sf) -- $1.5 million Class B-5 at B (high) (sf) -- $25.1 million Class B at BBB (high) (sf) -- $25.1 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 10.50% 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 6.10%, 3.80%, 2.15%, 1.35%, and 0.85% 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 295 loans with a total principal balance of $300,964,693 as of the Cut-Off Date (March 1, 2024). The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 15 or 30 years. The weighted-average original combined loan-to-value ratio (CLTV) for the portfolio is 73.2%. A small portion of the pool (7.3%) comprises loans with Morningstar DBRS calculated current CLTVs between 80.0% and 90.0%, while none of the pool falls between 90.0% and 95.0% of the Morningstar DBRS calculated current CLTV. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage rule subject to the average prime offer rate designation. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM; 36.7%), Cross Country Mortgage, LLC (9.0%), Fairway Independent Mortgage Corp (7.3%), Guaranteed Rate, Inc (6.6%), and various other originators, each comprising less than 5.0% of the pool. The mortgage loans will be serviced by Newrez, LLC doing business as Shellpoint Mortgage Servicing ( 96.3%), and UWM (3.7%). 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 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 Classes 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 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. 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. GS MORTGAGE 2024-PJ4: Fitch Assigns 'B-sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch has assigned final ratings to the residential mortgage backed certificates issued by GS Mortgage-Backed Securities Trust 2024-PJ4 (GSMBS 2024-PJ4). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2024-PJ4 A-1 LT AAAsf New Rating AAA(EXP)sf A-1-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-17-X LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-19-X LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-21-X LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-23-X LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-A LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4A LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-R LT NRsf New Rating NR(EXP)sf A-X LT AAAsf New Rating AAA(EXP)sf A16L LT WDsf Withdrawn AAA(EXP)sf A22L LT WDsf Withdrawn AAA(EXP)sf A3L LT WDsf Withdrawn AAA(EXP)sf A4L LT WDsf Withdrawn AAA(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-3-A LT BBB-sf New Rating BBB-(EXP)sf B-3-X LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B-X LT BBB-sf New Rating BBB-(EXP)sf TRANSACTION SUMMARY The classes are supported by 295 prime loans with a total balance of approximately $301 million as of the cut-off date. The transaction is expected to close on March 28, 2024. Classes A-3L, A-4L, A-16L and A-22L have been cancelled by the issuer as they are not being funded at close and will not be funded at any point in the future. Therefore, Fitch has withdrawn the ratings for those classes. 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 10.7% above a long-term sustainable level. This is lower than the projected overvaluation of 11.1% on a national level as of 3Q23, up 1.68% since last quarter. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices, which increased 5.5% yoy nationally as of December 2023, despite modest regional declines, but are still supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans, along with one 15-year FRM, seasoned at approximately 10 months in aggregate, calculated as the difference between the cutoff date and origination date. The average loan balance is $1,020,219. The collateral comprises primarily prime-jumbo loans and 90 agency-conforming loans. Borrowers in this pool have strong credit profiles (a 765 model FICO) but lower than Fitch observed for earlier vintage prime-jumbo securitizations. The sustainable loan to value ratio (sLTV) is 79.9%, and the mark-to-market (MTM) combined loan to value (CLTV) ratio is 70.9%. Fitch treated 100% of the loans as full documentation collateral, and 99% of the loans are qualified mortgages (QMs). Of the pool, 84.2% are loans for which the borrower maintains a primary residence, while 15.8% are for second homes. Additionally, 65.5% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 9.75%, similar to those of prior issuances and other prime-jumbo shelves. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lock-out feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 3.75% of the original balance will be maintained for the senior notes and a subordination floor of 2.55% of the original balance will be maintained for the subordinate notes. Loan Concentration (Negative): Fitch adjusted the expected losses due to concentration concerns resulting from small loan counts. Fitch increased the losses at the 'AAAsf' level by 102 bps, due to the low loan count. The loan count is 295, with a weighted average number (WAN) of 232. As a loan pool becomes more concentrated, performance is more vulnerable to idiosyncratic events. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC, Canopy, Clayton, Consolidated Analytics, Covius and Opus. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: - A 5% reduction to each loan's probability of default. This adjustment resulted in a 35bps reduction to the 'AAAsf' expected loss. 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. HINNT LLC 2024-A: Fitch Assigns 'Bsf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to notes to be issued by HINNT 2024-A LLC (HINNT 2024-A). Entity/Debt Rating Prior ----------- ------ ----- HINNT 2024-A LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB-(EXP)sf E LT Bsf New Rating B(EXP)sf KEY RATING DRIVERS Borrower Risk — Improved Collateral Composition: The weighted average (WA) FICO score of the HINNT 2024-A statistical pool is 734, higher than the 729 for HINNT 2022-A and 719 for AALLC 2021-1H. Approximately 25% of the total collateral pool is called collateral from 2016, 2018, and 2019 securitizations, lending to a significant seasoning of 22 months. This transaction also features a prefunding account, which covers approximately 25% of the total collateral balance, funded by loans that must conform to criteria similar to the pool overall. Forward-Looking Approach on CGD Proxy — Weakening Performance: The delinquency and default performance of HICV (Holiday Inn Club Vacations Incorporated) exhibited material increases during the Great Recession. Notable improvement was observed in the 2010-2014 vintages. However, the 2016 through 2022 vintages experienced higher default rates than during the prior recession, due principally to integration challenges following the Silverleaf acquisition and defaults related to paid-product-exits (PPEs). In deriving its cumulative gross default (CGD) proxy of 22.00%, Fitch focused on extrapolations of the 2015-2019 vintages. Structural Analysis — Lower CE: Initial hard credit enhancement (CE) is 64.0%, 41.0%, 18.0%, 10.5% and 4.0% for class A, B, C, D and E notes, respectively. The hard CE is lower compared to 2022-A for all classes except slightly higher for classes D and E. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.5% per annum. The structure is sufficient to cover multiples of 3.00x, 2.25x, 1.50x, 1.25x and 1.00x for 'AAAsf', 'Asf', 'BBBsf', 'BBsf' and 'Bsf', respectively. As excess spread increased at pricing, loss coverage for the D class notes now supports a default multiple of 1.25x, commensurate with the rating of 'BBsf' from 'BB-(EXP)sf' with a default multiple of 1.17x. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: HICV has demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The prepayment sensitivity includes 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Fitch also conducts increases of 1.5x and 2.0x to the CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the ratings would be maintained for the class A note at a stronger rating multiple. For class B, C, D and E notes, the multiples would increase resulting in potential upgrades of up to three notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Grant Thornton LLP. The third-party due diligence focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2024-CES1: DBRS Gives Prov. B(high) Rating on B-2 Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-CES1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2024-CES1 (JPMMT 2024-CES1 or the Issuer) as follows: -- $246.5 million Class A-1A at AAA (sf) -- $18.3 million Class A-1B at AAA (sf) -- $264.8 million Class A-1 at AAA (sf) -- $16.4 million Class A-2 at AA (high) (sf) -- $10.6 million Class A-3 at A (high) (sf) -- $8.5 million Class M-1 at BBB (high) (sf) -- $5.7 million Class B-1 at BB (high) (sf) -- $3.5 million Class B-2 at B (high) (sf) Class A-1 is an exchangeable certificate. This class can be exchanged for proportionate shares of the depositable certificates (Classes A-1A and A-1B) as specified in the offering documents. The AAA (sf) credit rating reflects 16.20% of credit enhancement provided by the subordinated notes. The AA (high) (sf), A (high) (sf), and BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 11.00%, 7.65%, 4.95%, 3.15%, and 2.05% 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 portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 4,350 mortgage loans with a total principal balance of $315,983,024 as of the Cut-Off Date (February 29, 2024). The portfolio, on average, is eight months seasoned, though seasoning ranges from two to 19 months. Borrowers in the pool represent prime and near-prime credit quality—with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 740, Issuer-provided original combined loan-to-value ratio (CLTV) of 68.2%, and the vast majority of the loans originated with full documentation standards. All the loans are current and have never been delinquent since origination. JPMMT 2024-CES1 represents the first CES securitization by J.P. Morgan Mortgage Acquisition Corp. and Mercury-Redstone Holdings LLC. Rocket Mortgage, LLC (Rocket; 80.2%) is the top originator for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Rocket (80.2%) and Specialized Loan Servicing LLC (19.8%) are the Servicers of the loans in this transaction. Wilmington Savings Fund Society, FSB will act as the Securities Administrator and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as the Custodian. On or after the earlier of (1) March 2027 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, Mercury-Redstone Holdings LLC (Co-Sponsor and Optional Redemption Holder), or an entity majority owned by the Co-Sponsor, may redeem all of the outstanding Certificates at a price equal to (A) the class balances of the related Certificates; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the certificate holders in accordance with the priority of distributions. Although all the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 34.3% of the loans are designated as non-QM, 28.5% are designated as QM Rebuttable Presumption, and 37.2% are designated as QM Safe Harbor. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall; in addition, any class principal balances of Certificates that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure with a pro rata principal distribution among the senior A-1A and A-1B tranches. Principal proceeds and excess interest can be used to cover interest carryforwards on the Certificates, but such interest carryforwards on Class M-1 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A, A-1B, A-2, and A-3 Certificates are retired. For this transaction, the Class A-1A, A-1B, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the distribution date in April 2028. On any Distribution Date, interest and principal otherwise payable to the Class B-3 may also be used to pay any Cap Carryover Amounts. 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 pandemic scenarios, which were first published in April 2020. Notes: All figures are in US dollars unless otherwise noted. JP MORGAN 2024-CES1: Fitch Assigns 'B-sf' Rating on Class B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2024-CES1 (JPMMT 2024-CES1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2024-CES1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M- LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B- LT NRsf New Ratin NR(EXP)sf B-3-X LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates backed by 100% closed end second lien loans on residential properties to be issued by J.P. Morgan Mortgage Trust 2024-CES1 (JPMMT 2024-CES1), as indicated above. This is the first transaction to be rated by Fitch that includes 100% closed end second lien loans off the JPMMT shelf. The pool consists of 4,350 nonseasoned, performing, closed end second lien loans with a current outstanding balance (as of the cutoff date) of $315.98 million. The main originator in the transaction is Rocket Mortgage LLC. All other originators make up less than 10% of the pool. The loans are serviced by Rocket Mortgage LLC (RPS2/Stable) and Specialized Loan Servicing, LLC (RPS2+/Stable). Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially starting with the most subordinate class. The servicers, Rocket Mortgage LLC and Specialized Loan Servicing, LLC will not be advancing delinquent (DQ) monthly payments of P&I. The collateral is comprised of 100% fixed-rate loans. The class A-1A, class A-1B, class A-2, class A-3 and class M-1 certificates with respect to any distribution date prior to the distribution date (and the related accrual period) will be an annual rate equal to the lesser of (i) the applicable fixed rate set forth for such class of certificates and (ii) the Net weighted average coupon (WAC) for such distribution date. The pass-through rate on the class B-1 and class B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lesser of (i) the applicable fixed rate set forth for such class of certificates and (ii) the Net WAC for such distribution date. The pass-through rate on the class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the Net WAC for such distribution date. There is no exposure to Libor in this transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 12.0% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q23, up 1.68% 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 have increased 5.5% YoY nationally as of December 2023 despite modest regional declines but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 4,350 performing, fixed-rate loans secured by closed end second liens on primarily one- to four-family residential properties (including planned unit developments), two to four family homes, condominiums and a townhouse, totaling $315.98 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of eleven months, according to Fitch, and eight months, per the transaction documents. The pool has a WA original FICO score of 740, as determined by Fitch, indicative of very high credit-quality borrowers. About 39.5% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value (CLTV) ratio of 68.4%, as determined by Fitch, translates to a sustainable loan-to-value (sLTV) ratio of 76.2%. The transaction documents stated a WA original LTV of 16.1% and a WA original CLTV of 68.2%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 89.2% were originated by a retail channel with the remaining 10.8% originated by a broker or correspondent channel. Based on Fitch's documentation review, it considered 96.1% of the loans to be fully documented. Of the pool, 99.9% comprise loans where the borrower maintains a primary or secondary residence, and the remaining 0.1% are investor loans. Single-family homes, planned unit developments (PUDs), a townhouse and single-family attached dwellings constitute 97.7% of the pool; condominiums make up 2.2%, while multifamily homes make up 0.1%. The pool consists of loans with the following loan purposes, according to Fitch: cashout refinances (99.9%) and purchases (0.1%). The transaction documents also show 99.9% of the pool to be cashouts. None of the loans in the pool are over $1.0 million. Of the pool loans, 17.1% are concentrated in California. The largest MSA concentration is in the Atlanta-Sandy Springs-Marietta, GA (11.7%), followed by the Los Angeles-Long Beach-Santa Ana, CA (4.8%) and the New York-Northern New Jersey-Long Island, NY-NJ-PA (4.4%). The top three MSAs account for 21% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Due to the fact that the majority of the loans are fully documented loans with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of closed end second lien loans originated by Rocket Mortgage LLC and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of DQ P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first pro rata to the A-1-A and A-1-B, then sequentially to the A-2, A-3, M-1, B-1, B-2, and B-3 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flow that is used to repay any realized losses that incurred and then unpaid interest shortfalls. A realized loss will occur if the collateral balance is less than the unpaid balance of the outstanding classes. Realized losses will be allocated reverse sequentially with the losses being allocated first to B-3. Once the A-2 class is written off principal will be allocated to first to A-1-B and then to A-1-A. The transaction will have subordination and excess spread providing credit enhancement and protection from losses. 180 Day Charge Off Feature/Best Execution (Positive): With respect to any mortgage loan that is one hundred eighty (180) or more days DQ (or earlier, in accordance with the related servicer's servicing practices) (other than due to such mortgage loan being or becoming subject to a forbearance plan), the related servicer will perform an equity analysis review and provide a written copy of such review to the controlling holder. In accordance with the related servicing agreement, the controlling holder will be required to give written instruction to the related servicer (i) that such mortgage loan be designated a charged off loan (each such mortgage loan, a "charged off loan") or (ii) instructing the related servicer to continue monitoring the lien status of such mortgage loan, in which case, the related servicer will provide the controlling holder with prompt written notice if such servicer obtains actual knowledge that the associated first lien mortgage loan is subject to payoff, foreclosure, short sale or similar event. Fitch views the fact that the servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely DQ loans to be a positive as the servicer and controlling holder are acting in the best interest of the noteholders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed that the loans would be written off at 180 days since this is the most likely scenario is a stressed case when there is limited equity in the home. 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 42.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 SitusAMC. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.69% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans under this engagement were given compliance and credit reviews and assigned initial and final grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies and the auditor (Deloitte), and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2024-CES1 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2024-CES1, including strong R&W, transaction due diligence, an 'Above Average' aggregator, and a large portion of the pool being originated by an 'Above Average' originator which results in a reduction in expected losses. This has a positive impact on the credit profile and is relevant to the rating 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. JP MORGAN 2024-VIS1: S&P Assigns B- (sf) Rating on B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2024-VIS1's series 2024-VIS1 mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by primarily unseasoned, first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans. The loans are secured by single-family residences, townhouses, planned-unit developments, two- to four-unit multifamily homes, and condominiums to both prime and nonprime borrowers. The mortgage pool consists of 1,320 business-purpose investment-property loans with a principal balance of approximately $324.08 million as of the cutoff date. After S&P assigned preliminary ratings on March 25, 2024, the class B-1 note rate was determined at pricing to be net weighted average coupon. After analyzing the final coupons, S&P assigned final ratings that are unchanged from the preliminary ratings we assigned for all classes. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, mortgage aggregator and mortgage originators, and representation and warranty framework; 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, "Per our latest macroeconomic update, the U.S. economy has outperformed expectations following consecutive quarters of contraction in the first half of 2022. We now expect the U.S. economy to expand 1.5% in 2024 on an annual average basis (up from 1.3% in our September forecast) and 1.4% in 2025 (unchanged from the September forecast) before converging to the longer-run sustainable growth of 1.8% in 2026. We apply our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency (which we updated to 2.50% from 3.25% in October 2023), which reflects our benign view of the mortgage and housing market as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting." Ratings(i) Assigned J.P. Morgan Mortgage Trust 2024-VIS1 Class A-1, $203,847,000: AAA (sf) Class A-2, $29,491,000: AA- (sf) Class A-3, $38,728,000: A- (sf) Class M-1, $20,579,000: BBB- (sf) Class B-1, $14,746,000: BB- (sf) Class B-2, $10,532,000: B- (sf) Class B-3, $6,158,322: Not rated Class A-IO-S, $159,118,367(ii): Not rated Class XS, $324,081,322(iii): Not rated Class A-R, not applicable: Not rated (i)The collateral and structural information in this report reflect the private placement memorandum dated March 27, 2024. The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance of the mortgage loans serviced by Shellpoint Mortgage Servicing as of the cutoff date. (iii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cutoff date. JPMBB COMMERCIAL 2014-C25: DBRS Cuts Rating on 2 Classes to CCC --------------------------------------------------------------- DBRS Limited downgraded its credit ratings on 11 classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C25 issued by JPMBB Commercial Mortgage Securities Trust 2014-C25 as follows: -- Class B to A (sf) from AA (high) (sf) -- Class X-A to AA (sf) from AAA (sf) -- Class X-B to A (high) (sf) from AAA (sf) -- Class X-C to A (low) (sf) from AA (low) (sf) -- Class C to BBB (high) (sf) from A (high) (sf) -- Class EC to BBB (high) (sf) from A (high) (sf) -- Class X-D to BB (low) (sf) from BBB (sf) -- Class D to B (high) (sf) from BBB (low) (sf) -- Class X-E to CCC (sf) from B (sf) -- Class E to CCC (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4A1 at AAA (sf) -- Class A-4A2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) Morningstar DBRS also changed the trends on Classes A-S, B, X-A, and X-B to Negative from Stable. Classes C, D, X-C, X-D, and EC continue to carry the Negative trends from last review Classes E, F, and X-E have credit ratings that do not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrades and Negative trends reflect increased loss expectations for the pool driven primarily by one loan in special servicing as well as a number of loans identified by Morningstar DBRS as being at increased risk of maturity default. Since the last credit rating action, two loans have transferred to special servicing, and making a current total of five loans, representing 13.8% of the pool, in special servicing. The implied credit deterioration resulting from Morningstar DBRS' loss projections for these loans is the primary driver for the credit rating actions on Classes D, E, and F. As of the March 2024 remittance, 51 of the original 65 loans remain in the trust with an aggregate balance of $859.9 million. All outstanding loans are scheduled to mature by the end of 2024. Morningstar DBRS believes that a select number of these loans may default at maturity, given observed performance declines, concentrated upcoming tenant roll, and other refinance concerns. Should these loans transfer to special servicing, or should the loans currently in special servicing experience further declines in performance and/or value, Morningstar DBRS' loss projections may increase. In a wind-down scenario where performing loans successfully repay from the pool, Morningstar DBRS remains concerned with adverse selection, significant exposure to defaulted assets, and increased propensity for interest shortfalls, even for the bonds that are expected to ultimately be recoverable. These concerns are the primary drivers for the credit rating actions on Classes B and C. The largest loan to have transferred to special servicing since the last credit rating action is the 9525 West Bryn Mawr Ave (Prospectus ID#10; 2.9% of the pool balance) loan, which is secured by a 246,841 square foot (sf) office property in Rosemont, Illinois. The loan transferred to the special servicer in May 2023 for imminent monetary default and the special servicer is now pursuing foreclosure. The September 2023 rent roll reported an occupancy rate of 73.0%, an increase from the YE2022 occupancy rate of 49.8%, but still below issuance occupancy rate of 87.5%. The largest tenant is Life Fitness, which occupies 23.2% of the net rentable area (NRA) on a lease through February 2030. According to Reis, office properties in the O'Hare submarket reported a vacancy rate of 20.3% as of YE2023 with an average effective rental rate of $22.07 per sf (psf), which is well above the property's in-place average rental rate of $18.27 psf per the September 2023 rent roll. The property was reappraised in October 2023 at $12.4 million, representing a 70.4% decline from the issuance appraised value of $41.8 million. Given the drop-off in performance, softening submarket metrics, and significant value reduction since issuance, Morningstar DBRS' analysis includes a liquidation scenario based on a stress to the most recent value, resulting in a projected loss severity approaching 70.0%. The largest loan in special servicing, Hilton Houston Post Oak (Prospectus ID#6; 4.6% of the pool balance), is secured by a luxury hotel in Houston. The loan transferred to special servicing in May 2020 for imminent monetary default and has been real estate owned since September 2022. The subject was significantly underperforming its issuance expectations for several years prior to the 2020 default. The asset's revenue per available room (RevPAR) penetration was 111.3% according to the December 2023 STR report, which is in line with the RevPAR penetration of 103.5% at issuance. A July 2023 appraisal valued the property at $69.0 million, reflecting a moderate growth from the figures reported in prior years— the lowest being $57.5 million in 2020—but ultimately representing a 45.3% decline from the issuance appraised value of $126.2 million. With this review, DBRS Morningstar maintained its liquidation of this loan from the trust, with a projected loss severity approaching 40%. To date, the trust has had $14.2 million in realized losses that have been contained in the nonrated Class NR, which had a remaining balance of $37.6 million as of the March 2024 remittance. There are 11 loans, representing 18.3% of the current pool balance, on the servicer's watchlist being monitored primarily for upcoming maturity, debt service coverage ratio (DSCR), and/or occupancy rate declines. The pool is concentrated by property type, with office collateral representing 34.3% of the pool balance. Financing has become more limited for this property type given general concerns with the sector amid changes in space usage, increasing vacancy rates, and slowed rent growth. Outside of the specially serviced loans in the pool, Morningstar DBRS has identified eight loans, representing 31.1% of the current pool balance, as being at risk for maturity default, including the largest loan in the pool, CityPlace (Prospectus ID#1; 11.7% of the pool), which is secured by five office properties and one mixed-use property in the CityPlace Campus in Creve Coeur, Missouri. The September 2023 rent roll reported an occupancy rate of 83.8% compared with 89.9% at issuance. From a cash flow perspective, performance is relatively in line with issuance; however, there is concentrated rollover in the near term. Leases representing more than 40% of the NRA are scheduled to expire by YE2025, including the leases of three of the top five tenants. Given the submarket's high vacancy rate, Morningstar DBRS believes it may be challenging to backfill these spaces should the tenants not renew. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C26: DBRS Cuts Class D Certs Rating to BB --------------------------------------------------------------- DBRS Limited downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C26 issued by JPMBB Commercial Mortgage Securities Trust 2014-C26 as follows: -- Class D to BB (sf) from BBB (low) (sf) -- Class X-D to BB (low) (sf) from BBB (sf) -- Class E to C (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) -- Class X-E to C (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-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at AA (high) (sf) -- Class X-C at AA (low) (sf) -- Class C at A (high) (sf) -- Class EC at A (high) (sf) Morningstar DBRS changed the trends on Classes C, X-C, and E-C to Negative from Stable, while the Negative trends on Classes D and X-D were maintained. Classes E, F and X-E have ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) ratings. The trends on all other classes are Stable. The credit rating downgrades and Negative trends reflect the increased loss projections relating to the three loans in special servicing, which represent 12.8% of the pool balance; specifically, the second-largest loan in the pool and the largest loan in special servicing, 1515 Market (Prospectus ID#2, 6.0% of the pool), which recently transferred in December 2023 for imminent monetary default although the loan is scheduled to mature in January 2025. Additional details of the loan are highlighted below. All three loans were analyzed with a liquidation scenario for this review, resulting in a cumulative projected loss of $75.9 million, which would fully erode the non-rated Class NR and Class F, and a portion of Class E. In addition, the majority of remaining loans in the pool are scheduled to mature in 2024, including several loans backed by office properties, which Morningstar DBRS believes will have difficulty securing replacement financing in the near to moderate term as performance declines from issuance and decreased tenant demand have likely eroded property values. This includes International Corporate Center (Prospectus ID#21, 2.8% of pool), which is secured by a 168,585 square foot (sf) suburban office property in Rye, New York. The loan is on the servicer's watchlist for low debt service coverage ratio (DSCR), which has been trending downward since issuance, with the most recent figure reported at 0.41 times. Occupancy has also decreased, with the April 2023 occupancy rate at 86.4%, compared to the issuance figure of 98.2 %. As such, this loan, along with other loans exhibiting increased risk, was analyzed with stressed scenarios in the analysis for this review, with the increased expected loss for the pool as a whole also contributing to the Negative trends assigned with this review. As of the February 2024 remittance, 51 of the original 69 loans remain in the pool, representing a collateral reduction of 31.7%. In addition, 18 loans, representing 28.1% of the current pool balance, have defeased. To date, the pool has incurred $9.7 million in realized losses, all of which were contained to the non-rated class. The pool consists primarily of office, retail, and lodging properties representing 32.6%, 17.0%, and 16.7% of the pool balance, respectively. There are 12 loans, representing 22.6% of the pool balance, on the servicer's watchlist and three loans, representing 12.8% of the pool balance, in special servicing. 1515 Market is secured by a Class A office tower in Philadelphia's central business district and has exhibited performance declines since issuance, as the loan has been reporting DSCRs below break-even since 2021. The December 2023 rent roll noted an occupancy rate at 73.3% with tenants representing 4.7% of net rentable area scheduled to roll, compared to the issuance occupancy rate of 88.7% and the submarket vacancy for the greater Center City submarket of 14.6% as per Reis. The servicer is discussing a forbearance while dual tracking receivership and foreclosure proceedings. Value at the subject has likely declined significantly from issuance considering the performance declines and the challenged office sector. As such, Morningstar DBRS took a conservative approach in its analysis and liquidated the loan based on a stressed haircut to the issuance value, resulting in a loss severity approaching 40.0%. The second-largest specially serviced loan and largest contributor to Morningstar DBRS' loss projections is Heron Lakes, (Prospectus ID#4, 4.7% of the pool), which is secured by seven low-rise office buildings totaling 314,504 sf in the West Bel submarket of Houston. The loan originally transferred to special servicing in December 2018 when the borrower filed for bankruptcy protection. The asset has been real-estate owned (REO) since February 2020. Performance has suffered immensely as a result of the Coronavirus Disease (COVID-19) pandemic; however, low occupancy and cash flows date back to 2018. Current cash flows are just 50.0% of the Morningstar DBRS net cash flow at issuance, with a DSCR that has been below break-even since 2019. In addition, the occupancy was reported at 52.3% according to the October 2023 rent roll. The December 2022 appraisal valued the property at $22.7 million, a significant decline from the issuance appraised value of $71.0 million. At the last review in March 2023, Morningstar DBRS analyzed the loan with a liquidation scenario assuming a full loss to the loan, which was maintained for this review. Notes: All figures are in U.S. dollars unless otherwise noted. JPMCC COMMERCIAL 2017-JP6: DBRS Cuts G-RR Certs Rating to CCC ------------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP6 issued by JPMCC Commercial Mortgage Securities Trust 2017-JP6 as follows: -- Class F-RR to B (low) (sf) from BB (sf) -- Class G-RR to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (sf) -- Class E-RR at BBB (sf) Morningstar DBRS also changed the trends on Classes B, C, D, E-RR, F-RR, X-A, and X-B to Negative from Stable. Class G-RR no longer carries a trend given the CCC (sf) or lower credit rating. The trends on all remaining classes are Stable. The credit rating downgrades reflect Morningstar DBRS' increased loss expectations for the pool, primarily attributed to the 211 Main Street loan (Prospectus ID#2, 11.1% of the pool). Morningstar DBRS' loss projections for this loan and two others in special servicing total nearly $26.4 million, resulting in a near full write-down of Class N-RR. The Negative trends follow the resulting implied credit deterioration relative to the remaining pool. The pool is concentrated by office properties, which is the highest property concentration comprising 55.5% of the current pool balance. Not including the specially serviced loans or 211 Main Street, Morningstar DBRS identified six loans representing 29.5% of the pool as exhibiting increased default risk and analyzed these loans with stressed loan-to-value ratios (LTVs) and/or elevated probability of default (POD) penalties, as applicable. The resulting weighted-average (WA) expected loss (EL) for these loans was nearly double the WA EL for the pool. As of the February 2024 remittance, 34 of the original 42 loans remain in the pool, with an aggregate principal balance of $580.7 million, reflecting a 26.2% collateral reduction since issuance. Two loans, representing 2.3% of the pool balance, are fully defeased. There are two loans, representing 5.2% of the pool, in special servicing. The concentration of loans on the servicer's watchlist has materially increased to 55% compared with 23% during Morningstar DBRS' prior review. As noted above, a primary driver of Morningstar DBRS' loss projections is 211 Main street (Prospective ID#2, 11.1% of the pool), which is scheduled to mature in April 2024. The subject note is pari passu with notes securitized in JPMCC 2016-JP6 and DPJPM 2017-C6, both of which are rated by Morningstar DBRS. The collateral is a 417,266-square-foot (sf) office building constructed in 1973 and located in the heart of downtown San Francisco. At issuance, the building was 100% occupied by Charles Schwab, which maintained its global headquarters at the subject on a lease through April 2028. In 2021, the tenant moved its headquarters to the Dallas-Fort Worth area and has since vacated a significant portion of its space at the subject property. Per its most recent announcement, Charles Schwab announced its plans to further consolidate its operations and reduce its footprint at the subject to six floors from 17 floors. Charles Schwab has no termination options and Morningstar DBRS expects that all excess cash is being trapped according to the loan triggers. While the loan has remained current with a trailing 12-month debt service coverage ratio (DSCR) of 2.71 times (x) as of September 2023, as Schwab continues to honor its lease terms, Morningstar DBRS considers the loan at increased risk of maturity default, given the potential of the property going dark coupled with the loan's near-term maturity. Morningstar DBRS also expects the property value has likely declined significantly from the issuance value of $294 million given the decline in space utilization in addition to the challenged office landscape, weakened submarket conditions, and age of the asset. According to Reis, Inc., the South Financial District submarket reported a YE2023 vacancy rate of 19.6% with asking rents of $75.96 per square foot (psf). Morningstar DBRS believes the sponsor's commitment could be challenged if a replacement loan (or extension of the subject loan) requires a significant equity contribution. To reflect this concern, Morningstar DBRS derived a stressed value based on the property's in-place cash flows and a stressed cap rate of 10%. To account for the potential of the building going dark, as well as its age and property condition, Morningstar DBRS applied a 25% haircut to the stressed value in its liquidation analysis, resulting in a projected loss severity approaching 36%. The largest loan on the servicer's watchlist, 245 Park Avenue (Prospectus ID#1, 16.9% of the pool) is secured by a high-rise Class A office tower in Midtown Manhattan. The $1.2 billion loan, which has a pari passu structure with pieces securitized across five Morningstar DBRS-rated deals JPMDB 2017-C7, CGCMT 2017-P8, JPMCC 2017-JP7, CSAIL 2017-C8, and DBJPM 2017-C6, was previously in special servicing in November 2021 after the original sponsor filed for chapter 11 bankruptcy. According to servicer documents, SL Green Realty Corp. (SL Green) purchased the property and assumed the debt in late 2022; however, per a press release by SL Green in June 2023, SL Green sold its 50% stake to Mori Trust Co Ltd. for $1 billion that valued the collateral at $2.0 billion. Recent servicer reporting indicates the loan has exhibited declining cash flows and occupancy. According to a November 2023 rent roll, the property was 74% occupied, down from 79% at YE2022, 83% at YE2021, and 91% at YE2020. The YE2023 cash flow of $70.4 million represents a 24.4% decline from the YE2022 cash flow of $92.2 million. Additionally, there is concentrated near-term rollover risk with leases representing 27% of the net rentable area (NRA), including two of the five largest tenants, scheduled to expire in the next 24 months. To reflect its concerns with declining performance and high rollover risk, Morningstar DBRS analyzed this loan with elevated LTV and POD penalties to increase the expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. KATAYMA CLO II: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Katayma CLO II Ltd./Katayma CLO II 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 KLM, a subsidiary of Kuvare. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Katayma CLO II Ltd./Katayma CLO II LLC Class A-1, $256.000 million: AAA (sf) Class A-2, $4.000 million: AAA (sf) Class B, $44.000 million: AA (sf) Class C (deferrable), $24.000 million: A (sf) Class D (deferrable), $24.000 million: BBB- (sf) Class E (deferrable), $14.000 million: BB- (sf) Subordinated notes, $37.925 million: Not rated LCM 41: S&P Assigns Prelim BB+ (sf) Rating on $6MM Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to LCM 41 Ltd./LCM 41 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 LCM Asset Management LLC, a subsidiary of Tetragon Financial Group Ltd. The preliminary ratings are based on information as of April 1, 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; -- 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 LCM 41 Ltd./LCM 41 LLC Class A-1, $195.00 million: AAA (sf) Class A-2, $6.00 million: AAA (sf) Class B, $27.00 million: AA+ (sf) Class C (deferrable), $18.00 million: A+ (sf) Class D-1 (deferrable), $18.00 million: BBB+ (sf) Class D-2 (deferrable), $4.50 million: BBB- (sf) Class E (deferrable), $6.00 million: BB+ (sf) Subordinated notes, $28.40 million: Not rated MAGNETITE XXXVIII: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Magnetite XXXVIII Ltd./Magnetite XXXVIII LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BlackRock Financial Management Inc. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Magnetite XXXVIII Ltd./Magnetite XXXVIII LLC Class A-1, $305.00 million: AAA (sf) Class A-2, $15.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A+ (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.75 million: BB- (sf) Subordinated notes, $47.00 million: Not rated MCF CLO IX: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-RR, B-RR, C-RR, D-RR, and E-R debt and class A-L-RR and B-L loans from MCF CLO IX Ltd./MCF CLO IX LLC, a CLO transaction that was originally issued in June 2019 and refinanced in February 2022. It is managed by Apogem Capital LLC, a subsidiary of New York Life Insurance Co. On the March 28, 2024, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, we withdrew our ratings on the original debt and assigned ratings to the replacement debt. 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 A-1-RR, A-L-RR, B-RR, C-RR, D-RR, and E-R debt and class A-L-RR loans were issued at higher spreads over three-month SOFR than the corresponding original debt tranches. -- The replacement class A-RR, A-L-RR, B-RR, C-RR, D-RR, and E-RR debt and class A-L-RR loans were issued at floating spreads, replacing the floating spreads on the original debt tranches. -- In connection with the refinancing, the issuer added class B-L loans to the capital structure, pro rata to the class B-RR debt, and removed the class A-2 debt, which was subordinate to the original class A-1 debt and loans. -- The reinvestment period and stated maturity were each extended by approximately 4.75 years. -- In connection with the refinancing, the issuer added provisions related to workout assets. Replacement And Original Debt Issuances Replacement debt -- Class A-1-RR, $125.50 million: Three-month CME term SOFR + 2.00% -- Class A-L-RR, $50.00 million: Three-month CME term SOFR + 2.00% -- Class B-RR, $22.50 million: Three-month CME term SOFR + 2.70% -- Class B-L, $15.00 million: Three-month CME term SOFR + 2.70% -- Class C-RR (deferrable), $18.00 million: Three-month CME term SOFR + 3.25% -- Class D-RR (deferrable), $15.00 million: Three-month CME term SOFR + 5.25% -- Class E-R (deferrable), $18.00 million: Three-month CME term SOFR + 8.06% -- Subordinated notes, $38.78 million: Residual Original debt -- Class A-1-R, $81.98 million: Three-month CME SOFR + 1.50% -- Class A-1L-R, $39.04 million: Three-month CME SOFR + 1.50% -- Class A-2-R, $20.00 million: Three-month CME SOFR + 1.75% -- Class B-R, $20.00 million: Three-month CME SOFR + 2.00% -- Class C-R, $29.00 million: Three-month CME SOFR + 2.70% -- Class D-R, $17.00 million: Three-month CME SOFR + 3.85% -- Class E, $21.00 million: Three-month CME SOFR + 7.90% -- Subordinated notes, $38.78 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 recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned MCF CLO IX Ltd./MCF CLO IX LLC Class A-1-RR, $125.50 million: AAA (sf) Class A-L-RR, $50.00 million: AAA (sf) Class B-RR, $22.50 million: AA (sf) Class B-L, $15.00 million: AA (sf) Class C-RR (deferrable), $18.00 million: A (sf) Class D-RR (deferrable), $15.00 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn MCF CLO IX Ltd./MCF CLO IX LLC Class A-1-R to NR from AAA (sf) Class A-1L-R to NR from AAA (sf) Class A-2-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 to NR from BB- (sf) Other Outstanding Debt MCF CLO IX Ltd./MCF CLO IX LLC Subordinated notes, $38.78 million: NR NR--Not rated. MIDOCEAN CREDIT XIV: Fitch Assigns 'BB-sf' Rating on Cl. E-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to MidOcean Credit CLO XIV Ltd. Entity/Debt Rating ----------- ------ MidOcean Credit CLO XIV Ltd A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E-1 LT BB-sf New Rating E-2 LT BB-sf New Rating Subordinated note LT NRsf New Rating TRANSACTION SUMMARY MidOcean Credit CLO XIV Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.11, versus a maximum covenant, in accordance with the initial expected matrix point of 24.42. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.83% versus a minimum covenant, in accordance with the initial expected matrix point of 67.60%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for MidOcean Credit CLO XIV Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MORGAN STANLEY 2005-HQ7: Moody's Cuts Cl. E Certs Rating to Caa2 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on one class in Morgan Stanley Capital I Trust 2005-HQ7, Commercial Mortgage Pass-Through Certificates, Series 2005-HQ7 as follows: Cl. E, Downgraded to Caa2 (sf); previously on Mar 11, 2022 Downgraded to B3 (sf) RATINGS RATIONALE The rating on Cl. E was downgraded due to an increase in realized losses from the liquidation of the Crown Ridge at Fair Oaks Loan. The loan experienced total realized loss of $37 million upon liquidation (which was $4.4 million above the loan balance) for a loss severity of 113% based on the balance at disposition. As a result of the significant loss severity, Cl. E has now experienced a realized loss of 17% based on its original certificate balance. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's base expected loss plus realized losses is now 9.1% of the original pooled balance, compared to 8.6% at the last review. Moody's ratings reflect the potential for future losses under varying levels of stress. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or increase in loan recovery proceeds. Factors that could lead to a downgrade of the ratings include an increase in realized losses. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the March 14, 2024 distribution date, the transaction's aggregate certificate balance has decreased by more than 99% to $205,623 from $1.96 billion at securitization. The certificates are collateralized by only one remaining mortgage loan. The pool has experienced an aggregate realized loss of $178 million (for an average loss severity of 54.5%). The most recently liquidated loan was the Crown Ridge at Fair Oaks loan that experienced a $37.3 million dollar loss (a 113% loss severity based on the loan balance at disposition). The sole remaining performing loan is the Molalla Bi-Mart Loan ($0.2 million – 100% of the pool), which is secured by a 31,250 SF retail center located in Molalla, Oregon. The property is 100% occupied by Bi-Mart Corp. with a lease expiration of February 2026. The loan is fully amortizing, having amortized 86% since securitization and has a scheduled maturity date in December 2025. Moody's LTV is below 10%. NEW MOUNTAIN II: DBRS Gives Prov. BB(low) Rating on Class D Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to New Mountain Guardian IV Income Rated Feeder II, Ltd. (the Feeder Fund), including the Class A Senior Secured Deferrable Floating Rate Notes due 2036 at AA (low), Class B Senior Secured Deferrable Floating Rate Notes due 2036 at A (low), Class C Senior Secured Deferrable Floating Rate Notes due 2036 at BBB (low), and Class D Senior Secured Deferrable Floating Rate Notes due 2036 at BB (low). All ratings have Stable trends. The aforementioned ratings address the ultimate payment of interest and the ultimate payment of principal on or before maturity. KEY CREDIT RATING CONSIDERATIONS CREDIT RATING DRIVERS -- If the composition of the fund were to be of a higher credit quality than anticipated, or include a higher percentage of senior secured first lien loans to corporate borrowers the rating could be upgraded. -- The rating would be downgraded if the asset analysis assessment is weaker than anticipated which could be driven by: (1) weaker than expected credit risk of investments, (2) lesser diversity of portfolio investments than planned, and/or (3) a persistently lower ACR than anticipated without a credible plan to remediate. CREDIT RATING RATIONALE The Class A Notes, Class B Notes, Class C Notes and Class D Notes (together, the Rated Notes) are issued by the Feeder Fund. The Feeder Fund will also issue unrated Class E Notes and Income Notes. The Feeder Fund invests in New Mountain Guardian IV Income Fund, L.L.C. (NMG Income or the Main Fund) through its purchase of BDC shares in the Main Fund. The Main Fund is the fourth fund in a series of private credit funds managed by New Mountain Capital, LLC (NMC). NMC focuses on direct lending to U.S. middle and upper middle market companies and intends to pursue the same investment strategy with NMG Income as with its predecessor funds where NMC has demonstrated expertise. NMG Income is targeting capital commitments of $500 million, with commitments totaling $224 million to date. The Main Fund will look to make approximately 80 investments. The investment portfolio will include first- and second-lien loans, as well as a small portion of mezzanine loans. The Main Fund held its first close in June 2023, and final close is expected to be 12 months from the initial closing. The Main Fund will have a four-year investment period following the closing period and a two-year amortization period, with up to two one-year extension options. The Main Fund and the Feeder Fund are expected to have the same term. The Feeder Fund assets will increase in size as the Main Fund calls capital to make investments. To the extent the Feeder Fund's assets increase, the capital structure of the Feeder Fund will be maintained in a ratio of 56.83% Class A Notes, 11.36% Class B Notes, 4.52% Class C Notes, 5.66% Class D Notes, 10.01% Class E Notes, and 11.63% Income Notes. It is expected that the Feeder Fund will apply cash flows received in connection with its BDC shares in the Main Fund so as to maintain the leverage ratio on the Notes. During the amortization period, interest and principal on the Class A Notes, Class B Notes, Class C Notes, Class D Notes, and Class E Notes will be paid sequentially. The ratings on the Rated Notes are supported by the Feeder Fund's BDC shares in the Main Fund, which is considered a strategic investment vehicle managed by NMC. The Main Fund is the fourth in a series of funds managed by NMC, where the previous funds have demonstrated a strong investment and performance track record. Given NMC's demonstrated track record of underwriting and risk management, as well as successful initial fundraising for the Main Fund, Morningstar DBRS has confidence in the ability to ramp NMG Income as anticipated. Morningstar DBRS has made certain assumptions around the expected asset composition and credit quality of the Main Fund investment portfolio as it ramps to a diversified pool. Morningstar DBRS has constructed an expected investment portfolio based on NMC's historical track record in the fund series, sample loan tape of investments, and expectations for NMG Income. Specifically, Morningstar DBRS uses its CLO Insight Model as a tool to analyze the loan portfolio based on investment-level characteristics that drive assumptions around probability of default and recoveries for each investment. These characteristics include the credit quality, domicile, maturity, obligor, industry diversity, and seniority of each debt investment. Morningstar DBRS has privately assessed the credit quality of a sample pool of debt investments and used these assessments within its modelling tools. As investments are made within NMG Income, Morningstar DBRS expects to assess the credit quality of a majority of the investments in the portfolio. These expected portfolio characteristics are aggregated to determine the fund asset coverage ratio (Fund ACR) ranges applicable to the Rated Notes. The investments within NMG Income, which support net cash proceeds to the Feeder Fund, are expected to benefit from the track record, relationships, and expertise of NMC. NMC has demonstrated a strong historical track record in the private credit sector, specifically with expertise in direct lending to middle market and upper middle market companies based in the U.S. NMC focuses on downside protection and collateral preservation with an average loan-to-value ratio of approximately 35%. While the Main Fund is a business development company (BDC), it has a term and is not intended to be perpetual. It is similar to a GP/LP fund, but with additional regulatory requirements that increase transparency. Benefiting the Feeder Fund, the Main Fund (as a BDC) is required to distribute at least 90% of its income to maintain its BDC status and 98% of its income for beneficial tax treatment. NM Income will utilize a subscription facility and the subscription line can't be used as leverage. Each draw under the subscription line must be repaid within 6 months. The current size of the subscription line is $34,400,000 and can be upsized to $125,000,000. The advance rate under the subscription loan agreement will not exceed 50%. BMO Bank, N.A. is the subscription line lead lender. NMC expects to paydown the subscription loan facility once the NMG Income is fully called. Morningstar DBRS analysis, which incorporates the aforementioned analytical factors, implies a rating of "AA" for the Class A Notes, "A" for the Class B Notes, “BBB for the Class C Notes, and "BB" for the Class D Notes. This rating level incorporates an investment-grade internal fund manager assessment, anticipated fund composition, and quantitative modelling. Morningstar DBRS has conservatively utilized the mid-point within the Fund ACR range for the Class A Notes, based on the relatively higher implied rating of AA. Given the aforementioned factors, including the strong fund manager assessment and extensive track record, Morningstar DBRS has utilized the low end within the Fund ACR ranges for the Class B, C and D Notes. The AA (low) rating on the Class A Notes, A (low) on the Class B Notes, BBB (low) on the Class C Notes, and BB (low) rating on the Class D Notes are each one notch lower than the implied ratings mentioned above because of the effective subordination of the Rated Notes claim on the Main Fund assets. Notes: All figures are in U.S. dollars unless otherwise noted. OCP CLO 2020-20: S&P Assigns Prelim BB(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1R, A-1 loans, A-2R, B-1R, B-2R, C-R, D-1R, D-2R, and E-R debt replacement debt and proposed new class X debt from OCP CLO 2020-20 Ltd./OCP CLO 2020-20 LLC, a CLO originally issued in December 2020 that is managed by Onex Credit Partners LLC. The preliminary ratings are based on information as of April 3, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 9, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1R, A-2R, B-1R, B-2R, C-R, D-1R, D-2R, and E-R debt is expected to be issued at a spread over three-month CME term SOFR whereas the original debt was issued at a spread over three-month LIBOR. -- The replacement class A-1R, A-2R, B-1R, C-R, D-1R, D-2R, and E-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- The replacement class B-2R debt is expected to be issued at a fixed coupon, replacing the current fixed coupon. -- The class A-1 debt is being split into a class A-1R and class A-1 loans tranche. -- Class X debt is expected to be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 11 payment dates beginning with the payment date in October 2024. -- The stated maturity will be extended 3.525 years, and the reinvestment period and non-call date will be extended 3.275 years. 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 OCP CLO 2020-20 Ltd./OCP CLO 2020-20 LLC Class X, $1.00 million: AAA (sf) Class A-1R, $122.00 million: AAA (sf) Class A-1 loans, $130.00 million: AAA (sf) Class A-2R, $16.00 million: AAA (sf) Class B-1R, $28.00 million: AA (sf) Class B-2R, $8.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $11.00 million: BB (sf) Subordinated notes, $35.95 million: Not rated OCTAGON 71: Fitch Assigns Final 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Octagon 71, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Octagon 71, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT WDsf Withdrawn BBB-(EXP)sf D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Octagon 71, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. Fitch has withdrawn the expected rating on the class D note, which were rated 'BBB-(EXP)sf', Outlook Stable, because the class D-1 and class D-2 notes were issued instead of the originally anticipated class D note. 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 23.88, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.65% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.5% versus a minimum covenant, in accordance with the initial expected matrix point of 69.5%. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A1, between 'BBB+sf' and 'AA+sf' for class A2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Octagon 71, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. OCTAGON INVESTMENT XVII: S&P Cuts Cl. F-R2 Notes Rating to 'CCC+' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class E-R2 and F-R2 debt from Octagon Investment Partners XVII Ltd., a U.S. collateralized loan obligation (CLO) managed by Octagon Credit Investors LLC, and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-1-R2, B-R2, C-R2, and D-R2 debt from the same transaction. S&P does not rate the class A-2-R2 notes. The rating actions follow S&P's review of the transaction's performance using data from the February 2024 trustee report. Since S&P's October 2021 rating action, the class A-1-R2 debt had total paydowns of $45.59 million that reduced its outstanding balance to 81.08% of its original balance. The following are the changes in the reported overcollateralization (O/C) ratios since the July 2021 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 129.49% from 128.18%. -- The class C O/C ratio declined to 117.60% from 118.04%. -- The class D O/C ratio declined to 109.21% from 110.72%. -- The class E O/C ratio declined to 103.77% from 105.89%. While the senior O/C ratio experienced a positive movement due to the lower balance of the senior debt, the junior O/C ratios declined due to a combination of par losses, increase in defaults, and increased haircuts following an increase in the portfolio's exposure to 'CCC' or lower quality assets. Though paydowns have helped the senior classes, the collateral portfolio's credit quality has deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $31.18 million, or 9.29%, reported as of the February 2024, compared with $26.24 million, or 6.76%, reported as of the July 2021 trustee report. Over the same period, the par amount of defaulted collateral has increased to $4.36 million from $2.48 million. The lowered ratings reflect deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-R2 and F-R2 debt. Any increase in defaults or par losses could lead to further negative rating actions on the debt. S&P said, "On a standalone basis, the cash flow results indicated a lower rating for the class F-R2 debt. However, the downgrade was limited to one notch to the 'CCC' category; it reflects our opinion that though the rating on this tranche meets our criteria definitions for 'CCC' risk, it remains current in its interest, and its existing credit support is more in line with other 'CCC+ (sf)' CLO ratings." The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could results in further ratings changes. S&P said, "Although our cash flow analysis indicated a one-notch higher rating on the class B-R2, C-R2, and D-R2 debt, our rating actions reflect their existing level of credit enhancement, increase in defaults, and uptick in the 'CCC' exposure, and our preference for more cushion to offset any future potential negative credit migration in the underlying collateral." Octagon Investment Partners XVII 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. S&P's 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, its cash flow analysis considered the same. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support it and take rating actions as it deems necessary. Ratings Lowered And Removed From Watch Negative Octagon Investment Partners XVII Ltd. Class E-R2 to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Class F-R2 to 'CCC+ (sf)' from 'B- (sf)/Watch Neg' Ratings Affirmed Octagon Investment Partners XVII Ltd. Class A-1R2: AAA (sf) Class B-R2: AA (sf) Class C-R2: A (sf) Class D-R2: BBB- (sf) OHA CREDIT XV: 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-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R replacement debt from OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC, a CLO originally issued in December 2017 that is managed by Oak Hill Advisors L.P., a subsidiary of T. Rowe Price. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the March 28, 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-1-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a higher spread over three-month SOFR than the original notes. -- The replacement class B-2-R debt was issued at a fixed coupon. -- The stated maturity of the secured debt was extended approximately 7.25 years to April 20, 2037, from Jan. 20, 2030, with the exception of the senior class A-1-R debt, which will have a stated maturity of April 20, 2036. -- The reinvestment period was extended through April 20, 2029, after having originally ended in January 2023. -- A non-call period of approximately two years was implemented, ending April 20, 2026. -- An additional $30.60 million of subordinated notes were issued. -- The original transaction did not allow the purchase of bonds. This refinancing has a 4.00% bucket for bonds. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $367.50 million: Three-month term SOFR + 1.50% -- Class A-2-R, $16.50 million: Three-month term SOFR + 1.70% -- Class B-1-R, $52.00 million: Three-month term SOFR + 1.95% -- Class B-2-R, $20.00 million: 5.87% -- Class C-R (deferrable), $36.00 million: Three-month term SOFR + 2.35% -- Class D-1-R (deferrable), $31.50 million: Three-month term SOFR + 3.45% -- Class D-2-R (deferrable), $10.50 million: Three-month term SOFR + 4.50% -- Class E-R (deferrable), $18.00 million: Three-month term SOFR + 6.50% -- Subordinated notes, $82.60 million: Not applicable Original debt -- Class A-1, $292.50 million: Three-month term SOFR + 1.37161% -- Class A-2, $22.50 million: Three-month term SOFR + 1.41161% -- Class B, $66.25 million: Three-month term SOFR + 1.63161% -- Class C (deferrable), $30.00 million: Three-month term SOFR + 2.01161% -- Class D (deferrable), $30.25 million: Three-month term SOFR + 2.71161% -- Class E (deferrable), $18.50 million: Three-month term SOFR + 5.56161% -- Subordinated notes, $52.00 million: Not applicable 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 OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC Class A-1-R, $367.50 million: AAA (sf) Class A-2-R, $16.50 million: AAA (sf) Class B-1-R, $52.00 million: AA (sf) Class B-2-R, $20.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-1-R (deferrable), $31.50 million: BBB (sf) Class D-2-R (deferrable), $10.50 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC Class A-1, $292.50 million: AAA (sf) Class B, $66.25 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.25 million: BBB- (sf) Class E (deferrable), $18.50 million: BB- (sf) Other Outstanding Debt OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC Subordinated notes, $82.60 million: Not rated ONE SOUND II: S&P Lowers Class B3-R Notes Rating to 'CCC (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its rating on the class B3-R debt from Sound Point CLO II Ltd., a U.S. CLO managed by Sound Point Capital Management L.P. We also affirmed our ratings on the class A1-R, A2-R, A3-R, B1-R, and B2-R debt from the same transaction and removed the class B2-R debt from CreditWatch with negative implications. The rating actions follow S&P's review of the transaction's performance using data from the January and February 2024 trustee report. Since S&P's August 2020 rating action, the class A1-R debt had total paydowns of $78.34 million that reduced its outstanding balance to 77.4% of its original balance. The reported overcollateralization (O/C) ratios declined since the July 2020 trustee report, which S&P used for its previous rating actions: -- The class A1-R/A2-R O/C ratio declined to 127.17% from 127.31%. -- The class A3-R O/C ratio declined to 117.65% from 118.72%. -- The class B1-R O/C ratio declined to 108.78% from 110.58%. -- The class B2-R O/C ratio declined to 102.95% from 105.17%. Despite these paydowns, all the O/C ratios declined. This is attributable to a combination of par losses and increased haircuts following an increase in the portfolio's exposure to 'CCC' or lower quality assets. Even though the trustee report indicates that the dollar value of the collateral obligations with the ratings in the 'CCC' category has decreased slightly, their exposure as a percentage of the portfolio has increased to 9.98% from 9.72% since the last rating action. The class B2-R O/C ratio is below the minimum threshold, and, as a result, the class B3-R debt has begun to defer interest and maintain a deferred interest balance. However, despite the slightly larger concentration in the 'CCC' category, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 3.45 years reported as of the January 2024 trustee report, compared with 5.09 years reported at the time of our August 2020 rating actions. The lowered rating reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class B3-R debt. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. S&P said, "We also note that the results of the cash flow analysis indicate higher ratings on the class A2-R and A3-R notes. However, our rating actions considered the increased defaults, the decline in all O/C ratios, and the uptick in the 'CCC' exposure as a percentage of total assets, so we preferred to have some cushion to offset the potential for further negative 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 this rating action. "S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." Rating Lowered Sound Point CLO II Ltd. Class B3-R to 'CCC (sf)' from 'CCC+ (sf)' Ratings Affirmed And Removed From CreditWatch Negative Sound Point CLO II Ltd. Class B2-R to 'B+ (sf)' from 'B+ (sf)/Watch Neg' Ratings Affirmed Sound Point CLO II Ltd. Class A1-R: AAA (sf) Class A2-R: AA (sf) Class A3-R: A (sf) Class B1-R: BBB- (sf) PALMER SQUARE 2018-2: Fitch Assigns 'BB+sf' Rating on Cl. D-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Palmer Square CLO 2018-2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Palmer Square CLO 2018-2, Ltd. A-1R LT AAAsf New Rating A-1a 69688MAA3 LT PIFsf Paid In Full AAAsf A-1b 69688MAC9 LT PIFsf Paid In Full AAAsf A-2R LT AA+sf New Rating B-R LT A+sf New Rating C-R LT BBB-sf New Rating D-R LT BB+sf New Rating E-R LT NRsf New Rating X LT NRsf New Rating TRANSACTION SUMMARY Palmer Square CLO 2018-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $474 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.99% first-lien senior secured loans and has a weighted average recovery assumption of 75.75%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BB+sf' and 'A+sf' for class A-2R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+sf' for class C-R; and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R 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 A-2R, 'AA+sf' for class B-R, 'A+sf' for class C-R; and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Palmer Square CLO 2018-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PPM CLO 2: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R2, C-R2, D-R2A, D-R2B, and E-R debt and A-LR loan, and the new class X debt from PPM CLO 2 Ltd./PPM CLO 2 LLC, a CLO originally issued in March 2019 and underwent a first refinancing in April 2021. It is managed by PPM Loan Management Co. LLC. The previous transactions were not rated by S&P Global Ratings. On the March 28, 2024, refinancing date, the proceeds from the replacement debt were used to redeem the April 2021 debt. The replacement debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The pro rata class A-R and A-LR debt replaced the existing class A debt. -- The sequential class D-R2A and D-R2B debt replaced the existing class D-R debt. -- The stated maturity and the reinvestment period were extended by 5.0 and 3.0 years, respectively. -- The new class X debt issued in connection with this refinancing is expected to be paid down, beginning with the April 2025 payment date. Replacement And Original Debt Issuances Replacement debt -- Class X, $4.00 million: Three-month CME term SOFR + 1.15% -- Class A-R, $221.00 million: Three-month CME term SOFR + 1.50% -- Class A-LR loan, $29.00 million: Three-month CME term SOFR + 1.50% -- Class B-R2, $54.00 million: Three-month CME term SOFR + 2.25% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.80% -- Class D-R2A (deferrable), $20.00 million: Three-month CME term SOFR + 4.66% -- Class D-R2B (deferrable), $8.00 million: Three-month CME term SOFR + 5.57% -- Class E-R (deferrable), $10.00 million: Three-month CME term SOFR + 8.01% April 2021 debt -- Class A, $256.00 million: Three-month CME term SOFR + 1.50% + CSA(i) -- Class B-R, $47.20 million: Three-month CME term SOFR + 1.75% + CSA(i) -- Class C-R (deferrable), $16.40 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class D-R (deferrable), $22.00 million: Three-month CME term SOFR + 3.40% + CSA(i) -- Class E (deferrable), $20.00 million: Three-month CME term SOFR + 6.55% + CSA(i) (i)The credit spread adjustment (CSA) is 0.26161%. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned PPM CLO 2 Ltd./PPM CLO 2 LLC Class X, $4.00 million: AAA (sf) Class A-R, $221.00 million: AAA (sf) Class A-LR loan, $29.00 million: AAA (sf) Class B-R2, $54.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-R2A (deferrable), $20.00 million: BBB+ (sf) Class D-R2B (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $10.00 million: BB- (sf) Other Outstanding Debt PPM CLO 2 Ltd./PPM CLO 2 LLC Subordinated notes(i), $48.00 million: Not rated (i)Includes the additional $4.00 million issued in connection with the second refinancing. PRESTIGE AUTO 2021-1: S&P Raises Class E Notes Rating to BB (sf) ---------------------------------------------------------------- S&P Global Ratings raised its ratings on five class of notes and affirmed its rating on one class of notes from Prestige Auto Receivables Trust 2020-1 and 2021-1. The two ABS transactions are backed by subprime retail auto loan receivables originated and serviced by Prestige Financial Services Inc. The rating actions reflect the transactions': -- Collateral performance to date and its expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) levels for each transaction, each transaction's structure, and the respective credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, sector- and issuer-specific analyses, and our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes each note's creditworthiness is consistent with the raised or affirmed rating. Table 1 Collateral Performance(i) Monthly Pool Current 60-plus days extension Series Mo. factor (%) CNL (%) delinquent (%) rate (%) 2020-1 41 18.83 7.43 7.85 3.30 2021-1 28 39.94 12.20 8.76 4.08 (i)As of the March 2024 distribution date. Mo.--Month. CNL--Cumulative net loss. S&P said, "The series 2020-1 transaction is performing in line with our prior expectations. As a result, we maintained our expected CNL for this transaction. In contrast, the series 2021-1 transaction's performance is trending worse than our prior CNL expectation due to higher gross losses and lower recoveries. As a result, we revised and raised our expected CNL for series 2021-1." Table 2 CNL Expectations (%)(i) Original Prior Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2020-1 18.25-19.25 9.25 9.25 2021-1 14.50-15.50 15.75-18.00 18.50 (i)As of the March 2024 distribution date. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction contains a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the March 2024 distribution date, each transaction is at its specified reserve and overcollateralization targets. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the outstanding pool balances, as of the collection period ended Feb. 29, 2024 (the March 2024 distribution date), compared with our current loss expectations, is commensurate with the raised and affirmed ratings. Table 3 Hard Credit Support (%)(i) Total hard Current total hard credit support credit support Series Class at issuance (% of current) 2020-1 D 16.40 81.71 2020-1 E 7.50 34.43 2021-1 B 34.15 86.16 2021-1 C 19.75 50.09 2021-1 D 10.55 27.06 2021-1 E 6.00 15.66 (i)As of the March 2024 distribution date. Calculated as a percentage of the total receivables pool balance, which consists of overcollateralization, the reserve account, and, if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone, without credit to the stressed excess spread, was sufficient, in our view, to raise or affirm the ratings at 'AAA (sf)'. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. "Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date. In addition to our break-even cash flow analysis, we also conducted a sensitivity analysis to determine the impact a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectations. "In our view, the results demonstrated that the classes all have adequate credit enhancement at the raised and affirmed rating levels, which is based on our analysis as of the collection period ended Feb. 29, 2024 (the March 2024 distribution date). We will continue to monitor the transactions' performance to ensure that the credit enhancement remains sufficient to cover our CNL expectations under our stress scenarios for each rated class." RATINGS RAISED Prestige Auto Receivables Trust Rating Series Class To From 2020-1 E AAA (sf) AA- (sf) 2021-1 B AAA (sf) AA+ (sf) 2021-1 C AAA (sf) A+ (sf) 2021-1 D A- (sf) BBB (sf) 2021-1 E BB (sf) BB- (sf) RATING AFFIRMED Prestige Auto Receivables Trust Series Class Rating 2020-1 D AAA (sf) PRESTIGE AUTO 2024-1: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Prestige Auto Receivables Trust 2024-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 59.93%, 51.94%, 42.67%, 33.39%, and 27.10% credit support (hard credit enhancement and haircut to excess spread) for the class A (class A-1 and A-2, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.05x, 2.60x, 2.10x, 1.60x, and 1.27x coverage of S&P's expected cumulative net loss of 19.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, our view of the credit risk of the collateral, and S&P's updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A. (Citibank), which does not constrain the ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. as servicer, and its view of the company's underwriting and the backup servicing arrangements with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Prestige Auto Receivables Trust 2024-1 Class A-1, $34.00 million: A-1+ (sf) Class A-2, $66.64 million: AAA (sf) Class B, $34.42 million: AA (sf) Class C, $32.04 million: A (sf) Class D, $30.86 million: BBB (sf) Class E, $26.35 million: BB- (sf) PRET 2024-RPL1: DBRS Finalizes B Rating on Class B-2 Notes ---------------------------------------------------------- DBRS, Inc. finalized the provisional credit ratings on the PRET 2024-RPL1 Trust Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) issued by PRET 2024-RPL1 Trust (PRET 2024-RPL1 or the Trust) as follows: -- $257.9 million Class A-1 at AAA (sf) -- $31.8 million Class A-2 at AA (sf) -- $289.7 million Class A-3 at AA (sf) -- $312.3 million Class A-4 at A (sf) -- $331.9 million Class A-5 at BBB (sf) -- $22.6 million Class M-1 at A (sf) -- $19.6 million Class M-2 at BBB (sf) -- $12.7 million Class B-1 at BB (sf) -- $7.9 million Class B-2 at B (sf) The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) credit rating on the Notes reflects 32.75% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 24.45%, 18.55%, 13.45%, 10.15%, and 8.10% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,851 loans with a total principal balance of $383,480,812 as of the Cut-Off Date (January 31, 2024). The mortgage loans are approximately 176 months seasoned. As of the Cut-Off Date, 97.6% of the loans are current (including 1.6% bankruptcy-performing loans), and 2.4% of the loans are 30 days delinquent (including PRIMA CAPITAL 2019-RK1: DBRS Confirms BB(high) Rating on C-G Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-RK1 issued by Prima Capital CRE Securitization 2019-RK1 as follows: The Gateway (Group G Certificates): -- Class A-G at A (low) (sf) -- Class B-G at BBB (low) (sf) -- Class C-G at BB (high) (sf) TriBeCa House (Group T Certificates): -- Class A-T at BBB (low) (sf) -- Class B-T at BB (low) (sf) -- Class C-T at B (high) (sf) All trends are Stable. Interest is deferrable on all rated certificates other than Class A-G, Class A-T, and Class B-G. The credit rating confirmations reflect the overall stable performance of the transaction, with both underlying multifamily properties, The Gateway and TriBeCa House, continuing to report residential occupancy rates above 90.0%, in addition to healthy debt service coverage ratios (DSCRs) of well above 1.5 times (x), as of the most recent financial reporting. The transaction consists of two nonpooled B notes tied to The Gateway and TriBeCa House loans, which are categorized as Loan Groups —Group G and Group T, respectively. The notes are secured by the grantor trust certificate representing beneficial interests in a subordinate loan, which is a portion of a whole loan. The loans are interest only through their respective loan terms. As the notes are not pooled together, proceeds from the collateral interest relating to either Loan Group will not be available to support shortfalls of the other Loan Group. Additionally, TriBeCa House is the only loan in the transaction that has existing mezzanine financing in place. No loans in the transaction are allowed to take on mezzanine or unsecured debt in the future. Neither of the two loans are on the servicer's watchlist or in special servicing. At issuance, DreamWorks Campus and Headquarters (Group D) was part of the transaction but was repaid in April 2023, bringing the total mortgage balance to $89.5 million. The Gateway loan (Group G; 58.7% of the transaction) is secured by four high-rise multifamily buildings totaling 1,254 units with ground-floor retail space in downtown San Francisco. Since 2015, the sponsor has invested more than $21.0 million toward upgrading the property, including select units as they become vacant, and re-leasing them at market rates. The property is composed of studio, one-, two-, three-, and four-bedroom units with monthly rental rates ranging from $850 to $9,600. Average rental rates at the property have remained relatively flat since issuance, with the February 2024 rent roll reflecting a blended figure of approximately $3,000 per unit across all floorplans. Although all of the property's multifamily units were initially rent controlled, San Francisco's rent control ordinance allows for units to be marked to market, within stipulated limits, once a unit turns over, suggesting incremental revenue growth could be achieved in the future. According to the February 2024 rent roll, the residential portion was 93.2% occupied, while the commercial portion was approximately 70.0% occupied. Commercial occupancy decreased after the former largest tenant, Bank of America (previously 9.1% of the net rentable area (NRA)), vacated upon its April 2022 lease expiration. The largest remaining commercial tenants include Safeway, Inc. (Safeway; 23.5% of NRA; lease expiration in 2025), Bay Club at Golden Gateway (12.0% of NRA; lease expiration in 2027), and 42nd Street Moon (7.4% of NRA; lease expiration in 2030). The borrower has indicated that Safeway will likely extend its lease. The annualized net cash flow (NCF) for the trailing nine (T-9) month period ended September 30, 2023, was $26.8 million, above the YE2022 and YE2021 figures of $22.7 million and $25.2 million, respectively, but below the Morningstar DBRS figure of $33.6 million. Although NCF is below Morningstar DBRS' expectation (primarily a factor of COVID-19-related disruptions), revenue has been increasing and operating expenses have shown signs of normalization, suggesting cash flows could stabilize in the near to moderate term. In addition, the loan continues to exhibit healthy credit metrics, most recently reporting a DSCR of 2.15x. The property has historically maintained an occupancy rate above 90.0%, and it continues to benefit from committed institutional sponsorship including Prime Group and C.M. Capital Corporation, who have owned and managed the property since 1991. The TriBeCa House loan (Group T; 41.3% of the transaction) is secured by a high-rise multifamily complex totaling 503 units in the Tribeca neighborhood of New York City. The 50 Murray Street building totals 388 units and approximately 38,000 square feet (sf) of retail space on the first and second floors. The 53 Park Place building totals 115 units and approximately 8,600 sf retail space. As of September 2023, the residential portion was 95.0% occupied, in line with previous years. The sole retail tenant at 53 Park Place, Amish Market, vacated the space in 2020, because of financial hardship stemming from COVID-19. Morningstar DBRS has requested a leasing update from the servicer. Equinox, a fitness and health club, continues to occupy the retail space at 50 Murray Street. The annualized NCF for the T-9 month period ended September 30, 2023 was $21.0 million (A and B note DSCR of 1.92x), which compares favorably with the YE2022 and Morningstar DBRS figures of $18.2 million and $17.4 million, respectively. According to Reis, submarket fundamentals will remain strong through to the loan's maturity in 2028, with vacancy rates expected to remain below 5.0% in the West Village/Downtown submarket. Given the subject's strong historical performance, favorable location, and low submarket vacancy rate, Morningstar DBRS expects performance to remain stable in the near to moderate term. Morningstar DBRS maintained its analysis, conducted in 2020 during the "North American Single-Asset/Single-Borrower Ratings Methodology" update. For The Gateway, a capitalization rate of 6.25% was applied to the Morningstar DBRS NCF of $33.6 million, resulting in a Morningstar DBRS value of $538.3 million. This represents a 38.0% haircut from the issuance appraised value of $868.0 million and a whole-loan loan-to-value ratio (LTV) of 102.2%. In addition, Morningstar DBRS maintained positive qualitative adjustments to the final LTV sizing benchmark, totaling 4.0%, to account for low cash flow volatility and market fundamentals. For TriBeCa House, a capitalization rate of 6.25% was applied to the Morningstar DBRS NCF of $17.4 million, resulting in a Morningstar DBRS value of $278.9 million. This represents a 51.9% haircut from the issuance appraised value of $580.0 million and a whole-loan LTV of 92.1% (excluding mezzanine debt). In addition, Morningstar DBRS maintained positive qualitative adjustments to the final LTV sizing benchmarks used for this credit rating analysis, totaling 4.0%, to account for low cash flow volatility and market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2024-NQM1: DBRS Finalizes BB Rating on Class B-1 Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Certificates, Series 2024-NQM1 (the Certificates) issued by PRPM 2024-NQM1 Trust (the Issuer): -- $216.8 million Class A-1 at AAA (sf) -- $32.9 million Class A-2 at AA (high) (sf) -- $26.5 million Class A-3 at A (high) (sf) -- $15.0 million Class M-1 at BBB (high) (sf) -- $21.2 million Class B-1 at BB (sf) -- $9.7 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1 certificates reflects 34.05% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (low) (sf) credit ratings reflect 24.05%, 16.00%, 11.45%, 5.00%, and 2.05% 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 expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-NQM1 (the Certificates). The Certificates are backed by 876 mortgage loans with a total principal balance of $328,667,780 as of the Cut-Off Date (January 31, 2024). PRPM 2024-NQM1 represents the fifth securitization issued from the PRPM NQM shelf, which is backed by both nonqualified mortgages (non-QM) and business-purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP-LB VI AIV, LLC, a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. Kiavi Funding, Inc. (Kiavi; 14.4%), FlexPoint, Inc (FlexPoint; 10.4%) and Movement Mortgage, LLC (Movement; 10.3%) are the three largest originators of the mortgage loans. The remaining originators each comprise less than 10.0% of the mortgage loans. Fay Servicing, LLC (Fay; 69.4%) and Shellpoint Mortgage Servicing (Shellpoint; 30.6%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as Trustee and Securities Administrator. U.S. Bank National Association will act as Custodian. For 35.0% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. In addition, 11.2% of the pool comprises investment-property loans underwritten using debt-to-income ratios (DTI). Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. For 49.6% of the pool, the mortgage loans were originated to CFPB's ATR rules, but 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, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (3.9%), and QM Rebuttable Presumption (1.5%) by UPB. The Depositor, a majority-owned affiliate of the Sponsor, will retain the Class B-2, B-3 and XS Certificates, representing an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in March 2027 or (2) the date when the aggregate unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts; any post-closing deferred amounts; and other fees, expenses, indemnification, and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association (MBA) method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Class A-1, A-2, and A-3), subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on Class A-1 and then A-2 before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior classes are paid in full (IPIP). Monthly Excess Cashflow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1, A-2, A-3, and M-1. For this transaction, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in April 2028. On or after April 2028, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. SALUDA GRADE 2024-CES1: DBRS Finalizes B(low) Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2024-CES1 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2024-CES1 (GRADE 2024-CES1 or the Trust): -- $256.0 million Class A-1 at AAA (sf) -- $14.7 million Class A-2 at AA (low) (sf) -- $15.3 million Class A-3 at A (low) (sf) -- $16.6 million Class M-1 at BBB (low) (sf) -- $14.5 million Class B-1 at BB (low) (sf) -- $9.2 million Class B-2 at B (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 22.30% of credit enhancement provided by subordinate Notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 17.85%, 13.20%, 8.15%, 3.75%, and 0.95% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2024-CES1 (the Notes). The Notes are backed by 3,592 mortgage loans with a total principal balance of $329,421,636 as of the Cut-Off Date (February 29, 2024). The portfolio, on average, is five months seasoned, though seasoning ranges from zero to 23 months. Borrowers in the pool represent prime and near-prime credit quality—weighted-average (WA) Morningstar DBRS-calculated FICO score of 725, Issuer-provided original combined loan-to-value ratio (CLTV) of 73.7%, vast majority of loans originated with full documentation standards. All the loans are current and 98.1% of the loans (by pool balance) have never been delinquent since origination. GRADE 2024-CES1 represents the first securitization by Saluda Grade Opportunities Fund LLC (Saluda Grade; the Sponsor) backed by 100.0% CES mortgage loans. The Sponsor has in the past securitized three deals with a mix of CES and home equity lines of credit mortgage loans. Spring EQ, LLC (Spring EQ; 83.9%) is the top originator for the mortgage pool. The remaining originators each comprise less than 15.0% of the mortgage loans. Specialized Loan Servicing LLC (SLS; 100.0%), is the Servicer for all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. Wilmington Trust, National Association (rated AA (low) with a Negative trend by Morningstar DBRS) will act as the Custodian. 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 Qualified Mortgage (QM)/ATR rules, 41.9% of the loans are designated as non-QM, 11.4% are designated as QM Rebuttable Presumption, 32.5% are designated as non-verified QM Safe Harbor, and 6.3% are designated as QM Safe Harbor. Approximately 7.7% of the mortgages are loans made to investors for business purposes and are not subject to the QM/ATR rules. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the Servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. The Sponsor, directly or indirectly through a more majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of Notes to be issued (other than any residual certificates) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the date when the aggregate stated principal balance of the mortgage loans is reduced to 20% of the Cut-Off Date balance, the Sponsor (after written consent from the majority holder of Class XS Notes; the Controlling Holder) has the option to terminate the Issuer and purchase all the mortgage loans (including REO properties) at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts (Optional Redemption). The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Servicer, at its option, on or after the date on which the balance of the mortgage loans falls below 10% of the loans balance as of the Cut-Off Date, may purchase all of the mortgage loans and REO properties at the minimum price described in the transaction documents (Optional Clean-up Call). For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association delinquency method, upon review by the Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries (net of reimbursement amounts and performance incentive fees) will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Interest Payment Amount, Interest Carryforward Amount, and the related Class Principal Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. SBNA AUTO 2024-A: Fitch Assigns 'BBsf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to SBNA Auto Receivables Trust (SBAT) 2024-A. Entity/Debt Rating Prior ----------- ------ ----- SBNA Auto Receivables Trust 2024-A Class A-1 78437PAA1 ST F1+sf New Rating F1+(EXP)sf Class A-2 78437PAB9 LT AAAsf New Rating AAA(EXP)sf Class A-3 78437PAC7 LT AAAsf New Rating AAA(EXP)sf Class A-4 78437PAD5 LT AAAsf New Rating AAA(EXP)sf Class B 78437PAE3 LT AAsf New Rating AA(EXP)sf Class C 78437PAF0 LT Asf New Rating A(EXP)sf Class D 78437PAG8 LT BBBsf New Rating BBB(EXP)sf Class E 78437PAH6 LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Nonstandard Prime Credit Quality: 2024-A has a weighted-average (WA) FICO score of 684, which is low for prime and near nonprime. FICO scores below 700 total 76.3% of the pool; 8.70% is above 750. The concentration of extended term loans (over 60 months) totals 94.5% of the pool. Vehicle type and model concentrations are in line with comparable prime transactions. However, compared with other prime platforms, the percentage of new vehicles is lower (43.9%), the WA APR is higher (12.98%), the WA loan-to-value is higher (113.1%), the WA debt-to-income is higher (36.9%), and the internal score is lower than prior prime Santander-backed transactions. Payment Structure — Sufficient CE: Initial hard credit enhancement (CE) totals 27.75%, 20.25%, 14.85%, 9.15% and 5.35% for the class A, B, C, D and E notes, respectively. Excess spread is expected to be 6.24% per year. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's rating case cumulative net loss (CNL) proxy of 9.00%. Forward-Looking Approach to Derive Rating Case Proxy — Low Losses and Delinquencies: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage range to derive the loss proxy for 2024-A, representing through-the-cycle performance. Fitch's CNL rating case proxy for 2024-A is 9.00%. Seller/Servicer Operational Review — Consistent Origination/Underwriting/Servicing: The current Long-Term Issuer Default Ratings (IDR) of Santander Bank, N.A. and Santander Holdings USA, Inc., the parent of Santander Consumer USA Inc. (SC), are 'BBB+'/Stable. Fitch views SC as an adequate originator, underwriter and servicer, evidenced by the historical performance of its managed portfolio and prior securitizations. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 7.00%, based on Fitch's Global Economic Outlook - March 2024 report and historical managed performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in reducing CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain notes susceptible to potential negative rating action depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications for all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade ('BBsf') and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the rating case proxy, the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The concentration in the collateral pool of 14.4% of electric vehicles, hybrid or PHEV vehicles did not have an impact on Fitch's ratings analysis or conclusion on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SCG 2024-MSP: DBRS Gives Prov. B Rating on Class F Certs -------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-MSP (the Certificates) to be issued by SCG 2024-MSP Mortgage Trust (the Trust): -- Class A 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 (sf) -- Class HRR at B (low) (sf) All trends are Stable. The SCG 2024-MSP transaction is secured by the borrower's fee-simple or leasehold interests in a four-property portfolio of Marriott-branded full-service hotels. The portfolio is made up of all suites and totals 1,016 keys. The properties are located in Atlanta, Georgia (254 keys; 15.7% of allocated loan amount (ALA)); Costa Mesa, California (253 keys; 20.7% of ALA); and Scottsdale, Arizona (two properties totaling 509 keys; 63.6% of ALA). The Sponsor of the transaction is Starwood Capital Group, a private investment firm founded in 1991. Starwood acquired this portfolio in August 2019 for $250.0 million, which was securitized in the GSMS 2019-SMP transaction. The loan proceeds of $220.2 million, along with approximately $8.36 million in cash, will be used to refinance existing debt of $218.85 million, pay closing costs of approximately $5.5 million, and fund an upfront capital reserve of approximately $4.2 million. The capital reserve exceeds 110% of the actual costs as determined by a final detailed fully costed budget for any such property improvement plan or similar plan required based on the replacement management agreements entered into with respect to the Atlanta and Old Town Properties. The loan will be structured with a two-year initial term with three one-year extension options. The properties were built between 1988 and 1999 and feature large room sizes, exhibiting a weighted average by unit count of 518 sf. Since purchasing the portfolio, Starwood has invested approximately $37.8 million in capital expenditures. This is in addition to the approximately $19.4 million that was invested by the previous owners between 2013 and 2019, for a total of over $57 million in capital expenditures across the four properties since 2013. The largest recipient of capex funds was Marriott Costa Mesa, which underwent a complete renovation of guest rooms totaling $18.8 million. Other large capital improvement projects at the properties include $4.9 million at Marriott at McDowell Mountains for renovations of the hotel's chiller and cooling tower as well as automation systems; $3.3 million at Marriott Old Town for roof repairs, parking garage renovations, pool deck renovations, food and beverage renovations, and new fitness center tile; and $3.3 million at Marriott Atlanta Midtown for renovations of the hotel's chiller and cooling tower. Overall, the rooms and conference areas in the Atlanta property and both Scottsdale properties appeared dated per the Morningstar DBRS site inspections; however, their performance shows that their large room sizes and availability of meeting space in good locations will continue to benefit the properties in their respective markets. Although there are not yet any brand mandated PIPs, the loan is structured with a $4.2 million reserve for potential required PIPs at the Marriott Old Town and Marriott Atlanta Midtown properties as their Marriott Management agreements expire during the loan term in 2028. This upfront reserve is in addition to the outstanding Furniture, fixtures, and equipment (FF&E) reserves for the two properties totaling $6.5 million as well as the $2 million per year the sponsor will be required to fund during the loan term. The upfront reserves and continuations of using outstanding reserves to improve the properties are considered more prudent loan features for loans secured by hotel properties compared with planned use of on-going reserves to fund future capital improvements. Prior to the COVID-19 pandemic for the year ended (YE)2019 period, the portfolio had an occupancy rate of 78.0% and an ADR of $176.53, resulting in RevPAR of $137.71. For YE2023, occupancy was still below pre-COVID levels at 67.2% but ADR and RevPAR were higher, at $216.47 and $145.53, respectively. Based on an occupancy rate of 64.3% and the T-12 ending January 2024 ADR figure of $217.15, the concluded Morningstar DBRS RevPAR of $139.15 is 4.9% lower than the T-12 ending January 2024 RevPAR of $146.76. Morningstar DBRS applied RevPAR discounts of 5% to the Marriott Atlanta Midtown as well as 7.5% discounts to the two Scottsdale properties in its Morningstar DBRS Net Cash Flow (NCF) analysis because of new supply in both markets, as well as slight declines in performance in the second half of 2023. The concluded Morningstar DBRS RevPAR figure is slightly above the YE2019 RevPAR figure of $137.71. Noted risks include new supply in the Scottsdale and Atlanta markets, recent performance declines, and the seasonality of the two Scottsdale properties. There is a brand new 976-key hotel in Atlanta and two new hotels are opening in Scottsdale in 2024 with 265 and 235 keys, respectively. The Atlanta and Scottsdale properties also showed slight performance declines in the second half of 2023. Morningstar DBRS accounted for these declines by using an occupancy plug to lower the assumed RevPAR for these properties. The two Scottsdale assets have historically shown performance declines in the summer months with lower RevPAR figures compared with the rest of the year. Although there are some concerns with the properties, Morningstar DBRS has a generally positive view of the credit characteristics of the portfolio. With its strong sponsorship, Marriott brand affiliation, and continued capital improvements, Morningstar DBRS has a favorable outlook on the portfolio. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit 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, Spread 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. SEQUOIA MORTGAGE 2024-4: Fitch Gives BB-(EXP)sf Rating on B4 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2024-4 (SEMT 2024-4). Entity/Debt Rating ----------- ------ SEMT 2024-4 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 347 loans with a total balance of approximately $404.3 million as of the statistical information of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 347 loans totaling approximately $404.3 million and seasoned at approximately three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 774 and 34.5% debt-to-income (DTI) ratio, and moderate leverage, with an 80.2% sustainable loan-to-value (sLTV) ratio, and 71.2% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 92.5% in loans where the borrower maintains a primary residence, while 7.5% are of a second home or investor property; 71.0% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.8% above a long-term sustainable level (versus 11.1% on a national level as of 3Q23, which was up 1.7% since the prior quarter). Home prices increased 5.5% yoy nationally as of December 2023, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent: a stop-advance loan. Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps to limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. 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'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, AMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 17bp reduction to the 'AAA' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on about 93.1% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton, AMC, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given credit, compliance and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for further details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. 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 ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS SEMT 2024-4 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-4 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This 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. SLM STUDENT 2003-1: Moody's Puts Ba1 Rating on 4 Tranches on Review ------------------------------------------------------------------- Moody's Ratings downgrades eight notes from four SLM Student Loan Trust FFELP securitizations, and places on review 62 notes from 28 other SLM Student Loan Trust FFELP securitizations, sponsored and administered by Navient Solutions, LLC. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: SLM Student Loan Trust 2003-1 Class A-5A, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class A-5B, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class A-5C, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class B, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2003-11 Cl. A-7, Aa1 (sf) Placed On Review for Downgrade; previously on Jun 3, 2020 Downgraded to Aa1 (sf) Cl. B, Baa2 (sf) Placed On Review Direction Uncertain; previously on Apr 19, 2022 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2003-12 Cl. A-6, Aaa (sf) Placed On Review for Downgrade; previously on Jun 18, 2021 Upgraded to Aaa (sf) Cl. B, A1 (sf) Placed On Review Direction Uncertain; previously on Jun 18, 2021 Upgraded to A1 (sf) Issuer: SLM Student Loan Trust 2003-14 Cl. A-7, Aaa (sf) Placed On Review for Downgrade; previously on May 5, 2014 Affirmed Aaa (sf) Cl. B, A1 (sf) Placed On Review Direction Uncertain; previously on Nov 1, 2016 Downgraded to A1 (sf) Issuer: SLM Student Loan Trust 2003-4 Class A5-A, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class A5-B, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class A5-C, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class A5-D, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class A5-E, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Class B, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2003-7 Cl. A-5A, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Cl. A-5B, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Cl. B, Ba1 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2004-1 Cl. A-5, A2 (sf) Placed On Review for Downgrade; previously on Jul 29, 2021 Downgraded to A2 (sf) Cl. A-6, Aa1 (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Downgraded to Aa1 (sf) Cl. B, Baa2 (sf) Placed On Review Direction Uncertain; previously on Jul 29, 2021 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2004-10 Cl. A-7A, Aaa (sf) Placed On Review for Downgrade; previously on Oct 24, 2018 Upgraded to Aaa (sf) Cl. A-7B, Aaa (sf) Placed On Review for Downgrade; previously on Oct 24, 2018 Upgraded to Aaa (sf) Cl. A-8, Baa3 (sf) Placed On Review for Downgrade; previously on Nov 18, 2016 Downgraded to Baa3 (sf) Cl. B, Ba1 (sf) Placed On Review Direction Uncertain; previously on Jan 11, 2018 Confirmed at Ba1 (sf) Issuer: SLM Student Loan Trust 2004-2 Cl. A-6, A2 (sf) Placed On Review for Downgrade; previously on Apr 19, 2022 Downgraded to A2 (sf) Cl. B, Baa2 (sf) Placed On Review Direction Uncertain; previously on Jun 3, 2020 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2004-3 Cl. A-6A, Aaa (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. A-6B, Aaa (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. B, A1 (sf) Placed On Review Direction Uncertain; previously on Nov 1, 2016 Downgraded to A1 (sf) Issuer: SLM Student Loan Trust 2004-5 Cl. A-6, A3 (sf) Placed On Review for Downgrade; previously on Jun 29, 2023 Downgraded to A3 (sf) Cl. B, A3 (sf) Placed On Review Direction Uncertain; previously on Apr 19, 2022 Upgraded to A3 (sf) Issuer: SLM Student Loan Trust 2004-8 Cl. A-6, Downgraded to Aa3 (sf); previously on Jun 3, 2020 Downgraded to Aa1 (sf) Issuer: SLM Student Loan Trust 2005-3 Cl. A-6, Downgraded to A1 (sf); previously on Nov 1, 2016 Confirmed at Aaa (sf) Issuer: SLM Student Loan Trust 2005-4 Cl. A-4, Aa1 (sf) Placed On Review for Downgrade; previously on Oct 1, 2020 Downgraded to Aa1 (sf) Issuer: SLM Student Loan Trust 2005-5 Cl. A-5, Aaa (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. B, Baa2 (sf) Placed On Review Direction Uncertain; previously on Jul 29, 2021 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2005-6 Cl. A-6, Aaa (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. A-7, Aaa (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. B, A1 (sf) Placed On Review Direction Uncertain; previously on Nov 1, 2016 Downgraded to A1 (sf) Issuer: SLM Student Loan Trust 2005-7 Cl. A-5, Aa2 (sf) Placed On Review for Downgrade; previously on Nov 1, 2016 Downgraded to Aa2 (sf) Issuer: SLM Student Loan Trust 2005-8 Cl. A-5, Aa1 (sf) Placed On Review for Downgrade; previously on Jun 3, 2020 Downgraded to Aa1 (sf) Issuer: SLM Student Loan Trust 2005-9 Cl. A-7a, Downgraded to Aa3 (sf); previously on Feb 2, 2018 Upgraded to Aaa (sf) Cl. A-7b, Downgraded to Aa3 (sf); previously on Feb 2, 2018 Upgraded to Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Jul 29, 2021 Downgraded to Baa1 (sf) Issuer: SLM Student Loan Trust 2006-10 Cl. A-6, Aa1 (sf) Placed On Review for Downgrade; previously on Jan 29, 2020 Upgraded to Aa1 (sf) Cl. B, Baa1 (sf) Placed On Review Direction Uncertain; previously on Jan 11, 2018 Downgraded to Baa1 (sf) Issuer: SLM Student Loan Trust 2006-2 Cl. A-6, Aa1 (sf) Placed On Review for Downgrade; previously on Jun 3, 2020 Downgraded to Aa1 (sf) Cl. B, Baa2 (sf) Placed On Review Direction Uncertain; previously on Jun 3, 2020 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2006-4 Cl. A-6, Aaa (sf) Placed On Review for Downgrade; previously on Feb 23, 2018 Upgraded to Aaa (sf) Issuer: SLM Student Loan Trust 2006-5 Cl. A-6A, Downgraded to A2 (sf); previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. A-6B, Downgraded to A2 (sf); previously on Nov 1, 2016 Confirmed at Aaa (sf) Cl. A-6C, Downgraded to A2 (sf); previously on Nov 1, 2016 Confirmed at Aaa (sf) Issuer: SLM Student Loan Trust 2006-6 Cl. A-4, Aaa (sf) Placed On Review for Downgrade; previously on Oct 20, 2017 Upgraded to Aaa (sf) Issuer: SLM Student Loan Trust 2006-7 Cl. A-6A, Aa1 (sf) Placed On Review for Downgrade; previously on Nov 18, 2016 Downgraded to Aa1 (sf) Cl. A-6B, Aa1 (sf) Placed On Review for Downgrade; previously on Nov 18, 2016 Downgraded to Aa1 (sf) Cl. A-6C, Aa1 (sf) Placed On Review for Downgrade; previously on Nov 18, 2016 Downgraded to Aa1 (sf) Cl. B, Aa1 (sf) Placed On Review Direction Uncertain; previously on Mar 7, 2017 Upgraded to Aa1 (sf) Issuer: SLM Student Loan Trust 2006-8 Cl. A-6, Aa1 (sf) Placed On Review for Downgrade; previously on Nov 23, 2022 Downgraded to Aa1 (sf) Cl. B, Baa2 (sf) Placed On Review Direction Uncertain; previously on Jun 3, 2020 Downgraded to Baa2 (sf) Issuer: SLM Student Loan Trust 2006-9 Cl. A-6, A2 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to A2 (sf) Issuer: SLM Student Loan Trust 2007-1 Cl. A-6, Aa2 (sf) Placed On Review for Downgrade; previously on Sep 25, 2023 Downgraded to Aa2 (sf) Issuer: SLM Student Loan Trust 2007-4 Cl. A-5, Baa2 (sf) Placed On Review for Downgrade; previously on Nov 23, 2022 Downgraded to Baa2 (sf) Cl. B-2A, Ba1 (sf) Placed On Review for Downgrade; previously on Jan 11, 2018 Downgraded to Ba1 (sf) Cl. B-2B, Ba1 (sf) Placed On Review for Downgrade; previously on Jan 11, 2018 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2007-5 Cl. A-6, Baa3 (sf) Placed On Review for Downgrade; previously on Dec 21, 2023 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2007-6 Cl. A-5, Baa1 (sf) Placed On Review for Downgrade; previously on Sep 25, 2023 Downgraded to Baa1 (sf) Issuer: SLM Student Loan Trust 2007-8 Cl. A-5, A3 (sf) Placed On Review for Downgrade; previously on Jun 3, 2020 Downgraded to A3 (sf) Cl. B, A1 (sf) Placed On Review Direction Uncertain; previously on Mar 7, 2017 Upgraded to A1 (sf) RATINGS RATIONALE The downgrade actions on notes from SLM Student Loan Trust 2004-8, 2005-3, 2005-9 and 2006-5 are prompted by the performance of the transactions, as well as the identification of an error in prior cashflow modeling. The modeling used in prior actions reflected a simplified calculation of principal distribution, which resulted in incorrect principal distribution and excess spread amounts for when Moody's project the pool factor to drop below 10% and the overcollateralization to increase well above the transactions' parity threshold. As a result, Moody's incorrectly projected higher principal distributions to the senior notes, at the expense of the subordinate notes. The correction of this error in SLM Student Loan Trust 2004-8, 2005-3, 2005-9 and 2006-5 had a negative impact on the senior notes' cashflows and a positive impact on the subordinate notes' cashflows. The downgrade actions also reflect updated expected loss on those tranches across Moody's cashflow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cash flow scenarios with weights accorded to each scenario. Although the correction of the cashflow modeling had a positive impact on the subordinate notes, the effect of updated performance, including prepayments and WAM, on the expected loss for those tranches offset this positive impact. As a result, the Class B notes in SLM Student Loan Trust 2005-9 were downgraded, while no actions were taken on the Class B notes in the SLM Student Loan Trust 2004-8, 2005-3 and 2006-5 deals because their expected losses remain commensurate with their current ratings. The rating actions on the Class A-6 notes of SLM Student Loan Trust 2004-8, Class A-7a, A-7b and Class B notes of SLM Student Loan Trust 2005-9, and Class A-6A, A-6B and A-6C notes of SLM Student Loan Trust 2006-5 also consider the impact of a data format change introduced by Navient in 2018. For such bonds with long dated legal final maturities (more than five years), Moody's makes adjustments to model outputs to normalize the impact of the collateral data format on modeled cashflows. The review action on certain bonds from the 28 other SLM Student Loan Trust transactions reflects the identification of the same error in the principal calculation in the cashflow modeling of those deals. As a result, all the senior notes have been placed under review for downgrade, and 15 subordinate notes from 15 transactions have been placed under review with direction uncertain. Five subordinate notes from four transactions have been put on review for downgrade as the updated performance is likely to offset the positive effect from the correction of the cashflow modeling. No actions were taken on nine subordinate notes from nine of the 28 transactions as those subordinate notes are either already at the highest achievable levels within Moody's rating scale and the correction will likely have a positive impact on the subordinate notes' cashflows (SLM Student Loan Trust 2005-4, 2005-8, 2006-4 and 2006-6), or their rating currently reflects sponsor support considerations and neither updated performance nor correction are likely to have an impact (SLM Student Loan Trust 2005-7, 2006-9, 2007-1, 2007-5 and 2007-6). During the review period, Moody's will reevaluate ratings of these notes based on updated cashflow modeling, updated collateral performance data, as well as other considerations such as data format change and sponsor support. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published in April 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the rating further if sponsor's willingness or ability to support the notes by paying off the outstanding amount of the notes by their legal final maturity date is diminished. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. SLM STUDENT 2004-2: Fitch Lowers Rating on Class B Debt to Bsf -------------------------------------------------------------- Fitch Ratings has affirmed the ratings on SLM Student Loan Trusts (SLM) 2005-6, 2005-8, and 2005-9 along with the class A-4 notes of SLM 2003-10. The Rating Outlooks for the class A-4 notes of SLM 2003-10, the class A-6 and A-7 notes of SLM 2005-6, and the class B notes of SLM 2005-8 remain Stable, and the class B notes of SLM 2005-6 remains Positive. The Rating Outlook for the class B notes of SLM 2005-9 has been revised to Stable from Positive. The Outlooks for the class A-5 notes of SLM 2005-8 and the class A-7A and A-7B notes of SLM 2005-9 have been revised to Negative from Stable. Fitch has also downgraded the ratings on SLM 2004-2 and 2004-5 and the class B notes of SLM 2003-10. The Outlooks following the downgrade of the class B notes of SLM 2003-10, SLM 2004-5, and the class A-6 notes of 2004-2 are Negative, while the Outlook for the class B notes of SLM 2004-2 is Stable following the downgrade. The downgrades reflect a worsening of modeling results, under Fitch's credit and maturity scenarios, since the last review driven by the current interest rate environment and particularly the stable and higher interest rate stresses. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2004-2 A-6 78442GLC8 LT BBsf Downgrade AAsf B 78442GLB0 LT Bsf Downgrade BBsf SLM Student Loan Trust 2004-5 A-6 78442GLY0 LT BBsf Downgrade Asf B 78442GLW4 LT BBsf Downgrade BBBsf SLM Student Loan Trust 2003-10 A-4 78442GJH0 LT AA+sf Affirmed AA+sf B 78442GJF4 LT BBBsf Downgrade Asf SLM Student Loan Trust 2005-6 A-6 78442GPY6 LT AA+sf Affirmed AA+sf A-7 78442GQE9 LT AA+sf Affirmed AA+sf B 78442GQA7 LT Asf Affirmed Asf SLM Student Loan Trust 2005-8 A-5 78442GQS8 LT AA+sf Affirmed AA+sf B 78442GQT6 LT Asf Affirmed Asf SLM Student Loan Trust 2005-9 A-7A 78442GRA6 LT AA+sf Affirmed AA+sf A-7B 78442GRB4 LT AA+sf Affirmed AA+sf B 78442GRC2 LT BBBsf Affirmed BBBsf TRANSACTION SUMMARY SLM 2003-10: The class A-4 notes pass all credit and maturity stresses in cashflow modeling with sufficient hard credit enhancement (CE). The affirmation of the notes at 'AA+sf' reflects the stable collateral performance for the notes, in line with Fitch's expectations since the last review. The Outlook for the notes remains Stable. The downgrade of the class B notes to 'BBBsf' from 'Asf' reflects the notes' inability to withstand credit stresses above the 'BBsf' level, combined with the principal shortfalls faced at higher rating stresses in Fitch's cashflow modelling. The model-implied rating of the class B notes is one category lower than the assigned rating, as described by Fitch's Federal Family Education Loan Program (FFELP) rating criteria. The Negative Outlook for the notes reflects the possibility of further negative rating pressure in the next one to two years if credit risk increases. SLM 2004-2: The class A-6 and B notes face increased exposure to credit and maturity risk since the prior review, reflected in the downgrade of the class A-6 notes to 'BBsf' from 'AAsf' and the class B notes to 'Bsf' from 'BBsf'. The current interest rate environment had a pronounced impact on excess spread particularly impacting the A-6 notes, combined with an increase in remaining term. The class B notes do not pass Fitch's base case cash flow stresses. The model-implied ratings of the class A-6 and B notes are one category lower than the assigned rating, as described by Fitch's FFELP rating criteria. The Negative Outlook on the class A-6 notes reflects the possibility of further negative rating pressure in the next one to two years if maturity risk for the transaction increases, particularly if the remaining loan term does not move lower. The Outlook for the class B notes is Stable following the downgrade, reflecting expected stability in the rating over the next two years given the length of time to maturity for this class. SLM 2004-5: The class A-6 and B notes face increased exposure to credit and maturity risk since the prior review similar to SLM 2004-2. This is reflected in the downgrade of the class A-6 notes to 'BBsf' from 'Asf' and the class B notes to 'BBsf' from 'BBBsf'. The model-implied ratings of the class A-6 and B notes are one category lower than the assigned rating, as described by Fitch's FFELP rating criteria. The Negative Outlook on the class A-6 and B notes reflects the possibility of further negative rating pressure in the next one to two years if maturity risk for the transaction increases, particularly if the remaining loan term does not move lower. SLM 2005-6: The notes pass all credit and maturity stresses in cashflow modeling with sufficient hard CE. The affirmations of the notes reflect their stable collateral performance, in line with Fitch's expectations since the last review. The Positive Outlook on the class B notes is reflective of the increasing parity level of the notes, which is expected to continue and to create positive rating pressure for the notes. The Outlooks on the class A notes remain Stable. SLM 2005-8: The class A-5 and B notes pass credit and maturity stresses in cashflow modeling for their respective ratings with sufficient hard CE and performance was stable for the transaction compared to Fitch's sustainable assumptions outlined below. Fitch has affirmed the class A-5 notes at 'AA+sf' and the class B notes at 'Asf'. The Outlook revision to Negative from Stable on the class A-5 notes reflects the decreasing cushion in the amount of time the notes pay in full under Fitch's maturity stresses and the possibility of future negative rating pressure in the next one to two years if remaining term continues to decline at a similar slow pace observed in 2023. The Outlook for the class B notes remains Stable. SLM 2005-9: The class A-7A, A-7B and B notes pass credit and maturity stresses in cashflow modeling for their respective ratings with sufficient hard CE and performance was stable for the transaction compared to Fitch's sustainable assumptions outlined below. Fitch has affirmed the class A-7 notes at 'AA+sf' and the class B notes at 'BBBsf'. The Outlook revisions to Negative from Stable and Stable from Positive on the class A-7 and B notes, respectively, reflect the decreasing cushion in the amount of time the notes pay in full under Fitch's maturity stresses and the possibility of future negative rating pressure in the next one to two years if remaining term continues to decline at a similar slow pace observed in 2023. The sustainable constant default rate (sCDR) assumption was increased to 3.00%, 2.50%, 2.70%, and 2.70% from 2.50%, 2.20%, 2.20%, and 2.20% for SLM 2003-10, 2005-6, 2005-8, and 2005-9, respectively, as Fitch has noted an increase in the trend of defaults. In addition, the sustainable constant prepayment rate (sCPR) assumption was increased to 8.50% from 8.00% for SLM 2003-10 as prepayments, including from loan consolidation, remain higher than historical levels for this transaction. For SLM 2003-10, 2004-2, 2004-5, and 2005-9 Fitch modelled transaction-specific servicing fees instead of Fitch's criteria-defined assumption of $3.25 per borrower, per month, due to the higher contractual servicing fees for these transactions. 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 (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For all transactions, after applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, the claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. SLM 2003-10: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 20.75% under the base case scenario and a default rate of 57.06% under the 'AA' credit stress scenario. Fitch is revising the sustainable constant default rate (sCDR) upwards to 3.00% from 2.50%. Delinquency performance has been mixed, the 31-60 DPD have decreased and the 91-120 DPD have increased and are currently 2.93% for 31 DPD and 1.18% for 91 DPD compared to 3.33% and 1.13% one year ago for 31 DPD and 91 DPD, respectively. Fitch also increased the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) to 8.50% from 8.00% in cash flow modeling. The trend in defaults has increased for the transaction, while prepayments, predominately from loan consolidation, remain high despite the end of the Public Service Loan Forgiveness waiver in October 2022. The TTM levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 2.68% (2.83% at Feb. 28, 2023), 11.86% (10.89%) and 24.21% (21.67%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The borrower benefit is approximately 0.14%, based on information provided by the sponsor. SLM 2004-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 14.50% under the base case scenario and a default rate of 39.88% under the 'AA' credit stress scenario. Fitch is maintaining the sCDR of 2.10% and the sCPR of 7.50% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 2.38% (2.64% at March 31, 2023), 11.38% (10.94%) and 22.62% (21.43%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have remained stable and are currently 2.68% for 31 DPD and 1.09% for 91 DPD compared to 2.31% and 1.10% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.15%, based on information provided by the sponsor. SLM 2004-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 17.75% under the base case scenario and a default rate of 48.81% under the 'AA' credit stress scenario. Fitch is maintaining the sCDR of 2.40% and the sCPR of 7.00% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 2.66% (2.68% at March 31, 2023), 11.61% (11.38%) and 24.64% (23.19%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have decreased and are currently 3.56% for 31 DPD and 0.86% for 91 DPD compared to 2.68% and 0.99% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.13%, based on information provided by the sponsor. SLM 2005-6: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 16.00% under the base case scenario and a default rate of 44.00% under the 'AA' credit stress scenario. Fitch is revising the sCDR upwards to 2.50% from 2.20% as the trend in defaults has increased and maintaining the sCPR of 7.00% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 2.31% (2.54% at March 31, 2023), 10.64% (9.88%) and 16.46% (15.39%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have decreased and are currently 2.91% for 31 DPD and 0.80% for 91 DPD compared to 2.22% and 1.10% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.19%, based on information provided by the sponsor. SLM 2005-8: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 17.75% under the base case scenario and a default rate of 48.81% under the 'AA' credit stress scenario. Fitch is revising the sCDR upwards to 2.70% from 2.20% as the trend in defaults has increased and maintaining the sCPR of 7.00% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 2.45% (2.79% at March 31, 2023), 10.46% (10.67%) and 18.08% (15.98%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have remained stable and are currently 2.79% for 31 DPD and 1.15% for 91 DPD compared to 2.39% and 1.18% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.18%, based on information provided by the sponsor. SLM 2005-9: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 15.50% under the base case scenario and a default rate of 42.63% under the 'AA' credit stress scenario. Fitch is revising the sCDR upwards to 2.70% from 2.20% as the trend in defaults has increased and maintaining the sCPR of 6.50% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 3.00% (2.97% at March 31, 2023), 11.05% (10.54%) and 18.77% (17.39%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have remained stable and are currently 2.47% for 31 DPD and 0.89% for 91 DPD compared to 2.24% and 0.91% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.17%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent collection period, 88.01%, 88.15%, 84.32%, 99.76%, 99.59%, and 96.06% of the student loans in SLM 2003-10, 2004-2, 2004-5, 2005-6, 2005-8, and 2005-9, respectively, are indexed to SOFR, and the balance of the loans is indexed to the 91-day T-bill rate. All of the outstanding notes are indexed to 90-day Average SOFR plus the spread adjustment of 0.26161% with the exception of the class A-6 notes of SLM 2004-2 and 2004-5, which are indexed to three-month EURIBOR. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria. Payment Structure: CE is provided by over-collateralization (OC), excess spread, and for the class A notes, subordination provided by the class B notes. As of the most recent collection period, reported total parity is 100.00% for SLM 2003-10, 2004-2, 2004-5, 2005-8, and 2005-9 and 100.36% for SLM 2005-6. Liquidity support is provided by reserve accounts sized at their floors of $3,012,925, $4,516,068, $4,455,445, $4,950,100, $3,780,805, and $4,531,704 for SLM 2003-10, 2004-2, 2004-5, 2005-6, 2005-8, and 2005-9, respectively. The transactions will continue to release cash as long as the 100.00% total parity (excluding the reserve account) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. 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 ED. 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 transaction faces 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. SLM Student Loan Trust 2003-10 Current Ratings: class A-4 'AA+sf'; class B 'BBBsf' Current Model-Implied Ratings: class A-4 'AA+sf' (Credit and Maturity Stress); class B 'BBsf' (Credit 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 '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 'BBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBsf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'BBsf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'BBsf'; - Remaining Term increase 25%: class A 'AA+sf'; class B 'BBsf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'BBsf'. SLM Student Loan Trust 2004-2 Current Ratings: class A-6 'BBsf'; class B 'Bsf' Current Model-Implied Ratings: class A-4 'Bsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'Bsf'; class B 'CCCsf'; - Default increase 50%: class A 'Bsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'Bsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'Bsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2004-5 Current Ratings: class A-6 'BBsf'; class B 'BBsf' Current Model-Implied Ratings: class A-4 'Bsf' (Credit and Maturity Stress); class B 'BBsf' (Credit Stress) / 'Bsf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'Bsf'; class B 'BBsf'; - Default increase 50%: class A 'CCCsf'; class B 'BBsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'BBsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'BBsf'; - IBR Usage increase 25%: class A 'CCCsf'; class B 'BBsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'BBsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf' SLM Student Loan Trust 2005-6 Current Ratings: class A-6 'AA+sf'; class A-7 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-6 'AA+sf' (Credit and Maturity Stress); class A-7 'AA+sf' (Credit and Maturity Stress); class B 'AA+sf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Asf'; - Default increase 50%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.50%: class A 'AA+sf'; class B 'Asf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'Asf'; - Remaining Term increase 25%: class A 'AA+sf'; class B 'Asf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'Asf'. SLM Student Loan Trust 2005-8 Current Ratings: class A-5 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-5 'AA+sf' (Credit and Maturity Stress); class B 'AAsf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Asf'; - Default increase 50%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.50%: class A 'AA+sf'; class B 'Asf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'Asf'; - Remaining Term increase 25%: class A 'Asf'; class B 'Asf'; - Remaining Term increase 50%: class A 'Bsf'; class B 'Asf'. SLM Student Loan Trust 2005-9 Current Ratings: class A-7 'AA+sf'; class B 'BBBsf' Current Model-Implied Ratings: class A-7 'AA+sf' (Credit and Maturity Stress); class B 'Asf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Default increase 50%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBsf'; - 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 A 'BBBsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2003-10 No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already 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 'BBBsf'; - IBR usage decrease 25%: class B 'BBsf'; - Remaining Term decrease 25%: class B 'BBBsf'. SLM Student Loan Trust 2004-2 Credit Stress Sensitivity - Default decrease 25%: class A 'Bsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A 'BBBsf'; class B 'BBBsf'. Maturity Stress Sensitivity - CPR increase 25%: class A 'Bsf'; class B 'Bsf'; - IBR usage decrease 25%: class A 'Bsf'; class B 'CCCsf'; - Remaining Term decrease 25%: class A 'AA+sf'; class B 'BBBsf'. SLM Student Loan Trust 2004-5 Credit Stress Sensitivity - Default decrease 25%: class A 'Bsf'; class B 'BBBsf'; - Basis Spread decrease 0.25%: class A 'BBBsf'; class B 'Asf'. Maturity Stress Sensitivity - CPR increase 25%: class A 'Bsf'; class B 'BBBsf'; - IBR usage decrease 25%: class A 'Bsf'; class B 'BBBsf'; - Remaining Term decrease 25%: class A 'AAsf'; class B 'BBBsf'. SLM Student Loan Trust 2005-6 No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AA+sf'; - Basis Spread decrease 0.25%: class B 'AA+sf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AA+sf'; - IBR usage decrease 25%: class B 'AA+sf'; - Remaining Term decrease 25%: class B 'AA+sf'. SLM Student Loan Trust 2005-8 No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AA+sf'; - Basis Spread decrease 0.25%: class B 'AA+sf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'AA+sf'; - IBR usage decrease 25%: class B 'AA+sf'; - Remaining Term decrease 25%: class B 'AA+sf'. SLM Student Loan Trust 2005-9 No upgrade credit stress sensitivity or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'Asf'; - Basis Spread decrease 0.25%: class B 'Asf'. Maturity Stress Sensitivity - CPR increase 25%: class B 'Asf'; - IBR usage decrease 25%: class B 'Asf'; - Remaining Term decrease 25%: class B 'AAsf'. 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. SOUND POINT 38: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sound Point CLO 38, Ltd. Entity/Debt Rating ----------- ------ Sound Point CLO 38, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Sound Point CLO 38, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, 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 24.06, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.43% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.42% versus a minimum covenant, in accordance with the initial expected matrix point of 74.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 9% 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Sound Point CLO 38. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TAUBMAN CENTERS 2022-DPM: DBRS Confirms BB(high) on HRR Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2022-DPM issued by Taubman Centers Commercial Mortgage Trust 2022-DPM as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the underlying collateral, which remains in line with Morningstar DBRS' expectations as exhibited by the continuous cash flow growth and stable occupancy since issuance. The loan is secured by the fee-simple interest in Dolphin Mall Miami, a 1.4 million-square-foot (sf) Class A super-regional mall in Sweetwater, Florida. The mall is considered Miami's largest outlet center with a diverse tenancy composed of national outlet brands, big box retailers, restaurants, and entertainment offerings. The two-year floating-rate loan is structured with three one-year extension options and pays interest only (IO) through the fully extended maturity date in May 2027. The loan is scheduled to mature in May 2024, but the borrower has provided notice to exercise the first extension to May 2025. The borrower is required to purchase a replacement interest rate cap agreement where the strike rate must be greater than the initial strike rate or a percentage rate, which when added to the Component Spread would yield a debt service coverage ratio (DSCR) of 1.10 times (x). The replacement interest rate cap agreement has been purchased and is currently being reviewed by the lender. According to the trailing nine-month ended September 30, 2023, financials, the annualized net cash flow (NCF) was $120.2 million, compared with the YE2022 figure of $109.3 million and the Morningstar DBRS NCF of $94.2 million. The loan is reporting a DSCR of 1.49x, down from 2.06x at YE2022 because of an increase in debt service related to the floating-rate nature of the loan. Revenues have been trending upward as a result of increases in occupancy and average in-place rents, with the September 2023 rent roll reporting an occupancy rate of 98.6% and generally minimal tenant rollover risk in the near term. The tenant roster is granular; however, the three largest tenants, Burlington Coat Factory (7.4% of net rentable area (NRA)), Bass Pro Shops (7.0% of NRA), and Cobb Theatres (6.0% of NRA), have lease expirations after the fully extended maturity date. An updated tenant sales report was not provided, but historical in-line comparable sales have been strong at $915 per square foot (psf), $516 psf, and $847 psf, for 2019, 2020, and 2021, respectively. For this review, Morningstar DBRS maintained the Morningstar DBRS NCF of $94.2 million and a capitalization rate of 7.25% in its analysis, resulting in a Morningstar DBRS value of $1.30 billion, which represents a 22.4% haircut from the issuance appraised value and a whole-loan loan-to-value ratio of approximately 77.0%. Positive qualitative adjustments totaling 3.75% were maintained to reflect the low cash flow volatility, property quality, and strong market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. THORNBURG MORTGAGE 2007-2: S&P Lowers A-2A Notes Rating to 'D(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on seven classes of mortgage pass-through certificates from six U.S. RMBS transactions issued between 2003 and 2007 to 'D (sf)' and subsequently discontinued the rating on one of the lowered ratings as the bond balance has been fully written-down. S&P also discontinued the rating on one class from one transaction. These transactions are backed by prime jumbo, alternative-A, outside the guidelines, reperforming, or subprime collateral. The downgrades reflect S&P's assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All of the classes whose ratings were lowered to 'D (sf)' were rated either 'CCC (sf)' or 'CC (sf)' before the rating action. In accordance with S&P's surveillance and withdrawal policies, it discontinued the rating on one class from one transaction due to the class being fully written-down. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). S&P will continue to monitor its ratings on securities that experience principal write-downs, and we will further adjust its ratings as S&P considers appropriate according to its criteria. Ratings list RATING ISSUER MAIN SERIES CLASS CUSIP TO FROM RATIONALE BayView Financial Asset Trust 2003-A 2003-A PO 07324QCR5 NR AA+ (sf) Paid down MASTR Alternative Loan Trust 2005-3 2005-3 6-A-1 576434N26 D (sf) CCC (sf) Principal write-down RAAC Series 2004-SP1 Trust 2004-SP1 M-1 7609855X5 D (sf) CCC (sf) Principal write-down RAAC Series 2005-RP3 Trust 2005-RP3 M-3 76112BQ29 D (sf) CC (sf) Principal write-down Renaissance Home Equity Loan Trust 2003-1 2003-1 B-A 759950AU2 D (sf) CCC (sf) Principal write-down Renaissance Home Equity Loan Trust 2003-1 2003-1 B-F 759950AV0 D (sf) CCC (sf) Principal write-down Structured Asset Mortgage Investments II Trust 2005-AR5 2005-AR5 B-2 86359LPM5 D to NR CCC (sf) Principal write-down Thornburg Mortgage Securities Trust 2007-2 2007-2 A-2A 88522WAB9 D (sf) CCC (sf) Principal write-down NR--Not rated. TICP CLO XI: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement debt and proposed new class X debt from TICP CLO XI Ltd./TICP CLO XI LLC, a CLO originally issued in 2018 that is managed by TICP CLO XI Management LLC and was not rated by S&P Global Ratings. The preliminary ratings are based on information as of April 3, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 10, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may withdraw its preliminary ratings on the replacement debt. The preliminary ratings reflect S&P's assessment of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned TICP CLO XI Ltd./TICP CLO XI LLC Class X, $4.00 million: AAA (sf) Class A-R, $248.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $28.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Subordinated notes, $47.35 million: Not rated UNITED AUTO 2022-2: DBRS Cuts Class E Notes Rating to B ------------------------------------------------------- DBRS, Inc. upgraded one credit rating, confirmed two credit ratings, and downgraded one credit rating from United Auto Credit Securitization Trust 2022-2 as follows: United Auto Credit Securitization Trust 2022-2: -- Class B Notes confirmed at AAA (sf) -- Class C Notes upgraded to AAA (sf) from AA (high) (sf) -- Class D Notes confirmed at BBB (sf) -- Class E Notes downgraded to B (sf) from BB (sf) The credit rating actions are based on the following analytical considerations: -- 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. -- As of the March 2024 payment date, United Auto Credit Securitization Trust 2022-2 has amortized to a pool factor of 40.91%, and has current cumulative net losses (CNLs) to date of 23.02%. Current CNL is tracking well above Morningstar DBRS' initial base-case loss expectations of 19.90%. -- Because of weaker-than-expected performance, Morningstar DBRS has revised the base-case loss expectation to 29.50%. As a result, the current level of hard credit enhancement (CE) and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. -- Current CE has increased for all of the outstanding notes, except for the Class E Notes, where the current CE has declined to 6.03% compared with the initial 12.00%. -- As of the March 2024 payment date, the current overcollateralization amount is 2.36% relative to the target of 15.50% of the outstanding receivables balance. Additionally, the transaction structure includes a fully funded non-declining reserve account (RA) of 1.50% of the initial aggregate pool balance. As the transaction amortizes, the RA percentage will increase as it will represent a larger portion of available CE. -- While CNL is tracking well above initial expectation, the Class B Notes, Class C Notes, and Class D Notes benefited from deleveraging and have sufficient CE commensurate with the current credit ratings, and Morningstar DBRS has either confirmed or upgraded the credit ratings on these classes. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. UPSTART SECURITIZATION 2022-1: DBRS Cuts Class B Trust Rating to BB ------------------------------------------------------------------- DBRS, Inc. upgraded one credit rating, confirmed four credit ratings, downgraded one credit rating, and discontinued one credit rating as a result of repayment, in five Upstart Securitization Trust transactions. Upstart Securitization Trust 2022-1 -- Class A A (sf) Confirmed -- Class B BB (sf) Downgraded The credit rating actions are based on the following analytical considerations: -- 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. -- For Upstart Securitization Trust 2021-3, Upstart Securitization Trust 2021-4, and Upstart Securitization Trust 2021-5, losses are tracking above the Morningstar DBRS initial base-case CNL expectations. The current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at a multiple of coverage commensurate with the credit ratings. -- For Upstart Securitization Trust 2022-1, the collateral performance to date is tracking above the Morningstar DBRS initial base-case CNL expectation of 14.65%. As of the February 2024 payment date, Upstart Securitization Trust 2022-1 has amortized to a pool factor of 38.25% and has a current CNL of 21.11%. -- Because of the weaker-than-expected performance, Morningstar DBRS has revised the base-case loss expectation for Upstart Securitization Trust 2022-1 to 33.75%. -- As of the February 2024 payment date, Upstart Securitization Trust 2022-1 does not have any CE available from either the overcollateralization or the reserve account as both have been fully depleted. As a result, the current level of hard CE and estimated excess spread are insufficient to support the current rating on the Class B and, consequently, the credit rating has been downgraded to a rating level commensurate with the current implied multiple. -- The transactions include a CNL Ratio Amortization Event that, if tripped, would cause a lockout of any distributions, if available, to the Certificate holders. As of the February 2024 payment date, Upstart Securitization Trust 2022-1 is in breach of the CNL Ratio Amortization Event. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. VERUS SECURITIZATION 2024-INV1: DBRS Finalizes BB on B-1 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2024-INV1 (the Notes) issued by Verus Securitization Trust 2024-INV1 (VERUS 2024-INV1): -- $235.9 million Class A-1 at AAA (sf) -- $26.7 million Class A-2 at AA (sf) -- $46.7 million Class A-3 at A (high) (sf) -- $33.3 million Class M-1 at BBB (sf) -- $20.3 million Class B-1 at BB (sf) -- $14.7 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 39.10% of credit enhancement provided by subordinate notes. The AA (sf), A (high) (sf), BBB (sf), BB (sf), and B (low) (sf) credit ratings reflect 32.20%, 20.15%, 11.55%, 6.30%, and 2.50% 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, investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,000 mortgage loans with a total principal balance of $387,374,857 as of the Cut-Off Date (March 1, 2024). VERUS 2024-INV1 represents the 12th securitization issued by the Sponsor (VMC Asset Pooler, LLC) or a related Invictus Capital Partners, LP entity, backed entirely by business-purpose investment loans, predominantly underwritten using DSCR. The originators for the mortgage pool are Hometown Equity Mortgage, LLC (27.2%) and other originators, each comprising less than 10.0% of the mortgage loans. Newrez LLC doing business as (dba) Shellpoint Mortgage Servicing (100%) is the servicer of the loans in this transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical interest in each class of Notes in the required amount of not less than 5% of each class of Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Nationstar Mortgage LLC dba Mr. Cooper Master Servicing will be the Master Servicer. Wilmington Savings Fund Society, FSB will act as the Indenture and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) and Deutsche Bank National Trust Company will act as the Custodians. On or after the earlier of (1) the Payment Date occurring in March 2027 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30.00% of the Cut-Off Date balance, the Note Owner(s) representing 50.01% or more of the Class XS Notes (Optional Redemption Right Holder) 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 principal and interest (P&I) Advancing Party will fund advances of delinquent P&I on any mortgage until such loan becomes 90 days delinquent. The Advancing Party or Servicer 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. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, A-2, and A-3 Notes (Senior Classes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). However, in contrast to the prior Morningstar DBRS-rated transaction from this shelf, in the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on Class A-1 and then in reduction of the Class A-1 note balance, before a similar allocation of funds to Class A-2 (Interest, Principal, Interest, and Principal). Prior issuance would typically allocate principal (after a Credit Event) to cover interest shortfalls on the Class A-1 and Class A-2 Notes (Interest, Interest, Principal, and Principal) before being applied sequentially to amortize the balances of the senior and subordinated notes. In the current transaction, and the prior transaction, for the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-1. The Class A-1, A-2, and A-3 fixed-rate coupons step up by 1.00% on and after the payment date in April 2028 (Step-Up Date). Of note, on and after the distribution date in April 2028, interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts. Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2019-2: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-R replacement debt from Voya CLO 2019-2 Ltd./Voya CLO 2019-2 LLC, a CLO originally issued in 2019 that is managed by Voya Alternative Asset Management LLC. At the same time, S&P withdrew its rating on the original class A debt following payment in full on the April 3, 2024, refinancing date. S&P also affirmed its ratings on the class B, C, D, and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period for the replacement debt is being extended to Oct. 3, 2024. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $242.00 million: Three-month SOFR + 1.20% Original debt -- Class A, $242.00 million: Three-month SOFR + 1.53% 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." Rating Assigned Voya CLO 2019-2 Ltd./Voya CLO 2019-2 LLC Class A-R, $242.00 million: AAA (sf) Ratings Affirmed Voya CLO 2019-2 Ltd./Voya CLO 2019-2 LLC Class B, $62.00 million: AA (sf) Class C, $26.00 million: A (sf) Class D, $22.40 million: BBB- (sf) Class E, $11.50 million: BB- (sf) Rating Withdrawn Voya CLO 2019-2 Ltd./Voya CLO 2019-2 LLC Class A to NR from 'AAA (sf)' Other Outstanding Debt Voya CLO 2019-2 Ltd./Voya CLO 2019-2 LLC Subordinated notes, $38.25 million: NR NR--Not rated. WARWICK CAPITAL 3: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Warwick Capital CLO 3 Ltd./Warwick Capital CLO 3 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Warwick Capital CLO Management LLC--Management Series, a subsidiary of Warwick Capital Partner LLP. The preliminary ratings are based on information as of April 2, 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 Warwick Capital CLO 3 Ltd./Warwick Capital CLO 3 LLC Class A-1, $248.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B-1, $38.0 million: AA (sf) Class B-2, $10.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $14.0 million: BB- (sf) Subordinated notes, $38.1 million: Not rated WELLS FARGO 2016-C34: Fitch Affirms CC Rating on 3 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2016-C34 (WFCM 2016-C34) and 13 classes of Wells Fargo Commercial Mortgage Trust 2016-C35 (WFCM 2016-C35) transactions. The Rating Outlooks of classes D, X-D and E of WFCM 2016-C35 remain Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-C35 A-3 95000FAS5 LT AAAsf Affirmed AAAsf A-4 95000FAT3 LT AAAsf Affirmed AAAsf A-4FL 95000FBA3 LT AAAsf Affirmed AAAsf A-4FX 95000FBC9 LT AAAsf Affirmed AAAsf A-S 95000FAV8 LT AAAsf Affirmed AAAsf A-SB 95000FAU0 LT AAAsf Affirmed AAAsf B 95000FAY2 LT AAsf Affirmed AAsf C 95000FAZ9 LT A-sf Affirmed A-sf D 95000FAC0 LT BBB-sf Affirmed BBB-sf E 95000FAE6 LT Bsf Affirmed Bsf F 95000FAG1 LT CCCsf Affirmed CCCsf X-A 95000FAW6 LT AAAsf Affirmed AAAsf X-D 95000FAA4 LT BBB-sf Affirmed BBB-sf WFCM 2016-C34 A-2 95000DBB6 LT AAAsf Affirmed AAAsf A-3 95000DBC4 LT AAAsf Affirmed AAAsf A-3FL 95000DAG6 LT AAAsf Affirmed AAAsf A-3FX 95000DAJ0 LT AAAsf Affirmed AAAsf A-4 95000DBD2 LT AAAsf Affirmed AAAsf A-S 95000DBF7 LT AAAsf Affirmed AAAsf A-SB 95000DBE0 LT AAAsf Affirmed AAAsf B 95000DBJ9 LT Asf Affirmed Asf C 95000DBK6 LT BBB-sf Affirmed BBB-sf D 95000DAL5 LT B-sf Affirmed B-sf E 95000DAN1 LT CCsf Affirmed CCsf F 95000DAQ4 LT CCsf Affirmed CCsf X-A 95000DBG5 LT AAAsf Affirmed AAAsf X-B 95000DBH3 LT Asf Affirmed Asf X-E 95000DAA9 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 10.5% in WFCM 2016-C34 and 7.1% in WFCM 2016-C35. The WFCM 2016-C34 transaction includes 12 loans (36.1% of the pool) which have been identified as Fitch Loans of Concern (FLOCs) including four specially serviced loans (17.6%), while the WFCM 2016-C35 transaction has 14 FLOCs (26%), including five loans (8.3%) in special servicing. Affirmations across both transactions reflect generally stable performance since Fitch's prior rating action. The Negative Outlooks on classes D, X-D and E in WFCM 2016-C35 reflect an additional sensitivity scenario that applies higher loss expectations on Mall at Turtle Creek (2%). Fitch's analysis of the WFCM 2016-C34 transaction included an additional sensitivity scenario, which reflects a 'Bsf' sensitivity case loss of 12.2%. The scenario factors in a higher probability of default on three retail FLOCs and one office FLOC with significant upcoming tenant rollover, low debt service coverage ratio (DSCR), declining occupancy and/or refinance concerns, including Shelby Town Center (5%), Embassy Plaza (3%), Maple Place Shopping Center (0.4%) and Plaza Center I&II (0.3%). The affirmations and stable outlooks reflect this scenario. The largest contributor to overall loss expectations in the WFCM 2016-C34 transaction is the specially serviced Regent Portfolio (12%). The loan transferred to the special servicer in June 2019 due to delinquent payments and the loan remains in payment default. Approximately 50% of the portfolio at issuance was leased directly to the sponsor or an affiliate of the sponsor. The loan was originally secured by 13 buildings (352,000 total SF of mostly medical office space) in New Jersey (11 properties), New York (one property), and Florida (one property); one property was released in 2020 and 12 became REO in January 2023. One warehouse was sold in Oct. 2023 and the portfolio now consists of 11 properties. Three are scheduled for auction in 1H2024. Fitch's base case 'Bsf' ratings case loss of 51% (prior to concentration add-ons) reflects a conservative stress to the 2022 appraisal valuations for the REO assets to address increasing exposure and special servicing fees. The second largest contributor to expected loss is Matrix Portfolio (FLOC, 2.8%), which consists of one mixed use retail/office property and two single tenant retail properties located in Washington DC and Alexandria, VA. with a total of approximately 35,000sf. The loan is considered a FLOC due to upcoming rollover and low NOI DSCR. Per the servicer, CraftWorks (33% of NRA; exp. April 2024) will not be renewing at lease expiration. The borrower is currently negotiating with a potential tenant for the space. As of September 2023, CraftWorks was 27% of the total annual rent. Fitch's base case 'Bsf' ratings case loss of 40% (prior to concentration add-ons) reflects a stress to the annualized September 2023 NOI for CraftWorks and a heightened probability of default given the expected departure of the largest tenant in the portfolio and declining revenues. The largest contributor to overall loss expectations in the WFCM 2016-C35 transaction is the specially serviced Mall at Turtle Creek. At issuance, the loan was secured by 329,398-sf of in-line space within an enclosed mall located in Jonesboro, AR. In March 2020, a tornado caused significant damage to the collateral. None of the non-collateral anchors suffered major damages and all have reopened since. However, all in-line tenants ceased operations. The majority of the collateral property has been demolished with the borrower unwilling to reconstruct the property and carry the loan. In December 2022, the trust took title of the property and received substantial insurance proceeds. The special servicer is working through required site work per agreements with non-collateral anchors in order to maximize recovery and will ultimately seek a sale of the site. Fitch's base case 'Bsf' ratings case loss of 88% (prior to concentration add-ons) reflects a stress to the most recent appraisal. The second largest contributor to expected loss is The Mall at Rockingham Park (FLOC, 7.1%) which is secured by 540,867-sf of a one million-sf regional mall located in Salem, NH. The loan is considered a FLOC due to declining NOI and low occupancy. Lord and Taylor (29.3% NRA; 2.7% of base rents; exp. March 2027), vacated in December 2020 after filing for bankruptcy under chapter 11 dropping occupancy to 54% as of YE 2021 from 90% at YE 2020 and 96% at YE 2019. As of the September 2023 rent roll, collateral occupancy was 53%. NOI has declined since issuance due to lower revenues year-over-year. Fitch's base case 'Bsf' ratings case loss of 23% (prior to concentration add-ons) reflects a stress to the annualized September 2023 NOI which is 16% below YE 2021. The third largest contributor to expected losses is the specially serviced DoubleTree Overland Park (2.4%) which transferred in May 2020 for imminent monetary default and became REO in January 2022. Property performance has improved since January 2022 as the TTM September 2023 STR report reported occupancy of 45%, ADR of $137 and RevPAR of $61 compared to 35%, $120 and $42 for the TTM ending January 2022. However, TTM September 2023 occupancy and RevPAR were below 66% and $78 at issuance. Fitch's base case 'Bsf' ratings case loss of 29% (prior to concentration add-ons) reflects a haircut to the most recent appraised value. Defeasance: The WFCM 2016-C34 transaction includes 14 loans (11.7% of the pool) that have fully defeased while WFCM 2016-C35 has 25 defeased loans (16.3% of the pool). Since the prior review, Manchester Parkade (2.6%) and Marketplace at Signal Butte (1%, previously a FLOC) in WFCM 2016-C34 have fully defeased. Change to Credit Enhancement: As of the February 2024 remittance report, the aggregate balances of the WFCM 2016-C34 and WFCM 2016-C35 transactions have been reduced by about 20.5% and 21.2%, respectively, since issuance. Loan maturities are concentrated in 2026 with 47 loans for 95.9% of the pool in WFCM 2016-C34 and 68 loans for 97.1% of the pool in WFCM 2016-C35. Interest Shortfalls: Interest shortfalls of about $113,000 and $1.8 million are affecting the non-rated classes G and H in the WFCM 2016-C34 transaction and about $3.1 million are affecting the non-rated G class in the WFCM 2016-C35 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral if the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings of 'CCCsf' through 'CCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased credit enhancement (CE) from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' through 'CCsf' are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2016-NXS6: DBRS Cuts Class G Certs Rating to C ---------------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2016-NXS6 issued by Wells Fargo Commercial Mortgage Trust 2016-NXS6 as follows: -- Class E to CCC (sf) from BB (high) (sf) -- Class F to CCC (sf) from B (high) (sf) -- Class G to C (sf) from CCC (sf) -- Class X-E to CCC (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class X-D at BBB (high) (sf) Classes E, F, G, and X-E no longer carry a trend given the CCC (sf) or lower credit rating. All other trends remain Stable. The credit rating downgrades are reflective of Morningstar DBRS' increased loss projections for the pool, driven by the implied losses for two loans in special servicing, representing 6.4% of the current pool balance as well as a high concentration of loans exhibiting declines in performance since the last credit rating action. In its analysis for this review, Morningstar DBRS liquidated the two loans in special servicing, resulting in a cumulative projected loss of $24.5 million, which would fully erode the nonrated Class H balance and result in a partial write-down of the Class G balance. Additionally, Morningstar DBRS' ratings are constrained by the expectation of accruing interest shortfalls prior to repayment, which has also contributed to Morningstar DBRS' downgrades. Interest shortfalls currently total $2.5 million, up from a total interest shortfall amount of $1.5 million at the time of the last rating action. Unpaid interest continues to accrue month-over-month, driven by special servicing fees and appraisal subordinate entitlement reduction from the largest loan in special servicing. Morningstar DBRS has limited tolerance up to six remittance cycles for BB and B rating categories. Since DBRS Morningstar's last rating action, two loans have been fully defeased, bringing the total pool defeasance to eight loans, representing 9.2% of the pool. As of the March 2024 remittance, 46 of the original 50 loans remain in the pool, representing a collateral reduction of 21.4% since issuance. The pool is well diversified by property type, with the four largest concentrations being retail (24.8% of the pool), mixed-use (20.0%), multifamily (18.2%), and office properties (17.9%). All but four of the outstanding loans are scheduled to mature in 2026. Excluding one loan in special servicing, the office loans in the pool are generally performing in line with issuance expectations with a weighted-average (WA) YE2022 debt service coverage ratio (DSCR) of 2.07 times (x). The largest loan in special servicing, Cassa Times Square (Prospectus ID#6; 5.7% of the pool), is secured by a mixed-use property consisting of an 86-key boutique hotel along with 8,827 square feet (sf) of retail space in Manhattan, New York. The loan transferred to special servicing in May 2020 and has been delinquent since February 2020. A receiver was appointed in March 2022 to manage property operations. According to the servicer's most recent update, the property was underperforming relative to the competitive set based on the occupancy, average daily rate, and revenue per available room penetration rates of 93.4%, 95.8%, and 94.1%, respectively, for the trailing 12 months ended November 2023. The special servicer is pursuing foreclosure while also exploring a potential note sale. The property was re-appraised in August 2023 at a value of $30.0 million, a nominal decrease from the December 2022 appraised value of $30.2 million, but well below the issuance appraised value of $68.9 million. Morningstar DBRS' analysis included a liquidation scenario based on a stress to the most recent appraised value resulting in a projected loss severity exceeding 65%. Outside of loans in special servicing, Morningstar DBRS identified five loans representing 18.5% of the pool balance as exhibiting increased risk of default given performance declines. Where applicable, Morningstar DBRS increased the probability of default (POD) penalties, and/or applied stressed loan-to-value ratios for these loans. The WA expected loss for these loans was twice the WA pool expected loss. The largest loan of concern not in special servicing is Peachtree Mall (Prospectus ID#13; 2.7% of the pool), which is secured by a 532,202-sf portion of a larger 822,443-sf regional mall in Columbus, Georgia. The loan sponsored by Brookfield Property Group is being monitored on the servicer's watchlist for low DSCR, which was reported at 1.26x as of the Q3 2023 financials, compared with 1.41x in YE2022 and the Morningstar DBRS-derived figure of 1.68x at issuance. In addition, cash flows have declined over the past few years. The annualized net cash flow (NCF) for the trailing nine-month (T-9) period ended September 30, 2023, was $6.3 million, down from $7.1 million for the YE2022 period. The two largest tenants are Macy's (26.0% of the net rentable area (NRA) with a lease through September 2027) and JC Penney (15.0% of the NRA, with a lease through November 2024). Dillard's is also an anchor tenant but does not serve as collateral. A tenant sales report was not provided as of the date of this press release. Rollover risk is concentrated with leases representing 30% NRA scheduled to roll in the next 12 to 18 months. Given the increased risk associated with the upcoming tenant rollover, including the upcoming lease expiration for an anchor tenant, declining performance and dated property condition, Morningstar DBRS analyzed this loan with a stressed POD, resulting in an expected loss that is more than double the WA pool expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2018-1: Moody's Lowers Rating on Cl. B-4 Certs to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds and downgraded the rating of one bond from Wells Fargo Mortgage Backed Securities 2018-1 Trust, backed by prime jumbo qualified mortgages. Wells Fargo Bank, N.A. is the servicer and master servicer. The complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2018-1 Trust Cl. B-2, Upgraded to Aaa (sf); previously on Dec 21, 2021 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa1 (sf); previously on Dec 21, 2021 Upgraded to A2 (sf) Cl. B-4, Downgraded to Ba1 (sf); previously on Dec 21, 2021 Upgraded to Baa3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. The rating downgrade is due to an unpaid interest shortfall that remains outstanding for an extended period of time. Class B-4 has been accumulating unpaid interest shortfalls since July 2022. These shortfalls are the result of the servicer being reimbursed, from available funds, for past advances made to cover missed payments due to COVID-19 deferrals given to certain borrowers. The outstanding amount of unpaid interest shortfall is equal to 4.7% of the bond's original balance, as of the March 2024 distribution date. While Moody's believe the bond will eventually recoup its accrued and unpaid interest amount due to the presence of a strong reimbursement mechanism, the timing of that reimbursement is unclear. In addition, any interest shortfalls incurred do not bear interest as they are carried forward. Thus, given the existence of the shortfall, the uncertainty around timing of the reimbursement and the permanent loss of interest accrued on unpaid interest, Moody's have lowered Moody's rating accordingly. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. No actions were taken on the remaining rated classes in this deal as those classes are already at the highest achievable levels within Moody's rating scale. Principal Methodology The principal methodology used in these ratings 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 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. WELLS FARGO 2019-2: Moody's Hikes Rating on Cl. B-4 Certs From Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of nine bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo qualified mortgages. Wells Fargo Bank, N.A. is the servicer and master servicer. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=BzTXMT The complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2019-1 Trust Cl. B-3, Upgraded to Aaa (sf); previously on Jun 16, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa3 (sf); previously on Dec 21, 2021 Upgraded to Baa3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2019-2 Trust Cl. B-3, Upgraded to Aaa (sf); previously on Jun 16, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to A1 (sf); previously on Jan 28, 2020 Upgraded to Ba1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2019-3 Trust Cl. B-3, Upgraded to Aaa (sf); previously on Jun 16, 2023 Upgraded to A2 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Oct 30, 2019 Upgraded to Ba1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2019-4 Trust Cl. B-2, Upgraded to Aaa (sf); previously on Jun 16, 2023 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Jun 16, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Nov 22, 2019 Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. No actions were taken on the remaining rated classes in these deals as those classes are already at the highest achievable levels within Moody's rating scale. Principal Methodologies The principal methodology used in these ratings 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 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. ZIPLY FIBER: Fitch Rates Series 2024-1C Class C Notes 'BB-' ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Ziply Fiber Issuer, LLC's, Secured Fiber Network Revenue Notes, Series 2024-1 and 2024-2 as follows: - $400.0 million(a) 2024-2 class A-1 'A-sf'; Outlook Stable; - $1,144.2 million 2024-1 class A-2 'A-sf'; Outlook Stable; - $159.6 million 2024-1 class B 'BBB-sf'; Outlook Stable; - $289.9 million 2024-1 class C 'BB-sf'; Outlook Stable. (a) This note is a Variable Funding Note (VFN) and has a maximum commitment of $400 million contingent on class A note leverage consistent with a 5.9x leverage ratio. This class will reflect a zero balance at issuance. Entity/Debt Rating Prior ----------- ------ ----- Secured Fiber Network Revenue Notes, Series 2024-1 and 2024-2 2024-1 A-2 LT A-sf New Rating A-(EXP)sf 2024-1 B LT BBB-sf New Rating BBB-(EXP)sf 2024-1 C LT BB-sf New Rating BB-(EXP)sf 2024-2 A-1 LT A-sf New Rating A-(EXP)sf TRANSACTION SUMMARY This transaction is a securitization of subscription and contract payments derived from an existing fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from operations of the collateral assets. The collateral consists of high-quality fiber lines that support the provision of broadband internet, voice and commercial services. The fiber network of consists of approximately 270,800 residential and small-medium businesses subscribers and 1.1 million households passed across four states in the Pacific Northwest. These assets represent approximately 50.3% of the sponsor's revenue for YE 2023. For the markets contributed to the transaction, the majority of the subscriber base, comprising 57.0% of annualized run rate revenue, is located in Washington, although the base is spread across a few distinct markets within the state. The collateral does not include Ziply's copper assets (47.2% of YE 2023 sponsor revenue) or video customer agreements (2.5%); however, copper assets and video customer agreements will be contributed to the asset entities pledged to the securitization. Operation of these assets and related expenses will be the responsibility of the manager, Northwest Fiber, LLC, and paid solely from copper and video revenues. The ratings reflect a structured finance analysis of cash flows from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Northwest Fiber, LLC (dba Ziply Fiber) KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $163.4 million, implying a 15.0% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.8x, versus the debt-to-issuer NCF leverage of 8.3x. Inclusive of the future cash flow required to draw upon the variable funding note (VFN) maximum balance of $400 million, Fitch's NCF flow would be $220.5 million, implying a 15.7% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.0x, compared with the debt-to-issuer NCF leverage of 7.6x. Credit Risk Factors: Major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks, scale and diversity of the customer base, market penetration and seasoning, capability of the operator and strength of the transaction structure. Technology-Dependent Credit: This transaction's senior classes do not achieve ratings above 'Asf' for reasons that include the specialized nature of the collateral and the potential for changes in technology to affect net revenue from the collateral assets. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that technological obsolescence would impair current cash flow expectations. That said, data providers continue to invest in and utilize this technology given that fiber optic cable networks are currently the fastest, highest capacity and most reliable means to transmit information. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of decreasing contract rates, higher expenses, customer churn, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 15.0% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'BBB-sf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from increasing contract rates, decreasing expenses, additional customers, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'Asf'; class C from 'BB-sf' to 'BBB-sf'. Upgrades, however, are unlikely given the issuer's ability to issue additional notes pari passu notes. In addition, the senior classes are capped in the 'Asf' category. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] DBRS Reviews 180 Classes from 27 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 180 classes in 27 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 27 transactions reviewed, 17 are classified as RMBS backed by reperforming mortgages and 10 are classified as legacy RMBS backed by manufactured housing, home equity line of credit, second lien, or scratch and dent mortgage collateral. Of the 180 classes reviewed, Morningstar DBRS upgraded 70 credit ratings and confirmed 110 credit ratings. The Affected Ratings are available at https://bit.ly/3U4d75q The Issuers are: C-BASS 2006-MH1 Trust Terwin Mortgage Trust 2005-11 Terwin Mortgage Trust 2005-5SL Terwin Mortgage Trust 2004-16SL Terwin Mortgage Trust 2004-18SL Terwin Mortgage Trust 2005-13SL GCAT 2019-RPL1 Trust Legacy Mortgage Asset Trust 2020-RPL1 MetLife Securitization Trust 2019-1 MetLife Securitization Trust, 2017-1 Mill City Mortgage Loan Trust 2017-2 Mill City Mortgage Loan Trust 2018-1 Mill City Mortgage Loan Trust 2018-3 Mill City Mortgage Loan Trust 2019-1 Mill City Mortgage Loan Trust 2018-2 Mill City Mortgage Loan Trust 2017-3 Mill City Mortgage Loan Trust 2018-4 Mill City Mortgage Loan Trust 2019-GS1 Mill City Mortgage Loan Trust 2019-GS2 GS Mortgage-Backed Securities Trust 2022-RPL2 GS Mortgage-Backed Securities Trust 2018-RPL1 Mill City Mortgage Loan Trust 2016-1 Mill City Mortgage Loan Trust 2017-1 Structured Asset Securities Corporation Mortgage Loan Trust 2006-ARS1 Greenpoint Mortgage Funding Trust 2005-HE4 SunTrust Acquisition Closed-End Seconds Trust, Series 2007-1 MASTR Specialized Loan Trust 2007-1 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 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. [*] DBRS Reviews 219 Classes from 25 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 219 classes in 25 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-qualified, re-performing, and small-balance commercial mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. Of the 219 classes reviewed, Morningstar DBRS upgraded 93 credit ratings and confirmed 126 credit ratings. The Affected Ratings are available at https://bit.ly/3U5wCus The Issuers are: MFA 2021-NQM1 Trust RUN 2022-NQM1 Trust MFA 2022-INV1 Trust Visio 2021-1R Trust Verus Securitization Trust 2021-2 Mill City Mortgage Loan Trust 2023-NQM2 CSMC 2018-RPL9 Trust CSMC 2019-RPL1 Trust Verus Securitization Trust 2020-2 CSMC Trust 2017-RPL1 Verus Securitization Trust 2021-R3 Citigroup Mortgage Loan Trust 2015-RP2 Starwood Mortgage Residential Trust 2021-2 Deephaven Residential Mortgage Trust 2022-2 Velocity Commercial Capital Loan Trust 2022-5 Velocity Commercial Capital Loan Trust 2022-2 Velocity Commercial Capital Loan Trust 2021-1 Velocity Commercial Capital Loan Trust 2022-3 Citigroup Mortgage Loan Trust 2018-RP2 Citigroup Mortgage Loan Trust 2019-RP1 Citigroup Mortgage Loan Trust 2022-RP1 Citigroup Mortgage Loan Trust 2021-RP3 Citigroup Mortgage Loan Trust 2021-RP2 Citigroup Mortgage Loan Trust 2018-RP1 Citigroup Mortgage Loan Trust 2018-RP3 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 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 methodologies applicable to the credit ratings are the U.S. RMBS Surveillance Methodology. [*] DBRS Reviews 310 Classes from 36 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 310 classes from 36 U.S. residential mortgage-backed securities (RMBS) transactions. All 36 transactions are generally classified as reperforming RMBS. Of the 310 classes reviewed, Morningstar DBRS upgraded 110 credit ratings and confirmed 200 credit ratings. The Affected Ratings are available at https://bit.ly/4anQ0bK The Issuers are: Towd Point Mortgage Trust 2017-5 Towd Point Mortgage Trust 2015-5 Towd Point Mortgage Trust 2015-3 Towd Point Mortgage Trust 2019-3 Towd Point Mortgage Trust 2017-6 Towd Point Mortgage Trust 2015-6 Towd Point Mortgage Trust 2017-3 Towd Point Mortgage Trust 2015-2 Towd Point Mortgage Trust 2018-2 Towd Point Mortgage Trust 2017-4 Towd Point Mortgage Trust 2019-1 Towd Point Mortgage Trust 2019-4 Towd Point Mortgage Trust 2015-4 Towd Point Mortgage Trust 2018-6 Towd Point Mortgage Trust 2018-3 Towd Point Mortgage Trust 2019-2 Towd Point Mortgage Trust 2019-HY2 Towd Point Mortgage Trust 2019-HY3 Towd Point Mortgage Trust 2019-HY1 Towd Point Mortgage Trust 2022-SJ1 Towd Point Mortgage Trust 2016-1 Towd Point Mortgage Trust 2016-4 Towd Point Mortgage Trust 2017-1 Towd Point Mortgage Trust 2016-2 Towd Point Mortgage Trust 2015-1 Towd Point Mortgage Trust 2018-1 Towd Point Mortgage Trust 2016-5 Towd Point Mortgage Trust 2017-2 New Residential Mortgage Loan Trust 2019-RPL3 New Residential Mortgage Loan Trust 2020-RPL1 New Residential Mortgage Loan Trust 2018-RPL1 New Residential Mortgage Loan Trust 2019-RPL2 Towd Point Mortgage Trust 2016-3 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2022-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1 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: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Takes Rating Actions on Five Data Center Transactions -------------------------------------------------------------- On January 23, 2024, Morningstar DBRS finalized its "Rating and Monitoring Data Center Transactions" methodology (the Methodology). The Methodology presents the criteria for which global data center transaction credit ratings are assigned and/or monitored. The Affected Ratings are available at https://bit.ly/43ThaFe The Issuers are: DC Commercial Mortgage Trust 2023-DC BX Commercial Mortgage Trust 2021-VOLT BX Commercial Mortgage Trust 2023-VLT3 BX Commercial Mortgage Trust 2023-VLT2 J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-DATA As a result of the application of the Methodology, inclusive of consideration for updated transaction performance data, DBRS Inc. (Morningstar DBRS) took rating actions on 32 classes in five data center transactions. Of the 32 classes, Morningstar DBRS confirmed its credit ratings on 30 classes and upgraded two classes in the J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-DATA transaction. All trends are Stable. The credit rating confirmations reflect the generally stable performance of the underlying collateral, which is performing in line with Morningstar DBRS' expectations. Morningstar DBRS determined its Periodic net cash flow (NCF) of the underlying properties by applying the methodology. Morningstar DBRS typically makes adjustments to the property rental stream to account for vacancies, market rents, other income, reimbursable expenses per the lease terms, and any other relevant items. To estimate the collaterals' normalized revenue stream, the Morningstar DBRS analysis included a review of lease terms along with third-party market reports, appraisal data, property condition assessment, environmental site assessment, and relevant market data provided at the time of initial rating. Morningstar DBRS determined the credit ratings on each class of certificates by performing quantitative and qualitative collateral, structural, and legal analyses. For this analysis, Morningstar DBRS relied on structural and legal analyses conducted at issuance. This analysis incorporates the Morningstar DBRS "Rating and Monitoring Data Center Transactions" methodology and the Morningstar DBRS Data Center - Base LTV Sizing Benchmarks. Morningstar DBRS determined the net present value (NPV) of the underlying properties by applying its "Rating and Monitoring Data Center Transactions" methodology. BX Commercial Mortgage Trust 2021-VOLT The property-level Base Year NCF was determined assuming the in-place lease rates at issuance. Reimbursements were based on the in-place levels in the issuer rent rolls, which equated to approximately $236 per kilowatt (kW). Expenses were concluded in line with the trailing 12 months ended July 31, 2021, plus expenses for booked-but-not-billed expenses, which were above the historical levels. For the NPV calculation, Morningstar DBRS inflated the contractual rent revenues by 2.0% per annum. Other revenue items are concluded at a 2.0% annual increase. The vacancy rate of 7.31% was determined from the unleased power capacity in the rent roll. The operating expenses were inflated by 3.0% per annum from the base year, which is consistent with historical levels of inflation. The management fee was concluded at the contractual rate of 3.5%. In order to conclude an NPV, Morningstar DBRS computed a Periodic NCF through the maturity year of 2026 and a reversion value projected in 2026. The reversion value was concluded at 7.50%. While the portfolio of assets includes superior facilities in Northern Virginia, it also includes older facilities and some co-location facilities in other markets. Therefore, the concluded cap rate is higher than in other hyperscale data center transactions. The discount rate of 9.0% represents a spread of 150 basis points over the cap rate and is consistent with observations of the spreads presented in data center appraisals. The resulting value of $3.66 billion represents a 30.9% variance to the appraised value at issuance. Morningstar DBRS applied a total of 6.0% of qualitative adjustments. A 2.0% credit was applied to the loan-to-value (LTV) Sizing Benchmarks for Power Availability. While the bulk of the properties are in the strong Northern Virginia market, several properties are in less robust markets, which accounts for the lower credit applied than in comparable transactions. For similar reasons, a 2.0% credit was applied for connectivity and for the capacity in Northern Virginia, with less credit applied to the properties in other markets. Finally, a 2.0% credit was applied for the N+1 redundancy throughout the portfolio, which is configurable to 2N in the key Virginia and Atlanta facilities. No data on renewable resources was presented; however, during the site inspection, the borrower representative indicated that the sponsor acquired carbon offsets as part of meeting its climate goals. J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-DATA In Morningstar DBRS' analysis of the Base Year NCF, rental revenue is based on the in-place executed triple net (NNN) lease to Google LLC (Google). Reimbursements reflect a full recovery of operating expenses at the property because of the absolute NNN nature of the lease. Morningstar DBRS applied a 5% general vacancy rate because Google's lease has an initial expiration in 2029 with a termination option commencing in March 2024 and does not qualify for long-term credit tenant (LTCT) treatment. Morningstar DBRS assumed that Google would not terminate its lease in 2024 for two reasons. First, the second phase of the property was delivered in 2021 when the capacity was still ramping up and Google would be responsible for a termination fee equal to the present value of all remaining lease payments through 2029 should it exercise the option. Expenses in Morningstar DBRS's Base Year NCF were based on an overall expense load of $8.50 per kW per month, consistent with comparable properties, inclusive of a 3.0% management fee. All expenses are fully reimbursable by the tenant. Stabilized leasing costs of $2.89 per square foot were applied in addition to replacement reserves of $4.00 per kW per month. For the purposes of the NPV, the periodic cash flows through the loan maturity date incorporate contractual rent steps of 2.25%, a vacancy factor of 5.0%, and expense inflation of 3.0% per year. In the NPV analysis, tenant improvement/leasing commission was taken in the year of the lease rollover at a 75% renewal probability. Upon concluding Periodic NCFs one year beyond the loan maturity, Morningstar DBRS used a reversionary cap rate of 7.00% and a discount rate of 8.25%. Morningstar DBRS increased the cap rate to 7.00% from the cap rate of 6.75% at issuance because of the change in the interest rate environment and sustainable market cap rates. This resulted in a Morningstar DBRS reversion value of $447.7 million and NPV of $388.7 million, which is greater than the Morningstar DBRS value of $341.6 million at issuance. The increase in valuation from issuance in 2022 is due to the additional cash flow generated by the contractual annual rent steps to loan maturity in the NPV analysis versus the single year of incremental rent credit applied at issuance. Morningstar DBRS applied 7.00% of total qualitative adjustments. Morningstar DBRS applied a 3.00% benefit to the LTV Sizing Benchmarks because of the 46.6 megawatt (MW) hyperscale power capabilities and availability. Given the property's location in Northern Virginia, the largest data center market globally, it benefits from the most connected market in the world. As a result, Morningstar DBRS applied a 3.00% benefit to the LTV Sizing Benchmarks for connectivity. No explicit information related to renewable power contracts at the collateral was provided. As a result, Morningstar DBRS did not give benefit to the LTV Sizing Benchmarks for renewable energy. The collateral is configured with an N+1 redundancy, which represents a single backup component added to support a single failure. This level of redundancy is considered standard for a hyperscale data center. As a result, Morningstar DBRS applied a 1.00% benefit to the LTV Sizing Benchmarks for redundancy. Morningstar DBRS also penalized LTV Sizing Benchmarks by 0.50% for the lack of a warm body guarantor. Following the increase in sustainable value and tenant performance, Morningstar DBRS upgraded the credit ratings on Class E to BB (high) (sf) from BB (sf) and Class HRR to BB (sf) from BB (low) (sf). DC Commercial Mortgage Trust 2023-DC In Morningstar DBRS' NPV analysis, rental revenue for the Base Year NCF is based on the in-place leases in the rent roll. Reimbursements reflect a full recovery of utilities and partial recovery of other expenses as leases exhibited a modified gross structure. Morningstar DBRS applied a 7.0% vacancy reflecting the in-place level. Expenses in Morningstar DBRS' cash flow were based on an overall expense load of $64.75 per kW per month inclusive of a 1.5% management fee. Leasing costs ranging from $0.21 to $0.98 per kW were applied in addition to replacement reserves of $4.00 per kW per month. In developing the NPV, future cash flows in the NPV analysis through the loan term incorporate contractual rent steps of 2.00%, a vacancy factor of 7.00%, and expense inflation of 3.00% per year. Upon concluding the Periodic NCF to loan maturity, Morningstar DBRS utilized a reversionary cap rate of 7.50% and a discount rate of 9.00%. Morningstar DBRS maintained the cap rate of 7.50% from issuance. This resulted in a Morningstar DBRS reversion value of $1.375 billion and NPV of $1.185 billion, which is 0.95% higher than the Morningstar DBRS value of $1.174 billion at issuance. Morningstar DBRS applied 7.25% of total qualitative adjustments. Morningstar DBRS applied 2.50% benefit to the LTV Sizing Benchmarks because of the 104.0 MW hyperscale power capabilities and availability across three properties. Given the property's location in Northern Virginia, the largest data center market globally, the property benefits from the most connected market in the world. As a result, Morningstar DBRS applied a 2.75% benefit to the LTV Sizing Benchmarks for connectivity. No explicit information related to renewable power contracts at the collateral was provided. As a result, Morningstar DBRS did not give benefit to the LTV Sizing Benchmarks for renewable energy. The collateral is configured with an N+2 redundancy, which represents two backup components added to support a single failure. This level of redundancy is considered above standard for a hyperscale data center. As a result, Morningstar DBRS applied a 2.00% benefit to the LTV Sizing Benchmarks for redundancy. Morningstar DBRS also penalized the LTV Sizing Benchmarks by 0.50% for the lack of a warm body guarantor. BX Commercial Mortgage Trust 2023-VLT2 The transaction consists of two multitenant data centers and two fee-simple assets. The leased fee assets include a long-term lease to Microsoft to construct a data center, while the second asset is adjacent to an existing campus owned by the sponsor and leased to the developer of a retail and office property. In the Base Year NCF analysis, the rental revenue was based on the in-place rents for the fee-simple assets and leased fee assets. For the fee-simple assets, the reimbursements reflect a full recovery of power costs and partial recovery of other expenses as leases included modified gross structures. Morningstar DBRS applied a vacancy stress of 8.5% to the rental revenue based on in-place levels. Expenses were concluded at an overall expense load of $61.47 per kW per month inclusive of a 3.00% management fee. Total leasing costs of $1.12 kW per month were applied in addition to replacement reserves of $4.00 per kW per month. The future cash flows in the NPV analysis for the fee-simple assets through the loan term incorporate rent steps of 2.00%, a vacancy factor of 8.5%, and expense inflation of 3.0% per year. For the leased-fee assets, reimbursements reflect a near-full recovery of expense costs excluding a 1.0% management fee. Morningstar DBRS did not apply a vacancy stress, leasing costs, or capital expenditure (capex) costs given the leased-fee nature of the assets. Upon concluding the Periodic NCFs to loan maturity, Morningstar DBRS used a reversionary cap rate of 7.25% and a discount rate of 8.25% for the fee-simple assets and a 5.50% reversionary capitalization rate and 5.50% discount rate for the leased-fee assets. This resulted in a total Morningstar DBRS reversion value of $954.6 million and NPV of $846.8 million, which is 0.74% higher than the Morningstar DBRS value of $840.6 billion at issuance. Morningstar DBRS applied 7.00% of total qualitative adjustments. Morningstar DBRS applied a 3.00% benefit to the LTV Sizing Benchmarks because of the 80.5 MW hyperscale power capabilities and availability across the two fee-simple properties in Northern Virginia. Given the property's location in Northern Virginia, the largest data center market globally, it benefits from the most connected market in the world. As a result, Morningstar DBRS applied a 3.00% benefit to the LTV Sizing Benchmarks for connectivity. No explicit information related to renewable power contracts at the collateral was provided. As a result, Morningstar DBRS did not give benefit to the LTV Sizing Benchmarks for renewable energy. The collateral is configured with an N+1 redundancy, which represents a single backup component added to support a single failure. This level of redundancy is considered standard for a hyperscale data center. As a result, Morningstar DBRS applied a 1.00% benefit to the LTV Sizing Benchmarks for redundancy. Morningstar DBRS penalized the LTV Sizing Benchmarks because of the partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 30.00% of the unpaid principal balance. The penalty was applied to account for the nature of certain prepayments. Morningstar DBRS also penalized the LTV Sizing Benchmarks for a weak deleveraging premium. BX Commercial Mortgage Trust 2023-VLT3 In the Morningstar DBRS analysis of the Base Year NCF, rental revenue was based on the in-place executed NNN lease for the AAA-rated single tenant. The tenant qualified for LTCT treatment per the Methodology and, as such, no vacancy adjustment or capex was concluded. Because of the absolute-NNN lease structure, all expenses are fully reimbursable by the tenant and included in the effective gross income. For the NPV analysis, Morningstar DBRS used Periodic NCFs through the Anticipated Repayment Date plus one year. Morningstar DBRS used a reversionary cap rate of 7.25% and a discount rate of 8.00%. This resulted in a Morningstar DBRS reversion value of $713.9 million and NPV of $667.7 million, which is largely consistent with Morningstar DBRS issuance valuation of $673.5 million. The minor decrease in valuation from the 2023 issuance value was the result of a slight decline in rent-step credit because of the application of the discount rate during the lease term to the anticipated repayment date (ARD). At issuance, the Morningstar DBRS cash flow incorporated a straight-line rent credit without an NPV analysis. Morningstar DBRS applied 6.25% of total qualitative adjustments. As a result of the total capacity load of 42 MW and its density, Morningstar DBRS applied a 3.00% benefit to the LTV Sizing Benchmarks for power. Given the property's location in Phoenix, the collateral enjoys low latency to the West Coast. As a result, Morningstar DBRS applied a 2.0% benefit to the LTV Sizing Benchmarks for connectivity. No explicit information related to renewable power contracts at the collateral was provided. As a result, Morningstar DBRS did not give benefit to the LTV Sizing Benchmarks for renewable energy. The collateral is configured with an N+1 redundancy, which represents a single backup component added to support a single failure. This level of redundancy is considered standard for a hyperscale data center. As a result, Morningstar DBRS applied a 1.00% benefit to the LTV Sizing Benchmarks for redundancy. This transaction incorporated an anticipated repayment structure, which Morningstar DBRS views as credit positive as the soft maturity and full cash flow sweep allows for deleveraging of the loan if not repaid at the ARD. Hence, Morningstar DBRS adjusted its LTV Sizing Benchmarks by approximately 2.5% for the five-year ARD structure, assuming some paydown from the cash flow sweeps in the post-ARD period. Morningstar DBRS also penalized the LTV Sizing Benchmarks by 0.50% for the lack of a warm body guarantor and weak qualified transferee criteria. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Moody's Takes Action on $132MM of US RMBS Issued 2003-2007 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds from six US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE6 Cl. I-A-3, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Baa1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE9 Cl. I-A-2, Upgraded to A1 (sf); previously on Jun 5, 2023 Upgraded to Baa2 (sf) Cl. I-A-3, Upgraded to A1 (sf); previously on Jun 5, 2023 Upgraded to Ba2 (sf) Cl. II-A, Upgraded to A1 (sf); previously on Jun 5, 2023 Upgraded to Baa2 (sf) Cl. III-A, Upgraded to A2 (sf); previously on Jun 5, 2023 Upgraded to Baa2 (sf) Issuer: Ellington Loan Acquisition Trust 2007-2 Cl. A-1, Upgraded to A1 (sf); previously on Jun 6, 2023 Upgraded to Baa2 (sf) Cl. A-2c, Upgraded to Aaa (sf); previously on Jun 6, 2023 Upgraded to A1 (sf) Cl. A-2d, Upgraded to Aaa (sf); previously on Jun 6, 2023 Upgraded to A3 (sf) Cl. A-2f, Upgraded to Aaa (sf); previously on Jun 6, 2023 Upgraded to A3 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-B Cl. 2A-3, Upgraded to Aa1 (sf); previously on Jun 5, 2023 Upgraded to Baa1 (sf) Issuer: Impac CMB Trust Series 2004-5 Collateralized Asset-Backed Bonds, Series 2004-5 Cl. 1-M-1, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. 1-M-2, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa1 (sf) Cl. 1-M-3, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa2 (sf) Cl. 1-M-4, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa3 (sf) Cl. 1-M-5, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to A1 (sf) Cl. 1-M-6, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to A2 (sf) Issuer: RASC Series 2003-KS11 Trust Cl. M-II-1, Upgraded to Aaa (sf); previously on Jun 5, 2023 Upgraded to Aa3 (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. 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 interest risk from current or potential missed interest that remain unreimbursed. Principal Methodologies 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 Ups Ratings on $66.8MM of US RMBS Issued 2001-2006 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns ABS Trust Certificates, Series 2001-3 Cl. A-1, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded to A2 (sf) Cl. A-2, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded to A2 (sf) Cl. A-3, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded to A3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-16 Cl. 2-A-3, Upgraded to Ba1 (sf); previously on Oct 19, 2016 Upgraded to B1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF12 Cl. M-2, Upgraded to B1 (sf); previously on Oct 16, 2018 Upgraded to Caa2 (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. 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. This includes interest risk from current or potential missed interest that remain unreimbursed. Principal Methodologies 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. ********* 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. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. 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 ***