/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240616.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, June 16, 2024, Vol. 28, No. 167 Headlines 1988 CLO 5: S&P Assigns Prelim BB- (sf) Rating on Class E Notes 720 East CLO V: S&P Assigns BB- (sf) Rating on Class E Notes ACC TRUST 2022-1: Moody's Lowers Rating on Class B Notes to B1 AIMCO CLO 10: S&P Assigns BB- (sf) Rating on Class E-RR Notes ALESCO PREFERRED XIII: Moody's Ups Rating on $80MM B Notes to Ba1 ALLY BANK 2024-A: Moody's Assigns (P)B2 Rating to Class F Notes ARES LXXII: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes BALLYROCK CLO 2018-1: Moody's Cuts Rating on $10MM E Notes to Caa2 BAMLL 2024-FRR3: DBRS Gives Prov. B(low) Rating on Class D Certs BANK 2017-BNK9: Fitch Affirms 'B-sf' Rating on Two Tranches BANK5 2024-5YR7: Moody's Assigns Ba3 Rating to Cl. CIRA-3 Certs BARINGS CLO 2019-II: S&P Affirms 'BB- (sf)' Rating on D-R Notes BDS 2021-FL8: DBRS Confirms B(low) Rating on Class G Notes BELLEMEADE RE 2022-1: Moody's Ups Rating on Cl. M-1C Certs to Ba1 BENEFIT STREET V-B: Moody's Assigns (P)B3 Rating to Cl. F-R Notes BENEFIT STREET XXXV: S&P Assigns BB- (sf) Rating on Class E Notes BREAN ASSET 2024-RM8: DBRS Gives Prov. B Rating on M4 Notes CARLYLE GLOBAL 2014-4-R: S&P Lowers Cl. D Notes Rating to 'B+(sf)' CARLYLE US 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes CARVANA AUTO 2024-P2: S&P Assigns BB+ (sf) Rating on Class N Notes CFMT 2024-HB13: DBRS Gives Prov. B Rating on Class M5 Notes CHASE HOME 2024-5: DBRS Gives Prov. B(low) Rating on B5 Certs CIFC FUNDING 2019-VI: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CITIGROUP 2021-KEYS: DBRS Confirms B(low) Rating on G Certs CITIGROUP 2024-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs CITIGROUP COMMERCIAL 2014-GC25: DBRS Cuts Class XE Rating to BB COMM 2015-CCRE24: DBRS Confirms B Rating on Class E Certs COMM 2020-CBM: DBRS Confirms BB(low) Rating on Class F Certs CONNECTICUT AVENUE 2022-R05: Moody's Upgrades 3 Tranches to B1 CROWN CITY VI: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes CSAIL 2015-C3: DBRS Confirms B Rating on Class X-F Certs CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on E Certs DBSG 2024-ALTA: DBRS Gives Prov. BB(high) Rating on HRR Certs DIAMETER CAPITAL 7: S&P Assigns Prelim BB- (sf) Rating on D Notes DRYDEN 42: Fitch Assigns 'B-sf' Rating on Class F-RR Notes DRYDEN 45: Moody's Lowers Rating on $7.5MM Class F-R Notes to Caa2 DT AUTO 2023-2: S&P Affirms BB (sf) Rating on Class E Notes ELEVATION CLO 2016-5: Moody's Cuts $19.6MM E-R Notes Rating to B1 ELM TRUST 2024-ELM: Moody's Assigns Ba2 Rating to Cl. HRR-15 Certs FIGRE TRUST 2024-HE2: DBRS Gives Prov. B(low) Rating on F Notes FONTAINEBLEAU MIAMI 2019-FBLU: DBRS Confirms BB Rating on F Certs FREDDIE MAC 2021-HQA3: Moody's Hikes Rating on 16 Tranches to Ba1 GLS AUTO 2023-2: S&P Affirms BB- (sf) Rating of Class E Notes GREAT WOLF 2024-WLF2: DBRS Finalizes BB(high) Rating on HRR Certs GS MORTGAGE 2015-GC30: DBRS Cuts Class F Certs Rating to CCC GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on F Certs GS MORTGAGE 2024-PJ6: Moody's Assigns (P)Ba3 Rating to B-5 Certs GSMS 2024-MARK: Fitch Assigns 'B-(EXP)sf' Rating on Class F Certs HILDENE TRUPS P18C: Moody's Assigns Ba3 Rating to $7MM Cl. B Notes HIT TRUST 2022-HI32: DBRS Confirms B(low) Rating on G Certs HMH TRUST 2017-NSS: DBRS Cuts Certs Rating on 4 Classes to C HOME RE 2021-2: Moody's Upgrades Rating on Cl. M-2 Certs to Ba1 HPS LOAN 13-2018: S&P Affirms 'B- (sf)' Rating on Class F Notes HPS LOAN 2024-20: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes HUNTINGTON BANK 2024-1: Moody's Gives (P)B3 Rating to Cl. D Notes INVESCO U.S. 2024-3: S&P Assigns BB- (sf) Rating on Class E Notes JAMESTOWN CLO XV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes JP MORGAN 2024-5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs JW 2024-MRCO: Fitch Assigns 'BB+(EXP)sf' Rating on Class HRR Certs KKR CLO 40: Moody's Assigns Ba3 Rating to $20MM Class E-R Notes MADISON PARK XLIV: Fitch Assigns BB+(EXP)sf Rating on Cl. E-R Notes MMCAPS FUNDING XVII: Moody's Upgrades Rating on 2 Tranches to B2 MMCAPS FUNDING XVIII: Moody's Upgrades Rating on 3 Tranches to Ba1 MORGAN STANLEY 2015-C21: DBRS Confirms C Rating on 3 Tranches MORGAN STANLEY 2015-C23: DBRS Confirms B Rating on X-FG Certs MORGAN STANLEY 2017-ASHF: DBRS Confirms BB Rating on E Certs MORGAN STANLEY 2024-INV3: Moody's Assigns (P)B3 Rating to B-5 Certs MPOWER EDUCATION 2024-A: DBRS Finalizes BB Rating on C Notes NEW RESIDENTIAL 2024-RPL1: DBRS Finalizes B(high) on B5 Notes NGC 2024-I: S&P Assigns B- (sf) Rating on $8MM Class F Notes NORTHWOODS CAPITAL XII-B: Moody's Cuts Cl. F Notes Rating to Caa2 NYMT LOAN 2024-BPL2: DBRS Gives Prov. BB(low) Rating on M Notes OAKTOWN RE VI: Moody's Upgrades Rating on Cl. B-1 Certs to Ba1 OAKTREE 2019-4: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes OCTANE 2024-2: S&P Assigns Prelim BB (sf) Rating on Class E Notes OHA CREDIT XIV: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes PALMER SQUARE 2021-1: Moody's Ups Rating on $16MM D Notes From Ba1 POINT SECURITIZATION 2024-1: DBRS Finalizes BB Rating on B1 Notes PRPM 2024-RCF3: DBRS Finalizes BB(low) Rating on M2 Notes RASC TRUST 2003-KS4: Moody's Ups Cl. M-I-1 Certs Rating from Ba2 RCKT MORTGAGE 2024-INV1: Moody's Assigns (P)B3 Rating to B-5 Certs REGATTA X FUNDING: Fitch Assigns 'B-sf' Rating on Class F Notes SHELTER GROWTH 2023-FL5: DBRS Confirms B(low) Rating on G Notes SIXTH STREET XXV: S&P Assigns Prelim BB- (sf) Rating on E Notes TOWD POINT 2024-CES3: Fitch Assigns 'B-sf' Final Rating on B2 Notes TX TRUST 2024-HOU: DBRS Gives Prov. BB Rating on HRR Certs UNISON TRUST 2024-1: DBRS Gives Prov. BB Rating on Class B Notes VISTA POINT 2024-CES1: DBRS Finalizes B Rating on Class B-2 Notes WELLS FARGO 2024-1CHI: S&P Assigns Prelim 'B+' Rating on HRR Notes WESTLAKE AUTOMOBILE 2024-2: S&P Assigns BB (sf) Rating on E Notes WFRBS COMMERCIAL 2014-C23: DBRS Confirms B Rating on F Certs [*] DBRS Reviews 236 Classes From 21 US RMBS Transactions [*] DBRS Reviews 256 Classes in 18 US RMBS Transactions [*] DBRS Reviews 87 Classes in 14 US RMBS Transactions [*] S&P Takes Various Actions on 41 Classes from 7 US RMBS Deals [*] S&P Takes Various Actions on 44 Classes from 19 US RMBS Deals [*] S&P Takes Various Actions on 50 Classes from 14 US RMBS Deals [*] S&P Takes Various Actions on 54 Classes from 10 U.S. RMBS Deals ********* 1988 CLO 5: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to 1988 CLO 5 Ltd./1988 CLO 5 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 1988 Asset Management LLC, a subsidiary of Muzinich & Co. The preliminary ratings are based on information as of June 13, 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 1988 CLO 5 Ltd./1988 CLO 5 LLC Class A-1, $217.00 million: AAA (sf) Class A-L loans, $35.00 million: AAA (sf) Class A-2, $12.00 million: Not rated Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $49.20 million: Not rated 720 East CLO V: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to 720 East CLO V Ltd./720 East CLO V 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 Northwestern Mutual Investment Management Co. LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 720 East CLO V Ltd./720 East CLO V LLC Class A-1, $138.50 million: AAA (sf) Class A-1L loans, $145.00 million: AAA (sf) Class A-1N, $0.00 million: AAA (sf) Class A-2, $31.50 million: AAA (sf) Class B, $27.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $39.70 million: Not rated ACC TRUST 2022-1: Moody's Lowers Rating on Class B Notes to B1 -------------------------------------------------------------- Moody's Ratings has downgraded the ratings of two classes of notes from ACC Trust 2022-1 and US Auto Funding Trust 2022-1 asset-backed securitizations. For ACC Trust 2022-1 (ACC 2022-1), the notes are backed by pools of closed-end retail automobile leases to non-prime borrowers originated by RAC King, LLC, the parent company of American Car Center and serviced by Westlake Portfolio Management, LLC (WPM). For US Auto Funding Trust 2022-1 (USAUT 2022-1), the securitizations are backed by non-prime retail automobile loan contracts originated by US Auto Sales, Inc., an affiliate of US Auto Finance Inc. and serviced by WPM. The complete rating actions are as follows: Issuer: ACC Trust 2022-1 Class B Notes, Downgraded to B1 (sf); previously on Apr 5, 2024 Downgraded to Ba3 (sf) Issuer: US Auto Funding Trust 2022-1 Class B Notes, Downgraded to C (sf); previously on Apr 5, 2024 Downgraded to Ca (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The action on the Class B notes in ACC 2022-1 is driven by the continued slowdown in noteholder principal payments due to high loss rates and servicing fees, which increases the risk of the notes not fully paying down by the legal final maturity date of February 20, 2025. The action on the Class B notes in USAUT 2022-1 is primarily driven by material declines in credit enhancement available for the affected notes as well as weak pool performance. The actions consider continually high net loss rates for the underlying pools. Cumulative net loss-to-liquidation levels are 58.8% for ACC 2022-1 and 65.1% for USAUT 2022-1 as of April 30, 2024. Credit enhancement levels continue to decline for these securitizations. ACC 2022-1 and USAUT 2022-1 are currently undercollateralized, with the total note balances exceeding the pool balances by 111.8% and 88.2%, respectively. In USAUT 2022-1, with approval from the majority noteholder, the servicing fee has increased to 10% in February 2024, compared to servicing fees of 4.10% prior to December 2023. In ACC 2022-1, WPM is reimbursed for out-of-pocket expenses as part of the monthly servicing compensation. Furthermore, WPM expects to recoup previously unrecognized servicing expenses incurred for ACC 2022-1 between March 2023 and December 2023 over 12 periods beginning in February 2024. As a result, the total servicing expenses in May 2024 exceeded 14% for ACC 2022-1. Moody's rating actions consider the effect these higher fees have on excess spread and principal payments to the notes, and the potential for expenses to remain elevated in future periods. WPM has attributed the increase in servicing fees to increases in repossession and servicing expenses due to high loss rates on the underlying pools. 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. Moody's lifetime cumulative net loss expectations are noted for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. ACC Trust 2022-1: 58% US Auto Funding Trust 2022-1: 65% PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. AIMCO CLO 10: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from AIMCO CLO 10 Ltd./AIMCO CLO 10 LLC, a CLO managed by Allstate Investment Management Co., an indirect subsidiary of The Allstate Corp., that was originally issued in June 2019 and underwent a refinancing in August 2021. At the same time, S&P withdrew its ratings on the original class B-R, C-R, and D-R debt following payment in full on the June 12, 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-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt was issued at a floating spread over the three-month term SOFR. -- Both the stated maturity and the reinvestment period were extended five years. -- The non-call period was extended to June 2026. Replacement And August 2021 Debt Issuances Replacement debt -- Class A-RR, $288.02 million: Three-month CME term SOFR + 1.41% -- Class B-RR, $54.00 million: Three-month CME term SOFR + 1.75% -- Class C-RR (deferrable), $27.00 million: Three-month CME term SOFR + 2.05% -- Class D-1-RR (deferrable), $27.00 million: Three-month CME term SOFR + 3.00% -- Class D-2-RR (deferrable), $4.50 million: Three-month CME term SOFR + 4.25% -- Class E-RR (deferrable), $13.50 million: Three-month CME term SOFR + 5.65% -- Subordinated notes, $61.45 million: Not applicable August 2021 debt -- Class A-R, $292.50 million: Three-month CME term SOFR + 1.06% + CSA(i) -- Class B-R, $49.50 million: Three-month CME term SOFR + 1.60% + CSA(i) -- Class C-R (deferrable), $28.10 million: Three-month CME term SOFR + 1.90% + CSA(i) -- Class D-R (deferrable), $24.20 million: Three-month CME term SOFR + 2.90% + CSA(i) -- Class E-R (deferrable), $19.00 million: Three-month CME term SOFR + 5.95% + CSA(i) -- Subordinated notes, $42.70 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P siad, "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 AIMCO CLO 10 Ltd./AIMCO CLO 10 LLC Class A-RR, $288.02 million: AAA (sf) Class B-RR, $54.00 million: AA (sf) Class C-RR (deferrable), $27.00 million: A (sf) Class D-1-RR (deferrable), $27.00 million: BBB- (sf) Class D-2-RR (deferrable), $4.50 million: BBB- (sf) Class E-RR (deferrable), $13.50 million: BB- (sf) Ratings Withdrawn AIMCO CLO 10 Ltd./AIMCO CLO 10 LLC Class B-R to not rated from 'AA (sf)' Class C-R (deferrable) to not rated from 'A (sf)' Class D-R (deferrable) to not rated from 'BBB- (sf)' Other Debt AIMCO CLO 10 Ltd./AIMCO CLO 10 LLC Class A-R, $292.50 million: Not rated Class E-R, $19.00 million: Not rated Subordinated notes, $61.45 million: Not rated ALESCO PREFERRED XIII: Moody's Ups Rating on $80MM B Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Alesco Preferred Funding XIII, Ltd.: US$250,800,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2037, Upgraded to Aaa (sf); previously on July 31, 2017 Upgraded to Aa1 (sf) US$55,200,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Upgraded to Aa1 (sf); previously on July 31, 2017 Upgraded to Aa3 (sf) US$80,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037, Upgraded to Ba1 (sf); previously on July 31, 2017 Upgraded to Ba2 (sf) Alesco Preferred Funding XIII, Ltd., issued in November 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios since one year ago. The Class A-1 notes have paid down by approximately 30% or $22 million since one year ago, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, and Class B notes have improved to 405.5%, 197.0%, and 112.9%, respectively, from April 2023 levels of 313.0%, 179.77%, and 111.1%, respectively. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par (after treating deferring securities as performing if they meet certain criteria) of $211.5 million, defaulted/deferring par of $17.7 million, a weighted average default probability of 7.61% (implying a WARF of 824), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Moody's also considered, particularly for the Class B notes, the concentrated nature of the portfolio and the Class B notes' OC ratios. No actions were taken on the Class C-1 and Class C-2 notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. ALLY BANK 2024-A: Moody's Assigns (P)B2 Rating to Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the notes to be issued by Ally Bank Auto Credit-Linked Notes, Series 2024-A (ABCLN 2024-A). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2024-A is the first credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) Class F Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Ally Bank or as a result of a FDIC conservator or receivership. The expected source of principal payments will be the cash proceeds from the initial sale of the notes that will be held in a collateral account with a third-party eligible institution rated at least A2 or P-1 by Moody's. Ally will solely be responsible for interest payments and, in the unlikely event that the amount on deposit in the collateral account is less than the outstanding principal amount of the notes, also for the payments of principal. The Letter of Credit will be provided by a third party with a rating of A2 or P-1 by Moody's. As a result, the rated notes are not capped by the LT Issuer rating of Ally (Baa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience of Ally as the servicer. Moody's median cumulative net loss expectation for the ABCLN 2024-A reference pool is 1.30% and loss at a Aaa stress of 7.25%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes are expected to benefit from 9.65%, 7.70%, 5.80%, 4.60%, 3.40%, and 2.95% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. ARES LXXII: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXXII CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXII CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Ares LXXII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 24.19, versus a maximum covenant, in accordance with the initial expected matrix point of 27.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.16% versus a minimum covenant, in accordance with the initial expected matrix point of 71.95%. 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 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Ares LXXII CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BALLYROCK CLO 2018-1: Moody's Cuts Rating on $10MM E Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Ballyrock CLO 2018-1 Ltd.: US$57,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Upgraded to Aaa (sf); previously on Feb 27, 2023 Upgraded to Aa1 (sf) US$24,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on Feb 27, 2023 Upgraded to A1 (sf) US$33,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Baa1 (sf); previously on Apr 19, 2018 Assigned Baa3 (sf) Moody's has also downgraded the rating on the following notes: US$10,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa2 (sf); previously on Apr 19, 2018 Assigned B3 (sf) Ballyrock CLO 2018-1 Ltd., issued in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2023. The Class A-1 notes have been paid down by approximately 37% or $118.3 million since April 2023. Based on the trustee's April 2024 report[1], the OC ratios for the Class A, Class B, and Class C notes are reported at 135.96%, 125.26%, and 113.09%, respectively, versus April 2023 levels of 128.69%, 120.90%, and 111.65%, respectively[2]. Moody's notes that the April 2024 trustee-reported OC ratios do not reflect the April 2024 payment distribution, when $25.1 million of principal proceeds were used to pay down the Class A-1 Notes. The downgrade rating action on the Class E 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 deal has lost approximately $14.1 million or 2.8% of portfolio par compared to the deal's original ramp-up. No actions were taken on the Class A-1 and Class D 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: $362,306,624 Defaulted par: $6,863,145 Diversity Score: 71 Weighted Average Rating Factor (WARF): 2808 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.37% Weighted Average Recovery Rate (WARR): 47.78% Weighted Average Life (WAL): 3.58 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, 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 May 2024. 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. BAMLL 2024-FRR3: DBRS Gives Prov. B(low) Rating on Class D Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2024-FRR3 (the Certificates) to be issued by BAMLL Re-REMIC Trust 2024-FRR3 (BAMLL 2024-FRR3): -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by the beneficial interests in the Class D (principal-only) and Class X2-A (interest-only) multifamily mortgage-backed pass-through certificates from the Morningstar DBRS-rated underlying transaction, FREMF 2017-K63 Mortgage Trust, Series 2017-K63. Morningstar DBRS' credit ratings on this transaction depend on the underlying transaction's performance. The Class D underlying certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate is paid at the top of the waterfall in the underlying transaction. The Class X2-A underlying certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction, and is subject to fluctuations based on principal repayments in the pool. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal 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. 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. BANK 2017-BNK9: Fitch Affirms 'B-sf' Rating on Two Tranches ----------------------------------------------------------- Ratings has affirmed 13 classes of BANK 2017-BNK8 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK8. The Rating Outlook for classes A-S, B, C, and X-B were revised to Negative from Stable. The Outlook on classes D, E, X-D and X-E remain Negative. Fitch has also affirmed 14 classes of BANK 2017-BNK9 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK9. Fitch has revised the Outlook to Negative from Stable on class A-S. The Outlook on classes B, C, D, E, X-B, X-D and X-E remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK9 A-3 06540RAD6 LT AAAsf Affirmed AAAsf A-4 06540RAE4 LT AAAsf Affirmed AAAsf A-S 06540RAH7 LT AAAsf Affirmed AAAsf A-SB 06540RAC8 LT AAAsf Affirmed AAAsf B 06540RAJ3 LT AA-sf Affirmed AA-sf C 06540RAK0 LT BBBsf Affirmed BBBsf D 06540RAU8 LT BB-sf Affirmed BB-sf E 06540RAW4 LT B-sf Affirmed B-sf F 06540RAY0 LT CCCsf Affirmed CCCsf X-A 06540RAF1 LT AAAsf Affirmed AAAsf X-B 06540RAG9 LT AA-sf Affirmed AA-sf X-D 06540RAL8 LT BB-sf Affirmed BB-sf X-E 06540RAN4 LT B-sf Affirmed B-sf X-F 06540RAQ7 LT CCCsf Affirmed CCCsf BANK 2017-BNK8 A-3 06650AAD9 LT AAAsf Affirmed AAAsf A-4 06650AAE7 LT AAAsf Affirmed AAAsf A-S 06650AAH0 LT AAAsf Affirmed AAAsf A-SB 06650AAC1 LT AAAsf Affirmed AAAsf B 06650AAJ6 LT AA-sf Affirmed AA-sf C 06650AAK3 LT A-sf Affirmed A-sf D 06650AAU1 LT BBsf Affirmed BBsf E 06650AAW7 LT B-sf Affirmed B-sf F 06650AAY3 LT CCCsf Affirmed CCCsf X-A 06650AAF4 LT AAAsf Affirmed AAAsf X-B 06650AAG2 LT AA-sf Affirmed AA-sf X-D 06650AAL1 LT BBsf Affirmed BBsf X-E 06650AAN7 LT B-sf Affirmed B-sf KEY RATING DRIVERS Overall Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.1% for BANK 2017-BNK8, which reflects a decrease since Fitch's prior rating action and 6.8% in BANK 2017-BNK9, which is generally in line with Fitch's prior rating action. The BANK 2017-BNK8 transaction includes eight loans (38.3% of the pool) that have been identified as Fitch Loans of Concern (FLOCs). The BANK 2017-BNK9 transaction has eight FLOCs (29.1%), including one specially serviced loan, BWI Airport Marriott (4.8%). The Negative Outlooks in BANK 2017-BNK8 reflect deterioration in performance of the Park Square (10.2%), DHG Greater Boston Hotel Portfolio (6.6%), and Park Plaza II (1.0%) loans. In addition, the pool has a high exposure to office properties (51.2% of the pool). The Negative Outlooks in BANK 2017-BNK9, reflect continued performance deterioration and lack of stabilization of the FLOCs, particularly Park Square (6.8%) and Laguna Cliffs Marriott (9.7%) and a prolonged workout of the specially serviced BWI Airport Marriott (4.8%). In addition, the largest loan in the pool, Duane Morris Plaza (12.0%), has upcoming lease rollover concerns. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2017-BNK8 is the largest loan in the pool, Park Square (10.2%), which is secured by a 500,000-sf office building located in Boston, MA. The property's occupancy declined in 2022 after WeWork (previously 27.2% of the NRA; lease expiration July 2032) terminated their lease and vacated the property. The termination included a payment of $2.7 million, which was deposited with the lender. The property's largest tenants include Akeneo, Inc (9.0% of NRA, month-to-month), HNTB Corporation (5.2%, leased through June 2026), and Anaqua (5.1%, October 2026). The vacant WeWork space is yet to be backfilled; however, tenant HNTB Corporation is in the process of expanding its lease at the property to occupy a small portion (10,000-sf or 2.0% of NRA) of the former WeWork space. The property was 50.9% occupied as of the March 2024 rent roll compared to 48.3% at YE 2020, 52.9% at YE 2022 and 86.1% at YE 2021. NOI DSCR was 0.30x as of YE 2023, 1.10x at YE 2022, and 1.76x at YE 2021. The loan has been reported as current since issuance, and reported $692,378 in total reserves as of the May 2024 financial reporting. Near term lease rollover includes 1.4% of NRA in 2024 across three leases, and 4.5% of NRA in 2025 across five leases. According to CoStar, the property lies within the Back-Bay Office submarket of the Boston, MA market are. As of 1Q24, submarket asking rents average $41.30 psf and submarket vacancy rate was 12.2%. Fitch's 'Bsf' ratings case loss prior to concentration add-ons of 18.9% reflects a 9.5% cap rate applied to the YE 2022 NOI. The second largest contributor to expected losses in BANK 2017-BNK8 is the DHG Greater Boston Hotel Portfolio (6.6%) loan, which is secured by two full-service hotels, the VERVE Boston Natick (251 rooms) and Holiday Inn Boston-Bunker Hill (184 rooms), and one-select service hotel, Hampton Inn Boston Natick (188 rooms). The Hampton Inn Boston Natick franchise was renewed through April 2028, the Holiday Inn Boston-Bunker Hill has a franchise expiration in January 2028 and the VERVE Boston Natick has a franchise expiration in January 2035. The portfolio's YE 2023 NOI reflects a 21.3% decline from YE 2019 as the hotel's performance is still recovering since being impacted by the pandemic. The portfolio's YE 2023 occupancy, ADR and RevPAR were 59.7%, $159.26, and $95.39, respectively. Fitch requested updated STR reports for the portfolio properties, but the reports were not provided. Fitch's 'Bsf' case loss of 7.8% (prior to a concentration adjustment) is based on a 11.25% cap rate to the YE 2023 NOI. The largest contributor to overall loss expectations in the BANK 2017-BNK9 transaction is the specially serviced BWI Airport Marriott (4.8%) loan. The asset is a 315 key, full-service hotel located in Linthicum Heights, MD. The loan transferred to the special servicer in November 2020 due to imminent monetary default as a result of the COVID-19 pandemic. A foreclosure sale took place in April 2023 and the property is REO. According to the TTM April 2024 STR report, the hotel reported an occupancy, ADR and RevPAR of 78.9%, $132.85, and $104.86, respectively. The RevPAR penetration rate was 110.4% for the same period. The special servicer expects to market the property for sale at the end of 2024. Fitch's 'Bsf' case loss of 42.3% (prior to a concentration adjustment) is based on a 20% haircut to the most recent September 2023 appraisal valuation. The second largest contributor to expected losses in BANK 2017-BNK9 is the Park Square (6.8%) loan, which has been previously mentioned. A pari passu portion of the Park Square whole loan is securitized in BANK 2017-BNK8. Fitch's analysis and 'Bsf' case loss for the loan in BANK 2017-BNK9 is consistent with the BANK 2017-BNK8 transaction. Fitch is also monitoring the performance of the largest loan in BANK 2017-BNK9, Duane Morris Plaza (12.0%), which is secured by a 617,476-sf office property located in downtown Philadelphia, PA. The property's largest tenant, Duane Morris (39% of NRA, leased through March 2026) lease is scheduled to roll prior to the loan maturity date in November 2027. Duane Morris has two, five-year renewal options and one, three-year option at fair market value. Fitch's 'Bsf' case loss of 3.4% (prior to a concentration adjustment) is based on a 9.50% cap rate and 10% haircut to the YE 2022 NOI. In addition to its base case analysis, Fitch performed a sensitivity analysis for the loan that assumed a higher probability of default due to the upcoming rollover and concerns with the loan refinancing at maturity. This sensitivity analysis contributed to the Negative Outlooks for classes B, C, D, E, X-B, X-D and X-E and Outlook revision for class A-S. Increase in Credit Enhancement: As of the May 2024 distribution date, the aggregate balances of the BANK 2017-BNK8 and BANK 2017-BNK9 transactions have been reduced by 13.4% and 16.5%, respectively, since issuance. The BANK 2017-BNK8 transaction includes four loans (15.6% of the pool) that have fully defeased and six loans (7.8% of the pool) are fully defeased in BANK 2017-BNK9. Principal Loss and Interest Shortfalls: To date, the BANK 2017-BNK8 transaction has not incurred any realized principal losses. The BANK 2017-BNK9 transaction has incurred realized principal losses totaling $6.6 million which have been absorbed by the non-rated class G and Risk Retention class RRI. Interest shortfalls totaling $95,673 are impacting the non-rated class G and Risk Retention class RRI in the BANK 2017-BNK8 transaction and Interest shortfalls totaling $1.8 million are impacting the non-rated class G and Risk Retention class RRI in the BANK 2017-BNK9 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to these classes are possible should the Park Square (BANK 2017-BNK8 and BNK9) and Duane Morris Plaza (BANK 2017-BNK9) and a large portion of non-FLOCs fail to pay off and default at or before maturity, exposing these classes to prolonged workout losses. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, particularly Park Square (BANK 2017-BNK8 and BNK9) and Duane Morris Plaza (BANK 2017-BNK9), additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOC. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2024-5YR7: Moody's Assigns Ba3 Rating to Cl. CIRA-3 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seventeen classes of pooled CMBS securities, and three classes of loan-specific CMBS securities issued by BANK5 2024-5YR7, Commercial Mortgage Pass-Through Certificates, Series 2024-5YR7: Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-2-1, Definitive Rating Assigned Aaa (sf) Cl. A-2-2, Definitive Rating Assigned Aaa (sf) Cl. A-3-1, Definitive Rating Assigned Aaa (sf) Cl. A-3-2, Definitive Rating Assigned Aaa (sf) Cl. X-A*, Definitive Rating Assigned Aaa (sf) Cl. A-2-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-2-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-S, Definitive Rating Assigned Aa2 (sf) Cl. A-S-1, Definitive Rating Assigned Aa2 (sf) Cl. A-S-2, Definitive Rating Assigned Aa2 (sf) Cl. A-S-X1*, Definitive Rating Assigned Aa2 (sf) Cl. A-S-X2*, Definitive Rating Assigned Aa2 (sf) Cl. CIRA-1**, Definitive Rating Assigned Baa1 (sf) Cl. CIRA-2**, Definitive Rating Assigned Baa3 (sf) Cl. CIRA-3**, Definitive Rating Assigned Ba3 (sf) *Reflects interest-only classes **Reflects loan specific classes RATINGS RATIONALE The pooled certificates, which are Class A-1, Class A-2, Class A-3, Class A-S, Class X-A and the associated exchangeable classes are collateralized by 37 fixed-rate loans secured by 41 properties. The rated loan specific ("rake") certificates, which are Class CIRA-1, Class CIRA-2, and Class CIRA-3, are collateralized by a $45.0 million B-note, which is a junior component of a $90.0 million fixed-rate mortgage note secured by the borrower's fee simple interest in Cira Square, a single tenant office building located in Philadelphia, PA. The rake certificates will be entitled to receive distributions only from the B-Note, which will not be part of the pool of mortgage loans backing the pooled certificates. Similarly, the rake certificates will incur only losses that are allocated to the B-Note. Moody's assigned a Structured Credit Assessment ("SCA") of a2 (sca.pd) to the senior pooled component of the Cira Square loan, which represents approximately 7.9% of the pooled balance. The loan is secured by the borrower's fee simple interest in a 0.9 million SF single tenant office building located in Philadelphia, PA. Moody's assigned a SCA of aa3 (sca.pd) to the Saks Beverly Hills loan, which represents approximately 5.4% of the pooled balance. The loan is secured by the borrower's leasehold interest in a 0.1 million SF single tenant retail property located in Los Angeles, CA. Moody's assigned a SCA of a1 (sca.pd) to the Kenwood Towne Centre loan, which represents approximately 2.6% of the pooled balance. The loan is secured by the borrower's fee simple interest in a 1.0 million SF super-regional mall located in Cincinnati, OH Moody's assigned a SCA of a3 (sca.pd) to the Anaheim Desert Inn & Suites loan, which represents approximately 2.6% of the pooled balance. The loan is secured by the borrower's fee simple interest in a 147 key limited service hotel located in Anaheim, CA. Moody's assigned a SCA of a2 (sca.pd) to the Columbus Business Park loan, which represents approximately 2.2% of the pooled balance. The loan is secured by the borrower's fee simple interest in a 2.1 million SF industrial warehouse located in Columbus, OH. Moody's approach to rating CMBS deals combines both commercial real estate and structured finance analysis. Based on commercial real estate analysis, Moody's determines the credit quality of each mortgage loan and calculates an expected loss on a loan specific basis. Under structured finance, the credit enhancement for each certificate typically depends on the expected frequency, severity, and timing of future losses. Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's 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 Actual DSCR of 1.43X (1.27X excluding credit assessed loans) is worse than the average ratio for transactions Moody's rated during the four quarters ending 1Q 2024 of 1.52X (1.31X excluding credit assessed loans). The Moody's Stressed DSCR of 1.10X (0.98X excluding credit assessed loans) is worse than the average ratio for transactions Moody's rated during the four quarters ending 1Q 2024 of 1.16X (1.05X excluding credit assessed loans). With respect to the Cira Square mortgage loan, Moody's mortgage actual DSCR is 2.35x ,and Moody's first mortgage stressed DSCR is 1.74x. The pooled trust loan balance of $1,146,205,970 represents a Moody's LTV ratio of 99.1% (106.5% excluding SCAs), which is similar to the average ratio for transactions Moody's rated during the four quarters ending 1Q 2024, which showed an average MLTV ratio of 96.5% (106.2% excluding SCAs). With respect to the Cira Square mortgage loan, the first-mortgage balance of $90,000,000 represents a Moody's LTV of 66.1%. The Moody's adjusted LTV is 90.9% (97.6% excluding SCAs) based on Moody's adjusted Moody's value taking into account the current interest rate environment. This weighted average adjusted MLTV ratio is in-line with the average ratio for transactions Moody's rated during the four quarters ended 1Q 2024, which showed an average adjusted MLTV ratio of 88.3% (96.7% excluding SCAs). With respect to the Cira Square mortgage loan, the adjusted Moody's LTV Is also 59.7%. Moody's also considers both loan level diversity and property level diversity when selecting a ratings approach. With respect to loan level diversity, the pool's loan level Herfindahl score is 21.2. The transaction loan level diversity profile is worse than Moody's-rated transactions during the prior four quarters ended 1Q 2024, which averaged 19.7. With respect to property level diversity, the pool's property level Herfindahl score is 21.3. The following notable strengths of the transaction include: (i) five loans assigned investment grade SCAs; (ii) collateral quality; (iii) market composition; and (iv) minimal leverage dispersion. The following notable concerns of the transaction include: (i) low pool diversity; (ii) the pool's amortization profile; (iii) high single tenant share; (iv) high concentration within a single property type; (v) high weighted average coupon ("WAC"); (v) low acquisition financing share; and (vi) asset level legal considerations. 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 weighted average property quality grade is 2.03 (2.21 excluding credit assessed loans), which is better than the average ratio for transactions Moody's rated during the four quarters ending 1Q 2024 of 2.23 (2.47 excluding credit assessed loans). The principal methodology used in rating all classes except loan specific classes and interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis of credit enhancement levels for conduit deals is driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment-grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns 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. BARINGS CLO 2019-II: S&P Affirms 'BB- (sf)' Rating on D-R Notes --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A1-R, A2-R, B-R, C-R, and D-R debt from Barings CLO Ltd. 2019-II, a U.S. CLO transaction issued in April 2019 as a reissue of the Barings CLO Ltd. 2016-III transaction, which closed in December 2016. Barings CLO Ltd. 2019-II refinanced in May 2021 and is managed by Barings LLC. S&P also removed the rating on class D-R from CreditWatch, where S&P placed it with negative implications in April 2024. The rating actions follow our review of the transaction's performance using data from the May 2024 trustee report. S&P said, "We had placed the class D-R debt on CreditWatch on April 17, 2024, primarily because of its increased exposure to assets rated in the 'CCC' category, as well as its moderately low overcollateralization (O/C) level and preliminary indicative cash flow results." Since our May 2021 rating actions when the transaction refinanced, the transaction has not yet exited its reinvestment period and has seen no debt paydowns. The reported O/C ratios have increased since the January 2024 trustee report, which S&P used when placing its rating on the class D-R debt on CreditWatch negative: -- The senior O/C ratio rose to 129.58% from 129.26%. -- The class B O/C ratio rose to 120.08% from 119.78%. -- The class C O/C ratio rose to 111.88% from 111.60%. -- The class D O/C ratio rose to 107.32% from 107.05%. Since the January 2024 trustee report, collateral obligations with ratings in the default category have decreased to $1.06 million as of the May 2024 trustee report from $2.38 million as of January 2024. Obligations in the 'CCC' category also decreased during the same time, to $38.68 million from $46.83 million. As a result, all O/C ratios increased, owing to lower haircuts on defaulted and CCC exposures. S&P said, "In addition, the overall credit quality of the portfolio has improved since the refinancing, as a decline in our weighted average rating factor shows. Because of the positive trends since the CreditWatch placement, we affirmed the rating on the class D-R debt and removed it from CreditWatch negative. Our cash flow results also point to an affirmation." The affirmed ratings reflect adequate credit support at the current rating levels, although any further deterioration in the credit support available to the debt could result in further changes to ratings. S&P said, "Although our cash flow analysis indicated higher ratings for the class A2-R, B-R, and C-R debt, we decided not to upgrade these tranches to preserve cushion, given that the transaction still has nearly two years remaining in its reinvestment period and the portfolio is thus subject to change. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors, as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We 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 we deem necessary." Rating Affirmed And Removed From CreditWatch Negative Barings CLO Ltd. 2019-II Class D-R to 'BB- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Barings CLO Ltd. 2019-II Class A1-R: AAA (sf) Class A2-R: AA (sf) Class B-R: A (sf) Class C-R: BBB- (sf) BDS 2021-FL8: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------- DBRS Limited upgraded its credit ratings on two classes of notes issued by BDS 2021-FL8 Ltd. as follows: -- Class C to A (high) (sf) from A (sf) -- Class D to BBB (high) (sf) from BBB (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating upgrades reflect the increased credit support provided to the bonds as a result of successful loan repayments, which has resulted in a collateral reduction of 17.6% since Morningstar DBRS' last review in June 2023 and 35.9% since issuance. The transaction primarily consists of multifamily collateral, which represents 78.8% of the current trust balance across 12 loans. Morningstar DBRS expects the majority of those loans will successfully secure replacement financing, given the underlying collateral has demonstrated stable to improving operating performance over the last few reporting periods, as the respective borrowers have generally progressed toward completion of their stated business plans. The remaining two loans in the pool, which represent 21.2% of the current trust balance, are secured by office properties, both of which are exhibiting increased credit risk from issuance as performance declines and softening market conditions have delayed the successful execution of the borrowers' respective business plans. As such, Morningstar DBRS expects those borrowers to face difficulties in executing exit strategies over the near to medium term. However, the larger of the two office loans has a one-year maturity extension option and unadvanced loan future funding available, providing the sponsor additional time to work toward stabilization. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. The transaction closed in July 2021 with a cut-off pool balance totaling approximately $576.4 million, excluding approximately $47.2 million of future funding commitments. At issuance, the pool consisted of 23 floating-rate mortgage loans secured by 23 properties, most of which were in a period of transition with plans to stabilize and improve asset values. The collateral pool for the transaction was static; however, the issuer had the right to use principal proceeds to acquire fully funded future funding participations subject to stated criteria. The replenishment period ended with the August 2023 payment date. As of the April 2024 reporting, the pool comprises 14 loans secured by 14 properties with a cumulative trust balance of $369.3 million. Since issuance, nine loans with a former cumulative trust balance of $228.8 million have successfully repaid from the pool. Of these nine loans, five loans with a former trust balance of $99.7 million have repaid since Morningstar DBRS' prior credit rating action in June 2023. The loans are concentrated by properties in suburban locations, which Morningstar DBRS defines as markets with a Morningstar DBRS Market Rank of 3, 4, or 5. As of April 2024, 11 loans, representing 78.6% of the cumulative loan balance, were secured by properties in suburban markets. Two loans, representing 13.3% of the cumulative loan balance, were secured by properties in urban markets, defined as markets with a Morningstar DBRS Market Rank of 6, 7, or 8, while only one loan, representing 8.1% of the cumulative loan balance, was secured by a property located in a tertiary market, defined as markets with a Morningstar DBRS Market Rank of 2. Based on the as-is appraised value, leverage across the pool has remained relatively static, with a current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) of 70.8% (unchanged from closing) and a WA stabilized LTV of 68.4% (compared to 67.5% at closing). Morningstar DBRS recognizes, however, that select property values may be inflated as the majority of the individual property appraisals were completed in 2020 and 2021 and may not reflect the current rising interest rate or widening capitalization rate (cap rate) environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across three loans representing 32.3% of the current trust balance. Through April 2024, the collateral manager had advanced $19.0 million in loan future funding to nine of the 14 remaining individual borrowers, to aid in property stabilization efforts. The two loans with the largest future funding advances to date are the Stone Arbor Apartment Village loan (Prospectus ID#13; 6.3% of the pool balance) ($3.7 million) and the Eleven One Eleven loan (Prospectus ID#3; 12.0% of the pool balance) ($2.8 million). An additional $8.5 million of unadvanced loan future funding allocated to the borrower of the Eleven One Eleven loan remains outstanding. The Stone Arbor Apartment Village loan is secured by a multifamily property totaling 88 units in Oceanside, California. The borrower used loan future funding of $3.7 million to complete an extensive capital expenditure (capex) project across the property, including fully renovating all 88 unit interiors, in addition to exterior renovations involving a roof replacement, pool upgrades, and an overhaul of the clubhouse. The capex project is completed and the loan is fully funded. As of the December 2023 rent roll, the property was 96.6% occupied with an average rental rate of $2,807 per unit, surpassing the Morningstar DBRS stabilized rental rate projection of $2,295 per unit. The loan matures in August 2024 and, however, according to the collateral manager, the borrower has requested a one-year extension. Although the loan will meet the debt yield requirement, the collateral manager noted that the debt service coverage ratio (DSCR) threshold will not be met and as such, the borrower will be required to maintain an interest rate cap agreement and will likely be required to deposit funds into a debt service reserve to meet anticipated shortfalls. As of the April 2024 remittance, no loans were in special servicing; however, all 14 remaining loans, are on the servicer's watchlist, the vast majority of which are being monitored for upcoming maturity dates. The second largest loan on the servicer's watchlist, Eleven One Eleven is secured by a five-story, Class A office building in Reston, Virginia. The loan is currently being monitored for a low occupancy rate. According to the March 2024 rent roll the property was 74.9% occupied with the largest tenants at the property, General Dynamics Information Technology (GDIT; 58.4% of net rentable area (NRA) and Akami Technologies (7.4% of the NRA) on long-term leases through July 2027 and November 2029, respectively. The loan was structured with $11.3 million in future funding to cover leasing costs, carry out minor capital improvements associated with maintaining the 93.5% occupancy rate at closing, and backfilling existing vacant units; however, given leasing activity at the property has been slower than expected, only $2.8 million of future funding has been released to the borrower to date. The collateral manager confirmed that the borrower requested a loan modification to extend the expiration of the future-funding window by one year, from December 2023 to December 2024. The loan has an initial maturity date in January 2025, with one 12-month extension option. According to the YE2023 financial reporting, the property generated NCF of $3.79 million (a DSCR of 0.89 times (x)), relatively in line with the YE2022 NCF of $3.81 million (a DSCR of 1.44x) and the Morningstar DBRS NCF of $3.74 million. Given the floating rate nature of the loan, debt service obligations increased by almost 2.0x between issuance and YE2023, placing downward pressure on the DSCR. Morningstar DBRS maintains a cautious outlook for the loan, given the sustained upward pressure on office vacancy rates within the submarket, and continued uncertainty surrounding end-user demand in the near to medium term, which will challenge the borrower's efforts to backfill vacant space at the property. Moreover, the collateral manager noted that the property is held within the sponsor's (Meridien Realty Partners) second fund, which is facing liquidity issues given its substantial exposure to office assets. In the analysis for this review, Morningstar DBRS applied LTV adjustments to both the in-place and stabilized property value assumptions made by the appraiser at closing, resulting in an expected loss (EL) that was approximately 35.0% greater than the pool average. The third largest loan on the watchlist, 606-654 Venice Boulevard (Prospectus ID#4; 9.2% of the pool balance) is being monitored for a low occupancy rate, DSCR, and an upcoming final maturity date in September 2024. The interest-only loan was structured with an initial 16-month term and included two one-year extension options, both of which have been exercised by the borrower. The loan is secured by a five-building, 63,598 square foot (sf) creative office complex in the Los Angeles neighborhood of Venice. The property was previously 100.0% leased to Snap Inc. (Snap), which had been the sole tenant at the property since May 2015. Snap was not expected to renew its lease upon expiration as it had already begun to transition operations to its new office space at the Santa Monica Business Park. In Q4 2022, the borrower negotiated a termination agreement with Snap, with the tenant paying an $8.5 million termination fee. The loan was subsequently modified to allow for Snap's termination fee to be used to pay senior debt service obligations. The borrower has engaged CB Richard Ellis to lease up the property and, according to the Q4 2023 collateral manager report, membership club operator Soho House Group is interested in leasing approximately 45,000 sf of space at the subject, however an agreement has yet to be signed and the property continues to be 100% vacant. Morningstar DBRS notes that re-leasing vacant space could prove difficult given the subject's Class B construction and the declining demand for office space. There are reserves in place to fund potential costs should leases be signed, with $4.8 million in a tenant reserve as of April 2024. Although the collateral manager noted that the loan is expected to be repaid at maturity and the appraiser's concluded as-is value of $60.0 million at issuance results in a low LTV of 61.5% with a projected go-dark value only slightly lower at $58.8 million (well above the current loan amount of $34.0 million), Morningstar DBRS estimates the collateral's as-is value has likely declined considerably from issuance given the continued performance trends, lack of leasing activity in a soft market, and reduced investor appetite for the property type. Morningstar DBRS analyzed the loan with an elevated probability of default penalty, resulting in an EL that was approximately 32.0% greater than the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. BELLEMEADE RE 2022-1: Moody's Ups Rating on Cl. M-1C Certs to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine bonds from two US mortgage insurance-linked note (MILN) transactions issued in 2021 and 2022. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by ceding insurers on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bellemeade Re 2021-3 Ltd. Cl. A-2, Upgraded to Aaa (sf); previously on Mar 15, 2023 Upgraded to A1 (sf) Cl. M-1A, Upgraded to Aaa (sf); previously on Mar 15, 2023 Upgraded to A1 (sf) Cl. M-1B, Upgraded to Aa2 (sf); previously on Sep 28, 2021 Definitive Rating Assigned Baa2 (sf) Cl. M-1C, Upgraded to A2 (sf); previously on Sep 28, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Sep 28, 2021 Definitive Rating Assigned B1 (sf) Issuer: Bellemeade Re 2022-1 Ltd Cl. M-1A, Upgraded to Aa3 (sf); previously on Jun 7, 2023 Upgraded to Baa1 (sf) Cl. M-1B, Upgraded to A3 (sf); previously on Jan 31, 2022 Definitive Rating Assigned Baa3 (sf) Cl. M-1C, Upgraded to Ba1 (sf); previously on Jan 31, 2022 Definitive Rating Assigned Ba3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Jan 31, 2022 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, the current asset profile, and Moody's updated loss expectations on the underlying pool. Each of the transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses for each transaction and low delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 29% for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. Moody's analysis also considered the expected time of class M-1A from Bellemeade Re 2021-3 Ltd. getting paid down, which Moody's expect in the next 3 months, and class M-1A from Bellemeade Re 2022-1 Ltd., which Moody's expect to be paid down in the next 6-9 months. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. 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. BENEFIT STREET V-B: Moody's Assigns (P)B3 Rating to Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the "Refinancing Notes") to be issued by Benefit Street Partners CLO V-B, Ltd. (the "Issuer"). Moody's rating action is as follows: US$3,500,000 Class X Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$315,000,000 Class A-1R Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$500,000 Class F-R Secured Deferrable Floating Rate Notes due 2037, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. Benefit Street Partners, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score 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: Portfolio par: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3180 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing 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 Refinancing Notes. BENEFIT STREET XXXV: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Benefit Street Partners CLO XXXV Ltd./Benefit Street Partners CLO XXXV 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 Benefit Street Partners 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 Benefit Street Partners CLO XXXV Ltd./ Benefit Street Partners CLO XXXV LLC Class A, $349.25 million: AAA (sf) Class B, $68.75 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D (deferrable), $33.00 million: BBB- (sf) Class E (deferrable), $22.00 million: BB- (sf) Subordinated notes, $47.75 million: Not rated BREAN ASSET 2024-RM8: DBRS Gives Prov. B Rating on M4 Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2024-RM8 (the Notes) to be issued by Brean Asset Backed Securities Trust 2024-RM8: -- $156.0 million Class A1 at AAA (sf) -- $33.1 million Class A2 at AAA (sf) -- $189.1 million Class AM at AAA (sf) -- $1.8 million Class M1 at AA (sf) -- $1.8 million Class M2 at A (sf) -- $5.2 million Class M3 at BBB (sf) -- $5.1 million Class M4 at B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit rating reflects 115.4% of cumulative advance rate. The AA (sf), A (sf), BBB (sf), and B (sf) ratings reflect 116.5%, 117.6%, 120.8%, and 123.9% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the April 30, 2024, cut-off date, the collateral has approximately $163.8 million in current unpaid principal balance (UPB) from 432 performing and three called due fixed-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, townhomes, multifamily (two- to-four family) properties, cooperatives, planned unit developments, and manufactured homes. About 92.3% of the loans by UPB were originated between 2023 and 2024 and the rest between 2019 and 2022. All loans in this pool have a fixed interest rate with a 9.563% weighted-average coupon (WAC). Transaction Structure: The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such notes are paid off. No subordinate note shall receive any payments until the balance of senior notes has been reduced to zero. The note rate for the Class A1 and A2 Notes (collectively, the Class A Notes) will reduce to 0.25% if the Home Price Percentage (as measured using the Standard and Poor's (S&P) CoreLogic Case-Shiller National Index) declines by 30% or more compared with the value on the cut-off date. If the notes are not paid in full or redeemed by the issuer on the Expected Repayment Date in May 2029, the Issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from auction, to be applied to payments to all amounts owed. If the proceeds of the auction are not sufficient to cover all the amounts owed, the Issuer will be required to conduct an auction within six months of the previous auction. If, on any Payment Date the average one-month conditional prepayment rate (CPR) over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A Notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount and Interest Accrual Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an Issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE GLOBAL 2014-4-R: S&P Lowers Cl. D Notes Rating to 'B+(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class D and E notes from Carlyle Global Market Strategies CLO 2014-4-R Ltd., a U.S. collateralized loan obligation (CLO) managed by Carlyle CLO Management LLC. At the same time, S&P removed the class E notes from CreditWatch, where they were placed with negative implications on April 17, 2024. S&P also affirmed its ratings on the class A-1A, A-2, B, and C notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 2024, trustee report. Since S&P's June 2022 rating action, the class A-1A notes had total paydowns of $81.83 million that reduced its outstanding balance to 73.6% of its original balance. Following are the changes in the reported overcollateralization (O/C) ratios since the April 2022 trustee report, which S&P used for its previous rating actions: -- The class A O/C ratio improved to 132.20% from 129.49%. -- The class B O/C ratio improved to 119.95% from 119.65%. -- The class C O/C ratio declined to 110.19% from 111.55%. -- The class D O/C ratio declined to 104.88% from 107.04%. While the O/C ratios for the senior notes experienced a positive movement due to their lower balances, the O/C ratios for the junior notes 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 $37.81 million reported as of the May 2024 trustee report, compared with $18.92 million reported as of the April 2022 trustee report. Over the same period, the par amount of defaulted collateral has increased to $3.61 million from $2.42 million. This increased the scenario default rates of the portfolio, which in turn affected the credit support to the classes. The lowered ratings reflect deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D and E notes. The affirmed ratings reflect adequate credit support at the current rating levels. S&P said, "We also note that the results of the cash flow analysis indicate higher ratings on the class A-2 and B notes. However, our rating actions consider the stable O/C ratios, increase in defaults, and uptick in the 'CCC' exposure, and hence, we affirmed our current ratings on these classes 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 Carlyle Global Market Strategies CLO 2014-4-R Ltd. Class D to 'B+ (sf)' from 'BB- (sf)' Rating Lowered And Removed From CreditWatch Negative Carlyle Global Market Strategies CLO 2014-4-R Ltd. Class E to 'CCC+ (sf)' from 'B- (sf)/Watch Neg' Ratings Affirmed Carlyle Global Market Strategies CLO 2014-4-R Ltd. Class A-1A: AAA (sf) Class A-2: AA (sf) Class B: A (sf) Class C: BBB- (sf) CARLYLE US 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Ratings Outlook to Carlyle US CLO 2024-3, Ltd. Fitch marked class B notes as WD on April 26, 2024. They were no longer expected to be rated by Fitch. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2024-3, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT NRsf New Rating WDsf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Carlyle US CLO 2024-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 24.1, versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.9% versus a minimum covenant, in accordance with the initial expected matrix point of 73.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2; and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are '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 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 Carlyle US CLO 2024-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARVANA AUTO 2024-P2: S&P Assigns BB+ (sf) Rating on Class N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2024-P2's asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 14.94%, 12.19%, 10.26%, 6.53%, and 7.98% credit support (hard credit enhancement and haircut to excess spread) for the class A (class A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.33x, 2.33x, and 1.73x coverage of S&P expected cumulative net loss of 2.35% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x 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 N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Carvana Auto Receivables Trust 2024-P2(i) Class A-1, $56.15 million: A-1+ (sf) Class A-2, $161.00 million: AAA (sf) Class A-3, $161.00 million: AAA (sf) Class A-4, $93.80 million: AAA (sf) Class B, $17.76 million: AA+ (sf) Class C, $8.87 million: A+ (sf) Class D, $8.63 million: BBB+ (sf) Class N(ii), $15.00 million: BB+ (sf) (i)Class XS notes will be issued, which are unrated and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CFMT 2024-HB13: DBRS Gives Prov. B Rating on Class M5 Notes ----------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Asset-Backed Notes, Series 2024-1 to be issued by CFMT 2024-HB13, LLC: -- $341.8 million Class A at AAA (sf) -- $53.4 million Class M1 at AA (low) (sf) -- $40.4 million Class M2 at A (low) (sf) -- $41.0 million Class M3 at BBB (low) (sf) -- $31.3 million Class M4 at BB (low) (sf) -- $35.3 million Class M5 at B (sf) The AAA (sf) rating reflects 36.1% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 26.1%, 18.5%, 10.9%, 5.0%, and -1.6% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (March 31, 2024), the collateral has approximately $534.6 million in unpaid principal balance (UPB) from 1,806 nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate-owned (REO) properties secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originally originated between 1998 and 2017. Of the total assets, 362 have a fixed interest rate (21.6% of the balance), with a 5.1% weighted-average coupon (WAC). The remaining 1,444 assets have floating-rate interest (78.4% of the balance) with a 6.7% WAC, bringing the entire collateral pool to a 6.4% WAC. All the mortgage assets in this transaction are nonperforming (i.e., inactive) assets. There are 942 mortgage assets in a foreclosure process (59.7% of balance), 402 are in default (16.6%), 106 are in bankruptcy (5.6%), 127 are called due (5.4%), and 229 are REO (12.8%). However, all these assets are insured by the U.S. Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses vis-à-vis uninsured loans. See the discussion in the Analysis section below. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 56.2% for these assets. The WA LTV is calculated by dividing the UPB by the maximum claim amount (MCA) plus the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, and M5 have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (May 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M5 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue additional accrued amounts. Morningstar DBRS does not rate these additional accrued amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amounts. In addition, the associated financial obligations for the Class A, M1, M2, M3, and M4 Notes include the related Cap Carryover and Interest Payment Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an Issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2024-5: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-5 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-5 (CHASE 2024-5) as follows: -- $466.0 million Class A-2 at AAA (sf) -- $466.0 million Class A-3 at AAA (sf) -- $466.0 million Class A-3-X at AAA (sf) -- $349.5 million Class A-4 at AAA (sf) -- $349.5 million Class A-4-A at AAA (sf) -- $349.5 million Class A-4-X at AAA (sf) -- $116.5 million Class A-5 at AAA (sf) -- $116.5 million Class A-5-A at AAA (sf) -- $116.5 million Class A-5-X at AAA (sf) -- $279.6 million Class A-6 at AAA (sf) -- $279.6 million Class A-6-A at AAA (sf) -- $279.6 million Class A-6-X at AAA (sf) -- $186.4 million Class A-7 at AAA (sf) -- $186.4 million Class A-7-A at AAA (sf) -- $186.4 million Class A-7-X at AAA (sf) -- $69.9 million Class A-8 at AAA (sf) -- $69.9 million Class A-8-A at AAA (sf) -- $69.9 million Class A-8-X at AAA (sf) -- $55.6 million Class A-9 at AAA (sf) -- $55.6 million Class A-9-A at AAA (sf) -- $55.6 million Class A-9-X at AAA (sf) -- $521.6 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) -- $5.8 million Class B-2 at A (low) (sf) -- $5.8 million Class B-2-A at A (low) (sf) -- $5.8 million Class B-2-X at A (low) (sf) -- $4.1 million Class B-3 at BBB (low) (sf) -- $1.9 million Class B-4 at BB (low)(sf) -- $1.4 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) credit ratings on the Certificates reflect 4.85% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 2.70%, 1.65%, 0.90%, 0.55%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. 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 478 loans with a total principal balance of $548,182,768 as of the Cut-Off Date (May 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 seven months. Approximately 99.1% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 0.9% of the pool are conforming mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage 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 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. CIFC FUNDING 2019-VI: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2019-VI, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2019-VI, Ltd. A-1 12555XAA9 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2 12555XAC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating X-R LT NRsf New Rating TRANSACTION SUMMARY CIFC Funding 2019-VI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed in December 2019. On June 11, 2024 (the refinancing date), the CLO's secured notes will be refinanced in whole from the proceeds of the new secured notes. 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 25.01, versus a maximum covenant, in accordance with the initial expected matrix point of 25.50. 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 97.31% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.30% versus a minimum covenant, in accordance with the initial expected matrix point of 73.45%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 CIFC Funding 2019-VI, 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. CITIGROUP 2021-KEYS: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-KEYS (the Certificates) issued by Citigroup Commercial Mortgage Trust 2021-KEYS as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since Morningstar DBRS' last review. The most recently reported net cash flow (NCF) indicates asset-level level performance that is stable-to-improving from Morningstar DBRS' issuance expectations. Historical occupancy remains strong, as does the local hospitality market with high barriers to entry, and the collateral benefits from experienced sponsorship in EOS Investors LLC. The loan is secured by the borrower's fee-simple interest in a 199-key full-service hotel, Isla Bella Beach Resort (Isla Bella), spanning more than 24 acres on Knights Key, with more than a mile of oceanfront exposure. Isla Bella is approximately two hours south of Miami, halfway between Islamorada and Key West. Amenities include five swimming pools, a 5,000-square-foot (sf) fitness and spa center, a 5,000-sf retail marketplace, and a 24-slip marina. The property also features three food and beverage outlets and offers banquets/catering services in conjunction with its 20,000 sf of meeting space. The sponsor, EOS Investors LLC, is an investment firm primarily operating in the hospitality sector. Its portfolio consists of a number of luxury hotels, including another hotel in the Florida Keys. At issuance, the sponsor was planning to invest an additional $3.1 million in upgrades to the property. The property, which was completed in 2019, benefits from high-quality finishes and a desirable location with much of the resort overlooking the ocean. Given the historically high barriers to entry within the submarket, the property is the only luxury hotel that has been developed in the Middle Keys in the past 20 years. The Florida Keys have outperformed virtually every hotel market in the U.S. in recent decades thanks to the ever-improving stock of destination resort hotels, the diverse array of unique experiences, surging Florida population, and airlift and statutory restrictions that prevent any material additions to new supply. Loan proceeds refinanced existing debt and returned $8.7 million of equity to the sponsor. The floating-rate interest-only loan has a current maturity date of October 2024, with two one-year extension options remaining, for a fully extended maturity date in October 2026. Only the third extension option includes a performance trigger, subject to a minimum debt yield of 10.0%. Per the most recent reporting, NCF and the debt service coverage ratio (DSCR) fell slightly from the time of the last credit rating action. The annualized NCF and DSCR were reported to be $19.1 million and 1.02 times (x) as of the trailing nine-month period ended September 30, 2023, a slight regression from the YE2022 figures of $21.7 million and 1.99x, respectively. However, the annualized Q3 financial figures remain in line with the Morningstar DBRS NCF of $16.8 million. The decline in DSCR reflects an increase in debt service payments, per the most recent reporting. Despite this dip, STR metrics remain strong. Per the December 2023 STR report, the property reported running 12-month occupancy rate, average daily revenue (ADR), and revenue per available room (RevPAR) of 81.9%, $539.36, and $441.55, respectively. The property is outperforming its competitive set across all metrics. For purposes of this review, Morningstar DBRS maintained the cash flow and valuation assumptions used when ratings were assigned. The Morningstar DBRS value of $197.5 million, based on the Morningstar DBRS NCF of $16.8 million and a capitalization rate of 8.5%, represents a loan-to-value ratio of 113.9% on the total secured debt and 93.7% on the Morningstar DBRS-rated debt. Qualitative adjustments totaling 6.00% were also maintained to represent the property's strong historical occupancy and stable cash flow expectations, high property quality, and irreplaceable beachfront location in a high barrier to entry market. Morningstar DBRS expects the property will continue to exhibit stable performance. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2024-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 84 classes of residential mortgage-backed securities (RMBS) issued by Citigroup Mortgage Loan Trust 2024-INV2, and sponsored by Citigroup Global Markets Realty Corp. The securities are backed by a pool of prime jumbo (5.8% by balance) and GSE-eligible (94.2% by balance) residential mortgages aggregated by Citigroup Global Markets Realty Corp, originated by multiple entities and serviced by Fay Servicing, LLC. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2024-INV2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-1-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-1-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-1-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-1-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1C, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-2-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-2-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-2-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-2-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-2A, Definitive Rating Assigned Aaa (sf) Cl. A-2B, Definitive Rating Assigned Aaa (sf) Cl. A-2C, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-3-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-3-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-3-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-3-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-3A, Definitive Rating Assigned Aaa (sf) Cl. A-3B, Definitive Rating Assigned Aaa (sf) Cl. A-3C, Definitive Rating Assigned Aaa (sf) Cl. A-3N, Definitive Rating Assigned Aaa (sf) Cl. A-3N-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-3N-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-3N-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-3N-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-3N-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-3NA, Definitive Rating Assigned Aaa (sf) Cl. A-3NB, Definitive Rating Assigned Aaa (sf) Cl. A-3NC, Definitive Rating Assigned Aaa (sf) Cl. A-4N, Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO1*, Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO2*, Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO3*, Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO4*, Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO5*, Definitive Rating Assigned Aa1 (sf) Cl. A-4NA, Definitive Rating Assigned Aa1 (sf) Cl. A-4NB, Definitive Rating Assigned Aa1 (sf) Cl. A-4NC, Definitive Rating Assigned Aa1 (sf) Cl. A-5-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-5-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-5-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-5-IOX*, Definitive Rating Assigned Aaa (sf) Cl. A-5-IO3X*, Definitive Rating Assigned Aaa (sf) Cl. A-5-IO4X*, Definitive Rating Assigned Aaa (sf) Cl. A-5-IO5X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-6-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-6-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-6-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-6-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-6A, Definitive Rating Assigned Aaa (sf) Cl. A-6B, Definitive Rating Assigned Aaa (sf) Cl. A-6C, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-7-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-7-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-7-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-7-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-7A, Definitive Rating Assigned Aaa (sf) Cl. A-7B, Definitive Rating Assigned Aaa (sf) Cl. A-7C, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-8-IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-8-IO3*, Definitive Rating Assigned Aaa (sf) Cl. A-8-IO4*, Definitive Rating Assigned Aaa (sf) Cl. A-8-IO5*, Definitive Rating Assigned Aaa (sf) Cl. A-8A, Definitive Rating Assigned Aaa (sf) Cl. A-8B, Definitive Rating Assigned Aaa (sf) Cl. A-8C, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.02%, in a baseline scenario-median is 0.67% and reaches 8.83% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CITIGROUP COMMERCIAL 2014-GC25: DBRS Cuts Class XE Rating to BB --------------------------------------------------------------- DBRS Limited downgraded its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-GC25 issued by Citigroup Commercial Mortgage Trust 2014-GC25 as follows: -- Class D to BB (high) (sf) from BBB (low) (sf) -- Class X-E to BB (sf) from BB (high) (sf) -- Class E to BB (low) (sf) from BB (sf) -- Class X-D to BBB (low) (sf) from BBB (sf) -- Class F to CCC (sf) from B (sf) -- Class X-F to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) Morningstar DBRS changed the trends on Classes D, E, X-D, and X-E to Negative from Stable. All other trends are Stable, with the exception of Classes F and X-F, which are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections for the pool. The sole loan in special servicing, Pinnacle at Bishop's Woods (Prospectus ID#12, 4.1% of the pool), received an updated appraisal, reflecting a significant value decline for the underlying collateral--a portfolio of three adjacent Class A office buildings--since issuance. With this review, Morningstar DBRS considered a liquidation scenario for that loan, resulting in total implied losses approaching $15.0 million, which would erode the nonrated Class G balance by approximately 50.0%. Outside of the specially serviced loans, the pool's largest and fourth largest loans Bank of America Plaza (Prospectus ID#1; 15.9% of the pool) and Stamford Plaza Portfolio (Prospectus ID#13; 4.0% of the pool), continue to exhibit increased default risk, details of which are outlined below. Morningstar DBRS notes that those loans could see reduced commitment from the respective borrowers and/or face difficulty securing replacement financing in the near to moderate term as performance declines from issuance and decreased tenant demand have likely eroded property values, further supporting the Negative trends on Classes D, E, X-D, and X-E. In the analysis for this review, Morningstar DBRS stressed those loans with an elevated probability of default (POD) penalty and/or loan-to-value ratio (LTV) to reflect the risk of maturity default, resulting in a weighted-average (WA) expected loss (EL) that was approximately 60.0% greater than the pool average. Additionally, the transaction is in wind-down with the majority of loans scheduled to mature in Q3 and Q4 2024. As of the April 2024 remittance, 56 of the original 62 loans remain in the pool, with a trust balance of $691.6 million, representing a collateral reduction of 17.9% from issuance. Twenty-four loans, representing 46.2% of the pool balance, are fully defeased. In addition, 32 loans, representing 49.7% of the current pool balance, are on the servicer's watchlist; however, 22 of those loans, representing 39.8% of the current pool balance, are being monitored for upcoming maturities and reported a WA debt service coverage ratio (DSCR) of approximately 1.8 times (x) as of the most recent year-end financials. The largest loan in the pool, Bank of America Plaza, is secured by a 1.4 million-square-foot (sf) Class A office complex in the Central Business District of Los Angeles. Although the loan saw an improvement in performance during the prior year, reporting a year-end (YE) 2023 occupancy rate and net cash flow (NCF) figures of 86.2% and $36.5 million (a DSCR of 2.23x), respectively, compared with the YE2022 figures of 84.8% and $28.9 million (a DSCR of 1.76x), 13 tenants, representing 21.2% of the total net rentable area (NRA), have leases scheduled to expire prior to YE2024. According to the servicer, the former fourth-largest tenant at the property, Alston & Bird LLP (5.6% of NRA), vacated upon lease expiry in December 2023, and the third-largest tenant, Shepperd Mullin Richer (12.7% of NRA), has indicated it will vacate the property upon lease expiry in December 2024. As a result, the property's implied occupancy rate will likely fall below 70.0% shortly after loan maturity in September 2024, further challenging the borrower's efforts to secure takeout financing. According to Reis, vacancy and average asking rental rates for Class A office properties within a one-mile radius were reported at 14.6% and $46.00 per sf (psf), respectively, as of YE2023, compared with the subject property's average in-place rental rate of $25.54 psf. Given the property's dated construction in 1974, with the most recent renovations reported in 2009, coupled with the anticipated increase in vacancy, downtown Los Angeles location, and increased capitalization rate environment, Morningstar DBRS notes that the property's as-is value has likely declined significantly from issuance. The issuance LTV was moderate at 66.1%, providing some cushion against the projected value deterioration to date; however, Morningstar DBRS anticipates an elevated LTV well in excess of 100.0% if vacancy were to fall below 70.0%. As such, Morningstar DBRS analyzed the loan with a stressed LTV ratio and an increased POD penalty, resulting in an expected loss (EL) that was approximately 40.0% greater than the pool average. The Pinnacle at Bishop's Woods loan (Prospectus ID#12, 4.1% of the pool), is secured by a portfolio of three adjacent Class B office buildings in Brookfield, Wisconsin. The loan was initially added to the servicer's watchlist in June 2021 because of a low DSCR, a decline in occupancy and deferred maintenance issues, subsequently transferring to the special servicer in March 2022 for payment default. According to the April 2024 reporting, the loan is 90+ days delinquent having last paid in December 2022. According to the servicer, a receiver is in place with plans to address life safety issues across the portfolio and actively market vacant space in an effort to stabilize the assets. A receiver sale for disposition of the assets was slated to be filed in April 2024. Morningstar DBRS has reached out to the servicer to inquire about the status of the filing, but a response remains outstanding as of the date of this press release. Performance across the portfolio has continued to deteriorate since the on-set of the pandemic with the YE2023 reporting reflecting a consolidated occupancy rate of 59.1%, compared with 64.8% in March 2023, 76.9% in June 2021, and 94.9% at issuance. Likewise, NCF has trended downward with the YE2023 figure of $806,021 (a DSCR of 0.43x), considerably below the issuance figure of $2.8 million (a DSCR of 1.52x). In addition, near-term lease rollover is elevated as tenant leases representing approximately 20.0% of the NRA are scheduled to expire within the next 12 months according to the most recent rent roll dated March 2023. According to the October 2023 appraisal, the property reported an as-is value of $21.1 million, a substantial decline from issuance appraised value of $45.3 million. Morningstar DBRS liquidated the loan in its analysis based on a haircut to the most recent appraised value, resulting in a loss severity in excess of 50.0%. The Stamford Plaza Portfolio is secured by four Class A office properties totaling 982,483 square feet (sf) in Stamford, Connecticut. The trust debt of $27.6 million is a pari passu portion of the $248.7 million whole loan. The loan was added to the servicer's watchlist in October 2018 for a low occupancy rate and DSCR. As of December 2023, the portfolio was 69.0% occupied, an improvement from 64.6% in September 2022, but down from 88.0% at issuance. The loan has consistently reported depressed cash flows for several years, with the DSCR well below breakeven since 2020. Per the YE2023 financial reporting, the portfolio generated $9.6 million of NCF (a DSCR of 0.58x), representing an approximately 60.0% decline from the Issuer's NCF of $22.8 million. As of April 2024, approximately $2.0 million is being held in reserve accounts. The rent roll is relatively granular with no tenant representing more than 6.2% of the net rentable area (NRA). Rollover risk is relatively moderate with leases representing approximately 13.7% of the NRA rolling within the next year; however, this figure is more significant given the already low in-place occupancy rate. The sponsor, RFR Holding LLC RFR), acquired the subject property in 2007 and has reportedly spent a significant amount of capital upgrading the building interiors, exteriors, and systems. RFR is currently advertising the portfolio's vacant space for lease with an asking rental rate of $48.00 psf, higher than the current average in-place rental rate of approximately $43.0 psf. According to Reis, the Stamford CBD submarket reported a Q4 2023 vacancy rate of 25.7% with asking rents of $46.92 psf. While the borrower has kept the loan current through sustained declines in performance, Morningstar DBRS estimates the collateral's as-is value has deteriorated significantly from issuance, with a balloon LTV ratio well over 100.0%, suggesting refinance risk at maturity in August 2024 remains high. Morningstar DBRS analyzed the loan with an elevated POD penalty and stressed LTV ratio, resulting in an expected loss that was approximately 130.0% greater than the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE24: DBRS Confirms B Rating on Class E Certs --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-CCRE24 issued by COMM 2015-CCRE24 Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-D at B (high) (sf) -- Class E at B (sf) -- Class F at B (low) (sf) -- Class G at CCC (sf) Morningstar DBRS changed the trends on Classes X-C, D, X-D, E, and F to Negative from Stable. All other classes carry Stable trends with the exception of Class G, which carries a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS). The trend changes reflect Morningstar DBRS' increased loss projections, attributed to the two loans in special servicing, one of which reported an updated appraisal for the collateral property since the prior rating action, indicating further value decline. In its analysis for this review, Morningstar DBRS liquidated both loans, with cumulative losses exceeding $33.0 million. Those losses would erode the non-rated Class H balance by approximately 82.0%, significantly reducing credit support for the lowest-rated principal bonds in the transaction, supporting the Negative trends for those classes. The increased risks for the pool also include a sizeable concentration of loans secured by office or mixed-use properties, representing 14.4% of the pool, facing elevated refinance risk. Morningstar DBRS notes that these loans could see reduced commitment from the respective borrowers and/or face difficulty securing replacement financing as performance declines from issuance and softening market conditions have likely eroded property values. For these loans, Morningstar DBRS applied probability of default (POD) penalties and/or stressed the loan-to-value (LTV) ratio assumptions, as applicable. These factors further support the Negative trends assigned with this review. The credit rating confirmations and Stable trends otherwise reflect the continued performance of the remaining loans in the transaction, which have generally experienced minimal changes since the last credit rating action and reported a weighted-average (WA) debt service coverage ratio (DSCR) of approximately 1.79 times (x) based on the most recent year-end financials available. As of the May 2024 remittance, 72 of the original 81 loans remain in the pool, representing a collateral reduction of 22.0% since issuance as a result of scheduled loan amortization, loan repayments, and one loan liquidation. There are 16 loans, representing 14.0% of the pool, that are fully defeased. The pool is concentrated by retail and hotel properties, with loans representing 23.3% and 22.4% of the pool, respectively. There are two loans, representing 5.4% of the pool, in special servicing, and 10 loans, representing 18.3% of the pool, on the servicer's watchlist, generally being monitored for low DSCRs. There have been minimal changes to the transaction's composition since the last rating; however, updated appraisals were received for both specially serviced loans. The largest specially serviced loan, Westin Portland (Prospectus ID#8; 4.7% of the pool), is secured by a 19-story, full-service, 205-key luxury hotel in the CBD of Portland, Oregon. The loan was transferred to the special servicer in June 2020 for payment default following sustained performance declines, which were exacerbated by the Coronavirus Disease (COVID-19) pandemic. A loan modification was executed in September 2022, including $5.0 million of new borrower equity to cure the loan. While the loan was reinstated in December 2022, performance continued to struggle, and the borrower requested the loan be returned to the special servicer, which occurred in October 2023 as a result of payment default. The loan remains delinquent as of the May 2024 reporting, and discussions regarding workout remedies remain ongoing. The hotel's performance has declined since 2017 due to a combination of new hospitality properties delivered to the submarket and the sponsor's rebranding of the hotel to the Dossier boutique brand from the original Westin flag in 2018, followed by the temporary closure of the hotel between March 2020 and October 2021. The property's restaurant tenant remains closed and is not expected to reopen. For the trailing 12-month (T-12) period ending February 29, 2024, the property reported occupancy, average daily rate, and revenue per available room (RevPAR) figures of 41.1%, $126, and $52, respectively. The RevPAR penetration rate for the T-12 period was 55.3%, a further decline from the T-12 ending January 31, 2023, rate of 59.6%, indicating the property continues to underperform relative to its competitive set. According to the June 30, 2023, T-12 financials, the loan reported a net cash flow of -$1.3 million (reflecting a DSCR of -0.37 times (x)). Morningstar DBRS notes that this is a further decline from the YE2022 figure of -$0.5 million and coverage has been below breakeven since YE2017. The February 2024 appraised value of $33.2 million, represents a 26.1% and 60.3% decline from the August 2022 and issuance values of $44.9 million and $83.6 million, respectively. Based on the total loan exposure, the loan has an LTV in excess of 150.0%. Morningstar DBRS' analysis includes a stressed haircut to the most recent appraised value, indicating a loss severity of nearly 60.0%. The largest loan on the servicer's watchlist is Two Chatham Center & Garage (Prospectus ID#6, 4.8% of the pool), secured by a mixed-use property consisting of a 290,501 square foot (sf) Class B office building, a 2,284 capacity parking garage, and a 5.3 acre land parcel in downtown Pittsburg. The property is part of a larger multiuse complex, which in addition to the collateral, consists of two other office towers, a hotel, and a residential condominium. The loan was added to the servicer's watchlist in October 2020 for a low DSCR and occupancy and has remained on the watchlist since given the precipitous decline in performance. As of December 2023, the property was 32.8% occupied, a further drop from 45.0% at YE2022, and 60.0% at issuance. The December 2023 DSCR was 1.07x, a slight increase from the YE2022 DSCR of 1.00x, as a result of a year-over-year increase in parking revenue; however, it is well below the issuance DSCR of 1.53x. The year-over-year drop in occupancy is mainly due to the departure of the previous largest tenant, Special Counsel Inc. (formerly 9.8% of the NRA) at its lease expiration in January 2023. According to the servicer's most recent commentary, while the leasing market remains weak, the borrower has been aggressively marketing the vacant spaces in hopes of increasing occupancy to refinance the loan, with $1.6 million available in leasing reserves. Parking revenue has also recently improved significantly following the reopening of the hotel, and as such, the borrower expects parking revenue to surpass the pre-pandemic level by 2025. Although the rebounded parking revenue, which is a signification portion to the property's revenue, has somewhat offset the low office occupancy rate, Morningstar DBRS remains concerned with the borrower's ability to re-lease the vacant office space given the construction of a new mixed-use project across the street from the collateral. In addition, approximately five tenants, representing 10.1% of the NRA, will have lease expirations prior to the loan's maturity in July 2025. Given the continued concerns with performance, lack of leasing activity, and the soft submarket, Morningstar DBRS expects a considerable decline in value for these assets. In the analysis for this review, Morningstar DBRS analyzed the loan with an elevated POD penalty and a stressed LTV ratio, resulting in an expected loss that was 3.5x the pool average. The second-largest loan on the watchlist is the Donald J. Trump-sponsored 40 Wall Street (Prospectus ID#7, 4.2% of the current pool balance). It is secured by the 71-story, 1.2 million sf office building at 40 Wall Street in Lower Manhattan, New York, one block from the New York Stock Exchange. The loan is pari passu, with accompanying notes secured in two other CMBS transactions, including one other transaction (WFCM 2015-LC22) that is also rated by Morningstar DBRS. The loan had a brief stint with the special servicer after the borrower allegedly engaged in fraudulent activity, which is currently being appealed by the defendants, and was returned to the master servicer in March 2024 for continued monitoring of occupancy and a low DSCR, reported at 1.13x as of YE2023. As of the December 2023 rent roll, the property reported an occupancy of 79.2% and an office rental rate of $35.15 psf. The occupancy rate has been declining year over year, with YE2022, YE2021, and issuance occupancy rates of 82.9%, 86.0%, and 97.8%, respectively. In 2023, Duane Reade (formerly 6.8% of the NRA), vacated its office space in March and its retail space in October, although the tenant continues to pay rent on the retail portion. The tenant terminated its lease ahead of its March 2028 expiration date and, based on the prospectus, was responsible for an approximate $500,000 fee. According to a leasing update, the borrower was able to sign eight new leases between May 2023 and March 2024 for 49,300 sf of space in total; however, the WA rental rate of these leases amounted to $42.46 psf, below the in-place average rental rate and well below the average asking rent of $61.60 psf for the Downtown submarket as of 2023 per Reis. In addition, these tenants were also granted a WA free rent period of eight months. There are also tenants, with leases totaling 12.7% of the NRA, scheduled to expire prior to loan maturity in July 2025, and Thornton Tomasetti (5.2% of the NRA; lease expiration in January 2033) has publicly indicated its plans of relocating to another building in the area. Per Thornton Tomasetti's website, the subject property is no longer listed as one of its office locations. It is not clear if Thornton Tomasetti had a termination option available. Given the sustained decline in performance and heightened vacancy, Morningstar DBRS estimates that the collateral's as-is value has declined significantly from issuance, with a balloon LTV ratio well over 100.0%, suggesting high refinance risk. Other areas of concern include the borrower and guarantor's ongoing litigation and the loan's ground lease payment that is scheduled to reset to fair market value in 2033, further elevating refinancing risk. Morningstar DBRS analyzed the loan with an elevated POD penalty and stressed LTV ratio, resulting in an expected loss that is nearly twice the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2020-CBM: DBRS Confirms BB(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-CBM issued by COMM 2020-CBM Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (sf) -- Class X-CP at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) Morningstar DBRS changed the trends on Classes X-CP, C, D, E, and F to Negative from Stable. All remaining trends are Stable. Although the portfolio continues to demonstrate incremental improvements in operating performance, as evidenced over the last few reporting periods, cash flow continues to lag well behind pre-pandemic levels. The Negative trends reflect Morningstar DBRS' concerns regarding the limited potential for pre-pandemic cash flow to be fully recaptured prior to the loan's maturity date in February 2025. In addition, performance declines from issuance may have eroded property values, which could impede the borrower's efforts to secure replacement financing in the near-to-medium term. Lastly, there is risk associated with the loan's interest-only (IO) structure, which does not allow for deleveraging given the lack of amortization. Travel restrictions and limited end-user demand resulting from the pandemic significantly affected operations across the collateral portfolio shortly after issuance. However, performance and net cash flow (NCF) have trended upward since the onset of the pandemic. According to the year-end (YE) 2023 financial reporting, the portfolio generated $66.9 million of NCF (a debt service coverage ratio (DSCR) of 2.73 times (x)), a considerable improvement from the YE2022, YE2021, and YE2020 figures of $61.9 million (a DSCR of 2.53x), $34.3 million (a DSCR of 1.40x), and -$15.7 million (a DSCR of -0.64x), respectively. Given this upward trajectory, Morningstar DBRS changed the trends on Classes E and F to Stable from Negative with the July 2022 rating action. Despite the continued improvement in cash flow, the variance between the in-place figures and the Morningstar DBRS NCF of $80.1 million (derived when ratings were assigned in September 2020) remains sizeable and may suggest flattening demand across the portfolio. Given the proximity to the final maturity date in 2025, an updated Morningstar DBRS value was derived, with the resulting Loan-To-Value (LTV) Sizing Benchmarks suggesting downward pressure, most notably for Classes C through F, further supporting the assignment of Negative trends with this review. The underlying $684.0 million loan is secured by a first-priority mortgage on the fee and leasehold interests in 52 limited-service hotel properties totaling 7,677 keys. The trust loan is part of a split loan structure composed of seven senior promissory notes with an aggregate principal amount of $298.0 million, one junior promissory note with an aggregate principal amount of $286.0 million, and four senior promissory non-trust notes totaling $100.0 million. The debt contributed to the transaction consists of the seven senior promissory notes and one junior promissory note totaling $584.0 million. The portfolio primarily includes older-vintage hotels, with 47 properties, representing 90.4% of the rooms, built in 1989 or earlier. All the hotels operate under the Courtyard by Marriott flag, benefiting from strong brand recognition as well as brand-wide reservation systems, marketing, and loyalty programs. The properties are located across 25 states, with concentrations in California, Florida, Illinois, and Colorado representing 25.2%, 7.6%, 7.1%, and 6.6% of the allocated loan amount, respectively. There was a $99.0 million reserve established at closing to fund capital improvements across the portfolio. As of the April 2024 reporting, most of that reserve has been depleted, with a current balance of $725,604. In addition, the servicer noted that a second reserve of approximately $70.0 million was slated to be collected over the first four years of the loan term to fund additional improvements to properties within the portfolio. Morningstar DBRS has reached out to the servicer to inquire about the balance of the second reserve but the response remains outstanding as of the date of this press release. The portfolio's consolidated occupancy has steadily improved from 30.0% at YE2020 to 63.0% at YE2023, but still trails the issuer's underwritten figure of 71.6%. However, average daily rates (ADR) have increased from issuance with the financial reporting for the trailing nine-month period ending September 2023 reflecting a weighted-average ADR of $151.60, considerably higher than the issuance figure of $131.40. On an aggregate basis, the portfolio has typically outperformed its competitive set, with occupancy, ADR, and revenue per available room penetration rates higher than 100.0% since 2016. The sponsor for the transaction is CBM Joint Venture Limited Partnership, a joint venture between affiliates of Clarion Partners, LLC (Clarion) and the Michigan Office of Retirement Services (the majority equity interest holder). Clarion acquired the portfolio and other interests between 2005 and 2012, investing $370.4 million toward capital expenditures prior to issuance with an ongoing commitment to the portfolio as evidenced by the continued capital investment and established reserves. Morningstar DBRS' analysis for this review considered an NCF of $65.6 million, which was derived by applying a 2.0% haircut to the YE2023 NCF. A 9.0% cap rate was applied to that value, resulting in an updated Morningstar DBRS value of $728.4 million (an implied LTV of 93.9%). Morningstar DBRS maintained positive qualitative adjustments, totaling 4.0% to account for the portfolio's globally recognized Marriott International brand affiliation and long-term management agreements, above-average quality given continuous sponsor investments, and location in some of the largest and strongest hospitality markets in the country. The updated Morningstar DBRS value represents a -18.1% variance from the value derived in March 2020 and a -38.5% variance from the as-is appraised value of $1.2 billion at issuance (an implied LTV of 57.7%). Notes: All figures are in U.S. dollars unless otherwise noted. CONNECTICUT AVENUE 2022-R05: Moody's Upgrades 3 Tranches to B1 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 172 bonds from three credit risk transfer (CRT) RMBS, which are issued by Fannie Mae to share the credit risk on a reference pool of mortgages with the capital markets. 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: Connecticut Avenue Securities Trust 2022-R05 Cl. 2-J1, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-J2, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-J3, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-J4, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K1, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K2, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K3, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K4, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-X1*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2-X2*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2-X3*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2-X4*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2-Y1*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y2*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y3*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y4*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2A-I1*, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2A-I2*, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2A-I3*, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2A-I4*, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2B-1, Upgraded to Ba1 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba2 (sf) Cl. 2B-1A, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2B-1B, Upgraded to Ba1 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba2 (sf) Cl. 2B-1X*, Upgraded to Ba1 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba2 (sf) Cl. 2B-1Y, Upgraded to Ba1 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba2 (sf) Cl. 2B-2, Upgraded to B1 (sf); previously on May 11, 2022 Definitive Rating Assigned B3 (sf) Cl. 2B-2X*, Upgraded to B1 (sf); previously on May 11, 2022 Definitive Rating Assigned B3 (sf) Cl. 2B-2Y, Upgraded to B1 (sf); previously on May 11, 2022 Definitive Rating Assigned B3 (sf) Cl. 2B-I1*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2B-I2*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2B-I3*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2B-I4*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2C-I1*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I2*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I3*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I4*, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-A1, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-A2, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-A3, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-A4, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B1, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B2, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B3, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B4, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-C1, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C2, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C3, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C4, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-D1, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D2, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D3, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D4, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D5, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-F1, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F2, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F3, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F4, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F5, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2M-1, Upgraded to A2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa1 (sf) Cl. 2M-2, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2A, Upgraded to Baa1 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2B, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2C, Upgraded to Baa3 (sf); previously on May 11, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2M-2X*, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2Y, Upgraded to Baa2 (sf); previously on May 11, 2022 Definitive Rating Assigned Baa3 (sf) Issuer: Connecticut Avenue Securities Trust 2022-R09 Cl. 2-J1, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-J2, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-J3, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-J4, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K1, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K2, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K3, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-K4, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y1*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y2*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y3*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y4*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2A-I1*, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2A-I2*, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2A-I3*, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2A-I4*, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2B-1, Upgraded to Ba2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba3 (sf) Cl. 2B-1A, Upgraded to Ba1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba2 (sf) Cl. 2B-1B, Upgraded to Ba3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned B1 (sf) Cl. 2B-1X*, Upgraded to Ba2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba3 (sf) Cl. 2B-1Y, Upgraded to Ba2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba3 (sf) Cl. 2C-I1*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I2*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I3*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I4*, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-A1, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2E-A2, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2E-A3, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2E-A4, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2E-C1, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C2, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C3, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C4, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-D1, Upgraded to Baa2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D2, Upgraded to Baa2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D3, Upgraded to Baa2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D4, Upgraded to Baa2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D5, Upgraded to Baa2 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa3 (sf) Cl. 2E-F1, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F2, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F3, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F4, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F5, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Cl. 2M-2A, Upgraded to Baa1 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Baa2 (sf) Cl. 2M-2C, Upgraded to Baa3 (sf); previously on Sep 28, 2022 Definitive Rating Assigned Ba1 (sf) Issuer: Connecticut Avenue Securities Trust 2023-R03 Cl. 2-J1, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-J2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-J3, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-J4, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-K1, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-K2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-K3, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-K4, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-X1*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2-X2*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2-X3*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2-X4*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2-Y1*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y2*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y3*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2-Y4*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2A-I1*, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2A-I2*, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2A-I3*, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2A-I4*, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2B-1, Upgraded to Ba1 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba3 (sf) Cl. 2B-1A, Upgraded to Baa3 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba2 (sf) Cl. 2B-1B, Upgraded to Ba2 (sf); previously on May 3, 2023 Definitive Rating Assigned B2 (sf) Cl. 2B-I1*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2B-I2*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2B-I3*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2B-I4*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2B-1X*, Upgraded to Ba1 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba3 (sf) Cl. 2B-1Y, Upgraded to Ba1 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba3 (sf) Cl. 2C-I1*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I2*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I3*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2C-I4*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-A1, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-A2, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-A3, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-A4, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B1, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B3, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-B4, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-C1, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C3, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-C4, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-D1, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D3, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D4, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-D5, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2E-F1, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F3, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F4, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2E-F5, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2M-1, Upgraded to A3 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa2 (sf) Cl. 2M-2, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2A, Upgraded to Baa1 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2B, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2C, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Ba1 (sf) Cl. 2M-2X*, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) Cl. 2M-2Y, Upgraded to Baa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative loss under 0.01% and a small number of loans in delinquency. In addition, enhancement levels for all tranches have grown as the pool amortized. The credit enhancement since closing has grown, on average, 9.7% for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. No actions were taken on the other rated classes in these deals because the expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CROWN CITY VI: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Crown City CLO VI/Crown City CLO VI LLC's fixed- and floating-rate deb. 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 Western Asset Management Co. LLC. The preliminary ratings are based on information as of June 13, 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 Crown City CLO VI/Crown City CLO VI LLC Class X, $1.50 million: AAA (sf) Class A-1, $248.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $40.50 million: Not rated CSAIL 2015-C3: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C3 issued by CSAIL 2015-C3 Commercial Mortgage Trust (the Issuer) as follows: -- 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 X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) -- Class X-E at BB (low) (sf) -- Class E at B (high) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall performance of the pool, which has remained in line with expectations since Morningstar DBRS' last credit rating action in June 2023. Although the pool's overall performance remains stable, Morningstar DBRS notes one area caution in the pool's high exposure to the loans secured by regional mall properties, namely The Mall of New Hampshire (Prospectus ID#3, 9.3% of the pool) and Westfield Trumbull (Prospectus ID#7, 3.8% of the pool), which are both on the servicer's watchlist and have experienced precipitous net cash flow (NCF) declines since issuance. While both loans are current, updated value projections indicate sizable value deficiencies as the loans approach their respective maturities in Q2 2025 and Q1 2025. The pool also has a meaningful concentration of loans secured by office properties, representing nearly 18.0% of the pool balance; however, the largest of those loans, Charles River Plaza North (Prospectus ID#1, 9.3% of the pool), benefits from long-term, single-tenancy and healthy performance metrics, most recently reporting a debt service coverage of 1.94 times (x). Where applicable, Morningstar DBRS increased the probability of default (POD) penalties and/or increased loan-to-value ratios (LTVs) to reflect the increased risk of maturity default. As the pool begins to wind down in 2025, Morningstar DBRS notes increased refinance risk for a few office-backed loans that could face difficulty securing replacement financing in the near to moderate term as performance declines from issuance and decreased tenant demands have likely eroded property values. Mitigating these risks is the sizable remaining balance of $42.4 million in the unrated first loss certificate, as well as the significant balance currently rated below investment grade by Morningstar DBRS across Classes D and E of approximately $108.3 million. Excluding the three aforementioned loans and collateral that has been fully defeased, the pool reported a WA debt service coverage ratio (DSCR) of 1.80x based on the most recent year-end financials. As of the April 2024 remittance, 79 loans remain in the pool with a trust balance of $1.1 billion, representing a collateral reduction of 23.1% since issuance. In June 2023, the Best Western Plus at the Falls loan (Prospectus ID#69, previously 0.3% of the pool) was liquidated from the pool with a loss of $3.0 million (loss severity of 62.4%), compared with the Morningstar DBRS-projected liquidated loss of $3.3 million. There are 22 loans, representing 15.2% of the pool, that are fully defeased. In addition, 19 loans, representing 32.5% of the pool, are being monitored on the servicer's watchlist and two loans, representing 1.4% of the current pool, are in special servicing. The largest loan on the servicer's watchlist, Mall of New Hampshire is the backed by a regional mall in Manchester, New Hampshire. A cash trap was implemented following the loan's return from special servicing in 2021, with $1.2 million of lockbox receipts collected, in addition to $0.5 million in an outstanding leasing reserve as of April 2024. While the loan continues to perform, most recently reporting a healthy in-place DSCR of 1.74x as of YE2023, this is a significant decline from the Issuer's underwritten figure of 2.50x, representing a 28.5% decline in NCF since issuance. The loan benefits from institutional sponsorship in Simon Property Group and the Canadian Pension Plan Investment Board; however, given the sustained decline in performance, Morningstar DBRS believes the property's as-is value has declined significantly since issuance, with a stressed value scenario indicating an LTV ratio in excess of 150.0%, significantly elevating the refinance risk at maturity in 2025. The collateral is 405,723 square feet (sf) of in-line space in an 811,573-sf Class B single-level enclosed regional mall, anchored by Macy's, JCPenney, and Dick's Sporting Goods—none of which serve as collateral for the loan. As of December 2024, the collateral was 84.0% occupied, indicating moderate improvement from 82.0% at YE2022 following the departure of Olympia Sports (3.2% of the net rentable area (NRA)). The largest collateral tenants include Best Buy (10.4% of NRA, lease expires January 2024), Old Navy (4.6% of NRA, lease expires January 2027), and Ulta (2.9% of NRA, lease expires May 2025). Morningstar DBRS has inquired about the status of Best Buy's lease and is awaiting response; however, according to the subject mall's website, the tenant is still in occupancy. According to the most recent tenants sales report provided ending YE2022, the subject mall reported in-line sales (excluding Apple) of $437 per square foot (psf), an improvement from the in-line sales of $396 psf as of August 2021. In the analysis for this loan, Morningstar DBRS applied an elevated LTV and a stressed POD penalty, resulting in an expected loss nearly twice the pool's WA expected loss. Westfield Trumbull is secured by 462,869 sf of a 1.1 million-sf regional mall in Trumbull, Connecticut. The loan was added to the servicer's watchlist in March 2022 for cash management as a result of a low DSCR of 1.36x, reflecting nearly a 50% decline in NCF when compared with the Issuer's underwritten figure of 2.73x. In December 2022, the subject and another mall owned by Unibail-Rodamco-Westfield were sold to Mason Asset Management and Namdar Realty Group for a combined sales price of $196.0 million. As part of that transaction, the subject debt was assumed. No individual sales prices have been disclosed; however, the subject mall had an appraised value of $262.0 million at issuance, suggesting the purchase price was well below the issuance valuation. While performance has shown improvement since the acquisition, with an annualized Q3 2023 DSCR of 1.92x, Morningstar DBRS believes value has declined significantly since issuance, with a stressed value scenario indicating a LTV ratio approaching 200.0%. The collateral includes the Macy's (18.8% of NRA, lease expired April 2023—the store remains open and the servicer's commentary has stated a five-year renewal is in process) anchor pad and all in-line space. Additional noncollateral anchors in JCPenney and Target are open, and one noncollateral pad that was previously occupied by Lord & Taylor is now vacant. As of March 2024, occupancy was reported at 93.7%, with all collateral tenants excluding Macy's, representing less than 4.0% of the NRA. Forever 21 (1.9% of NRA) and Hollister (0.6% of NRA) have recently signed lease extension through January 2028 and January 2027, while the servicer indicates the borrower is engaged in lease negotiations with a handful of other tenants including Old Navy (1.3% of NRA, lease expiring January 2025) and Mandee (0.9% of NRA, lease expiring January 2024). In the analysis for this loan, Morningstar DBRS applied an elevated LTV and a stressed POD penalty, resulting in an expected loss nearly two and half times the pool's WA expected loss. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on E Certs ------------------------------------------------------------- DBRS Limited upgraded its credit ratings on the Commercial Mortgage Pass-Through Certificates Series 2017-CHOP issued by CSMC Trust 2017-CHOP as follows: -- Class B to AA (sf) from AA (low) (sf) -- Class C to AA (low) (sf) from A (sf) -- Class D to BBB (high) (sf) from BBB (low) (sf) Morningstar DBRS also confirmed the credit ratings on the following classes: -- Class A at AAA (sf) -- Class X-EXT at AAA (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable to improving year-over-year performance metrics for the 36 loans remaining in the portfolio as evidenced by cash flow and revenue per available room (RevPAR) figures that have surpassed pre-pandemic levels. The credit rating upgrades reflect the enhanced credit support and continued deleveraging of the collateral as a result of 12 property releases from the trust to date, as well as the results of the stressed scenario considered by Morningstar DBRS as part of this review, as further described below. The Certificates represent the beneficial ownership interest in an interest-only (IO), floating-rate mortgage loan with an original aggregate principal amount of $780.0 million. At issuance, the collateral consisted of the fee and leasehold interests in a portfolio of 48 select-service, limited-service, and extended-stay hotels, totaling 6,401 keys, located across 31 metropolitan statistical areas in 21 states, operating under eight different flags across the Marriott, Hilton, and Hyatt brands. The loan was in special servicing beginning in 2020 and was ultimately resolved when a buyer for all 48 hotels was secured and the new ownership, an affiliate of Kohlberg Kravis Roberts & Co. (KKR), assumed the underlying loan. The trust balance of $619.6 million, as of the April 2024 remittance, represents a collateral reduction of 20.6% stemming from aggregate principal curtailments of $160.4 million through releasing 12 properties from the trust in accordance with the lease provisions, all of which have been released since the last credit rating action. The borrower is permitted to release properties from the loan by prepayment of a portion of the mortgage loan equal to (1) 105.0% of the applicable allocated loan amount (ALA) with respect to releases up to the first 10.0% of the original principal balance of the loan; (2) 110.0% of the ALA with respect to releases up to 20.0% of the original balance of the loan; or (3) 115.0% of the ALA with respect to further releases, provided that the debt yield with respect to the remaining properties will be equal to or greater than the greater of (A) 8.15% or (B) the debt yield of all properties immediately prior to the consummation of such release. The loan was modified as part of KKR's assumption, with terms including an extension of the maturity date to June 2027, a borrower-funded debt service reserve equal to 12 months of payments, the replacement of the current property management team with Schulte Hospitality Group and Hersha Hospitality Management, and the loan remaining in cash management for the life of the extended term. KKR Real Estate Partners Americas III AIV, LP, as the replacement guarantor and environmental indemnitor, also provided a flag loss guaranty and a property improvement plan completion guaranty. KKR is a leading global investment firm with approximately $552.8 billion of assets under management as of YE2023. The borrower is required to maintain an interest rate cap agreement that had a Libor strike price of 3.0% from issuance through the initial maturity date, and replacement interest rate cap agreements for each extension period with a strike rate that would result in a debt service coverage ratio of at least 1.20 times. As of the April 2024 reporting, the loan is current and performing but is still being monitored on the servicer's watchlist for deferred maintenance concerns. Morningstar DBRS has not received an update on the resolution of these concerns as of the date of this press release, however, the servicer noted that deferred maintenance letters have been sent to the borrower to address the issues. Based on the most recent servicer reported financials, the portfolio has a YE2023 occupancy rate, average daily rate (ADR), and RevPAR of 72.7%, $138.36, and $100.85, respectively, surpassing pre-pandemic levels with YE2019 figures at 76.0%, $124.73, and $95.06, respectively. The portfolio performance has shown steady improvement from the YE2022 and YE2021 RevPARs of $92.91 and $71.62, respectively. The vast majority of properties remaining in the portfolio exhibited RevPAR penetration rates over 100.0% for the trailing 12 months (T-12) ended December 31, 2023. In the analysis for this review, Morningstar DBRS excluded the 12 released properties from the pool, resulting in a consolidated YE2023 net cash flow (NCF) figure of $51.3 million for the 36 remaining properties, which is notably higher than the comparative YE2022 and YE2021 figures of $46.8 million and $28.4 million, respectively. In the base case scenario, Morningstar DBRS applied a standard surveillance haircut to the adjusted YE2023 figure and a 9.5% capitalization rate, which yields a base case Morningstar DBRS value of $529.6 million. To evaluate the potential for upgrades given the significant paydown in the last year, Morningstar DBRS applied a 20.0% stress to the adjusted YE2023 NCF and a 9.5% capitalization rate, resulting in a stressed value of $432.4 million. The loan-to-value (LTV) sizing benchmarks resulting from that stressed analysis indicate the upgrade to Classes B, C, and D was warranted. The implied Morningstar DBRS LTV for the stressed scenario is 143.3% on the entire loan and 73.9% on the remaining $319.6 million of rated proceeds. Morningstar DBRS anticipates a continued stable to improving performance for the underlying collateral portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. DBSG 2024-ALTA: DBRS Gives Prov. BB(high) Rating on HRR Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Commercial Mortgage Pass-Through Certificates, Series 2024-ALTA (the Certificates) to be issued by DBSG 2024-ALTA Mortgage Trust (DBSG 2024--ALTA or the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The DBSG 2024-ALTA single asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a 43-story, Class A high-rise apartment building totaling 467 units with 42,878 square feet of retail space in Long Island City, New York. Transaction proceeds of $217.0 million along with cash equity of $4.8 million from the transaction sponsor (the sponsor) will be used to refinance $216.5 million of debt, fund a $300,000 capital expenditure (capex) reserve for the remaining transition costs to reposition the co-living units to conventional units, fund a $1,633,636 free rent reserve for the remaining free rent associated with the Waves retail lease, and cover closing costs. The sponsor will have approximately $114.5 million of equity remaining in the transaction at closing. Developed in 2018, the property's current occupancy rate is 94.5 % based on the April 2024 rent roll. In 2023, the sponsor terminated a management lease for 169 units with Common, which operated a co-living program at the asset since 2021, for expense savings, to better manage the asset, and to push rents. The sponsor is in the process of re-positioning the remaining 115 co-living units to traditional leases at market rents per 421-a regulations. To date, 54 units have transitioned to conventional units and, of those, 37 have been re-leased, achieving rent premiums of approximately 6.9%. Common previously offered fully furnished private rooms in apartments along with cleaning services, Wi-Fi, and basic common-area supplies. In order to execute this business plan, the sponsor will utilize the capex reserve to remove furniture, refresh units, and/or remove drywalls in select units to make a more traditional floor plan. During the course of the property tour, Morningstar DBRS learned that only four units had had drywall removed. It was also indicated on the tour that, going forward, few to no units would go through similar major renovations. As the business plan to convert the 169 master-leased previous co-living units to traditional apartments is minor, Morningstar DBRS believes there is minimal execution risk for the business plan. Additionally, the master lease final expiry is in September 2024, with no more than 23 units rolling at any given time. The collateral is located in Long Island City, which is part of the Reis-designated Queens County submarket. The submarket has exhibited favorable vacancy rates and rent growth since Q4 2020. Between Q4 2020 and Q4 2023, the submarket experienced a large 50% increase in effective rents to $3,453 from $2,372. The vacancy rate improved to 2.1% as of Q4 2023 from 2.8% in Q4 2020. Although rent growth in Queens County has moderated throughout 2023, the collateral's weighted-average (WA) rent of $4,135 favorably with the average submarket rent. Per Reis, average asking rent for properties of a similar vintage (i.e., 2010-19), is $4,416, which is higher than the subject's WA rent. The sponsor will be able to raise rents as the 421-a abatement comes to term. The subject's vacancy rate of 0.8% is lower than the submarket vacancy rate of 2.1%; however, occupancy is expected to fluctuate during the transition process. Alta+ benefits from significant 421-a tax exemptions during the loan term. In return, the property has a cap on rent growth, therefore the average rent at the property is currently 9.4% below market rent. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Yield Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. DIAMETER CAPITAL 7: S&P Assigns Prelim BB- (sf) Rating on D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 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 Diameter CLO Advisors LLC. The preliminary ratings are based on information as of June 7, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC Class A-1A, $341.00 million: AAA (sf) Class A-1B, $11.00 million: AAA (sf) Class A-2, $66.00 million: AA (sf) Class B (deferrable), $33.00 million: A (sf) Class C (deferrable), $33.00 million: BBB- (sf) Class D (deferrable), $20.625 million: BB- (sf) Subordinated notes, $47.50 million: Not rated DRYDEN 42: Fitch Assigns 'B-sf' Rating on Class F-RR Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 42 Senior Loan Fund. Entity/Debt Rating Prior ----------- ------ ----- DRYDEN 42 SENIOR LOAN FUND X-RR LT AAAsf New Rating AAA(EXP)sf A-1RR LT AAAsf New Rating AAA(EXP)sf A-2RR LT AAAsf New Rating AAA(EXP)sf B-RR LT AAsf New Rating AA(EXP)sf C-RR LT Asf New Rating A(EXP)sf D-1ARR LT BBB-sf New Rating D-1BRR LT BBB-sf New Rating D-1RR LT WDsf Withdrawn BBB-(EXP)sf D-2RR LT BBB-sf New Rating BBB-(EXP)sf E-RR LT BB-sf New Rating BB-(EXP)sf F-RR LT B-sf New Rating B-(EXP)sf Subordinated-1 LT NRsf New Rating NR(EXP)sf Subordinated-2 LT NRsf New Rating TRANSACTION SUMMARY Dryden 42 Senior Loan Fund (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by PGIM, Inc. that originally closed in May 2016. On June 7, 2024 (the refinancing date) the CLO's secured notes will be refinanced in whole from refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $347 million (excluding defaulted) of primarily first-lien senior secured leveraged loans. Fitch has withdrawn the expected rating on the class D-1RR notes, which were rated 'BBB-(EXP)sf'; Outlook Stable because they were cancelled. Fitch has assigned new ratings of 'BBB-sf'; Outlook Stable to both the D-1ARR and D-1BRR notes. 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 23.38, versus a maximum covenant, in accordance with the initial expected matrix point of 24. 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 96.21% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.07% versus a minimum covenant, in accordance with the initial expected matrix point of 72.1%. 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 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 A-1RR, between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1ARR, between less than 'B-sf' and 'BB+sf' for class D-1BRR, between less than 'B-sf' and 'BB+sf' for class D-2RR, between less than 'B-sf' and 'B+sf' for class E-RR, and less than 'B-sf' for class F-RR. Ratings did not change for the class X-RR notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1RR and class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A+sf' for class D-1ARR, 'Asf' for class D-1BRR, 'A-sf' for class D-2RR, 'BBB+sf' for class E-RR, and 'BB+sf' for class F-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Dryden 42 Senior Loan Fund. 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. DRYDEN 45: Moody's Lowers Rating on $7.5MM Class F-R Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 45 Senior Loan Fund: US$79,300,000 Class B-R Senior Secured Floating Rate Notes due 2030 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on August 17, 2023 Upgraded to Aa1 (sf) US$29,900,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on August 17, 2023 Upgraded to A1 (sf) Moody's has also downgraded the rating on the following notes: US$7,500,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class F-R Notes"), Downgraded to Caa2 (sf); previously on August 17, 2023 Downgraded to Caa1 (sf) Dryden 45 Senior Loan Fund, originally issued in September 2016 and refinanced in October 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 October 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes since August 2023. The Class A-1-R notes have been paid down by approximately 8.5% or $34.3 million since that time. The upgrade rating actions also reflect the benefit from a shortening of the portfolio's weighted average life since August 2023. 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 portfolio has lost 1.78% of par since August 2023, and the over-collaterlization (OC) ratio for the Class F-R notes is currently 102.93% compared to 104.63% in August 2023. No actions were taken on the Class A-1-R, Class A-2-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: $584,108,996 Defaulted par: $12,203,539 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2738 Weighted Average Spread (WAS): 3.29% Weighted Average Recovery Rate (WARR): 47.65% Weighted Average Life (WAL): 3.99 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DT AUTO 2023-2: S&P Affirms BB (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings raised its ratings on 21 classes of notes from 12 DT Auto Owner Trust transactions. At the same time, S&P affirmed its ratings on 20 classes of notes from the transactions. These transactions are ABS backed by subprime retail auto loan receivables. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction, the transactions' structures, and their credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes each note's creditworthiness is consistent with the raised and affirmed rating. S&P said, "The series 2020-1 and 2020-2 transactions are performing better than our prior loss expectations. As a result, we revised and lowered our expected CNLs for these transactions. The 2020-3 and 2021-3 transactions are performing in line with our prior expectations, and our expected CNLs are unchanged for these series. The series 2021-1, 2021-2, 2021-4, 2022-1, 2022-2, 2022-3, 2023-1, and 2023-2 transactions' performance is trending worse than our initial or prior CNL expectations. Series 2021-1, 2021-2, and 2021-4, which did initially benefit from COVID-19 pandemic-era stimulus, are now experiencing higher back-end gross losses than our prior or initial expectations. For the later series, which did not receive a performance benefit during the pandemic, cumulative gross losses are higher than recent prior transactions, which, coupled with lower cumulative recoveries, are resulting in higher net losses. Given the series' relative weaker performances and prevailing adverse economic headwinds, we revised and raised our expected CNLs for these series." Table 1 Collateral performance (%)(i) Pool Current 60+ day Series Mo. factor CNL delinq. 2020-1 51 12.40 16.69 20.40 2020-2 47 13.52 15.72 20.65 2020-3 44 17.63 16.59 19.97 2021-1 40 20.95 18.30 20.64 2021-2 37 24.72 18.05 19.56 2021-3 33 31.56 17.02 16.99 2021-4 30 35.45 17.07 14.13 2022-1 26 38.86 20.19 15.60 2022-2 24 43.47 19.97 15.61 2022-3 18 55.62 15.24 12.49 2023-1 16 63.02 12.83 11.30 2023-2 13 69.89 10.33 10.96 (i)As of the May 2024 distribution date. Mo.--Month. Delinq.—Delinquencies. CNL--Cumulative net loss. Table 2 CNL expectations (%)(i) Original Previous Revised lifetime lifetime lifetime Series CNL exp. CNL exp. CNL exp. 2020-1 28.50-29.50 18.00 up to 17.25 2020-2 32.75-33.75 17.50 up to 16.75 2020-3 32.75-33.75 18.75 18.75 2021-1 31.50-32.50 20.50 21.25 2021-2 27.75-28.75 20.50 22.00 2021-3 26.00-27.00 23.00 23.00 2021-4 25.25-26.25 24.00 24.50 2022-1 24.25-25.25 25.25 28.00 2022-2 24.75-25.75 25.75 29.00 2022-3 24.75 N/A 28.00 2023-1 25.25 N/A 28.00 2023-2 25.50 N/A 28.00 (i)As of the May 2024 distribution date. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, which will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the more senior class, and excess spread. As of the May 2024 distribution date, each transaction is at its specified target overcollateralization levels and reserve levels. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the outstanding pool's balance (as of the collection period ended April 30, 2024), compared with our current loss expectations, is adequate for 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)(ii) 2020-1 D 21.75 93.53 2020-1 E 14.90 38.30 2020-2 D 28.85 93.00 2020-2 E 21.60 39.39 2020-3 C 32.35 105.81 2020-3 D 23.95 58.17 2020-3 E 19.25 31.51 2021-1 C 30.50 99.75 2021-1 D 20.00 49.63 2021-1 E 15.00 25.76 2021-2 C 32.60 96.70 2021-2 D 21.20 50.58 2021-2 E 14.50 23.47 2021-3 C 31.90 84.86 2021-3 D 14.00 28.14 2021-3 E 11.10 18.95 2021-4 C 27.50 68.65 2021-4 D 13.80 30.01 2021-4 E 9.80 18.73 2022-1 C 31.60 76.01 2022-1 D 15.90 35.61 2022-1 E 9.10 18.11 2022-2 B 44.25 90.10 2022-2 C 32.00 61.98 2022-2 D 19.00 32.14 2022-2 E 15.00 22.95 2022-3 A 54.40 91.04 2022-3 B 46.00 75.94 2022-3 C 35.75 57.51 2022-3 D 22.00 32.79 2022-3 E 17.50 24.70 2023-1 A 54.75 84.59 2023-1 B 46.50 71.50 2023-1 C 35.00 53.25 2023-1 D 24.50 36.59 2023-1 E 17.75 25.88 2023-2 A 54.80 79.18 2023-2 B 44.85 64.94 2023-2 C 33.80 49.13 2023-2 D 18.75 27.60 2023-2 E 14.10 20.95 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. (ii)As of the May 2024 distribution date. S&P said, "We analyzed the current hard credit enhancement versus the remaining expected CNL for the classes where hard credit enhancement alone--without credit to the expected excess spread--was sufficient, in our view, to upgrade or affirm the ratings. For the other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed 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 for the series 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 upgraded and affirmed rating levels, which is based on our analysis as of the collection period ended April 30, 2024 (May 2024 distribution). "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 DT Auto Owner Trust Rating Series Class To From 2020-1 E AAA (sf) A- (sf) 2020-2 E AAA (sf) A (sf) 2020-3 D AAA (sf) AA- (sf) 2020-3 E AA- (sf) A- (sf) 2021-1 D AAA (sf) A+ (sf) 2021-1 E A- (sf) BBB+ (sf) 2021-2 D AAA (sf) A+ (sf) 2021-3 C AAA (sf) AA+ (sf) 2021-3 D BBB+ (sf) BBB (sf) 2021-4 C AAA (sf) AA- (sf) 2021-4 D BBB+(sf) BBB (sf) 2022-1 C AAA (sf) AA- (sf) 2022-1 D A- (sf) BBB+ (sf) 2022-2 C AAA (sf) AA- (sf) 2022-3 B AAA (sf) AA (sf) 2022-3 C AA+ (sf) A (sf) 2022-3 D BBB+ (sf) BBB (sf) 2023-1 B AAA (sf) AA (sf) 2023-1 C AA- (sf) A (sf) 2023-2 B AAA (sf) AA (sf) 2023-2 C AA- (sf) A (sf) RATINGS AFFIRMED DT Auto Owner Trust Series Class Rating 2020-1 D AAA (sf) 2020-2 D AAA (sf) 2020-3 C AAA (sf) 2021-1 C AAA (sf) 2021-2 C AAA (sf) 2021-2 E BBB+ (sf) 2021-3 E BBB- (sf) 2021-4 E BB+(sf) 2022-1 E BB (sf) 2022-2 B AAA (sf) 2022-2 D BBB+ (sf) 2022-2 E BBB (sf) 2022-3 A AAA (sf) 2022-3 E BB (sf) 2023-1 A AAA (sf) 2023-1 D BBB+ (sf) 2023-1 E BBB- (sf) 2023-2 A AAA (sf) 2023-2 D BBB (sf) 2023-2 E BB (sf) ELEVATION CLO 2016-5: Moody's Cuts $19.6MM E-R Notes Rating to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Elevation CLO 2016-5, Ltd.: US$40,600,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on October 15, 2018 Assigned Aa2 (sf) US$16,450,000 Class C-R Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Upgraded to A1 (sf); previously on October 15, 2018 Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$19,600,000 Class E-R Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on August 21, 2020 Confirmed at Ba3 (sf) Elevation CLO 2016-5, Ltd., originally issued in June 2016 and refinanced in October 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 October 2023. A comprehensive review of all credit ratings for the respective transaction have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since June 2023. The Class A-R notes have been paid down by approximately 19.5% or $43.6 million since October 2023. Based on the trustee's May 2024 report [1], the OC ratios for the Class A-R/B-R and C-R notes are currently 131.63% and 122.51%,respectively, compared to the May 2023 trustee reported [2] values of 129.38% and 121.81%, respectively. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's May 2024 report [3], the OC ratio for the Class E-R notes is currently 104.49%, compared to the May 2023 trustee reported [4] value of 106.32% No actions were taken on the Class A-R and Class D-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: $291,175,883 Defaulted par: $1,298,906 Diversity Score: 72 Weighted Average Rating Factor (WARF): 2747 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.51% Weighted Average Recovery Rate (WARR): 46.34% 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, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. 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. ELM TRUST 2024-ELM: Moody's Assigns Ba2 Rating to Cl. HRR-15 Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 13 classes of CMBS securities, issued by ELM Trust 2024-ELM, Commercial Mortgage Pass-Through Certificates, Series 2024-ELM: 15-Pack Certificates Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. X-CP-15*, Definitive Rating Assigned Baa2 (sf) Cl. B-15, Definitive Rating Assigned Aa3 (sf) Cl. C-15, Definitive Rating Assigned A3 (sf) Cl. D-15, Definitive Rating Assigned Baa3 (sf) Cl. HRR-15, Definitive Rating Assigned Ba2 (sf) 10-Pack Certificates Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. X-CP-10*, Definitive Rating Assigned Baa2 (sf) Cl. B-10, Definitive Rating Assigned Aa3 (sf) Cl. C-10, Definitive Rating Assigned A3 (sf) Cl. D-10, Definitive Rating Assigned Baa3 (sf) Cl. E-10, Definitive Rating Assigned Ba2 (sf) Cl. HRR-10, Definitive Rating Assigned Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE This transaction offers two series of certificates, each collateralized by a single fixed rate loan backed by the borrower's fee and leasehold interests in a collection of single-tenant industrial warehouses. -- The 15-pack Certificates are collateralized by the 15-pack Mortgage Loan. This loan is backed by a portfolio of 15 industrial facilities fully leased to Amazon.com Services LLC (the "15-pack Portfolio"). -- The 10-pack Certificates are collateralized by the 10-pack Mortgage Loan. This loan is backed by a portfolio of 10 industrial facilities fully leased to Amazon.com Services LLC (the "10-pack Portfolio"). The two mortgage loans are not cross-collateralized or cross-defaulted. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. 15 pack portfolio The 15-pack Mortgage Loan is secured by the borrower's fee simple or leasehold interests in a portfolio of 15, single-tenant industrial warehouse/distribution properties containing approximately 5,024,908 SF of aggregate rentable area. All 15 properties were constructed during the past five years, with one property built in 2020, nine properties built in 2021, and five built in 2022. The average facility footprint is 288,479 SF and offers superior functionality – clear heights averaging 38' (range from 32' to 40'), dock doors averaging 85 (range from 5 to 132), and minimal office usage that averages 5.9% (range from 2.5% to 13.5%). The portfolio is 100% leased to Amazon.com Services LLC, with Amazon.com, Inc. (A1, senior unsecured) as the guarantor under 15 different leases. The leases maintain a weighted average remaining term of 11.3 years. 10 pack portfolio The 10-pack Mortgage Loan is secured by the borrower's fee simple or leasehold interests in a portfolio of 10, single-tenant industrial warehouse/distribution properties containing approximately 6,395,652 SF of aggregate rentable area. All 10 properties were constructed during the past four years, with five properties built in 2021, three properties built in 2022, and two built in 2023. The average facility footprint is 504,097 SF and offers superior functionality – clear heights averaging 40' (range from 12' to 50'), dock doors averaging 90 (range from 15 to 122), and minimal office usage of 3.9% (range from 2.0% to 11.5%). As is in the 15-pack Portfolio, the 10-pack Portfolio is 100% leased to Amazon.com Services LLC, with Amazon.com, Inc. (A1, senior unsecured) as the guarantor under 10 different leases. The leases maintain a weighted average remaining term of 12.9 years. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations methodology and Moody's IO Rating 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. For the 15 pack loan, the Moody's first mortgage actual DSCR is 1.15x, compared to 1.16x at Moody's provisional ratings due to an interest rate increase, which is higher than Moody's first mortgage stressed DSCR (at a 9.25% constant) of 0.83x. For the 10 pack loan, the Moody's first mortgage actual DSCR is 1.11x and Moody's first mortgage actual stressed DSCR is 0.77x. Moody's DSCR is based on Moody's stabilized net cash flow. The 15 pack loan's first mortgage balance of $653,000,000 represents a Moody's LTV ratio of 101.4% based on Moody's value. Adjusted Moody's LTV ratio for the 15 pack first mortgage balance is 91.3% based on Moody's Moody's Value using a cap rate adjusted for the current interest rate environment. The 10 pack loan's first mortgage balance of $740,000,000 represents a Moody's LTV ratio of 109.5% based on Moody's value. Adjusted Moody's LTV ratio for the 10 pack first mortgage balance is 98.6% based on Moody's Moody's Value using a cap rate adjusted for the current interest rate environment. 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 property quality grade is 0.75 across both portfolios. Notable strengths of the transaction include: asset quality, strong tenancy, minimal rollover, and collateral diversity. Notable concerns of the transaction include: tenant concentration, interest-only mortgage loan profile, small market share, and certain credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations 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 Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. FIGRE TRUST 2024-HE2: DBRS Gives Prov. B(low) Rating on F Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2024-HE2 (the Notes) to be issued by FIGRE Trust 2024-HE2 (FIGRE 2024-HE2): -- $284.3 million Class A Notes at AAA (sf) -- $28.2 million Class B Notes as AA (low) (sf) -- $19.8 million Class C Notes at A (low) (sf) -- $13.9 million Class D Notes at BBB (low) (sf) -- $14.9 million Class E Notes at BB (low) (sf) -- $14.9 million Class F Notes at B (low) (sf) The AAA (sf) rating on the Class A Notes reflects 28.30% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 21.25%, 16.25%, 12.75%, 9.00%, and 5.25% 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 recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 5,475 loans (individual HELOC draws), which correspond to 5,191 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $396,540,914 and a total current credit limit of $429,551,316 as of the Cut-Off Date (April 30, 2024). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 17 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies), which was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure Technologies has offered several different lending products within the consumer lending space, including student loan refinance, unsecured consumer loans, and conforming first-lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure Technologies originates and services loans in 45 states and the District of Columbia. As of December 31, 2023, Figure Technologies originated, funded, and serviced more than 112,000 HELOCs totaling approximately $7.9 billion. Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Guaranteed Rate, Inc., Movement Mortgage, LLC, Homepoint Financial Corporation, Synergy One Lending, Inc., New American Funding, LLC, Homebridge Financial Services, Inc., and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the transaction's Sponsor. FIGRE 2024-HE2 is the sixth rated securitization of HELOCs by the Sponsor. Also, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. The transaction includes mostly junior liens (primarily second liens) and some first-lien HELOCs. In this transaction, all loans are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 92.3% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO). The credit impact of these factors is generally loan-specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, DBRS Morningstar applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as a Subservicer for loans that default or are 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Shellpoint will retain servicing responsibilities on all loans that were being special serviced by Shellpoint at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, D, E, F, and CE Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from previous Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificateholder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,982,705 (0.50% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in June 2029, the Reserve Account Required Amount will be 0.50% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in June 2029 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholder or the Notes. To the extent the Reserve Account is not funded up to its Required Amount from the principal and interest (P&I) collections, the Class FR Certificateholder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholder. The Reserve Account's Required Amount will become $0 on the payment date in June 2029 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from previous Morningstar DBRS-rated FIGRE transactions for which there are no performance triggers related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. The excess interest remaining from covering the realized losses is used to maintain overcollateralization (OC) at the target. The excess interest can be released to the residual holder if the OC is built to the OC Target so long as the Credit Event does not exist. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (May 2025) rather than being applicable immediately after the Closing Date. Unlike prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction introduces two more rated classes - Class E and Class F - that receive their principal payments after the pro rata Class A through Class D notes are paid in full. The introduction of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. The OC floor (1.50% of Cut-Off Date balance) is lower than in some of the prior FIGRE securitizations. However, the Class CE notes support the B (low)-rated Class F notes, rather than investment-grade classes in those prior deals, and the Class CE, Class F, and Class E notes support the investment-grade classes. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class CE Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. FONTAINEBLEAU MIAMI 2019-FBLU: DBRS Confirms BB Rating on F Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings of Commercial Mortgage Pass-Through Certificates, Series 2019-FBLU issued by Fontainebleau Miami Beach Trust 2019-FBLU as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-A at AA (high) (sf) -- Class C as AA (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) -- Class F at BB (sf) -- Class G at B (high) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect Morningstar DBRS' continued view that the subject transaction, secured by the Fontainebleau Miami Beach, is performing well and will continue to exhibit stable credit metrics through maturity. The loan is secured by a four-diamond 1,594-key luxury resort Miami Beach, Florida. It is well located on an irreplaceable, 20-acre oceanfront parcel in Mid-Beach. The whole loan consists of $975.0 million of senior debt held in the trust and mezzanine debt that had an issuance balance of $200.0 million, which is held outside the trust. The loan is fixed-rate, interest-only (IO) through its five-year term and scheduled to mature in December 2024. There are no extension options. Between 2005 and 2019, the sponsor had invested $837.3 million in capital improvements throughout the property, with an additional $32.0 million contributed at issuance for additional room renovations, which were completed in January 2023. At the time of the last credit rating action, Morningstar DBRS upgraded seven classes following a re-evaluation of its net cash flow (NCF) analysis in light of significant cash flow growth observed over the prior few years. According to the September 2023 STR report, the subject's occupancy, average daily rate (ADR), and revenue per available room (RevPAR) were reported at 71.1%, $418.23, and $297.51, respectively, for the trailing 12-month period down 2.8%, 7.0%, and 9.6%, respectively, from the prior year. A competitive set of nine other Miami Beach hotels saw similar declines across all metrics, indicating the Miami Beach hospitality market as a whole had regressed slightly from previous performance gains. The resulting NCF reported for YE2023 of $77.0 million represents a decline from the reported NCF of $123.4 million in YE2022 and $90.4 million in YE2021. The property's expense ratio has also increased to 76.1% from 66.1% the prior year. Several Miami hospitality market reports reviewed by Morningstar DBRS highlighted flattened-to-declining tourism trends throughout 2023 as compared with prior years, possibly a result of rising interest rates and a heavy storm season. However, according to an April 2024 CoStar article, Miami remains the one of the strongest U.S. hospitality markets, with the highest reported occupancy, ADR, and RevPAR figures. Although previous performance improvements were tempered with the 2023 reported, Morningstar DBRS believes the property will continue to perform well given its status as one of the premier beachfront resorts in the submarket. In addition media reports indicate the loan's sponsor, Jeffrey Soffer, has secured nearly $73 million in financing to complete a new convention center on a one-acre lot adjacent to the subject site, which is expected to further boost the subject's appeal and competitive advantage. With this review, Morningstar DBRS updated its cash flow analysis to reflect 2023 performance figures, given the loan's near-term maturity date and to test the durability of the credit ratings. Morningstar DBRS derived a NCF of $75.5 million, based on the YE2023 reported amount, and maintained an 8.0% capitalization rate, which resulted in an updated Morningstar DBRS value of $943.5 million and an implied loan-to-value ratio of 103.3% for the senior debt and 124.5% on a whole-loan basis. Morningstar DBRS also maintained qualitative adjustments totaling 4.0% to reflect the property's historical performance, high quality and premier location, and the strong local hospitality market and high barriers to entry. Notes: All figures are in U.S. dollars unless otherwise noted. FREDDIE MAC 2021-HQA3: Moody's Hikes Rating on 16 Tranches to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 36 bonds from three US residential mortgage-backed transactions (RMBS), which were issued by the Freddie Mac to share the credit risk on a reference pool of mortgages with the capital markets. These transactions are high-LTV transactions, which benefit from mortgage insurance. In addition, the credit risk exposure of the notes depends on the actual realized losses and modification losses incurred by the reference pool. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. The complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA3 Cl. M-1, Upgraded to Baa1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2A, Upgraded to Baa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2AI*, Upgraded to Baa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2AR, Upgraded to Baa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2AS, Upgraded to Baa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2AT, Upgraded to Baa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2AU, Upgraded to Baa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2B, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2BI*, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2BR, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2BS, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2BT, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2BU, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2I*, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2R, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2RB, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2S, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2SB, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2T, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2TB, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Cl. M-2U, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2UB, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B1 (sf) Issuer: Freddie Mac STACR REMIC Trust 2022-HQA3 Cl. M-1B, Upgraded to Baa2 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Baa3 (sf) Issuer: Structured Agency Credit Risk (STACR) Debt Notes, Series 2017-HQA3 Cl. M-2, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2B, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2BI*, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2BR, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2BS, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2BT, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2BU, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2I*, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2R, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2S, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2T, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) Cl. M-2U, Upgraded to Aa1 (sf); previously on Jun 14, 2023 Upgraded to Aa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.05% and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, over 88% for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. Our analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. No actions were taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GLS AUTO 2023-2: S&P Affirms BB- (sf) Rating of Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of notes and affirmed its ratings on six classes of notes from GLS Auto Receivables Issuer Trust (GCAR) 2023-1 and 2023-2. These ABS transactions are backed by subprime retail auto loan receivables originated and serviced by Global Lending Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for each transaction and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness are consistent with the raised and affirmed ratings. S&P said, "Both transactions are performing worse than our expectations. Cumulative gross losses for both series are higher than GCAR series issued prior to 2022 at similar lengths of performance. Higher cumulative gross losses, coupled with lower cumulative recoveries, are resulting in elevated CNLs. Delinquencies are increasing, but extensions are within historical norms. Given the series' relative weaker performances, prevailing adverse economic headwinds, and possibly continued weaker recovery rates, we revised and raised our expected CNLs for both transactions." Table 1 Collateral performance (%)(i) Pool 60+ day Current Current Current Series Mo. factor delinq. Ext. CGL CRR CNL 2023-1 14 64.07 7.67 3.17 11.63 33.34 7.75 2023-2 12 74.92 5.57 2.16 7.80 34.53 5.11 (i)As of the May 2024 distribution date. Mo.--Month. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original lifetime Revised Series CNL exp. CNL exp.(i) 2023-1 17.50 20.00 2023-2 17.50 19.00 (i)As of May 2024. 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 consisting of a non-amortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the May 2024 distribution date, GCAR 2023-1 was still building toward its specified target overcollateralization amount, while GCAR 2023-2 was at its specified target overcollateralization level. All transactions are at their specified reserve level. Table 3 GCAR Overcollateralization Summary(i) Current Target Current Target (%)(ii) (%)(iii) ($ mil.) ($ mil.) 2023-1 14.50 12.60 + 1.50 30.44 31.37 2023-2 11.05 9.05 + 1.50 27.19 27.19 (i)As of the May 2024 distribution date. (ii)Percentage of the current collateral pool balance. (iii)The target overcollateralization amount equals the stated percentage of the current pool balance plus 1.50% of the initial pool balance. GCAR--GLS Auto Receivables Issuer Trust. Table 4 Hard credit enhancement(i)(ii) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2023-1 A-2 55.60 90.65 2023-1 B 41.95 69.35 2023-1 C 28.90 48.98 2023-1 D 15.95 28.77 2023-1 E 7.80 16.06 2023-2 A-2 54.70 77.13 2023-2 B 40.45 58.11 2023-2 C 27.40 40.68 2023-2 D 13.75 22.47 2023-2 E 6.20 12.39 (i)As of the May 2024 distribution date. (ii)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We analyzed 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 the ratings to or affirm them at 'AAA (sf)'. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended April 30, 2024 (the May 2024 distribution date). "We will continue to monitor the performance of all outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED GLS Auto Receivables Issuer Trust Rating Series Class To From 2023-1 B AAA (sf) AA (sf) 2023-1 C AA- (sf) A (sf) 2023-2 B AA+ (sf) AA (sf) 2023-2 C A+ (sf) A (sf) RATINGS AFFIRMED GLS Auto Receivables Issuer Trust Series Class Rating 2023-1 A-2 AAA (sf) 2023-1 D BBB- (sf) 2023-1 E BB- (sf) 2023-2 A-2 AAA (sf) 2023-2 D BBB- (sf) 2023-2 E BB- (sf) GREAT WOLF 2024-WLF2: DBRS Finalizes BB(high) Rating on HRR Certs ----------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-WLF2 (the Certificates) to be issued by Great Wolf Trust Commercial Mortgage Trust 2024-WLF2 (GWT 2024-WLF2 or the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The collateral for the Trust includes the borrower's fee-simple interest in nine Great Wolf Lodge resorts (the Properties or the Portfolio). The Portfolio consists of 4,083 keys, 575,166 square feet (sf) of indoor waterpark space, 120,242 sf of outdoor waterpark space, 59 food and beverage (F&B) outlets, and 79,680 sf of meeting space, located across nine states. Transaction proceeds of $1.3 billion, along with a mezzanine loan of $250.0 million, will be used to repay approximately $1.3 billion of existing commercial mortgage-backed securities (CMBS) debt across the Portfolio, repay existing construction debt of approximately $239.0 million for the Perryville asset, return $7.0 million of cash equity to the borrower, and repay closing costs. As a result of the financing, the Sponsor will maintain approximately $880.4 million of implied equity. Excluding the newly constructed Perryville asset, the assets were previously securitized in the GWT 2019-WOLF transaction. The debt payoff for the eight assets is inclusive of the release price premium for those assets. Great Wolf Lodge Perryville is a newly built lodge that opened in July 2023. Great Wolf Lodge Poconos has recently completed an approximately $160.0 million expansion that included the addition of a new guest tower with 202 hotel rooms and 30 new three-bedroom villas, in addition to a waterpark expansion and new F&B concept. Great Wolf Lodge Grapevine is currently undergoing an approximately $39.6 million renovation, which was scheduled to be largely complete in the weeks following Morningstar DBRS' site inspection. The renovation scope includes the addition of several new attractions to the lodge, the expansion of existing attractions, and the addition/expansion of several F&B outlets. Great Wolf Lodge is a dominant player in the indoor waterpark market, with only five waterpark resorts currently under construction in the U.S., three of which are Great Wolf Lodges. The locations to be opened do not currently cater to markets served by the Portfolio, as they are in Webster, Texas; Naples, Florida; and Mashantucket, Connecticut. The Properties are generally within a four-hour drive from major metropolitan areas, which provide the demand base for these leisure-oriented assets. The Properties are highly amenitized and provide guests with a virtually all-inclusive vacation experience because of the combination of F&B outlets and exclusive entertainment options at each resort. The sponsor has invested approximately $126.6 million, or $37,418 per key, in capital improvements to the Portfolio since 2019, excluding a $160.0 million expansion and renovation of Poconos. The Portfolio benefits from experienced management and sponsorship, which performs initiatives to help increase ancillary income, improve operating margins, as well as improve overall guest experience and satisfaction. For example, management initiated a day pass sales program for waterpark access starting in 2019. As of YE2023, 229,901 passes were sold, generating approximately $15.2 million in revenue, a considerable increase from the 177,253 passes sold in YE2022 that generated approximately $11.6 million in revenue. The day passes serve to bolster occupancy throughout the Portfolio during weekdays when demand is lower. However, during high-occupancy periods, said passes will be offered at a premium in order to drive increased revenue while also minimizing impact to overall guest experience. The Portfolio reported weighted-average (WA) occupancy, average daily rate (ADR), and revenue per available room (RevPAR) of approximately 80.9%, $270.91, and $219.26, respectively, as of the trailing 12-month (T-12) period ended January 31, 2024. The previously securitized eight properties reported occupancy, ADR, and RevPAR increases of 5.1%, 15.5%, and 21.5%, respectively, over their YE2019 performance levels. In 2019, prior to the coronavirus pandemic, the Portfolio reported occupancy, ADR, and RevPAR levels of 77.6%, $240.88, and $186.89, respectively (excluding the Perryville asset, which opened in 2023). While occupancy declined during the pandemic, the sponsor was successful in recovering occupancy and ADR to higher than their pre-pandemic historical averages. Morningstar DBRS believes that the strong 2023 performance is at least partially because of a higher transient portion in the hotel segmentation as a result of the pent-up demand that followed pandemic-related restrictions, leading Morningstar DBRS to conclude that room rates will normalize over the loan term. Morningstar DBRS concluded to a stabilized RevPAR of $218.84, which is approximately 3.8% less than the RevPAR for the T-12 period ended January 31, 2024. Overall, Morningstar DBRS has a favorable outlook on the Portfolio during the five-year (fully extended) loan term given the Properties' experienced management and the sponsor's demonstrated continued capex commitment. Morningstar DBRS' credit rating on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. 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 2015-GC30: DBRS Cuts Class F Certs Rating to CCC ------------------------------------------------------------ DBRS, Inc. downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2015-GC30 issued by GS Mortgage Securities Trust 2015-GC30 as follows: -- Class E to B (high) (sf) from BB (sf) -- Class F to CCC (sf) from B (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) In addition, Morningstar DBRS changed the trends on Classes D, X-D, and E to Negative from Stable. All other classes have Stable trends, with the exception of Class F, which has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades on Classes E and F reflect Morningstar DBRS' increased loss projections for loans in special servicing, primarily driven by Bank of America Plaza (Prospectus ID#5, 4.6% of the pool), which is no longer expected to be supported by the borrower. The Negative trends on Classes D, X-D, and E reflect the transaction's exposure to loans that Morningstar DBRS has identified as being at increased risk of maturity default given recent performance challenges, weakening submarket fundamentals, and unfavorable lending conditions for certain property types. The remaining pool continues to exhibit overall stable performance. Twenty-five loans, representing 18.5% of the pool, have been fully defeased. All outstanding nondefeased loans are scheduled to mature by YE2025, and Morningstar DBRS expects the vast majority of these loans will repay from the pool. As of the April 2024 remittance, 79 of the original 90 loans remained in the pool with a current trust balance of $960.4 million, representing a collateral reduction of 22.4% since issuance. There are 19 loans, representing 27.8% of the pool, on the servicer's watchlist and two loans, representing 4.9% of the pool, in special servicing. The three largest property type concentrations are office (19.5%), retail (18.4%), and mixed-use (14.9%). The largest contributor to Morningstar DBRS' projected losses is Bank of America Plaza, a 742,244-square-foot (sf) office property in St. Louis' central business district. The loan transferred to special servicing in June 2023 for imminent monetary default following the lease expiry of the largest tenant, Bank of America (previously 29.8% of the net rentable area (NRA)), in June 2023. Servicer commentary indicates the tenant may still occupy some space at the property after giving portions back; however, Morningstar DBRS has so far been unable to confirm this. Regardless, Morningstar DBRS expects the change, in addition to a significant concentration of upcoming rollover, to put additional downward pressure on the subject's cash flow. According to the March 2023 rent roll, the property reported an occupancy of 83.4%. Excluding Bank of America, leases representing 33.1% of the NRA have expirations prior to the loan's maturity in May 2025. Among the rolling tenants are three of the five largest tenants at the property. The second-largest tenant, TreeHouse Private Brands (18.9% of the NRA, lease expiry in July 2024), has already indicated that it will be vacating its space upon lease expiry. As performance and occupancy have continued to decline, the borrower has indicated it will not continue to fund any shortfalls, and CBRE has been appointed as receiver. Given the above-noted concerns, Morningstar DBRS expects that the property's value has declined significantly since issuance. In its analysis for this loan, Morningstar DBRS considered a liquidation scenario based on a conservative haircut to the issuance appraisal, resulting in a projected loss severity approaching 65%. Outside of the loans in special servicing, Morningstar DBRS identified seven other loans, representing 23.31% of the deal balance, as being at elevated refinance risk related to observed performance declines, upcoming concentrated rollover, and submarket pressures. Three of these loans—Selig Office Portfolio (Prospectus ID#2, 12.81% of the pool), 311 California Street (Prospectus ID#9, 2.6% of the pool), and River Drive III (Prospectus ID#20, 1.25% of the pool)—represent 16.7% of the pool balance and are backed by office properties or mixed-use properties with significant office exposure. 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 (LTV) ratios for these seven loans. The weighted-average (WA) expected loss (EL) for these loans was almost 30% 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. The largest of these loans is Selig Office Portfolio, a portfolio of nine office properties in Seattle totaling more than 1.6 million sf. The portfolio has exhibited stable cash flow performance historically; however, occupancy has been in year-over-year decline. The YE2023 occupancy rate was reported at 74% compared with 84% at YE2021 and 92% at issuance. Given the softening of Seattle's office market, including increased vacancy, combined with the loan's upcoming maturity in April 2025, Morningstar DBRS identified this as a loan with elevated refinance risk. As a result, Morningstar DBRS analyzed the loan with a stressed LTV by applying an elevated capitalization rate to the YE2023 net cash flow, resulting in an EL that was nearly 10.0% higher than the pool's WA. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2018-LUAU: DBRS Confirms B(low) Rating on F Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following Classes of Commercial Mortgage Pass-Through Certificates, Series 2018-LUAU, issued by GS Mortgage Securities Corporation Trust 2018-LUAU: -- 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 (low) (sf) -- Class X-NCP at BBB (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect Morningstar DBRS' view that, despite the negative impact to the property's revenue due to business disruptions from August 2023 through October 2023 as a result of the wildfires that broke out on the island of Maui, the hotel collateral remains well positioned to capture increased demand as travel and tourism begin to rebound following the reopening of the hotel in mid-October 2023. Notably, the hotel did not sustain any physical damage and had been performing above 2022 levels before the breakout of the fires. As such, Morningstar DBRS did not update the loan-to-value (LTV) sizing benchmarks as part of this review. Prior to the wildfires, the loan had exhibited two consecutive years of cash flow growth after performance bottomed out during the COVID-19 pandemic, with a YE2022 net cash flow (NCF) of $16.4 million, representing a 20.7% increase from the Morningstar DBRS NCF of $13.6 million derived in 2020, and exceeding the Issuer's NCF of $15.3 million. Per servicer commentary, the YE2023 debt service coverage ratio (DSCR) was reported at 0.07 times (x); however, a revised operating statement analysis report posted with the May 2024 remittance shows a YE2023 DSCR of 0.71x. Morningstar DBRS has inquired about the revision to the financials and is awaiting a response as of the date of this press release. Although DSCR declined in 2023, as a result of the business interruptions and rising interest rates, which resulted in an 82.6% increase in debt service obligations between YE2022 and YE2023, the borrower has exercised the loan's fourth of five available maturity extension options, extending the loan's maturity to November 2024, which included a 25 basis-point (bp) increase to the interest rate that is set at the Secured Overnight Financing Rate (SOFR) plus 275 bps. The borrower purchased an SOFR interest rate cap with a strike price of 3.5%. The $215.0 million floating-rate interest-only (IO) loan is secured by the fee-simple interest in the 466-key Ritz-Carlton Maui, Kapalua, a luxury resort hotel on the island of Maui, Hawaii. The property consists of 300 hotel keys and 166 residential condominium suites. Of the 166 condominium suites, 68 are owned by third parties that rent their units on the Ritz-Carlton hotel website. The unit owners pay all expenses and share revenue in a 50/50 split with the hotel. Additionally, the hotel owns the remaining 98 condominium units, and that income is included as collateral for the loan. The hotel was constructed in 1976 and opened as a Ritz-Carlton in 1992 on the 49-acre site that features a three-tiered swimming pool, multiple whirlpools, a fitness facility and a 17,500-square-foot (sf) spa, six food and beverage outlets, retail space, tennis courts, and 229,000 sf of multipurpose space, including indoor meeting space and an outdoor ballroom. The hotel has access to two championship golf courses that are not part of the collateral. The sponsor is Blackstone Real Estate Partners (Offshore) VIII-NQ L.P., a leading global asset manager with over $1.1 trillion assets under management as of Q1 2024, and $339.0 billion of real estate assets under management, making it one of the largest owners of hotels in the world. According to the December 2023 STR report, excluding the months of August 2023 and September 2023 when the property was temporarily closed, the property reported trailing-12 month (T-12) occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures at 60.4%, $751, and $454, respectively, with RevPAR increasing by 7.3% since the previous year's reporting and by 23.0% since issuance. The corresponding penetration rates are 98.5%, 89.1%, and 87.8%, respectively. As a result of business interruption and the hotel's temporary closure between August to October 2023, the property's YE2023 NCF fell to $12.0 million, a 27.1% decline compared to the YE2022 NCF. According to various news articles, tourism has resumed in the greater Maui area, with the subject property having also reported several new entertainment attractions and amenities per other online sources. Given the property's luxury quality, capital improvements, and the return of tourism to Maui with officials lifting travel warnings in November 2023 and now actively encouraging tourism in the area, Morningstar DBRS anticipates the hotel's performance to rebound in 2024. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2024-PJ6: Moody's Assigns (P)Ba3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 56 classes of residential mortgage-backed securities (RMBS) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ6, and sponsored by Goldman Sachs Mortgage Company, L.P. The securities are backed by a pool of prime jumbo (88.7% by balance) and GSE-eligible (11.3% by balance) residential mortgages aggregated by Maxex Clearing LLC (MAXEX, 2.2% by balance) and Redwood Residential Acquisition Corporation (Redwood; 0.3% by loan balance), originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-X*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3A, Assigned (P)Aaa (sf) Cl. A-3-X*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4A, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-X*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-9-X*, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-X*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-X*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-19-X*, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-21-X*, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23-X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aaa (sf) Cl. B, Assigned (P)A1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-3-A, Assigned (P)Baa2 (sf) Cl. B-3-X*, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba1 (sf) Cl. B-5, Assigned (P)Ba3 (sf) Cl. B-X*, Assigned (P)A2 (sf) Cl. A-3L, Assigned (P)Aaa (sf) Cl. A-4L, Assigned (P)Aaa (sf) Cl. A-16L, Assigned (P)Aaa (sf) Cl. A-22L, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.39%, in a baseline scenario-median is 0.18% and reaches 5.01% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. GSMS 2024-MARK: Fitch Assigns 'B-(EXP)sf' Rating on Class F Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to GSMS 2024-MARK Mortgage Trust commercial mortgage pass-through certificates series 2024-MARK: - $132,700,000 class A 'AAA(EXP)sf'; Outlook Stable; - $17,100,000 class B 'AA-(EXP)sf'; Outlook Stable; - $18,400,000 class C 'A-(EXP)sf'; Outlook Stable; - $25,900,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $39,600,000 class E 'BB-(EXP)sf'; Outlook Stable; - $43,900,000 class F 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $7,400,000 class G; - $15,000,000 class HRR. HRR is a Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The GSMS 2024-MARK certificates represent the beneficial interests in a trust that holds a two-year, floating-rate, IO $300.0 million mortgage loan secured by leasehold interests in The Mark Hotel and the adjacent 1000 Madison Avenue townhouse (together, the property). The Mark Hotel is a 16-story, 153-room, full service landmark luxury hotel located on the Upper East Side of Manhattan in New York City. The improvements are owned and controlled by Alexico Group LLC. Loan proceeds and mezzanine debt were used to refinance the prior $190.0 million mortgage and $120.0 million in mezzanine debt, pay closing costs of $6.7 million and return $18.3 million of cash equity to the sponsor, Alexico Group LLC. The loan is being originated by Goldman Sachs Mortgage Company. Berkadia Commercial Mortgage LLC will act as master servicer, with KeyBank National Association as special servicer. Computershare Trust Company, National Association, will serve as the trustee and certificate administrator. Pentalpha Surveillance LLC will act as the operating advisor. The certificates are expected to follow a sequential-pay structure. The transaction is scheduled to close on June 27, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $24.4 million; this is 12.4% lower than the issuer's NCF and 14.6% lower than the TTM ended in April 2024 NCF. Fitch applied a 9.75% cap rate to derive a Fitch value of $250.4 million for the property. High Fitch Leverage: The $300.0 million trust loan equates to debt of approximately $2.2 million per key with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.86x, 119.8% and 8.1%, respectively. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch Market LTV is 92.4%. Fitch does not expect its market 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 0.93x, 110.8% and 8.8%, respectively. Premium Asset Quality, Prime Location: Fitch assigned The Mark Hotel a property quality grade of 'A+'. Fitch considers the subject to be among the highest quality of all hotels reviewed in CMBS transactions. The hotel was recognized in the Condé Nast Traveler Gold List in 2023 and was voted No. 1 in "The 15 Best Hotels in New York City" by Robb Report in 2023. The property includes The Mark Restaurant and The Mark Bar, operated by Michelin-starred chef Jean-Georges Vongerichten, a 24-hour concierge, valet parking, a fully equipped fitness center, 1,151 sf of meeting space, a Frederic Fekkai salon, Sant Ambroeus and additional complementary retail and office space, as well as 24/7 access to nearby luxury retailer Bergdorf Goodman. The Mark Hotel also offers New York City's largest and most expensive hotel suite. The penthouse unit includes 9,799 sf of interior space and 2,319 sf of rooftop terrace space. The property is located one block east of Central Park along Madison Avenue. Significant Capital Investment; Competitive Suite Advantage: The sponsor has invested a total of approximately $311.7 million ($2.0 million/key) of capex since acquiring the property in 2006 for $150 million, which has positioned the hotel as one of the top luxury hotel assets in Manhattan. Among the capex was a reported $3.8 million ($637,305/renovated key) project to convert six guestrooms on the top floors and roof into high-end luxury suites in 2015 and 2016. Due to their size, layouts and amenities, many guests rent these suites for extended periods. 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: 'AA-sf'/'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/AA+sf/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. HILDENE TRUPS P18C: Moody's Assigns Ba3 Rating to $7MM Cl. B Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Hildene TruPS Resecuritization P18C, LLC (the "Issuer"). US$20,000,000 Class A Notes due 2035, Definitive Rating Assigned Baa3 (sf) US$7,000,000 Class B Notes due 2035, Definitive Rating Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the portfolio of Preferred Term Securities XVIII, Ltd. (the "Underlying TruPS CDO") and structure as described in Moody's methodology. The Rated Notes are secured by the following securities that were issued by the Underlying TruPS CDO on June 15, 2005: US$32,883,565 of the $75,198,959 Class C Mezzanine Notes Due 2035 (the "Class C Notes") The Class C Notes are referred to herein, collectively as the "Underlying Securities". Hildene Structured Advisors, LLC will serve as collateral servicer for this transaction. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates par coverage tests which, if triggered, divert interest proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature from and after the July 2030 payment date, when 60% of the interest at a junior step in the priority of interest payments will be used to pay the principal on the Class A Notes until the Class A Notes' principal has been paid in full, then to the payment of principal of the Class B Notes. The portfolio of the Underlying TruPS CDO consists of mainly TruPS issued by US regional and community banks and insurance companies, the majority of which Moody's does not publicly rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM). Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q4-2023 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for bank obligations. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. For modeling purposes, Moody's used the following base-case assumptions for the Underlying TruPS CDO's portfolio: Par amount: $251,700,000 Weighted Average Rating Factor (WARF): 1054 Weighted Average Spread (WAS): 1.95% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 8.44 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. HIT TRUST 2022-HI32: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-HI32 (the Certificates) issued by HIT Trust 2022-HI32 as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (sf) -- Class D at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations at issuance. The aggregate portfolio net cash flow (NCF) increased by a little more than 4.0% as of YE2023 from YE2022 while the occupancy rate has remained unchanged at about 75% over the same period. In addition, the transaction continues to benefit from granularity by allocated loan amount (ALA), geographic diversity, experienced management companies, and strong brand affiliation from nationally recognized hospitality brands with national reservation systems. At issuance, the two-year, interest-only (IO), floating-rate loan was collateralized by a portfolio of 32 limited-service, extended-stay, select-service, and full-service hotels comprising 4,168 keys across 18 states. As of the April 2024 reporting, two properties had been released from the pool, resulting in a nominal collateral reduction of 3.1% since issuance. The loan is structured with a pro rata/sequential pay structure that allows for pro rata paydowns of the first 20.0% of the original principal balance, subject to a relatively weak release premium of 105.0% of the ALA, which increases to 110.0% thereafter. The transaction is sponsored by an affiliate of Hospitality Investors Trust, Inc. (HIT). HIT owns or has an interest in nearly 100 hotels across more than 25 states, all of which are operated under franchise or license agreements with a national brand owned by one of Hilton Worldwide, Inc.; Marriott International, Inc.; Hyatt Hotels Corporation; or one of their respective subsidiaries or affiliates. The $465.0 million loan, along with a $5.3 million equity of sponsor equity, was used to refinance $455.3 million of existing debt, establish $8.0 million of upfront property improvement plan (PIP) reserve, and cover closing costs. The loan has an initial maturity in July 2024 with three one-year extension options. According to the servicer, the borrower intends to exercise the first extension option. The hotels were constructed between 1979 and 2013 and operate under 10 different brands, with the majority of the properties operating under Marriott and Hilton flags. Approximately $79.8 million of capital expenditures (capex) were invested in the properties between 2015 and 2021. At issuance, the sponsor planned to contribute an additional $92.7 million of capex, of which $74.3 million was part of brand-mandated PIPs and was partially funded by $8.0 million of upfront PIP reserve. At the last review, approximately $40.0 million of capex had been completed, was in progress, or was in the initial planning phase. According to the servicer, approximately $20.0 million has been spent on renovations in the past year. Operating performance remains relatively in line with Morningstar DBRS' expectations, with the financial reporting for YE2023 reflecting a NCF and debt service coverage ratio (DSCR) of $46.5 million and 1.0 times (x), respectively, an increase from the YE2022 NCF of $45.0 million and the Morningstar DBRS NCF of $42.5 million. Given the floating-rate nature of the loan, the YE2023 reported DSCR remains above the Morningstar DBRS figure of 0.96x, but represents a slight decrease from the YE2022 figure of 1.18x as a result of an increase in interest rates. To mitigate the exposure to this risk, the borrower was required to enter into an interest rate cap agreement for the initial loan period with a strike rate of 4.25%, and any replacement interest rate cap agreement purchased in connection with the exercise of any extension option must have a strike price equal to the greater of 4.25% and the rate, yielding a DSCR of 1.05x. At issuance, Morningstar DBRS derived a value of $440.6 million based on a Morningstar DBRS NCF of $42.5 million and a capitalization rate of 9.50%. Morningstar DBRS made a total qualitative adjustment of 5.50% by increasing the loan-to-value (LTV) thresholds to account for strong revenue growth, sponsorship investment, and geographic diversity along with a strong presence in the high-growth sunbelt region. Given the nominal collateral reduction, limited seasoning, and stable performance, Morningstar DBRS did not update the LTV sizing benchmarks with this review and the expectations for ongoing performance are largely unchanged. Notes: All figures are in U.S. dollars unless otherwise noted. HMH TRUST 2017-NSS: DBRS Cuts Certs Rating on 4 Classes to C ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-NSS issued by HMH Trust 2017-NSS as follows: -- Class A to CCC (sf) from AAA (sf) -- Class B to C (sf) from AA (low) (sf) -- Class C to C (sf) from BBB (low) (sf) -- Class D to C (sf) from BB (low) (sf) -- Class E to C (sf) from CCC (sf) There are no trends as the CCC (sf) and C (sf) credit rating categories typically do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades are reflective of the increased loss expectations for the loan, which remains in special servicing as of the date of these credit rating actions, driven by the trust's increasing exposure and most recent decline in appraised value, as well as the potential for further credit deterioration based on the uncertain timeline for disposition and potential for further value decline. Since Morningstar DBRS' last review in June 2023, the outstanding advances and shortfalls have increased, some of the underlying collateral properties have seen further performance deterioration, and some properties have seen stabilization trends stall out. The 2023 reporting shows revenue growth has slowed from lows during the coronavirus pandemic, and overall cash flow remains well below the issuance level because of a combination of slightly lower revenues and significantly increased expenses from the Issuer's underwritten figures. In addition, negotiations with the borrower regarding a resolution strategy have fully deteriorated, and the special servicer has begun the process of preparing for an asset disposition through a receiver sale process. Given the further value and performance impairments, Morningstar DBRS believes the special servicer's incentive to make ground lease payments has significantly diminished in the last year. These circumstances could also impair efforts to sell the properties off via the planned receiver sales. Given these factors, Morningstar DBRS did not rely on its loan-to-value (LTV) sizing benchmarks for this review, but rather analyzed this transaction using a liquidation scenario, as outlined below. The results of the liquidation scenario suggest losses could be realized into Class A, supporting the credit rating actions with this review. The potential for principal loss is the primary driver for the downgrades; however, Morningstar DBRS' credit ratings factor in Morningstar DBRS' expectation of a continued increase in outstanding interest shortfalls prior to disposition, which has also contributed to the credit rating actions with this review. Interest shortfalls currently total $8.6 million (with Classes E and F being shorted as of the May 2024 remittance), up from a total interest shortfall amount of $3.9 million at the time of the last credit rating actions. Unpaid interest continues to accrue month over month, driven primarily by the appraisal subordinate entitlement reduction (ASER) amounts calculated by the special servicer as new appraisals have been obtained. Morningstar DBRS has minimal tolerance for unpaid interest to high investment-grade rated bonds, limited to one to two remittance cycles for the AA (sf) and A (sf) credit rating categories and six remittance cycles for non-investment-grade rated credit rating categories. The $204.0 million trust mortgage loan is secured by the fee-simple interest in one hotel and the leasehold interests in 21 hotels across nine different states, with the largest concentrations in California, Florida, and North Carolina. In the event that the leasehold owner defaults on its ground rent obligations and the leased fee ground owner assumes the hotels, the subject trust may be left with no collateral. Although it is generally expected that a leasehold owner would make every effort to make a ground rent payment in order to prevent the loss of the leasehold collateral, as previously noted, Morningstar DBRS believes that the risk of a default on the various ground leases has become significantly elevated in the last year given the continued underperformance of the hotels and increased costs associated with the prolonged workout, further supporting the credit rating downgrades. The properties have solid brand affiliation, with either Hilton Worldwide Holdings Inc.; Hyatt Hotels Corporation; Marriott International, Inc.; or Choice Hotels International, Inc. flags on each hotel. Nearly half the pool operates as extended-stay hotels, with the remaining operating as either limited-service or select-service hotels. The sponsor for the loan is Jay H. Shidler, founder of The Shidler Group, which was founded in 1972 and is headquartered in Honolulu. The capital stack includes a $25.0 million mezzanine loan held outside of the trust, and the trust permits an additional $26.0 million mezzanine loan; however, additional mezzanine debt has not been obtained to date. The mezzanine loans are co-terminus with the trust mortgage loan, which matured in July 2022. The status of the existing $25.0 million mezzanine loan is unknown, but given that the appraised value suggests the trust loan is underwater, Morningstar DBRS believes it is highly likely that the mezzanine debt is in default and the mezzanine lender is not interested in taking control of the borrower. The loan has been in special servicing since May 2020 as a result of imminent monetary default after the borrower stopped making debt service payments and subsequently requested pandemic-related relief. The borrower has since consented to a court-appointed receiver and, according to the special servicer, in February 2024 the receiver was granted full authority to proceed with deeds in lieu or resolve the assets via foreclosure sales, with property liquidations expected to occur over the next 12 to 18 months. As such, Morningstar DBRS' approach for purposes of these credit rating actions included a recoverability analysis based on a stress to the most recent appraised value. Since issuance, the servicer has obtained four rounds of updated appraisals, the most recent of which valued the collateral portfolio on an as-is (leasehold) basis at $180.0 million ($62,435 per key) in August 2023, representing a 55.0% decline from the issuance value of $400.4 million ($138,883 per key) and an LTV of 113.3% on the trust loan. Furthermore, outstanding advances continue to accrue, with principal and interest advances totaling $17.4 million as of the May 2024 remittance, an increase from $12.4 million at the time of Morningstar DBRS' last review. Factoring in all outstanding advances and cumulative unpaid advance interest, the loan's total exposure is currently $234.7 million, resulting in an implied LTV of approximately 130.4%. Given the presence of additional leased fee debt on the ground underneath 21 of the 22 properties, Morningstar DBRS derived a look-through value for the portfolio to evaluate the recoverability prospects to the subject trust in the event of a liquidation. In the analysis for this review, Morningstar DBRS derived a look-through value for the leased fee interests by analyzing the appraiser's year two net cash flow (NCF) figure for each property and removing the ground rent expense. This analysis suggested a portfolio NCF of $33.3 million. Morningstar DBRS applied a capitalization rate (cap rate) of 9.25%, in line with cap rates that Morningstar DBRS derived for comparable limited-service hotel portfolios and in line with the fee-simple cap rate contemplated when credit ratings were assigned in 2020. A haircut of 10% was applied to allow for cushion against future value volatility over the remaining workout period and the potential for increasing servicer advances. This resulted in a value of $324.1 million for the fee-simple interest of the portfolio. Because the collateral is primarily composed of leasehold interests, with each property subject to substantial ground lease payments (exceeding 35% of the updated look-through portfolio NCF), Morningstar DBRS assumed that the value attributed to the leased fee would be commensurate with the $224.0 million of debt that is estimated to be outstanding on the land underneath the hotels, which would imply a value for the collateral totaling approximately $99.9 million, representing a -44.4% variance from the August 2023 appraised value. Based on a total trust exposure of $248.2 million, which factors in the subject leasehold debt of $204.0 million, all outstanding advances and advance interest, ASER amounts, one year of additional principal and interest advances, and a 1.0% liquidation fee, a liquidation scenario based on the $99.9 million value attributed to the collateral results in losses to the subject trust in excess of $140.0 million, fully eroding the bulk of the capital stack, with losses projected to creep into Class A. According to the financials for the trailing nine months ended September 30, 2023, the portfolio reported an annualized NCF figure of $7.4 million (reflecting a debt service coverage ratio (DSCR) of 0.76 times (x)), in comparison with the YE2022 figure of $12.4 million (reflecting a DSCR of 1.27x). Per the most recent STR, Inc. report, the portfolio reported occupancy, average daily rate, and revenue per available room figures of 66.6% (-0.8% year-over-year (YOY)), $142 (+3.8% YOY), and $96 (+3.1% YOY), respectively, for the trailing 12 months ended January 31, 2024, reflecting penetration rates of 107.4%, 107.1%, and 115.9%, respectively. The collateral properties have exhibited improvements across all performance metrics since bottoming out in 2021; however, cash flows have not re-stabilized in line with Morningstar DBRS' expectations. The collateral's ground rent obligations are expected to continue to limit cash flow growth. Using the appraiser's year two NCF, which assumes a nominal amount of stabilization, the ground rent expense as a percentage of NCF exceeds 35.0%, ranging from 14.2% to 85.0% across the portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. HOME RE 2021-2: Moody's Upgrades Rating on Cl. M-2 Certs to Ba1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine bonds from three US mortgage insurance-linked note (MILN) transactions issued in 2021 and 2022. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by ceding insurers on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Home Re 2021-1 Ltd. Cl. M-1C, Upgraded to Aa1 (sf); previously on Jun 7, 2023 Upgraded to Baa2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Jan 5, 2022 Upgraded to Ba3 (sf) Issuer: Home Re 2021-2 Ltd. Cl. M-1C, Upgraded to Baa1 (sf); previously on Mar 15, 2023 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Aug 3, 2021 Definitive Rating Assigned B3 (sf) Issuer: Home Re 2022-1 Ltd Cl. M-1A, Upgraded to A2 (sf); previously on Apr 26, 2022 Definitive Rating Assigned Baa2 (sf) Cl. M-1B, Upgraded to Baa2 (sf); previously on Apr 26, 2022 Definitive Rating Assigned Baa3 (sf) Cl. M-1C, Upgraded to Ba1 (sf); previously on Apr 26, 2022 Definitive Rating Assigned Ba2 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on Apr 26, 2022 Definitive Rating Assigned B1 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Apr 26, 2022 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, the current asset profile, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses for each transaction and low delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 48% for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. Our analysis also considered the expected time of class M-1Cs from Home Re 2021-1 Ltd. and Home Re 2021-2 Ltd. getting paid down, which Moody's expect in the next 6-15 months, and class M-1A from Home Re 2022-1 Ltd, which Moody's expect to be paid down in the next year. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. 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. HPS LOAN 13-2018: S&P Affirms 'B- (sf)' Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A1R, A2R, BR, CR, and DR replacement debt from HPS Loan Management 13-2018 Ltd./HPS Loan Management 13-2018 LLC, a CLO originally issued in October 2018 that is managed by HPS Investment Partners LLC. At the same time, S&P withdrew its ratings on the original class A1, B, C, and D debt following payment in full on the June 13, 2024, refinancing date. S&P also affirmed its ratings on the class E and F debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Dec. 13, 2024. -- The original class A2 debt, which was not rated, will be replaced by the class A2R debt, which will now be rated. Replacement And Original Debt Issuances Replacement debt -- Class A1R, $266.02 million: three-month CME term SOFR + 1.13% -- Class A2R, $28.50 million: three-month CME term SOFR + 1.40% -- Class BR, $47.69 million: three-month CME term SOFR + 1.60% -- Class CR (deferrable), $35.45 million: three-month CME term SOFR + 2.15% -- Class DR (deferrable), $31.37 million: three-month CME term SOFR + 2.95% Original debt -- Class A1, $266.02 million: three-month CME term SOFR + 1.13% + CSA(i) -- Class A2, $28.50 million: three-month CME term SOFR + 1.40% + CSA(i) -- Class B, $47.69 million: three-month CME term SOFR + 1.65% + CSA(i) -- Class C (deferrable), $35.45 million: three-month CME term SOFR + 2.05% + CSA(i) -- Class D (deferrable), $31.37 million: three-month CME term SOFR + 3.00% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned HPS Loan Management 13-2018 Ltd./ HPS Loan Management 13-2018 LLC Class A1R, $266.02 million: AAA (sf) Class A2R, $28.50 million: AAA (sf) Class BR, $47.69 million: AA (sf) Class CR (deferrable), $35.45 million: A (sf) Class DR (deferrable), $31.37 million: BBB- (sf) Ratings Withdrawn HPS Loan Management 13-2018 Ltd./ HPS Loan Management 13-2018 LLC Class A1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Ratings Affirmed HPS Loan Management 13-2018 Ltd./ HPS Loan Management 13-2018 LLC Class E: 'BB- (sf)' Class F: 'B- (sf)' Other Debt HPS Loan Management 13-2018 Ltd./ HPS Loan Management 13-2018 LLC Subordinated notes, $41.52 million: NR NR--Not rated. HPS LOAN 2024-20: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HPS Loan Management 2024-20 Ltd./HPS Loan Management 2024-20 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 HPS Investment Partners CLO (UK) LLP. The preliminary ratings are based on information as of June 12, 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 HPS Loan Management 2024-20 Ltd./HPS Loan Management 2024-20 LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $4.00 million: AAA (sf) Class B-1, $41.00 million: AA (sf) Class B-2, $7.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $21.00 million: BBB (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $13.20 million: BB- (sf) Subordinated notes, $40.76 million: Not rated HUNTINGTON BANK 2024-1: Moody's Gives (P)B3 Rating to Cl. D Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the Huntington Bank Auto Credit-Linked Notes, Series 2024-1 (HACLN 2024-1) notes to be issued by The Huntington National Bank (HNB, senior unsecured A3). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by HNB. HACLN 2024-1 is the first credit linked notes transaction issued by HNB to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by HNB. The complete rating actions are as follows: Issuer: Huntington National Bank (The) Class B-1 Notes, Assigned (P)A3 (sf) Class B-2 Notes, Assigned (P)A3 (sf) Class C Notes, Assigned (P)Ba2 (sf) Class D Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The notes are floating-rate, with the exception of the Class B-1 notes which are fixed-rate. All of the notes are unsecured obligations of HNB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be HNB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at HNB's senior unsecured rating (A3 negative). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure seen in US auto loan securitizations. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience of HNB as the servicer. Moody's median cumulative net loss expectation for the 2024-1 reference pool is 0.50% and the loss at a Aaa stress is 4.50%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of HNB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes, Class C notes, and Class D notes are expected to benefit from 2.50%, 1.75%, and 1.00% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class C and Class D notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. INVESCO U.S. 2024-3: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Invesco U.S. CLO 2024-3 Ltd./Invesco U.S. CLO 2024-3 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 Invesco CLO Equity Fund 3 L.P., a subsidiary of Invesco Senior Secured 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 Invesco U.S. CLO 2024-3 Ltd./Invesco U.S. CLO 2024-3 LLC Class X, $2.00 million: AAA (sf) 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), $20.00 million: BB- (sf) Subordinated notes, $44.30 million: Not rated JAMESTOWN CLO XV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1R, A-2R, B-1R, B-2R, C-R, D-R, and E-R replacement debt and proposed new class X debt from Jamestown CLO XV Ltd./Jamestown CLO XV Corp., a CLO originally issued in March 2020 that is managed by Investcorp Credit Management US LLC. The preliminary ratings are based on information as of June 6, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 11, 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 debt is expected to be issued at slightly higher spreads over three-month SOFR than the original debt. -- The replacement class A-1R, A-2R, B-1R, B-2R, C-R, D-R, and E-R debt is expected to be issued at floating spreads, replacing the current fixed coupon and floating spreads. -- The stated maturity will be extended to July 2035 and the reinvestment period will be extended to July 2027. -- The non-call period will be extended to June 2025. -- There will be new class X debt issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 12 payment dates beginning with the payment date in October 2024. Replacement And Original Debt Issuances Replacement debt -- Class A-1R, $263.50 million: Three-month CME term SOFR + 1.37% -- Class A-2R, $12.75 million: Three-month CME term SOFR + 1.70% -- Class B-1R, $31.88 million: Three-month CME term SOFR + 1.85% -- Class B-2R, $14.88 million: Three-month CME term SOFR + 2.15% -- Class C-R (deferrable), $25.50 million: Three-month CME term SOFR + 2.45% -- Class D-R (deferrable), $25.50 million: Three-month CME term SOFR + 3.85% -- Class E-R (deferrable), $15.51 million: Three-month CME term SOFR + 7.06% -- Subordinated notes, $42.05 million: Not applicable Original debt -- Class A, $256.00 million: Three-month CME term SOFR + 1.34% + CSA(i) -- Class B-1, $38.00 million: Three-month CME term SOFR + 1.85% + CSA(i) -- Class B-2, $10.00 million: 3.26% -- Class C (deferrable), $22.00 million: Three-month CME term SOFR + 2.45% + CSA(i) -- Class D (deferrable), $22.00 million: Three-month CME term SOFR + 3.65% + CSA(i) -- Class E (deferrable), $18.00 million: Three-month CME term SOFR + 7.00% + CSA(i) -- Subordinated notes, $42.05 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Jamestown CLO XV Ltd./Jamestown CLO XV Corp. Class X, $2.00 million: AAA (sf) Class A-1R, $263.50 million: AAA (sf) Class A-2R, $12.75 million: AAA (sf) Class B-1R, $31.88 million: AA+ (sf) Class B-2R, $14.88 million: AA (sf) Class C-R (deferrable), $25.50 million: A (sf) Class D-R (deferrable), $25.50 million: BBB- (sf) Class E-R (deferrable), $15.51 million: BB- (sf) Other Debt Jamestown CLO XV Ltd./Jamestown CLO XV Corp. Subordinated notes, $42.05 million: Not rated JP MORGAN 2024-5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 26 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2024-5, and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (79.8% by balance) and GSE-eligible (20.2% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 17.3% by loan balance) and Verus Mortgage Trust 1A (Verus; 0.1% by loan balance) and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aa1 (sf) Cl. A-9-A, Assigned (P)Aa1 (sf) Cl. A-9-X*, Assigned (P)Aa1 (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-X*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE. The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.49%, in a baseline scenario-median is 0.24% and reaches 6.70% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. JW 2024-MRCO: Fitch Assigns 'BB+(EXP)sf' Rating on Class HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to JW Commercial Mortgage Trust 2024-MRCO, Commercial Mortgage Pass-Through Certificates Series 2024-MRCO: - $368,800,000 class A 'AAAsf'; Outlook Stable; - $79,700,000 class B 'AA-sf'; Outlook Stable; - $55,000,000 class C 'A-sf'; Outlook Stable; - $57,000,000 class D 'BBB-sf'; Outlook Stable; - $29,500,000a class HRR 'BB+sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Entity/Debt Rating ----------- ------ JW Commercial Mortgage Trust 2024-MRCO 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 HRR LT BB+(EXP)sf Expected Rating TRANSACTION SUMMARY The JW Commercial Mortgage Trust 2024-MRCO, commercial mortgage pass-through certificates, series 2024-MRCO, is expected to represent the beneficial interest in a trust that holds two-year, floating-rate, interest-only mortgage loans, subject to three, one-year extension options, with an aggregate principal balance of $590.0 million. The loan will be primarily secured by the fee simple interest in the JW Marriott Marco Island, The Hammock Bay Golf & Country Club, and The Rookery at Marco. The JW Marriott Marco Island, an 809-key, full-service, beachfront resort located in Marco Island, FL. The Hammock Bay Golf & Country Club and The Rookery at Marco are each 18-hole golf courses. Loan proceeds will be used to refinance existing debt of $480.0 million, return approximately $101.0 million of equity to the sponsor and pay closing costs of $9.0 million. The loan is refinancing a Wells Fargo-led syndicated balance sheet loan. The loan is expected to be co-originated by Wells Fargo Bank, National Association, Bank of America, N.A., and JPMorgan Chase Bank, National Association. Wells Fargo Bank, National Association will serve as the servicer and Rialto Capital Advisors, LLC will serve as the special servicer. Computershare Trust Company, National Association will serve as the trustee and certificate administrator. BellOak, LLC will serve as operating advisor. The certificates will follow a sequential-pay structure. The transaction is expected to close on June 21, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the property is estimated at $73.1 million; this is 7.7% lower than the issuer's NCF and 7.6% lower than the YE 2023 NCF. Fitch applied a 9.75% cap to derive a Fitch value of $749.6 million. Strong Asset Quality: The 809-key resort is situated on a 26.7-acre oceanfront site along the Gulf of Mexico. The resort's private beach is one quarter-mile wide. The resort offers The Paradise by Sirene, a highly amenitized adults-only concept for a portion of the rooms, plus nine onsite food and beverage (F&B) outlets, two 18-hole golf courses with dining and pro shops, a luxury full-service spa and combined meeting space of over 140,000sf. Fitch assigned the property a property quality grade of "A-". Moderate Fitch Leverage: The $590.0 million whole loan ($729,295 per key) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio and debt yield of 1.30x, 78.7% and 12.4%, respectively. Experienced Sponsorship and Brand Management: The resort benefits from the long-term ownership of Barings, who purchased the property in 1979. Barings currently has a portfolio that includes 4,500 keys. Barings is a wholly owned subsidiary of Massachusetts Mutual Life Insurance Co, which is currently rated 'AA'/ 'F1+'/Stable by Fitch. Since 2015, Barings has invested over $447 million ($553,000 per key). The resort is operated by Marriott International under the JW Marriott flag. The management agreement expires in Jan. 1, 2025, and is structured with three remaining automatic ten-year extension options through Jan. 1, 2055. 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'; - 10% NCF Decline: 'AAsf'/A-sf '/'BBB-sf'/'BBsf'/'BBsf'. 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 the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB+sf'; - 10% NCF Increase: 'AAAsf'/'AAsf '/'A+sf'/'BBB+sf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 40: Moody's Assigns Ba3 Rating to $20MM Class E-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by KKR CLO 40 Ltd. (the "Issuer"). Moody's rating action is as follows: US$320,000,000 Class A-R Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$20,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. KKR Financial Advisors II, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. In addition to the issuance of the Refinancing Notes and three other classes of refinancing notes not rated by Moody's, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period. 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: $496,526,534 Defaulted par: $1,407,954 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3253 Weighted Average Spread (WAS): (before accounting for reference rate floors): 3.83% Weighted Average Recovery Rate (WARR): 46.38% Weighted Average Life (WAL): 5.3 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. 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. MADISON PARK XLIV: Fitch Assigns BB+(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the Madison Park Funding XLIV, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XLIV, Ltd. (f/k/a Atrium XV) A-1-R LT AAA(EXP)sf Expected Rating A-2-RR LT AAA(EXP)sf Expected Rating B-1-R LT AA(EXP)sf Expected Rating B-2-R LT AA(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D-1R LT BBB(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating D-3R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Madison Park Funding XLIV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC, that originally closed in November 2018 and was first refinanced in December 2020. The CLO's secured notes will be refinanced on July 11, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $900 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. 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 96.47% first-lien senior secured loans and has a weighted average recovery assumption of 74.7%. 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 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (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 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 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, between less than 'B-sf' and 'BB+sf' for class D-3R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R, 'Asf' for class D-3R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Madison Park Funding XLIV, Ltd. (f/k/a Atrium XV). In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MMCAPS FUNDING XVII: Moody's Upgrades Rating on 2 Tranches to B2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by MMCAPS Funding XVII, Ltd.: US$19,500,000 A-2 Floating Rate Notes due 2035, Upgraded to Aaa (sf); previously on February 2, 2018 Upgraded to Aa1 (sf) US$33,000,000 B Floating Rate Notes due 2035, Upgraded to Aa1 (sf); previously on June 12, 2017 Upgraded to Aa3 (sf) US$35,475,000 C-1 Floating Rate Deferrable Interest Notes due 2035, Upgraded to B2 (sf); previously on June 12, 2017 Affirmed B3 (sf) US$35,475,000 C-2 Fixed Rate Deferrable Interest Notes due 2035, Upgraded to B2 (sf); previously on June 12, 2017 Affirmed B3 (sf) MMCAPS Funding XVII, Ltd., issued in September 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and an increase in the transaction's over-collateralization (OC) ratios. The Class A-1 notes have paid down by approximately 77% or $9.3 million since one year ago, using principal proceeds from the redemption of the underlying assets and a share of excess interest proceeds from the transaction's turbo feature. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2, Class B and Class C notes have improved to 4824%, 595%, 240% and 105%, respectively, from levels one year ago of 1170%, 446%, 218% and 104%, respectively. The Class A-1 notes will continue to benefit from a share of excess interest due to the turbo feature and the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $132,424,000, defaulted/deferring par of $0, a weighted average default probability of 6.33% (implying a WARF of 757), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Moody's also considered, particularly for the Class C notes, the concentrated nature of the portfolio, the Class C notes' OC (or credit enhancement) levels, and potential for interest deferrals. No action was taken on the Class A-1 notes because its expected loss remains commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. MMCAPS FUNDING XVIII: Moody's Upgrades Rating on 3 Tranches to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by MMCapS Funding XVIII, Ltd.: US$185,100,000 Class A-1 Floating Rate Notes Due 2039 (current balance of $60,678,659.39), Upgraded to Aaa (sf); previously on May 30, 2019 Upgraded to Aa1 (sf) US$21,800,000 Class A-2 Floating Rate Notes Due 2039, Upgraded to Aa1 (sf); previously on May 30, 2019 Upgraded to Aa2 (sf) US$20,100,000 Class B Floating Rate Notes Due 2039, Upgraded to Aa2 (sf); previously on May 30, 2019 Upgraded to Aa3 (sf) US$55,900,000 Class C-1 Floating Rate Deferrable Interest Notes Due 2039, Upgraded to Ba1 (sf); previously on May 30, 2019 Upgraded to Ba3 (sf) US$12,000,000 Class C-2 Fixed/Floating Rate Deferrable Interest Notes Due 2039, Upgraded to Ba1 (sf); previously on May 30, 2019 Upgraded to Ba3 (sf) US$4,000,000 Class C-3 Fixed Rate Deferrable Interest Notes Due 2039, Upgraded to Ba1 (sf); previously on May 30, 2019 Upgraded to Ba3 (sf) MMCapS Funding XVIII, Ltd., issued in December 2006, is a collateralized debt obligation (CDO) backed by a portfolio of bank trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since a year ago. The Class A-1 notes have paid down by approximately 7% or $4.7 million since a year ago, using principal proceeds from the redemption or recoveries of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, and Class A-2, Class B and Class C notes have improved to 333.7%, 245.5%, 197.4% and 116.1%, respectively, from levels a year ago of 309.9%, 232.4%, 188.8% and 113.0%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from recent improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 682 from 808 a year ago. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $202.5 million, defaulted/deferring par of $31.7 million, a weighted average default probability of 6.31% (implying a WARF of 682), and a weighted average recovery rate upon default of 10%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Moody's also considered, particularly for the Class B and Class C notes, the notes' OC ratios, and the concentrated nature of the portfolio. No action was taken on the Combo Notes after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. MORGAN STANLEY 2015-C21: DBRS Confirms C Rating on 3 Tranches ------------------------------------------------------------- DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C21 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 as follows: -- Class C to B (sf) from BB (sf) -- Class PST to B (sf) from BB (sf) -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class 555A at A (sf) -- Class 555B at BBB (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) Morningstar DBRS changed the trends on Classes AS, B, C, XA, XB, and PST to Negative from Stable. Classes 555A and 555B carry Stable trends from the April 15, 2024, credit rating action. Classes D, E, F and G are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS). The remaining Classes A3, A4, and ASB carry Stable trends. The credit rating downgrades reflect Morningstar DBRS' increased loss projections for the loans in special servicing, which collectively represent 12.7% of the current pool balance. With this review, Morningstar DBRS considered liquidation scenarios for all three specially serviced loans, which include the largest loan in the pool, Westfield Palm Desert (Prospectus ID#1; 8.9% of the pool balance), resulting in total implied losses of approximately $70.0 million. These losses are projected to fully erode the balance of the nonrated Class H, as well as rated Classes G, F, E, and reduce the balance of Class D by approximately 20%, significantly reducing credit support for the transaction as a whole. The Negative trends are reflective of Morningstar DBRS' concerns about the increased default risk for several non-specially serviced loans as the pool enters its maturity year. All but three loans, representing 12.1% of the pool, are scheduled to mature in the next nine months. While Morningstar DBRS expects the majority of non-specially serviced loans will repay at maturity, several loans, representing about 8.0% of the pool balance, have been identified as being at increased risk of maturity default given observed performance declines, concentrated upcoming tenant roll, and other refinance concerns. For these loans, Morningstar DBRS used stressed loan-to-value ratios (LTVs) and/or elevated probabilities of default (PODs) to increase the expected loss (EL) at the loan level as applicable. Should the performance of these loans fail to stabilize, should they deteriorate further, or should future defaults occur, classes with Negative trends may be subject to credit rating downgrades. The credit rating confirmations and Stable trends reflect the otherwise overall stable performance of the performing loans in the pool, which Morningstar DBRS generally expects to repay at maturity based on the most recent year-end, weighted-average debt service coverage ratio (DSCR) that is above 2.20 times (x). As of the April 2024 remittance, 56 of the original 64 loans remained in the trust with an aggregate balance of $732.9, representing a collateral reduction of 19.3% since issuance. Ten loans, representing 8.2% of the current pool balance, are fully defeased. Twelve loans, representing 16.1% of the pool balance, are on the servicer's watchlist, being monitored primarily for debt service coverage ratio (DSCR) concerns and the activation of servicing trigger events. As noted above, three loans, representing 12.7% of the pool, are in special servicing. The largest specially serviced loan is secured by a 572,724 square-foot (sf) portion of the 977,888 sf Westfield Palm Desert regional mall in Palm Desert, California. The $125.0 million interest-only (IO) whole loan is pari passu with a note securitized in the Wells Fargo Commercial Mortgage Trust 2015-C27 transaction, which is also rated by Morningstar DBRS. The loan transferred to special servicing in July 2020 because of payment default and a receiver was appointed in October 2021 after the property was rebranded as The Shops at Palm Desert. The special servicer began pursuing foreclosure shortly thereafter; however, in November 2023, Pacific Retail Capital Partners (PRCP) acquired the property and assumed the existing debt. The company specializes in repositioning malls through value-add strategies and reportedly plans to redevelop portions of the property to include green space, multifamily housing, and entertainment offerings. In conjunction with the assumption, the loan was modified to include, among other things, a two-year maturity extension through March 2027, with two one-year extension options available. As of the April 2024 reporting, the loan was reported late and is expected to return to the master servicer as a corrected loan after a period of monitoring; however, the loan will remain in a cash sweep period through the extended maturity, with all excess cash flow held in reserve. The property's occupancy rate has improved to 85.7% as of January 2024; however, occupancy has historically shown volatility, falling as low as 77.0% in December 2021 and still well below 95.9% seen at issuance. During 2023, the receiver was able to renew Dick's Sporting Goods (4.7% of the net rentable area (NRA); expiration in January 2029) to a five-year term. According to the servicer-reported financials, the annualized net cash flow for the year-to-date period ended September 30, 2023, was $5.3 million (a DSCR of 1.63x), a decline from and the YE2022 NCF of $8.3 million (a DSCR of 1.70x) and YE2021 NCF $6.6 million (a DSCR of 1.80x). Per the January 2023 financial package, total in-line sales for 2022 were $386 per square foot (psf), a 25.3% drop from the previous year. Morningstar DBRS expects the asset's performance to continue to show some volatility during the near term as PRCP works toward executing its business plan while managing upcoming tenant rollover. During the next 12 months, more than 45 tenants, representing approximately 29.0% of the NRA, have scheduled lease expirations, the largest of which are F21RED (3.8% of NRA), Macy's Furniture Gallery (3.8% of the NRA), and H&M (3.7% of NRA), all of which have lease expirations in January 2025. While no sales price has been provided, an updated appraisal dated June 2023 valued the property at $57.4 million, a decline from the June 2022 value of $68.8 million, showing volatility in tandem with fluctuations in occupancy over the past few years, but a significant decline from the issuance appraised value of $212.0 million. Morningstar DBRS' analysis, which includes a liquidation scenario based on a stress to the most recent appraisal, is indicative of a loss severity in excess of 75.0%. Excluding defeasance, the pool is most concentrated by retail and office properties that represent 33.5%, and 24.7% of the pool balance, respectively. Morningstar DBRS has a cautious outlook on the office asset type given the anticipated upward pressure on vacancy rates in the broader office market that 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. Morningstar DBRS' analysis includes an additional stress for select loans exhibiting weakened performance that resulted in a weighted-average EL that is three times above the pool average EL. The second largest loan in the pool is 555 11th Street NW, which is secured by a 414,204 sf Class A office property known as the Lincoln Square, located less than a mile from the White House in Washington, D.C. The whole loan encompasses two pari passu senior notes totaling $90.0 million as well as three subordinate B-notes with a total balance of $87.0 million. The $60.0 million subject loan represents the controlling A-note of the $90.0 million senior component, the remaining balance is secured in a transaction that is not rated by Morningstar DBRS. The nonpooled rake bonds, also rated by Morningstar DBRS, are backed by the nonpooled $30.0 million 555 11th Street NW senior B-note. The loan's nonpooled $57.0 million junior B-notes are subordinate to both the rake bonds and the $90.0 million pooled A-note. The subject, originally constructed in 2001, underwent a $25.0 million renovation in 2015 associated with the lease renewal of the largest tenant the property, Latham & Watkins LLP (Latham; 58.0% of NRA, lease expires in January 2031). As per the site inspection conducted in January 2024, the property was 76.1% occupied, down from 85.3% as of the September 2023 rent roll. This decline is attributed to the departure of three tenants that vacated the premises upon their lease expiry dates in Q4 2023. The East End submarket vacancy rate is 16.5% as reported by Reis. Marketing of the vacant space appears to be in line with the submarket's average asking rate of $63.20 psf across office properties. The DSCR was reported to be 1.74x for the trailing nine month period ended September 30, 2023, compared with 1.58x as of YE2022 and 2.79x at issuance. Although the subject benefits from a good location and the long-term tenancy of its largest tenant, Latham, there are concerns with performance declines as occupancy levels are lower than at issuance, which may pose challenges for the borrower in securing refinancing at loan maturity. In its analysis, Morningstar DBRS updated the senior debt LTV to reflect the Morningstar DBRS value of the property as concluded with the April 15, 2024, credit rating action, as well as a stressed POD to account for the declining performance metrics since issuance. This results in an expected loss that was approximately 10x the base-level expected loss. Morningstar DBRS confirmed the credit ratings on Classes 555A and 555B with the April 15, 2024, credit rating action, given the position of the nonpooled rake bonds in the capital stack. The credit ratings and Stable trends were again confirmed with this review. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2015-C23: DBRS Confirms B Rating on X-FG Certs ------------------------------------------------------------- DBRS Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C23 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 as follows: -- 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 X-B at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class PST at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at BB (low) (sf) -- Class X-FG at B (sf) -- Class G at B (low) (sf) Morningstar DBRS changed the trends on Classes E, F, G, and X-FG to Negative from Stable. All other trends are Stable. The credit ratings confirmations are supported by the continued stable performance of the pool, reinforced by a healthy weighted-average (WA) pool debt service coverage ratio (DSCR) of 1.74 times (x), no loans being in special servicing, and only seven loans representing 6.5% of the pool on the servicer's watchlist. However, the Negative trends on Classes E, F, G, and X-FG are a result of the transaction's exposure to eight loans, representing 23.5% of the pool, that Morningstar DBRS expects may be at an increased refinance risk as a result of performance concerns, increased rollover risk prior to maturity, and/or general market concerns as a majority of the remaining loans are scheduled to mature through H1 2025. As of the April 2024 remittance, 66 of the original 75 loans remain in the pool, representing a collateral reduction of 21.9%. Sixteen loans, representing 10.6% of the pool, have been fully defeased and no loans are in special servicing. The seven loans on the servicer's watchlist represent a very modest portion of the pool, totaling 6.5%, with only three of these loans, representing 3.6% of the pool, being flagged for performance- or occupancy-related concerns. Outside of the defeased loans, loans backed by office properties make up only 5.7% of the pool balance while the largest concentration of loans, making up approximately 26.7% of the pool balance, is backed by retail properties. The largest loan on the servicer's watchlist, Aviare Place Apartments (Prospectus ID#16; 2.4% of the pool), is secured by a 266-unit multifamily property in Midland, Texas. At last review, this loan, along with the loan for Hawthorne House Apartments (Prospectus ID#24; 1.4% of the pool), another neighboring multifamily property, were being specially serviced for payment default since December 2021. In May 2022, loan modifications for both loans were executed, which, according to the servicer, brought both loans current, converted payments to interest only (IO), added three one-year extension options to the loans for a fully extended maturity date of November 2027, and funded an all-purpose reserve of approximately $100,000 for both loans. Both loans were subsequently transferred back to the Master Servicer in November 2023. The subject property has struggled with volatility in the past, which can be attributed in part to the Midland region's reliance on the oil and gas industry. While the occupancy rate at the subject has remained over 90% for the last three years, rental rate fluctuation caused significant downward pressure on cash flow. At issuance, the average rental rate per month was over $1,200, which dropped to approximately $732 in 2021 and rebounded to $961 in 2023. The DSCR as of YE2022 was reported at 0.60x compared with the DSCR of 0.71x at YE2021. Significant improvements were seen in 2023, primarily in average monthly rental rates, which increased by 18.9% over the prior year, with the loan covering at a DSCR of 1.1x. While these improvements are a positive sign, the loan's performance remains well below issuance expectations and the subject's performance continues to lag behind its pre-pandemic metrics. There has been no updated appraisal since February 2022, when the value declined to $16.0 million from $34.0 million at issuance. As a full recovery is still far from materializing and market volatility remains a concern, Morningstar DBRS maintained its approach, stressing the loan-to-value (LTV) ratio and applying a probability of default (POD) penalty in its analysis, resulting in an expected loss (EL) that was more than triple the pool average EL. In this review, Morningstar DBRS identified eight loans, representing 23.5% of the pool as being at elevated refinance risk as a result of concerns about performance, rollover risk, and/or market-related concerns, as each of these loans approach maturity in H1 2025. The WA EL for these loans was nearly twice the WA pool EL. The largest of these loans is secured by Fairfax Corner (Prospectus ID#3; 6.2% of the pool) a 182,331 square foot (sf) open-air mixed-use retail/office space across 10 buildings in Fairfax, Virginia. The collateral is situated in a larger development (non-collateral) of outdoor retail and office space that totals approximately 900,000 sf. At last review, Morningstar DBRS highlighted concerns regarding rollover, which at the time was approximately 30%, and the resulting possibility of decline in net cash flow (NCF) coupled with a challenged submarket. These concerns have largely persisted with this review. According to the financials for the trailing nine-month period ended September 30, 2023, the annualized NCF was $3.8 million compared with the YE2022 NCF of $4.6 million. This decline can be attributed largely to the decreased rental income as a result of several tenants vacating at their lease expirations. However, the borrower has been successful in improving the occupancy rate, which was reported at 96% as of the December 2023 rent roll. While the improvement in occupancy is notable, tenants representing approximately 21.3% of the net rentable area (NRA) have lease expirations prior to the loan's maturity in June 2025. In addition, according to the Q1 2024 Reis report, the Fair Oaks office submarket continues to report an elevated vacancy rate of 28.9% for, which is expected to remain elevated though 2029. Overall, given the declining NCF and high tenant rollover ahead of loan maturity, Morningstar DBRS applied a stressed LTV ratio and POD penalty in its analysis, resulting in an EL that is more than 20% greater than the pool average. At issuance, Morningstar DBRS shadow-rated the 32 Old Slip Fee loan (Prospectus ID#2; 7.8% of the pool) as investment grade. With this review, Morningstar DBRS confirmed that the performance of this loan remains consistent with investment-grade loan characteristics. Despite concerns surrounding the office sector, the loan continues to benefit from the substantial investment of $69.0 million made by the property owner of the improvements prior to issuance that have maintained the property's high quality. The loan benefits from the structure of the ground lease: in the event of a default the improvements can revert to the borrower if the ground lessee were to stop making ground-rent payments. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-ASHF: DBRS Confirms BB Rating on E Certs ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-ASHF issued by Morgan Stanley Capital I Trust 2017-ASHF as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class XEXT at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall stable-to-improved performance of the underlying hotel portfolio, as evidenced by year-over-year growth in net cash flow (NCF), occupancy, and revenue per available room (RevPAR) figures as reported by STR. Morningstar DBRS' loan-to-value ratio (LTV) is 74.8% for the Morningstar DBRS-rated debt and 102.9% for the all-in debt. The credit profile of the transaction remains in line with Morningstar DBRS' expectations. The subject transaction comprises an interest-only (IO), floating-rate loan, collateralized by a portfolio of 17 hotel properties, with multiple formats including all-suite, full-service, limited-service, and extended-stay hotels. The portfolio totals 3,128 rooms across seven states. As of the May 2024 remittance, the trust balance of $409.7 million represented a collateral reduction of approximately 4.0% since issuance. There have been no releases of the underlying hotels; however, a parking parcel was previously released, and there have been multiple principal curtailments over the past year. All hotels in the portfolio operate under nationally recognized flags, including Hilton Worldwide Holding Inc. and Marriott International, Inc. (Marriott). The loan is sponsored by Ashford Hospitality Trust, Inc. (Ashford), an experienced hotel investment company and publicly traded real estate investment trust. The hotels are managed by two separate companies: Marriott manages five of the hotels while Remington Lodging and Hospitality, LLC manages the remaining 12. According to the February 2024 STR reports, the portfolio reported a T-12 ended February 29, 2024, weighted-average occupancy rate of 71.7%, average daily rate of $165, and RevPAR of $119, respectively, representing a RevPAR penetration rate of 111.9%. The most recent occupancy and RevPAR figures compare with 70.0% and $114 for the year prior, and a pre-Coronavirus Disease pandemic RevPAR of $113 as of YE2019. The reported NCF also indicates year-over-year improvements as the portfolio continues to stabilize following performance bottoming out in 2020. This improvement is in line with Morningstar DBRS expectations, though the NCF is still lower than pre-pandemic figures. The YE2023 NCF was reported to be $37.8 million, up from $34.5 million at YE2022 and $16.4 million at YE2021. The DSCR has declined to 1.10x as of YE2023 from 1.79x the year prior as a result of increased debt service payments stemming from a higher interest rate. Morningstar DBRS notes the improving performance trends across occupancy, ADR, RevPAR, and overall NCF, in addition to the portfolio's recent deleveraging as mitigating factors. As of the May 2024 remittance, there was $1.7 million available in an FF&E reserve, after the borrower withdrew a $0.7 million disbursement, indicating some periodic replacements or updates. The loan's final maturity is scheduled for November 2024. To evaluate the likelihood of a refinance, the Morningstar DBRS Value was updated with this review, based on a Morningstar DBRS NCF of $37.1 million, which represents a haircut to the servicer's reported NCF for YE2023, and a Morningstar DBRS cap rate of 9.31% for a resulting Morningstar DBRS value of $398.3 million. This figure compares with the previous Morningstar DBRS value of $439.9 million, which was derived in 2020 utilizing pre-pandemic performance metrics. The Morningstar DBRS value derived as part of this review represents a variance of -17.1% from the 2020 appraised value and -31.9% from the issuance appraised value, and suggests a Morningstar DBRS LTV of just under 75% on the rated portion of the debt stack and just over 100% on the whole loan balance. No qualitative adjustments were made to the LTV Sizing Benchmarks. While the value decline is a noteworthy risk, there are mitigating factors in the significant principal paydown over the last few years. With the reduced trust exposure to the loan, the value decline did not result in ratings pressure with the updated LTV Sizing Benchmarks. Although the all-in Morningstar DBRS LTV suggests a refinance of the full debt could require a significant equity contribution, it is worthy to note that the sponsor has exhibited significant commitment to the collateral portfolio and the trust debt to date and Morningstar DBRS believes there should be significant incentive for the borrower and servicer to successfully resolve any issues that arise as part of the upcoming maturity. The Morningstar DBRS credit rating assigned to Class C is lower than the result suggested by the LTV Sizing Benchmark by three notches. The variance is warranted given uncertain loan level event risk and loan level performance trends not yet demonstrated. The loan has an upcoming maturity in November 2024 with no extension options remaining. Although Morningstar DBRS believes the loan's leverage point and performance trends suggest a healthy likelihood for refinance, the most recent NCF suggests performance has not restabilized to pre-pandemic levels. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2024-INV3: Moody's Assigns (P)B3 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 34 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2024-INV3, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of GSE-eligible (99.0% by balance) and prime jumbo (1.0% by balance) residential mortgages aggregated by Morgan Stanley from CrossCountry Mortgage, LLC (36.0% by balance), PennyMac Loan Services, LLC and PennyMac Corp. (collectively, PennyMac, 26.9% by balance), Movement Mortgage, LLC (14.6% by balance), and other originators constituting less than 10% of the loans (by balance). PennyMac aggregated some of its loans from other originators. The loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), and PennyMac. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2024-INV3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-IO*, Assigned (P)Aaa (sf) Cl. A-X-IO1*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-2-IO*, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-IO*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-IO*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-IO*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-IO*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-IO*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-IO*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-9-IO*, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aa1 (sf) Cl. A-10-IO*, Assigned (P)Aa1 (sf) Cl. A-11, Assigned (P)Aa1 (sf) Cl. A-11-IO*, Assigned (P)Aa1 (sf) Cl. A-12, Assigned (P)Aa1 (sf) Cl. A-12-IO*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.20%, in a baseline scenario-median is 0.82% and reaches 9.57% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. MPOWER EDUCATION 2024-A: DBRS Finalizes BB Rating on C Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the notes issued by MPOWER Education Trust 2024-A (MPOWER 2024-A) as follows: -- $145,500,000 Class A Notes rated A (sf) -- $40,300,000 Class B Notes rated BBB (sf) -- $12,300,000 Class C Notes rated BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The Morningstar DBRS credit ratings on the notes are based upon a review by Morningstar DBRS of the following considerations: -- The transaction's capital structure and the form and sufficiency of available credit enhancement. Overcollateralization, subordination, a reserve account and excess spread create credit enhancement levels that are commensurate with the ratings. -- Transaction cash flows are sufficient to repay investors under all rating stress scenarios in accordance with the terms of the MPOWER 2024-A transaction documents. -- The quality and credit characteristics of the student loan borrowers. -- Structural features of the transaction that increase overcollateralization targets and/or floors if performance deteriorates. -- The experience, origination and underwriting capabilities of MPOWER and its bank partner. Morningstar DBRS has performed an operational assessment of MPOWER and considers MPOWER via its bank partnership with Bank of Lake Mills an acceptable originator of private student loans. -- The ability of the subservicer to perform collections on the collateral pool and other required activities. Morningstar DBRS has performed an operational assessment of Launch Servicing, LLC and considers the entity an acceptable subservicer of private student loans. -- The legal structure and legal opinions that address the true sale of the student loans, the nonconsolidation of the trust, that the indenture trustee has a valid and perfected security interest in the assets and the consistency with the "Morningstar DBRS Legal Criteria for US Structured Finance." -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update" published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Interest Distribution Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. NEW RESIDENTIAL 2024-RPL1: DBRS Finalizes B(high) on B5 Notes ------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) issued by New Residential Mortgage Loan Trust 2024-RPL1 (NRMLT 2024-RPL1 or the Trust) as follows: -- $155.2 million Class A at AAA (sf) -- $13.8 million Class B-1 at AA (high) (sf) -- $12.4 million Class B-2 at A (high) (sf) -- $10.5 million Class B-3 at BBB (high) (sf) -- $6.7 million Class B-4 at BB (high) (sf) -- $5.3 million Class B-5 at B (high) (sf) The AAA (sf) credit rating on the Notes reflects 31.00% 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 24.85%, 19.35%, 14.70%, 11.70%, and 9.35% of credit enhancement, respectively. Other than the specified classes of Notes 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- and second-lien residential mortgages, funded by the issuance of the Notes. The Notes are backed by 1,212 loans with a total principal balance of $224,949,945 as of the Cut-Off Date (March 31, 2024). The portfolio is approximately 156 months seasoned on average, though the loan ages are quite dispersed, ranging from 11 to 383 months. In the portfolio, 71.5% of the loans are modified. The modifications happened more than two years ago for 89.5% of the modified loans. Within the pool, 345 mortgages have non-interest-bearing deferred amounts, which equates to 6.9% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in the report are based on the current balance, including the applicable non-interest-bearing deferred amounts. As of the Cut-Off Date, 78.4% of the loans in the pool are current. Approximately 0.4% are in bankruptcy (all bankruptcy loans are current), 18.2% are 30 days delinquent, and 3.4% are 60 days delinquent. Approximately 34.3% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 51.2% have been 0x30 for at least the past 12 months under the MBA delinquency method. The majority of the pool (75.0%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated prior to January 10, 2014, the date on which the rules became applicable, or originated as investor property loans. The loans subject to the ATR rules are designated as non-QM (9.5%). The Sponsor, Rithm Capital Corp, (Rithm), acquired 72.9% of the Mortgage Loans prior to the Cut-Off Date in connection with the termination of various securitization trusts. Rithm or one of its majority-owned affiliates will acquire and retain a 5% eligible horizontal residual interest in the Notes, consisting of 100% of the Class B-6 Notes and Class XS Notes, in the aggregate, to satisfy the credit risk retention requirements. Since May 2014, 29 seasoned securitizations have been issued from the NRMLT core shelf. These securitizations contained highly seasoned loans sourced from prior deal collapses. Historical performance for prior NRMLT deals has been generally satisfactory with relatively low realized losses. As of the Closing Date, the mortgage loans will be serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing (SMS; 99.0%) and Fay Servicing, LLC (1.0%). Approximately 66.0% of the pool is currently serviced by another servicer and will transfer to SMS prior to the first Payment Date. Nationstar Mortgage LLC will serve as the Master Servicer, and Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will serve as the Paying Agent. There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicer or any other party to the transaction; however, the related Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable). Each Servicer has the right to sell mortgage loans that become 60 or more days delinquent in the secondary market in an arms-length transaction at fair market value to maximize proceeds to the Issuer. The Seller will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the MBA method or any real estate owned property acquired in respect of a mortgage loan at a price equal to the unpaid principal balance of such loan (Optional Repurchase Price), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-off Date. On the earlier of (1) the Payment Date occurring in April 2027 or (2) the Payment Date on which the aggregate Stated Principal Balance of the Mortgage Loans, as of the last day of the related collection period, is less than or equal to 25% of the aggregate Stated Principal Balance of the Mortgage Loans as of the Cut-Off Date, the Depositor or its assignee has the option to purchase all the outstanding notes at par plus interest. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest carryforward amounts on the Notes, but such interest carryforward amounts on Class B-1 and more subordinate bonds will not be paid from principal proceeds until Class A is retired. Notes: All figures are in US Dollars unless otherwise noted. NGC 2024-I: S&P Assigns B- (sf) Rating on $8MM Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to NGC 2024-I Ltd./NGC 2024-I 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 NGC CLO Manager 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 NGC 2024-I Ltd./NGC 2024-I LLC Class X, $4.00 million: AAA (sf) Class A-1, $240.00 million: AAA (sf) Class A-FJ, $4.00 million: AAA (sf) Class A-NJ, $12.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $12.00 million: BBB (sf) Class D-F (deferrable), $10.00 million: BBB (sf) Class D-J (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Class F (deferrable), $8.00 million: B- (sf) Subordinated notes, $29.70 million: Not rated NORTHWOODS CAPITAL XII-B: Moody's Cuts Cl. F Notes Rating to Caa2 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Northwoods Capital XII-B, Limited: US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Apr 7, 2023 Downgraded to B3 (sf) Moody's has also affirmed the ratings on the following notes: US$305,000,000 (current outstanding amount US$281,249,292.80) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 15, 2018 Definitive Rating Assigned Aaa (sf) US$77,400,000 (current outstanding amount US$71,372,771.35) Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 15, 2018 Definitive Rating Assigned Aaa (sf) US$71,700,000 Class B Senior Secured Floating Rate Notes, Affirmed Aa1 (sf); previously on Apr 7, 2023 Upgraded to Aa1 (sf) US$31,350,000 Class C Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Sep 24, 2020 Confirmed at A2 (sf) US$37,350,000 Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Sep 24, 2020 Confirmed at Baa3 (sf) US$26,900,000 Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 24, 2020 Confirmed at Ba3 (sf) Northwoods Capital XII-B, Limited, issued in June 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Angelo, Gordon & Co. L.P. The transaction's reinvestment period ended in June 2023. RATINGS RATIONALE The rating downgrade on the Class F notes is primarily a result of the deterioration in over-collateralisation ratios since the payment date in June 2023. The action also reflects a correction in the modelling of the Interest Reinvestment Test. The test was previously modelled as applicable during both the reinvestment and the amortization periods, while it was only applicable during the reinvestment period per transaction documentation. This correction has a one notch impact on the Class F. The affirmations on the ratings on the Class A-1, A-2, B, C, D and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The over-collateralisation ratios of the junior rated notes have deteriorated over the last year. According to the trustee report dated May 2024 [1], the Class E OC ratio is reported at 105.02% compared to June 2023 [2] level of 105.48%. The Moody's calculated OC ratio for the Class F notes is currently at 103.57% compared to the June 2023 level of 104.34%. The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD544.35m Defaulted Securities: USD4.41m Diversity Score: 69 Weighted Average Rating Factor (WARF): 2740 Weighted Average Life (WAL): 3.87 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.50% Weighted Average Coupon (WAC): 7.63% Weighted Average Recovery Rate (WARR): 46.88% Par haircut in OC tests and interest diversion test: none The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NYMT LOAN 2024-BPL2: DBRS Gives Prov. BB(low) Rating on M Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2024-BPL2 (the Notes) to be issued by NYMT Loan Trust Series 2024-BPL2 (NYMT 2024-BPL2 or the Issuer) as follows: -- $186.3 million Class A1 at A (low) (sf) -- $18.1 million Class A2 at BBB (low) (sf) -- $17.1 million Class M at BB (low) (sf) The A (low) (sf) credit rating reflects 25.50% of credit enhancement provided by the subordinated notes and overcollateralization. The BBB (low) (sf) and BB (low) (sf) credit ratings reflect 18.25% and 11.40% 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 two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 502 mortgage loans with a total principal balance of approximately $208,996,014 -- Approximately $41,003,986 in the Accumulation Account -- Approximately $1,251,184 in the Interest Reserve Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. NYMT 2024-BPL2 represents the fourth RTL securitization issued by the Sponsor and Trust Manager, New York Mortgage Trust, Inc. (NYMT). Formed in 2003, NYMT is an internally managed public real estate investment trust, in the business of acquiring, investing, financing, and managing primarily mortgage-related single-family and multifamily residential assets, including joint venture equity investments in multifamily apartment communities. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of six to 24 months. The loans may also include extension options, which may lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero, weighted-average (NZ WA) FICO score of 735. -- A maximum NZ WA Loan-to-Cost ratio of 80.0%. -- A maximum NZ WA As Repaired Loan-to-Value ratio of 70.0%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or small balance commercial properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the related Asset Manager, Servicer, or Trust Manager. In the NYMT 2024-BPL2 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund construction draw requests upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the NYMT 2024-BPL2 eligibility criteria, unfunded commitments are limited to 30.0% of the portfolio by the assets of the issuer, which includes (1) the unpaid principal balance (UPB) and (2) amounts in the Accumulation Account and Payment Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure with bullet pay features to Class A2 and M Notes on their respective mandatory redemption dates. During the reinvestment period, the Notes will generally be IO. During and after the reinvestment period, principal and interest collections will be used to pay interest to the Notes, sequentially. After the reinvestment period, available funds will be applied as principal to pay down Class A1, until reduced to zero. Class A2 and M are not entitled to any payments of principal until the optional redemption date, the related note mandatory redemption date, or upon the occurrence of an Event of Default (EOD). Prior to any related redemption date or an EOD, any available funds remaining after Class A1 is paid in full will be deposited into the Redemption Account. If the Issuer does not redeem the Notes by the payment date in November 2026, the Class A1 and A2 fixed rates will step-up by 1.000%. In contrast to certain other Morningstar DBRS-rated RTL securitizations which incorporated REMIC structures, this transaction incorporates a debt for tax structure. In this transaction, the interest rates on the Notes are set at fixed rates, which are not capped by the net WA coupon (Net WAC) or available funds. This feature, along with the bullet feature, causes the structure to have elevated subordination levels relative to a comparable structure with fixed-capped interest rates and no bullet feature because interest entitlements are generally higher, and more principal may be needed to cover interest shortfalls. Morningstar DBRS considered such nuanced features and incorporated them in its cash flow analysis. The cash flow structure is discussed in more detail in the Cash Flow Structure and Features section of the related report. There will be no advancing of delinquent (DQ) principal or interest on any mortgage by the Servicers or any other party to the transaction. However, the Trust Manager, Asset Managers, or Servicers are obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Such Servicing Advances will be reimbursable from collections and other recoveries prior to any payments on the Notes. The related Asset Manager or Servicer will also satisfy Rehabilitation Disbursement Requests, which include borrower-requested draws for approved construction, repairs, restoration, and protection of the property. The related Asset Manager or Servicer will satisfy such Rehabilitation Disbursement Requests using (1) collections on deposit in any related custodial account, (2) its own funds, or (3) funds advanced by the Trust Manager. The Trust Manager may use amounts on deposit in the Accumulation Account to reimburse the related Asset Manager or Servicer for any such Construction Advance, or to fund or reimburse itself for any such Construction Advance Shortfall Amounts. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a maximum effective advance rate of approximately 88.60%, which ensures a minimum level of overcollateralization for the bonds until the amortization period begins. In addition, the transaction incorporates a Class A Minimum Credit Enhancement Test during the reinvestment period, which if breached, redirects available funds to pay down Classes A1 and A2, sequentially, prior to replenishing the Accumulation Account, to maintain a minimum CE. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. In contrast to other Morningstar DBRS-rated RTL securitizations, NYMT 2024-BPL2 also incorporates an Interest Reserve Account that can cover one month of interest to the Notes. The Interest Reserve Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes and before payment of amounts to the Accumulation Account, to maintain a minimum reserve balance. Such feature helps to prevent disruptions of interest payments to the Notes. Historically, NYMT RTL acquisitions have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated NYMT's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Other Transaction Features Optional Redemption On any date after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the Redemption Price (par plus interest and fees). Mandatory Redemption On any Payment Date on or after the Class A1 Note Expected Redemption Date (October 2027), the Issuer will cause the redemption of the Class A2 Notes in whole from funds in the Redemption Account when the amounts in the Redemption Account become sufficient to pay off the Class A2 Note Amount and any accrued interest (Class A2 Note Mandatory Redemption). On any Payment Date on or after the Class M Note Expected Redemption Date (February 2028), the Issuer will cause the redemption of the Class M Notes in whole from funds in the Redemption Account when the amounts in the Redemption Account become sufficient to pay off the Class M Note Amount and any accrued interest (Class M Note Mandatory Redemption). Repurchase Option The Sponsor will have the option to repurchase mortgage loans at the Repurchase Price (par plus interest and fees) if: -- Amounts in the Accumulation Account are insufficient to fund the related mortgage loan draw requirements -- Such mortgage loan becomes DQ or defaulted -- Such mortgage loan is extended beyond 12 months from original maturity. During the reinvestment period, if the Sponsor repurchases DQ, defaulted, or extended loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Sales of Mortgage Loans The Issuer may sell a mortgage loan under the following circumstances: -- The Sponsor is required to repurchase a loan because of a material breach, a diligence defect, or a material document defect. -- The Sponsor elects to exercise its Repurchase Option. -- An optional redemption occurs. -- The Issuer sells a mortgage loan in an arm's length transaction at the Repurchase Price or sells a defaulted loan at fair market value (FMV). -- The Issuer sells a mortgage loan to an affiliate at FMV but such price must be at least par plus interest. Voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans (Repurchase Limit). U.S. Credit Risk Retention As the Sponsor, NYMT or one or more majority-owned affiliates will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Residual Interest Certificate) to satisfy the credit risk retention requirements. Morningstar DBRS' credit ratings on the Class A1 and Class A2 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A1 and Class A2 Notes if the Class A1 and Class A2 Notes remain outstanding on the step-up date (November 2026) in accordance with the applicable transaction document(s). 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. OAKTOWN RE VI: Moody's Upgrades Rating on Cl. B-1 Certs to Ba1 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from three MI CRT transactions. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by ceding insurers on a portfolio of residential mortgage loans. 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: Oaktown Re V Ltd. Cl. B-1, Upgraded to A1 (sf); previously on Mar 10, 2023 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Aa2 (sf); previously on Mar 10, 2023 Upgraded to Baa2 (sf) Issuer: Oaktown Re VI Ltd. Cl. B-1, Upgraded to Ba1 (sf); previously on Jun 9, 2023 Upgraded to B1 (sf) Cl. M-1B, Upgraded to Aa2 (sf); previously on Jun 9, 2023 Upgraded to A3 (sf) Cl. M-1C, Upgraded to A3 (sf); previously on Jun 9, 2023 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 9, 2023 Upgraded to Ba2 (sf) Issuer: Oaktown Re VII Ltd. Cl. M-1A, Upgraded to A2 (sf); previously on Oct 26, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-1B, Upgraded to Baa3 (sf); previously on Oct 26, 2021 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, the current asset profile, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance with minimal cumulative losses and low delinquency. The enhancement levels for the tranches have grown significantly, as the pools amortize relatively quickly. As of the April 2024 distribution date, the credit enhancement since closing has grown, on average, above 1.7x for the tranches upgraded. In addition to the improved loss coverage levels, the upgrades on some of the bonds also reflect Moody's expected time to the principal being paid in full. Based on current speed of amortization, Moody's expect the most senior bond in each deal (Class M-2 in Series V, Class M-1B in Series VI and Class M-1A in Series VII) to be paid in full in the next 12 months. Once each of those bonds are paid in full, principal will be paid to the next class sequentially and Moody's expect the pace or amortization to remain strong and credit enhancement to grow further as a percent of the declining collateral balance. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting upgrades. 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. OAKTREE 2019-4: S&P Assigns Prelim BB-(sf) Rating on E-RR Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt and proposed new class X debt from Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC, a CLO managed by Oaktree Capital Management L.P. that was originally issued in October 2019 and underwent a prior refinancing in November 2021. The preliminary ratings are based on information as of June 12, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 18, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the November 2021 debt. At that time, S&P expects to withdraw its ratings on the November 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the November 2021 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 non-call period will end June 18, 2026. -- The reinvestment period will end July 20, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 20, 2037. -- The required minimum overcollateralization coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The class X notes issued in connection with this refinancing are expected to be paid down using interest proceeds during the first seven payment dates beginning with the payment date on July 20, 2024. Replacement And November 2021 Debt Issuances Replacement debt -- Class X, $1.10 million: Three-month CME term SOFR + 1.050% -- Class A-RR, $478.80 million: Three-month CME term SOFR + 1.510% -- Class B-RR, $89.80 million: Three-month CME term SOFR + 1.920% -- Class C-RR(deferrable), $44.80 million: Three-month CME term SOFR + 2.270% -- Class D-1-RR (deferrable), $37.50 million: Three-month CME term SOFR + 3.400% -- Class D-2-RR (deferrable), $11.25 million: Three-month CME term SOFR + 4.700% -- Class E-RR (deferrable), $26.05 million: Three-month CME term SOFR + 6.590% -- Subordinated notes, $64.75 million: Not applicable November 2021 debt -- Class A-1-R, $472.50 million: Three-month CME term SOFR + 1.12% + CSA(i) -- Class A-2-R, $15.00 million: Three-month CME term SOFR + 1.45% + CSA(i) -- Class B-R, $78.75 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-R, $45.00 million: Three-month CME term SOFR + 2.25% + CSA(i) -- Class D-1-R, $32.50 million: Three-month CME term SOFR + 3.35% + CSA(i) -- Class D-2-R, $12.50 million: Three-month CME term SOFR + 4.15% + CSA(i) -- Subordinated notes, $64.75 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Class X, $1.10 million: AAA (sf) Class A-RR, $478.80 million: AAA (sf) Class B-RR, $89.80 million: AA (sf) Class C-RR (deferrable), $44.80 million: A (sf) Class D-1-RR (deferrable), $37.50 million: BBB (sf) Class D-2-RR (deferrable), $11.25 million: BBB- (sf) Class E-RR (deferrable), $26.05 million: BB- (sf) Other Debt Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Subordinated notes, $64.75 million: Not rated OCTANE 2024-2: S&P Assigns Prelim BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Octane Receivables Trust 2024-2's asset-backed notes. The note issuance is an ABS transaction backed by consumer powersport receivables. The preliminary ratings are based on information as of June 13, 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 availability of approximately 35.66%, 27.89%, 19.43%, 13.25%, and 9.92% in credit support, including excess spread, for the class A (collectively, classes A1 and A2), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 5.00x, 4.00x, 3.00x, 2.00x, and 1.60x coverage of S&P's stressed net loss levels for the class A, B, C, D, and E notes, respectively. -- 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 expectation that under a moderate ('BBB') stress scenario (2.00x our expected loss level), all else being equal, S&P's ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions," published June 9, 2023. -- The collateral characteristics of the amortizing pool of consumer powersports receivables, including approximately 60.1% of the outstanding principal balance in credit tiers 1 and 2. -- The transaction's credit enhancement in the form of subordination, overcollateralization that builds to a target level of 8.25% of the current receivables balance, a nonamortizing reserve account, and excess spread. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. -- The transaction's payment and legal structure. Preliminary Ratings Assigned Octane Receivables Trust 2024-2 Class A1, $50.000 million: A-1+ (sf) Class A2, $203.620 million: AAA (sf) Class B, $31.790 million: AA (sf) Class C, $36.320 million: A (sf) Class D, $25.580 million: BBB (sf) Class E, $17.690 million: BB (sf) OHA CREDIT XIV: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R replacement debt from OHA Credit Partners XIV Ltd./OHA Credit Partners XIV LLC, a CLO originally issued in November 2017 that is managed by Oak Hill Advisors L.P., a subsidiary of T. Rowe Price. The preliminary ratings are based on information as of June 11, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 2, 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 weighted average cost of debt of the replacement debt is expected to be lower than the original debt. -- The original class B debt is expected to be replaced by two classes of pari-passu fixed- and floating- rate debt (class B-1-R and B-2-R). -- The original class D debt is expected to be replaced by two classes of floating- rate debt (class D-1-R and D-2-R). The class D-1-R debt will be senior to the class D-2-R debt. -- The target par amount is expected to be increased to $600 million. -- The stated maturity will be extended to July 2037. -- The reinvestment period will be extended to July 2029. -- The non-call date will be extended to August 2028. -- Additional subordinated notes are expected to be issued in connection with this refinancing. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $368.40 million: Three-month CME term SOFR + 1.37% -- Class A-2-R, $39.60 million: Three-month CME term SOFR + 1.52% -- Class B-1-R, $37.00 million: Three-month CME term SOFR + 1.70% -- Class B-2-R, $11.00 million: 5.840% -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 2.00% -- Class D-1-R (deferrable), $36.00 million: Three-month CME term SOFR + 2.95% -- Class D-2-R (deferrable), $7.50 million: Three-month CME term SOFR + 4.25% -- Class E-R (deferrable), $16.50 million: Three-month CME term SOFR + 5.60% -- Subordinated notes, $63.77 million: Not applicable Original debt -- Class A-1, $253.700 million: Three-month CME term SOFR + 1.16% + CSA(i) -- Class A-2, $19.875 million: Three-month CME term SOFR + 1.30% + CSA(i) -- Class B, $53.750 million: Three-month CME term SOFR + 1.50% + CSA(i) -- Class C (deferrable), $26.350 million: Three-month CME term SOFR + 1.80% + CSA(i) -- Class D (deferrable), $26.075 million: Three-month CME term SOFR + 2.70% + CSA(i) -- Class E (deferrable), $15.850 million: Three-month CME term SOFR + 6.25% + CSA(i) -- Subordinated notes, $39.650 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary. Preliminary Ratings Assigned OHA Credit Partners XIV Ltd./OHA Credit Partners XIV LLC Class A-1-R, $368.40 million: AAA (sf) Class A-2-R, $39.60 million: Not rated Class B-1-R, $37.00 million: AA (sf) Class B-2-R, $11.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-1-R (deferrable, $36.00 million: BBB- (sf) Class D-2-R (deferrable), $7.50 million: BBB- (sf) Class E-R (deferrable), $16.50 million: BB- (sf) Other Debt OHA Credit Partners XIV Ltd./OHA Credit Partners XIV LLC Subordinated notes, $63.77 million: Not rated PALMER SQUARE 2021-1: Moody's Ups Rating on $16MM D Notes From Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2021-1, Ltd.: USD18M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jan 17, 2024 Upgraded to A2 (sf) USD16M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Mar 28, 2022 Upgraded to Ba1 (sf) Moody's has also affirmed the ratings on the following notes: USD264M (Current outstanding amount USD29,740,435) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 18, 2021 Definitive Rating Assigned Aaa (sf) USD48M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 28, 2022 Upgraded to Aaa (sf) USD24M Class B Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jan 17, 2024 Upgraded to Aaa (sf) Palmer Square Loan Funding 2021-1, Ltd., issued in February 2021, is a static collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is serviced by Palmer Square Capital Management LLC. The servicer may sell assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sales and unscheduled principal proceeds received will be used to amortize the notes in sequential order. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the Class A-1 notes following amortisation of the underlying portfolio since the last rating action in January 2024. The affirmations on the ratings on the Class A-1, Class A-2 and Class B notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1 notes have paid down by approximately USD 59.1 million (22.4%) since the last rating action in January 2024 and USD 234.3 million (88.7%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated May 2024 [1] the Class A, Class B, Class C, and Class D OC ratios are reported at 208.6%, 159.4%, 135.4% and 119.5% compared to December 2023 [2] levels of 162.8%, 138.5%, 124.6% and 114.4%, respectively. Key model inputs: The key model inputs Moody's uses in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD162,118,207 Defaulted Securities: USD775,573 Diversity Score: 47 Weighted Average Rating Factor (WARF): 2871 Weighted Average Life (WAL): 3.22 years Weighted Average Spread (WAS) (before accounting for floors): 3.45% Weighted Average Recovery Rate (WARR): 47.43% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. POINT SECURITIZATION 2024-1: DBRS Finalizes BB Rating on B1 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Option-Backed Notes issued by Point Securitization Trust 2024-1 as follows: -- $98.3 million Class A-1 at A (sf) -- $29.1 million Class A-2 at BBB (low) (sf) -- $14.0 million Class B-1 at BB (sf) The A (sf) credit rating reflects credit enhancement of 50.5% for Class A-1, the BBB (low) (sf) credit rating reflects credit enhancement of 35.8% for Class A-2, and the BB (sf) credit rating reflects credit enhancement of 28.8% for Class B-1. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return. As of the cut-off date, the collateral consists of approximately $198.57 million in current exercise value from 1,503 nonrecourse HEI agreements secured by first, second, or third liens on single-family, multifamily (two- to four-family), condominium, and planned unit development properties. All the contracts in the asset pool were originated between 2021 and 2023. Of the pool, 9.29% of the contracts are first lien and have a weighted-average (WA) HEI percentage of 58.29%, 79.67% are second-lien contracts and have a WA HEI percentage of 54.71%, and the remaining 11.04% of the pool are third-lien contracts with a WA HEI of 54.12%. This brings the entire transaction's WA HEI percentage to 54.97%. To better understand the contract math, please see the Contract Mechanics—Worked Example section of the related Presale Report. The current unadjusted loan-to-value ratio (LTV) of the pool is 40.69% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA option-to-value (OTV) of 18.87%, and a current WA loan-plus-option-to-value (LOTV) of 57.70%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 and then the Interest Amounts and any Interest Carryover on Class A-2. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to Class A-2 Notes, payments are then made to the Note Amount until the Note Amount of the Class A-2 Notes is paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date. The Class B-1 Notes are accrual notes and will not be entitled to any payments of principal until Classes A-1 and A-2 are paid down. For cash distributions that are paid post the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 Notes. In the event that the Class A-1 Notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 Notes Accrual Amount would be paid first to Class A-1 Notes until they are paid off and then as Additional Accrued Amounts to Class A-1 Notes, until such amounts have been reduced to zero. If the Class A-1 Notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 Notes. The Class B-1 Notes are accrual notes and will not be entitled to any payments of principal until Classes A-1 and A-2 are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to Class A-1 Notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until such amounts are reduced to zero on Class A-1 Notes. Class A-2 Notes are then paid the Note Amount until they are paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until they are reduced to zero. Class B-1 Notes are then paid the Note Amount until it's paid off. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amount, Interest Amount, and Interest Carryover. 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. 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. PRPM 2024-RCF3: DBRS Finalizes BB(low) Rating on M2 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2024-RCF3 (the Notes) issued by PRPM 2024-RCF3, LLC (PRPM 2024-RCF3 or the Trust) as follows: -- $85.6 million Class A-1 at AAA (sf) -- $12.9 million Class A-2 at AA (high) (sf) -- $16.4 million Class A-3 at A (high) (sf) -- $14.0 million Class M-1 at BBB (high) (sf) -- $15.1 million Class M-2 at BB (low) (sf) The AAA (sf) rating on the Class A-1 Notes reflects 49.70% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), and BB (low) (sf) ratings reflect 42.10%, 32.45%, 24.20%, and 15.35% 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 newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 565 loans with a total principal balance of $170,118,089 as of the Cut-Off Date (March 31, 2024). Morningstar DBRS calculated the portfolio to be approximately 26 months seasoned on average, though the age of the loans is quite dispersed, ranging from two months to 371 months. Approximately 99.5% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to Fannie Mae, Freddie Mac, or another purchaser, and the loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increasing expected losses on the mortgage pool. Guild Mortgage Company originated 14.2% of the pool. The remaining originators each accounted for less than 10.0% of the pool. In the portfolio, 9.9% of the loans are modified. The modifications happened less than two years ago for 45.1% of the modified loans. Within the portfolio, 24 mortgages have non-interest-bearing deferred amounts, equating to 0.3% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (7.6%) are not subject to or exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (83.6%), QM Rebuttable Presumption (8.2%), and Non-QM (0.5%) by UPB. PRP-LB VI, LLC (the Sponsor) acquired the mortgage loans prior to the up-coming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2024-RCF3, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, PRP-LB VI, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2024-RCF3 is the fifth scratch & dent rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and non-performing securitizations. SN Servicing Corporation (SNSC; 60.4%), Fay Servicing, LLC (Fay Servicing; 27.5%) and Rushmore (12.1%) will act as the Servicers of the mortgage loans. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in May 2026. Additionally, a failure to pay the Notes in full by the Payment Date in May 2029 will trigger a mandatory auction of the underlying certificates. If the auction fails to elicit sufficient proceeds to make-whole the Notes, another auction will follow every four months for the first year and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in June 2028, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in July 2031 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on Class A-2 and the other offered Notes will be paid as principal to Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Cap Carryover Amount, and Note Amount. Morningstar DBRS' credit rating on the Notes also addresses the credit risk associated with the increased rate of interest applicable to the Notes if the Notes are not redeemed on the Expected Redemption Date (as defined in and) in accordance with the applicable transaction documents. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in US Dollars unless otherwise noted. RASC TRUST 2003-KS4: Moody's Ups Cl. M-I-1 Certs Rating from Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: First Franklin Mortgage Loan Trust 2003-FF1 Cl. A-1, Upgraded to Aaa (sf); previously on Jan 23, 2019 Upgraded to A3 (sf) Issuer: RASC Series 2003-KS4 Trust Cl. M-I-1, Upgraded to A1 (sf); previously on Feb 4, 2022 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance and Moody's updated loss expectations on the underlying pools. Class A-1 from First Franklin Mortgage Loan Trust 2003-FF1 has experienced credit enhancement growth of 5.69% over the past 12 months. This, combined with relatively stable performance, has led to increased loss coverage levels. The Class M-I-1 from RASC Series 2003-KS4 has experienced similar trends. While collateral performance has improved in recent years, credit enhancement has also grown, as evidenced by a 3.64% increase over the past 12 months. This has also led to an increase in loss coverage. The increase in loss coverage for each bond was a factor in Moody's upgrades. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. 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 analysis of interest risk from current or potential missed interest that remain unreimbursed. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RCKT MORTGAGE 2024-INV1: Moody's Assigns (P)B3 Rating to B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 48 classes of residential mortgage-backed securities (RMBS) to be issued by RCKT Mortgage Trust 2024-INV1, and sponsored by Woodward Capital Management LLC and Blue River Mortgage III LLC. The securities are backed by a pool of GSE-eligible non-owner occupied residential mortgages solely originated and serviced by Rocket Mortgage, LLC. This transaction is the first securitization of mortgage loans backed by investment properties and second homes from RCKT Mortgage Trust. The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2024-INV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aa1 (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aa1 (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1L Loans, Assigned (P)Aaa (sf) Cl. A-2L Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.23%, in a baseline scenario-median is 0.87% and reaches 8.75% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. REGATTA X FUNDING: Fitch Assigns 'B-sf' Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta X Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta X Funding Ltd. A 75884BAA6 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E-R LT BB-sf New Rating F LT B-sf New Rating X LT NRsf New Rating TRANSACTION SUMMARY Regatta X Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Regatta Loan Management, LLC which originally closed in December 2017. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $446 million of primarily first lien senior secured leveraged loans, excluding defaulted obligations. 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 24.94, 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 97.72% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76% versus a minimum covenant, in accordance with the initial expected matrix point of 73.9%. 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (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 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 'BBBsf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E-R, and less than 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1, 'A-sf' for class D-2, 'BBB+sf' for class E-R, and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Regatta X Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SHELTER GROWTH 2023-FL5: DBRS Confirms B(low) Rating on G Notes --------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by Shelter Growth CRE 2023-FL5 Issuer Ltd. (the Issuer) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the collateral in the transaction as borrowers are progressing with the stated business plans. The pool also benefits from favorable property type concentrations as eight loans, representing 52.4% of the current trust balance, are secured by multifamily properties, and six loans, representing 47.6% of the current trust balance, are secured by industrial properties. Historically, loans secured by these property types have exhibited lower default rates and the ability to retain and increase asset value. 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 and with business plan updates on select loans. At closing, the transaction consisted of 15 floating-rate mortgage loans, secured by 16 properties, with an aggregate cut-off date balance of $353.3 million, including the one delayed-close loan. The loans are primarily secured by cash-flowing assets, most of which are in a period of transition with plans to stabilize and improve the asset's value. When the transaction closed in June 2023, an aggregate unfunded future funding commitment of $48.7 million to aid in property stabilization efforts remained available to individual borrowers. The transaction is static but contains a Permitted Funded Companion Participation Acquisition period through the December 2024 payment date, whereby the Issuer can acquire funded pari passu companion participations into the trust. As of May 2024, the pool consists of 14 loans secured by 15 properties as one loan with a former trust balance of $22.3 million was successfully repaid in April 2024. There is a current balance of $0.4 million in the Permitted Funded Companion Participation Acquisition Account. The pool is primarily secured by properties in suburban markets, with 11 loans, representing 72.1% of the pool, with a Morningstar DBRS Market Rank of 3 or 4. An additional three loans, representing 27.9% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 2, denoting a tertiary market. In comparison, in June 2023, properties in suburban markets represented 75.6% of the collateral, and properties in tertiary markets represented 24.4% of the collateral. The current weighted-average (WA) as-is appraised loan-to-value ratio (LTV) is 66.0% as of the May 2024 reporting, with a current WA stabilized LTV of 55.8%. In comparison, these figures were 66.7% and 59.3%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2022 and may not reflect the current rising interest rate or widening capitalization rate (cap rate) environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments for 11 loans, representing 90.3% of the current trust balance. Through April 2024, the collateral manager had advanced cumulative loan future funding of $32.9 million to 11 of the outstanding individual borrowers, with $22.1 million having been advanced since the SGCP 2023-FL5 transaction closed in June 2023. The largest cumulative advances ($12.2 million since loan closing and $11.9 million since June 2023) to one borrower has been made to the borrower of the Phoenix Greenwood Campus loan, which is secured by a 2.7 million square foot (sf) industrial campus across 13 buildings in Greenwood, South Carolina. The borrower's business plan is to complete capital expenditures (capex) across the collateral to modernize the portfolio and to fund leasing costs. Initial loan future funding of up to $15.8 million was allocated as $5.8 million for capex and $10.0 million for leasing costs. Morningstar DBRS did not receive an update regarding the allocation of the advanced funds to date, but according to the collateral manager's Q4 2023 update, the capex plan was 63.0% complete with a projected completion date of November 2025, and the property was 62.3% occupied. An additional $24.2 million of loan future funding allocated to 12 individual borrowers remains available. The largest portion of available funds ($7.7 million) is allocated to the borrower of the Fontana Truck Yard loan, which is secured by a 6.0-acre parcel of land in Fontana, California. The borrower's business plan is to build a 12,500-sf industrial building with the remaining space designated as industrial outdoor storage. Through April 2024, the lender had advanced $0.7 million for carry costs as according to the collateral manager's Q4 2023 update, development of the site was expected to commence in April 2024 with building construction to commence in June 2024. As of May 2024, there are no specially serviced or delinquent loans nor have any loans been modified to date. There are four loans on the servicer's watchlist, representing 20.2% of the current trust balance. All loans have been flagged for upcoming loan maturity. Each loan has outstanding maturity extension options, and Morningstar DBRS expects individual borrowers to exercise these options if necessary. To exercise the respective options, borrowers are required to purchase new interest rate cap agreements. None of the current loan extension options require property performance tests to be achieved in order to be exercised. Notes: All figures are in U.S. dollars unless otherwise noted. SIXTH STREET XXV: S&P Assigns Prelim BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO XXV Ltd./Sixth Street CLO XXV 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 Sixth Street CLO XXV Management LLC. The preliminary ratings are based on information as of June 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sixth Street CLO XXV Ltd./Sixth Street CLO XXV LLC Class A, $310.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $35.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $47.55 million: Not rated TOWD POINT 2024-CES3: Fitch Assigns 'B-sf' Final Rating on B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2024-CES3 (TPMT 2024-CES3). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2024-CES3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M2A LT BBB-sf New Rating M2AX LT BBB-sf New Rating M2B LT BBB-sf New Rating M2BX LT BBB-sf New Rating M2C LT BBB-sf New Rating M2CX LT BBB-sf New Rating M2D LT BBB-sf New Rating M2DX LT BBB-sf New Rating B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf AX LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Following the publication of Fitch's presale and expected ratings, the issuer provided a post-pricing structure with the final bond coupons and the addition of the exchangeable notes M2A, M2AX, M2B, M2BX, M2C, M2CX, M2D and M2DX. The final ratings of the mentioned exchangeable notes are based on the rating of the exchanged class M2, which received a 'BBB-sf' expected rating. Additionally, Fitch re-ran its cashflow analysis and confirmed no changes in the CE levels and the final ratings expected for each tranche. The TPMT 2024- CES3 notes are supported by one collateral group that consists of 6,409 newly originated, closed-end second lien (CES) loans with a total balance of $491 million, as of the cutoff date. Spring EQ, LLC (Spring EQ); Rocket Mortgage, LLC (Rocket); PennyMac Loan Services, LLC (PennyMac); and Nationstar Mortgage LLC dba Mr. Cooper (Nationstar) originated approximately 50%, 22%, 15% and 13% of the loans, respectively. Shellpoint Mortgage Servicing (SMS), Rocket, PennyMac and Nationstar will service the loans. The servicers will not advance delinquent monthly payments of principal and interest (P&I). Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior interest-only class, which represents a senior interest strip of 1.00%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I (principal and interest) certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 11.2% above a long-term sustainable level, compared with 11.1% on a national level as of 4Q23, remained unchanged since last quarter. Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. Home prices had increased 5.5% yoy nationally as of February 2024, despite modest regional declines, but are still being supported by limited inventory. Closed-End Second Liens (Negative): The entirety of the collateral pool is composed of newly originated CES mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien 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. Strong Credit Quality (Positive): The pool consists of new-origination CES loans, seasoned approximately five months (as calculated by Fitch), with a relatively strong credit profile —weighted average (WA) model credit score of 729, a 39% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 80%. Roughly 99% of the loans were treated as full documentation in Fitch's analysis. Approximately 69% of the loans were originated through a retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. With respect to any loan that becomes DQ for 150 days or more under the Office of Thrift Supervision (OTS) methodology, the related servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. Unlike prior TPMT CES transactions, the structure does not allocate excess cashflow to turbo down the bonds and includes a step-up coupon feature whereby the fixed interest rate for class A1, A2, M1 and M2 will increase by 100 bps, subject to the net WAC, after four years. In addition, the structure includes a senior interest-only class certificate (class AX), which represents a senior interest strip of 1.00% per annum based off the related mortgage rate of each mortgage loan, with such interest strip entitlement being senior to the net interest amounts paid to the notes and paid at the top of the waterfall. Given it is a strip-off of the entire collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, in contrast to earlier TPMT CES transactions, this transaction has less excess spread available and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement. Separately, while Fitch has previously analyzed CES transactions using an interest rate cut, this stress is not being applied for this transaction. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this re-emerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. No Servicer P&I Advances (Neutral): The servicers will not advance DQ monthly payments of P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Fitch is indifferent to the advancing framework, as given its projected 100% LS, no credit would be given to advances on the structure side and no additional adjustment would be made as it relates to LS. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. 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 This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, 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 SitusAMC (AMC), Clayton, LLC (Clayton) and Consolidated Analytics. A third-party due diligence review was completed on 100% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with no loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 90bps. 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. TX TRUST 2024-HOU: DBRS Gives Prov. BB Rating on HRR Certs ---------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HOU (the Certificates) to be issued by TX Trust 2024-HOU (TX 2024-HOU or the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The collateral for the Trust includes the borrower's fee-simple interest in the Marriott Marquis Houston property (the Hotel), encompassing 1,000 keys. The subject mortgage loan of $325.0 million will retire approximately $319.9 million of existing debt and cover closing costs of approximately $5.1 million. The first mortgage loan is a two-year floating-rate interest-only mortgage loan, with three one-year extension options. The floating rate for the mortgage loan will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the initial weighted-average component spread, which will be determined based on the final pricing of the Certificates, currently assumed to be 3.227%. The borrower will be required to purchase an interest rate cap agreement, with a one-month Term SOFR strike price of no greater than 6.000%. The Hotel was built and opened for business in 2016, and is well situated within the Houston central business district. The property is connected via a skybridge to the 1.9 million-square-foot (sf) George R. Brown Convention Center. Adjacent to the Hotel is Discovery Green, a 12-acre urban park that offers outdoor skating, fitness, concerts, art, and more. Additionally, the subject is close to stadiums for three major Houston sports teams: Minute Maid Park is the home of the Houston Astros, Toyota Center is the home of the Houston Rockets, and Shell Energy Stadium is the home of the Houston Dynamo FC. Altogether, the three venues host nearly 200 sporting events and concerts annually. The centrally located Hotel comprises 960 guest rooms and 40 suites, and boasts Houston's largest ballroom (39,295 sf), as part of its nearly 153,000 sf of meeting space across 52 spaces. The subject's robust amenity package consists of a rooftop terrace with cabanas, an infinity pool, a lazy river designed in the shape of Texas, eight food and beverage (F&B) outlets, a 5,000-sf spa, and a state-of-the-art fitness center. The loan is sponsored by an affiliate of RIDA Development Corporation (RIDA). RIDA was founded in 1972 and serves as a full-service commercial real estate organization. RIDA's corporate headquarters is on the fifth floor of the subject, with regional offices in Orlando, San Diego, and Warsaw, Poland. RIDA is experienced with convention hotels. RIDA's prior convention hotel developments include the 1,424-room Hilton Orlando, 1,008-room Omni Champions Gate, and 1,501-room Gaylord Rockies Resort & Convention Center, among others. RIDA is also currently developing the 1,600-room Gaylord Pacific Resort & Convention Center in Chula Vista, California. The Hotel is managed by Marriott International, with a management agreement extending through December 2046 with two automatic 10-year extension options. The City of Houston requested proposals for a new hotel development in 2012, which the sponsor ultimately won with its then private equity partner for a Marriott-branded hotel with unique amenities. Completed in 2016, the subject served as the host hotel for the 2017 Super Bowl. The sponsor has shown their commitment to the property by purchasing their private equity development partner's approximate 45% stake in the Hotel in September 2019 as well as carrying the Hotel through when its performance was meaningfully affected by the pandemic. Since development, the sponsor invested approximately $1.2 million to add a second F&B outlet on the leisure deck. The sponsor's future plans include an elective capital improvement plan that involves renovating all 1,000 keys in summer 2025. The planned room renovations will include upgrades to the soft goods and painting walls to make the rooms feels lighter and brighter. Although the $13.9 million planned renovation is expected to be funded through the furniture, fixtures, and equipment Reserve balance, there aren't any guarantees in place that such renovations will be completed as described or at all. In 2019, prior to the pandemic, the subject reported an occupancy rate of 76.5% and an average daily rate (ADR) of $208.17 for a revenue per available room (RevPAR) of $159.22. While occupancy has declined, the sponsor has been successful in recovering ADR and RevPAR to above their pre-pandemic levels. The property achieved a RevPAR of $172.61 as of the trailing 12 months ended March 31, 2024 (T-12 2024), after the pandemic-affected RevPAR of $56.13 in 2020. The property performance for the T-12 2024 is 8.4% above pre-pandemic levels, based on the 2019 RevPAR of $159.22. Morningstar DBRS believes the strong recent performance is at least partially due to a higher transient proportion in the hotel segmentation as a result of the pent-up demand because of the pandemic-related restrictions and therefore Morningstar DBRS believes room rates will normalize. The location, management initiatives, and experienced sponsorship should allow for modest growth above pre-pandemic levels. Morningstar DBRS concluded a stabilized RevPAR of $169.13 that is 6.2% above the 2019 level; however, it is 2.0% lower than the T-12 2024 level. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. 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. UNISON TRUST 2024-1: DBRS Gives Prov. BB Rating on Class B Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by Unison Trust 2024-1 (UNSN 2024-1 or the Transaction): -- $110.8 million Class A Notes at BBB (sf) -- $12.9 million Class B Notes at BB (sf) The BBB (sf) rating reflects credit enhancement of 48.7% for the Class A Notes, and the BB (sf) rating reflects credit enhancement of 42.7% for the Class B Notes. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without the homeowners having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property. Some HEI programs include a returns cap, but no caps exist in UNSN 2024-1. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Investment Amount and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return, if applicable. As of the cut-off date, 61 contracts in the transaction are first-lien contracts, representing roughly $5.91 million in original investment payment; 773 are second-lien contracts, representing roughly $62.55 million in original investment payment; 123 are third-lien contracts, representing roughly $12.36 million in original investment payment; and eight are fourth-lien contracts, representing roughly $0.71 million in original investment payment. Of the pool, 7.25% of the contracts by original investment amount are first lien and have a weighted-average original sensitivity ratio* of 3.97, 76.73% are second-lien contracts and have a weighted-average original sensitivity ratio of 3.95, 15.16% of the pool are third-lien contracts with a weighted-average original sensitivity ratio of 3.99, and the remaining 0.87% of the pool are fourth-lien contracts and have a weighted-average original sensitivity ratio of 4.00. This brings the entire transaction's weighted-average sensitivity ratio to 3.96. To better understand the impact and mechanics of sensitivity ratio, please see the example below, in the Contract Mechanics; Worked Example section. The current unadjusted loan-to-value ratio (LTV) of the pool is 39.96% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a weighted-average original option-to-value (OTV) of 15.23%, and a weighted-average original loan-plus-option-to-value (LOTV) of 71.23%. The transaction uses a sequential structure in which cash distributions are first made to reduce the Interest Amount and Cap Carryover Amount on Class A Notes. Payments are then made to the Note Amount of Class A Notes until such notes are reduced to zero followed by payments to reduce the Additional Accrued Amounts for the Class A Notes that accrued on any earlier payment date but have not been paid until the Additional Accrued Amounts are reduced to zero. The Class B Notes are full accrual notes and will not be entitled to receive any payments of principal until the Class A Notes and Class A Additional Accrued Amounts have been paid in full. Payments will not be made to the Class B Notes unless and until an Optional Redemption, Clean-Up Call, Auction Proceeds Redemption, or Indenture Default. Upon an Optional Redemption, Clean-Up Call, Auction Proceeds Redemption, or Indenture Default, payments are made to the aggregate Note Amount on the outstanding notes. Morningstar DBRS' credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Note Amounts. In addition, the associated financial obligations for the Class A Notes include the related Cap Carryover and Interest Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS's long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. VISTA POINT 2024-CES1: DBRS Finalizes B Rating on Class 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 Vista Point Securitization Trust 2024-CES1 (VSTA 2024-CES1 or the Trust): -- $247.8 million Class A-1 at AAA (sf) -- $16.7 million Class A-2 at AA (sf) -- $16.9 million Class A-3 at A (sf) -- $18.0 million Class M-1 at BBB (sf) -- $15.9 million Class B-1 at BB (sf) -- $10.4 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 25.80% of credit enhancement provided by subordinate Notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 20.80%, 15.75%, 10.35%, 5.60%, and 2.50% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed, prime, expanded-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 1,721 mortgage loans with a total principal balance of $333,980,313 as of the Cut-Off Date (March 31, 2024). The portfolio, on average, is five months seasoned, though seasoning ranges from zero to 15 months. Borrowers in the pool represent prime and expanded-prime credit quality—weighted-average (WA) Morningstar DBRS-calculated FICO score of 723, Issuer-provided original combined loan-to-value ratio (CLTV) of 69.3%. The loans were generally originated with the full documentation standards. As of the Cut-Off Date, 98.7 % of the pool is current, and 1.3% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Since then, 1.1% of the total pool that were 30 days delinquent loans have self-cured. Additionally, none of the borrowers are in active bankruptcy. VSTA 2024-CES1 represents the first CES securitization by Vista Point Mortgage, LLC. Home Mortgage Alliance Corporation (HMAC; 25.2%) and FundLoans Capital (FundLoans; 13.6%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. NewRez, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint; 100.0%) is the Servicer of all the loans in this transaction. On May 1, 2024, Computershare US Investments, LLC ("Computershare") and Rithm Capital Corp. ("Rithm") closed on a transaction for the sale to Rithm of Computershare Mortgage Services Inc. and certain affiliated companies, including Specialized Loan Servicing LLC (SLS). With this, SLS' origination services business portfolio and operations have transitioned to and now managed by Shellpoint. Prior to this sale, all the loans were serviced by SLS. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as the Indenture Trustee. U.S. Bank National Association will act as the Custodian. U.S. Bank Trust National Association will act as the Delaware Trustee. On or after the earlier of (1) the Payment Date occurring in May 2027 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor), may terminate the Issuer 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 principal balances of the mortgage loans plus accrued and unpaid interest, including fees, expenses, and indemnification amounts. The Controlling Holder 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 Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under the forbearance plan as of the Closing Date) 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. Although the majority of 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, 90.4% (includes 3.2% that are consumer investor loans) of the loans are designated as non-QM, 0.2% are designated as QM Rebuttable Presumption, and 3.5% are designated as QM Safe Harbor. Approximately 5.9% of the mortgages are loans that were not subject to the QM/ATR rules as they are made to investors for business purposes. 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 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 principal remittance amount and applied in accordance with the principal 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 can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2024-1CHI: S&P Assigns Prelim 'B+' Rating on HRR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Wells Fargo Commercial Mortgage Trust 2024-1CHI's commercial mortgage pass-through certificates series 2024-1CHI. The note issuance is a CMBS securitization backed by a three-year fixed rate, interest-only mortgage loan, maturing in July 2027, with an outstanding balance of $415.0 million, secured by the borrowers' fee simple interest in portions of a two-building, mixed-use property comprising of 735 residential units, 248,832 sq. ft. of retail and office space, and 757 parking stalls. The preliminary ratings are based on information as of June 6, 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's historical and projected performance, the sponsor's and the manager's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. Preliminary Ratings Assigned Wells Fargo Commercial Mortgage Trust 2024-1CHI(i) Class A, $230,800,000: AAA (sf) Class B, $53,800,000: AA- (sf) Class C, $40,000,000: A- (sf) Class D, $40,900,000: BBB- (sf) Class E, $28,750,000: BB (sf) Class HRR(ii), $20,750,000: B+ (sf) (i)Certificate balance are approximate, subject to a variance of plus or minus 5%. The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Horizontal risk retention certificates, which will be purchased by a majority-owned affiliate of Rockwood Income and Credit Partners II L.P., a third-party purchaser. WESTLAKE AUTOMOBILE 2024-2: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2024-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 46.6%, 40.0%, 31.4%, 24.2%, and 21.2% 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 post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.50% 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 '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, S&P's view of the credit risk of the collateral, and S&P's updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Westlake Automobile Receivables Trust 2024-2 Class A-1, $341.41 million: A-1+ (sf) Class A-2-A, $235.00 million: AAA (sf) Class A-2-B, $225.92 million: AAA (sf) Class A-3, $129.58 million: AAA (sf) Class B, $121.24 million: AA (sf) Class C, $172.16 million: A (sf) Class D, $153.57 million: BBB (sf) Class E, $71.12 million: BB (sf) WFRBS COMMERCIAL 2014-C23: DBRS Confirms B Rating on F Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C23 issued by WFRBS Commercial Mortgage Trust 2014-C23 as follows: -- 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 X-Y at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class X-B at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-C at BB (high) (sf) -- Class E at BB (sf) -- Class X-D at B (high) (sf) -- Class F at B (sf) Morningstar DBRS changed the trends on Classes X-B, D, X-C, E, X-D, and F to Negative from Stable. All other classes carry Stable trends. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the last rating action in May 2023. However, there are some challenges for the pool, including a few loans that are facing elevated refinance risk, namely Bank of America Plaza (Prospectus ID#1, 15.9% of the pool), Crossing at Corona (Prospectus ID#2, 9.0% of the pool), and 677 Broadway (Prospectus ID#6, 3.4% of the pool), all of which are on the servicer's watchlist and have experienced net cash flow (NCF) or occupancy declines since issuance. While all three loans are current, updated value projections indicate value deficiencies as the loans approach their respective maturities, supporting the Negative trends. Where applicable, Morningstar DBRS increased the probability of default penalties (POD) and/or increased loan-to-value ratios (LTVs) to reflect the increased risk of maturity default. These adjusted loans had a weighted average (WA) expected loss that was 1.7 times (x) higher than the pool average. The majority of the remaining loans in the pool are scheduled to mature in Q2 and Q3 2024. Mitigating these risks is the sizable remaining balance of $40.0 million in the unrated first loss certificate, which has not incurred loss to date, as well as the balance currently rated below investment grade by Morningstar DBRS across Classes D and E of approximately $29.4 million. Since last review, Columbus Square Portfolio (Prospectus ID#4, 9.4% of the pool) transferred to special servicing; however, Morningstar DBRS expects a moderate loss severity, if any, upon disposition. While not yet confirmed, several news articles indicate that a three-year loan extension has been executed. Excluding the four aforementioned loans and collateral that has been fully defeased, the pool reported a WA debt service coverage ratio (DSCR) of 1.80x based on the most recent year-end financials. As of the April 2024 remittance, 67 of the original 70 loans remain in the trust, with an aggregate balance of $733.4 million, representing a collateral reduction of 22.2% since issuance. There are 30 loans, representing 28.7% of the pool, that are fully defeased. The pool is most concentrated by loans secured by retail and office properties, representing 25.0% and 22.6% of the pool, respectively. There are 34 loans on the servicer's watchlist, representing 61.5% of the pool; however, 25 of these loans are on the servicer's watchlist solely for upcoming maturity and reported a WA DSCR of approximately 2.15x as of the most recent year-end financials. The largest loan in the pool, Bank of America Plaza, is secured by a 1.4 million-square-foot (sf) Class A office complex in the Central Business District of Los Angeles. While the loan saw an improvement in performance during 2023, reporting respective occupancy and NCF figures of 86.2% and $36.5 million (a DSCR of 2.23x) as of YE2023, over the YE2022 figures of 84.8% and $28.9 million (a DSCR of 1.76x), 13 tenants, representing 21.2% of the total net rentable area (NRA), have leases scheduled to expire prior to YE2024. According to the servicer, the fourth-largest tenant at the property, Alston & Bird LLP (5.6% of NRA), vacated upon lease expiry in December 2023, and the third-largest tenant at the property, Shepperd Mullin Richer (12.7% of NRA), has indicated it will vacate upon lease expiry in December 2024, dropping occupancy to an implied rate of 67.9%, shortly after loan maturity in September 2024, which could complicate takeout financing. Vacancy and average asking rental rates for Class A office properties within a one-mile radius for YE2023 were reported at 14.6% and $46.00 per sf (psf), respectively, according to Reis. In comparison, the subject property achieved an average rental rate of $25.54 psf as of YE2023. Given the property's dated construction in 1974, with the most recent renovations reported in 2009, coupled with the anticipated increase in vacancy, Downtown Los Angeles location, and increased capitalization rate environment, property value would likely yield a significant decline as compared with the as-is value from issuance. The issuance LTV was moderate at 66.1%, providing some cushion against the value deterioration to date; however, Morningstar DBRS anticipates an elevated LTV well in excess of 100% if vacancy were to fall below 70.0%. As such, Morningstar DBRS analyzed the loan with a stressed LTV and an increased POD, resulting in an expected loss that was nearly 1.5x the pool average. Another office loan of concern is 677 Broadway, which is secured by a 177,039-sf Class A office building built in 2005 and located in Albany, New York. The loan transferred to the special servicer in May 2020 for imminent default following a decline in occupancy to 67.0% from 91.0% at YE2019 because of tenant departures and downsizing, as well as a lack of leasing momentum during the pandemic. In October 2020, the mezzanine holder took possession of the loan after remitting funds to cure loan delinquencies. The loan was then modified, including terms of a one-year maturity extension through September 2025 and interest-only (IO) payments through January 2023. The loan has since resumed full interest payments with deferred principal and interest repaid in full; however, loan coverage remains well below breakeven, with the trailing 12-month financials ended June 30, 2023, reporting a DSCR of 0.46x. According to the June 2023 rent roll, the property was 70.2% occupied, a moderate increase from the YE2022 figure of 63.4% but well below the issuance figure at 96.2%. The largest five tenants at the property account for 46.4% of total NRA, with the earliest expiration in May 2026. According to Reis, the average asking rent and vacancy within a two-mile radius of the property were $22.4 psf and 14.1%, respectively, as of YE2023. In comparison, the subject property achieved an average rental rate of $13.90 psf as of the June 2023 rent roll. Given the high submarket vacancy, sustained performance declines, and below-market rental rates, the value has likely declined significantly from issuance with an implied Morningstar DBRS LTV of nearly 200% based on updated analysis, a factor that will significantly impede refinance efforts despite the short-term extension. As such, Morningstar DBRS analyzed the loan with a stressed LTV and an increased POD, resulting in an expected loss that was nearly 3.0x the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 236 Classes From 21 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 236 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. This review consists of 14 transactions generally classified as Non-QM, 6 transactions generally classified as Prime, and 1 transaction generally classified as Reverse Mortgage. Of the 236 classes reviewed, Morningstar DBRS upgraded 55 credit ratings, confirmed 179 credit ratings, and discontinued 2 credit ratings. The Affected Ratings are available at https://bit.ly/3KAytC2 The Issuers are: MFA 2022-NQM2 Trust CSMC Trust 2015-1 GCAT 2020-NQM2 Trust Angel Oak Mortgage Trust 2020-4 MFA 2020-NQM2 Trust MFA 2020-NQM1 Trust CSMC Trust 2013-HYB1 Imperial Fund Mortgage Trust 2021-NQM1 Angel Oak Mortgage Trust 2020-5 Angel Oak Mortgage Trust 2020-6 Angel Oak Mortgage Trust 2020-3 CSMC Trust 2014-IVR2 CSMC Trust 2013-IVR3 BRAVO Residential Funding Trust 2021-NQM1 Imperial Fund Mortgage Trust 2020-NQM1 Bunker Hill Loan Depositary Trust 2020-1 BRAVO Residential Funding Trust 2020-NQM1 WinWater Mortgage Loan Trust 2016-1 Finance of America Structured Securities Trust, Series 2020-S3 GS Mortgage-Backed Securities Trust 2020-NQM1 WinWater Mortgage Loan Trust 2015-5 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The credit rating discontinuations reflect paid-in-full collateral. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 256 Classes in 18 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. reviewed 256 classes in 18 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 18 transactions reviewed, 13 are classified as reperforming mortgages and five as agency credit risk transfers. Of the 256 classes reviewed, Morningstar DBRS upgraded its credit ratings on 99 classes and confirmed its credit ratings on the remaining 157 classes. The Affected Ratings are available at https://bit.ly/3VB08t2 The Issuers are: CIM Trust 2022-R2 MFA 2021-RPL1 Trust CIM Trust 2020-R5 Towd Point Mortgage Trust 2020-3 Citigroup Mortgage Loan Trust 2020-RP1 Citigroup Mortgage Loan Trust 2021-RP4 Freddie Mac STACR REMIC Trust 2021-DNA5 Freddie Mac STACR REMIC Trust 2023-HQA2 Freddie Mac STACR REMIC Trust 2022-HQA2 Freddie Mac STACR REMIC Trust 2022-DNA5 Freddie Mac STACR REMIC Trust 2023-HQA1 BRAVO Residential Funding Trust 2020-RPL1 GS Mortgage-Backed Securities Trust 2020-RPL1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-2 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1 Towd Point Mortgage Trust 2020-4 Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-2 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. [*] DBRS Reviews 87 Classes in 14 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 87 classes in 14 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-Qualified Mortgages. Of the 87 classes reviewed, Morningstar DBRS upgraded 24 credit ratings and confirmed 63 credit ratings. The Affected Ratings are available at https://bit.ly/3VwboGN The Issuers are: Visio 2019-2 Trust PRKCM 2022-AFC1 Trust CHNGE Mortgage Trust 2023-2 Verus Securitization Trust 2021-4 Barclays Mortgage Loan Trust 2022-INV1 HOMES 2023-NQM2 Trust Visio 2020-1 Trust Verus Securitization Trust 2020-5 Verus Securitization Trust 2020-4 Residential Mortgage Loan Trust 2020-2 Vista Point Securitization Trust 2020-1 Vista Point Securitization Trust 2020-2 Starwood Mortgage Residential Trust 2021-3 TRK 2022-INV2 Trust 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. Notes: The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology. [*] S&P Takes Various Actions on 41 Classes from 7 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 41 ratings from seven U.S. RMBS transactions issued between 2002 and 2004. The review yielded one downgrade, two withdrawals, and 38 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/jmoj4j Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Loan modifications; -- An increase or decrease in available credit support; and -- A small loan count. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The lowered rating reflects our view of the observed increase in total delinquencies in recent performance periods. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on two classes from one transaction due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." [*] S&P Takes Various Actions on 44 Classes from 19 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 44 ratings from 19 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 21 upgrades, eight downgrades, four discontinuances, and 11 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/r390ze Analytical Considerations S&P incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; -- Reduced interest payments due to loan modifications; -- Payment priority; -- Historical and/or outstanding missed interest payments or interest shortfalls; and -- Principal write-downs. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Many of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. Most of these classes are also receiving all of the principal payments or are next in the payment priority when the more senior class pays down. The rating affirmations reflect S&P's view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. S&P said, "We lowered our ratings on six classes from three transactions that reflect our assessment of the erosion of credit support impact on the affected classes during recent remittance periods. "In addition, we lowered our ratings on two classes from two transactions that reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "Furthermore, in accordance with our surveillance and withdrawal policies, we discontinued one rating from one transaction with missed interest payments during recent remittance periods. We previously lowered our rating on this class to 'D (sf)' because of missed interest payments. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for this class." [*] S&P Takes Various Actions on 50 Classes from 14 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 50 ratings from 14 U.S. RMBS transactions issued between 2000 and 2006. The review yielded 26 upgrades, three downgrades, two discontinuances, and 19 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/gw4ygu Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- An assessment of reduced interest payments due to loan modifications and other credit-related events; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "All of the downgrades reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "In accordance with our surveillance and withdrawal policies, we discontinued the rating on class M-2 from Fieldstone Mortgage Investment Trust Series 2006-S1, as it had missed interest payments during recent remittance periods. We previously lowered our rating on class M-2 to 'D (sf)' because of missed interest payments. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for this class. In addition, we discontinued the rating on class M-2 from JPMorgan Mortgage Acquisition Trust 2006-CH1 since this class was recently paid down. "We raised our ratings on 26 classes as a result of increased credit support, and four of these ratings were raised by four or more notches. These classes have benefitted from the failure of performance triggers and/or reduced subordinate class principal distribution amounts, which has built credit support for these classes as a percent of their respective deal balance. Ultimately, we believe these classes have credit support that is sufficient to withstand losses at higher rating levels." [*] S&P Takes Various Actions on 54 Classes from 10 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 54 ratings from 10 U.S. RMBS transactions issued between 2002 and 2006. The review yielded three upgrades, eight downgrades, five withdrawals, and 38 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/en1n04 Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance, including delinquency trends; -- Assessment of reduced interest payments due to loan modifications and other credit-related events; -- A small loan count; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on five classes from one transaction due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. 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. 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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 ***