/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240623.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 23, 2024, Vol. 28, No. 174 Headlines AMMC CLO 28: S&P Assigns BB- (sf) Rating on $10MM Class E Notes ANGEL OAK 2024-6: Fitch Assigns 'BB(EXP)sf' Rating on Cl. M-2 Certs ARES LOAN V: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES XXXIX: S&P Assigns Prelim BB- (sf) Rating on Class E-R3 Notes ATTENTUS CDO I: Fitch Hikes Rating on Class A-2 Notes to 'BB+sf' AUXILIOR TERM 2024-1: Moody's Assigns (P)Ba3 Rating to Cl. E Notes BAMLL 2024-FRR3: DBRS Finalizes B(low) Rating on D Certs BANK5 2024-5YR7: Fitch Assigns 'B-sf' Final Rating on Cl. X-G Certs BARCLAYS MORTGAGE 2024-NQM3: Fitch Gives B Rating on B-2 Certs BBCMS 2018-CHRS: S&P Affirms BB (sf) Rating on Class E Notes BBCMS MORTGAGE 2024-5C27: Fitch Gives B-(EXP) Rating on 2 Tranches BENCHMARK 2019-B9: Fitch Lowers Rating on Two Tranches to 'Bsf' BENEFIT STREET V-B: Fitch Assigns 'BB+sf' Rating on Class E-R Notes BENEFIT STREET V-B: Moody's Gives B3 Rating to $500,000 F-R Notes BRAVO RESIDENTIAL 2024-RPL1: Fitch Assigns 'B' Rating on B-2 Notes BRIDGE STREET I: S&P Assigns Prelim BB- (sf) Rating on D-R Notes BX 2024-PALM: S&P Assigns BB (sf) Rating on Class HRR Certificates BX TRUST 2024-LNK1: Moody's Withdraws (P)Ba2 Rating on Cl. E Certs CARLYLE US 2017-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CHASE HOME 2024-6: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs CIFC FUNDING 2024-III: Fitch Assigns 'BB-sf' Rating on Cl. E Notes COMM 2017-COR2: Fitch Lowers Rating on Class G-RR Debt to CCC COMM 2024-WCL1: Moody's Assigns B1 Rating to Cl. HRR Certs CONN'S RECEIVABLES: Fitch Affirms 'B+sf' Rating on Class C Notes CSAIL 2016-C7: Fitch Affirms CCC Rating on 4 Tranches DIAMETER CREDIT I: Moody's Ups Rating on $28.425MM E Notes to Ba1 DRYDEN CLO 61: Moody's Cuts Rating on $6.5MM Class F Notes to Caa2 EAGLE RE 2021-2: Moody's Upgrades Rating on Cl. M-2 Certs to Ba1 ELMWOOD CLO 30: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes GCAT TRUST 2022-INV1: Moody's Hikes Rating on Cl. B-5 Certs to Ba2 GENERATE CLO 16: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes GOLUB CAPITAL 74(B): Fitch Assigns BB-(EXP) Rating on Cl. E Notes GOODLEAP SUSTAINABLE 2024-1: Fitch Gives BB Rating on Cl. C Notes GS MORTGAGE 2015-GS1: Fitch Lowers Rating on Class C Debt to 'Bsf' JAMESTOWN CLO XV: S&P Assigns BB- (sf) Rating on Class E-R Notes JP MORGAN 2014-C20: Moody's Lowers Rating on Cl. C Certs to B1 LEHMAN XS 2007-15N: Moody's Hikes Rating on 2 Tranches to Ca MCR MORTGAGE 2024-TWA: Moody's Assigns B3 Rating to Cl. F Certs NEUBERGER BERMAN 27: Fitch Gives BB-(EXP) Rating on Cl. E-R Notes NEUBERGER BERMAN XVII: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes NEW RESIDENTIAL 2017-4: Moody's Raises Rating on 7 Tranches to Ba1 OAKTREE CLO 2019-4: S&P Assigns BB- sf) Rating on Class E-RR Notes OAKTREE CLO 2019-4: S&P Assigns Prelim BB-(sf) Rating on ERR Notes OMI TRUST 2000-A: S&P Lowers Class A-4/A-5 Certs Rating to 'D(sf)' ORION CLO 2024-3: S&P Assigns BB- (sf) Rating on Class E Notes OZLM LTD XI: Moody's Affirms B1 Rating on $26.2MM Class D-R Notes PALMER SQUARE 2021-2: Moody's Affirms Ba3 Rating on $7MM E Notes PALMER SQUARE 2024-3: Moody's Assigns Ba2 Rating to $35MM D Notes RCKT MORTGAGE 2024-INV1: Moody's Gives B3 Rating to Cl. B-5 Certs SANTANDER BANK 2024-A: Moody's Assigns (P)B3 Rating to Cl. F Notes SEQUOIA MORTGAGE 2024-6: Fitch Assigns BB-(EXP) Rating on B4 Certs SLM STUDENT 2012-7: Fitch Affirms B Rating on 2 Tranches SOUND POINT 39: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes SYMPHONY CLO 44: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes SYMPHONY CLO XVIII: Moody's Cuts Rating on $22.5MM E-R Notes to B1 TRINITAS CLO VI: S&P Affirms B- (sf) Rating on Class F Notes UBS COMMERCIAL 2017-C1: Fitch Affirms C Rating on Class F-RR Debt VOYA CLO 2024-2: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes WELLFLEET CLO 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes ZAIS CLO 11: Moody's Raises Rating on $24MM Class D Notes from Ba1 [*] Moody's Takes Action on $239MM of US RMBS Issued 2005-2007 ********* AMMC CLO 28: S&P Assigns BB- (sf) Rating on $10MM Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to AMMC CLO 28 Ltd./AMMC CLO 28 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by American Money Management Corp. 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned AMMC CLO 28 Ltd./AMMC CLO 28 LLC Class A-1A, $235.5 million: AAA (sf) Class A-1F, $12.5 million: AAA (sf) Class A-J, $16.0 million: AAA (sf) Class B, $40.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $22.0 million: BBB (sf) Class D-J (deferrable), $6.0 million: BBB- (sf) Class E (deferrable), $10.0 million: BB- (sf) Subordinated notes, $40.7 million: Not rated ANGEL OAK 2024-6: Fitch Assigns 'BB(EXP)sf' Rating on Cl. M-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2024-6 (AOMT 2024-6). Entity/Debt Rating ----------- ------ AOMT 2024-6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating M-2 LT BB(EXP)sf Expected Rating B-X LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The AOMT 2024-6 certificates are supported by 1,151 loans with a balance of $479.57 million as of the cutoff date. This represents the 39th Fitch-rated AOMT transaction and the sixth Fitch-rated AOMT transaction in 2024. The certificates are secured by mortgage loans mainly originated (62.3%) by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). The remaining 37.7% of the loans were originated by various third-party originators (TPOs). Fitch considers AOMS and AOHL to be average originators. The servicer of the loans is Select Portfolio Servicing, Inc. (RPS1-/Negative). Of the loans, 57.6% are designated as nonqualified mortgage (non-QM) loans and 42.4% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no Libor exposure in this transaction. There are four ARM loans in the pool, none of which reference Libor. The certificates do not have Libor exposure. Classes A-1, A-2 and A-3 certificates are fixed rate, capped at the net weighted average coupon (WAC) and have a step-up feature. Classes M-1, M-2, and B-X are based upon the net WAC rate for the related distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.9% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, down 0% qoq). Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices have increased 5.5% yoy nationally as of February 2024, notwithstanding modest regional declines, but are still supported by limited inventory. Non-QM Credit Quality (Mixed): The collateral consists of 1,151 loans totaling $479.57 million and seasoned at about 28 months in aggregate, according to Fitch, and 26 months, per the transaction documents. The borrowers have a relatively strong credit profile, with a 739 nonzero FICO and a 44.0% debt-to-income ratio (DTI), as determined by Fitch. They have relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 70.7%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV of 74.8%. Its analysis of the pool shows that 56.8% represents loans in which the borrower maintains a primary or secondary residence, while the remaining 43.2% comprises investor properties. Its analysis considers the 20 loans to foreign nationals to be investor occupied, which explains the discrepancy between the Fitch-determined figures and those in the transaction documents for investor and owner occupancy. Fitch determined that 18.6% of the loans were originated via a retail channel. Additionally, 57.6% of the pool is designated as non-QM, while the remaining 42.4% is exempt from QM status, as this comprises investor loans. The pool contains 68 loans over $1 million, with the largest amounting to $3.32 million. Loans on investor properties represent 43.2% of the pool, as determined by Fitch, including 9.2% underwritten to the borrower's credit profile and 34.0% investor cash flow and no-ratio loans. Furthermore, only 1.7% of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. In addition to the first lien mortgage, 0.3% of the loans have a junior lien. There are no second lien loans in the pool, as 100% of the pool consists of first lien mortgages. In Fitch's analysis, loans with deferred balances are considered to have subordinate financing. None of the loans in this transaction have a deferred balance; therefore, Fitch views 0.3% of the loans in the pool as having subordinate financing due to the borrower taking out additional financing on the home that ranks subordinate to the mortgage in the pool. Fitch views the limited subordinate financing as a positive aspect of the transaction. Fitch determined that 20 loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as no documentation for employment and income documentation, and remove the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for such borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2023 and 2022, the pool's characteristics resemble those of nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. The largest concentration of loans is in California (36.0%), followed by Florida and Texas. The largest MSA is Los Angeles (16.1%), followed by Miami (9.0%) and Riverside (5.1%). The top three MSAs account for 30.2% of the pool. There was no geographical concentration risk in the pool; as such, Fitch did not apply a penalty and losses were not impacted. Loan Documentation (Negative): Fitch determined that 91.7% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and figures in the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 53.1% were underwritten to a three-month, 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the added risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 33.8% constitute a debt service coverage ratio (DSCR) product, 0.2% are a no-ratio product and 0.7% are an asset qualifier product. Four loans in the pool are no-ratio DSCR loans. For no-ratio loans, employment and income are considered to be "no documentation" in Fitch's analysis, and Fitch assumes a DTI of 100%. This is in addition to the loans being treated as investor occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 certificates until they are reduced to zero. There is limited excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in July 2028, since the class A certificates have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, on any distribution date where the aggregate unpaid cap carryover amount for the class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-X certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1 certificate being paid timely interest at the step-up coupon rate under Fitch's stresses and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 41.4% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Evolve, Maxwell, Canopy, Clarifii, Consolidated Analytics, Covius, Infinity, IngletBlair, Recovco and Selene. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the overall expected loss was reduced by 0.38% DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged AMC, Evolve, Maxwell, Canopy, Clarifii, Consolidated Analytics, Covius, Infinity, IngletBlair, Recovco and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than the guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data to support the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ARES LOAN V: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding V, Ltd. Entity/Debt Rating ----------- ------ Ares Loan Funding V, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Ares Loan Funding V, 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 $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 24.76, versus a maximum covenant, in accordance with the initial expected matrix point of 25.30. 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 97.69% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.26% versus a minimum covenant, in accordance with the initial expected matrix point of 72.90%. Portfolio Composition (Positive): The largest three industries may comprise up to 37.33% 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and '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-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. Key Rating Drivers and Rating Sensitivities are further described in the new issue report. 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 Loan Funding V, 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. ARES XXXIX: S&P Assigns Prelim BB- (sf) Rating on Class E-R3 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class B-R3, C-R3, D-R3, and E-R3 replacement debt from Ares XXXIX CLO Ltd./Ares XXXIX CLO LLC, a CLO managed by Ares CLO Management LLC, a subsidiary of Ares Management Corp., that was originally issued in July 2016 then underwent refinancings in April 2019 and August 2021. The original transaction was not rated by S&P Global Ratings. The preliminary ratings are based on information as of June 14, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 21, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the August 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the August 2021 debt and assign ratings to the replacement debt except to the class A-R3 which is not expected to be rated by S&P. However, if the refinancing doesn't occur, we may affirm our ratings on the August 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 third supplemental indenture: -- The non-call period will be extended to June 21, 2026. -- The reinvestment period will be extended to July 18, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to July 18, 2037. -- Additional assets are being purchased on the June 21, 2024, refinancing date, and the target initial par amount will remain at $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 18, 2024. -- Additional subordinated notes will be issued on the refinancing date. -- The transaction has added a restriction to the acquisition of obligations issued by obligors in certain industries. Replacement And Refinanced Debt Issuances Replacement debt -- Class A-R3, $320.00 million: Three-month CME term SOFR + 1.42% (not rated) -- Class B-R3, $60.00 million: Three-month CME term SOFR + 1.75% -- Class C-R3 (deferrable), $30.00 million: Three-month CME term SOFR + 2.20% -- Class D-R3 (deferrable), $30.00 million: Three-month CME term SOFR + 3.25% -- Class E-R3 (deferrable), $19.00 million: Three-month CME term SOFR + 6.75% Refinanced debt -- Class A-1-R2, $298.50 million: Three-month LIBOR + 1.05% -- Class A-2-R2, $21.00 million: Three-month LIBOR + 1.40% (Not rated) -- Class B-R2, $56.70 million: Three-month LIBOR + 1.60% -- Class C-R2, $33.80 million: Three-month LIBOR + 2.05% -- Class D-R2, $28.10 million: Three-month LIBOR + 3.35% -- Class E-R, $18.80 million: Three-month LIBOR + 6.96% (not rated) 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 Ares XXXIX CLO Ltd. /Ares XXXIX CLO LLC Class A-R3, $320.00 million: Not rated Class B-R3, $60.00 million: AA (sf) Class C-R3 (deferrable), $30.00 million: A (sf) Class D-R3 (deferrable), $30.00 million: BBB- (sf) Class E-R3 (deferrable), $19.00 million: BB- (sf) Subordinated notes, $96.25 million: Not rated ATTENTUS CDO I: Fitch Hikes Rating on Class A-2 Notes to 'BB+sf' ---------------------------------------------------------------- Fitch Ratings has upgraded the class A-1 and A-2 notes in Attentus CDO I, Ltd. (Attentus I) and affirmed the class B, C-1, C-2A, C-2B, D and E notes. The class A-1 and A-2 notes, following the upgrades, were assigned Stable Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Attentus CDO I, Ltd./LLC A-1 049730AA2 LT BBB+sf Upgrade BB+sf A-2 049730AB0 LT BB+sf Upgrade B+sf B 049730AC8 LT CCsf Affirmed CCsf C-1 049730AD6 LT CCsf Affirmed CCsf C-2A 049730AE4 LT Csf Affirmed Csf C-2B 049730AF1 LT Csf Affirmed Csf D 049730AG9 LT Csf Affirmed Csf E 049730AH7 LT Csf Affirmed Csf TRANSACTION SUMMARY The collateralized debt obligation (CDO) is secured by trust preferred securities (TruPS), senior unsecured debt issued by real estate investment trusts (REITs), corporate issuers, and tranches of commercial mortgage-backed securities. KEY RATING DRIVERS The main driver behind the upgrades was the deleveraging from collateral redemptions, which paid down the class A-1 notes 87% of its balance at last review. Following the redemptions, the weighted average number (WAN) is 6. As per the U.S. Trust Preferred CDOs Surveillance Rating Criteria (TruPS Criteria), Fitch may withdraw the outstanding ratings of a TruPS CDO with a WAN at or below 5. The credit quality of the collateral portfolio also improved due to positive credit migration, with 20% of the portfolio experiencing an upgrade since last review. Except for the class A-1 and A-2 notes, the rating actions are in line with their model-implied ratings (MIRs), as defined in the TruPS Criteria. The class A-1 and A-2 notes are one notch below their MIR due to the highly concentrated nature of the portfolio. The Stable Outlooks on the class A-1 and A-2 notes reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with the classes' ratings. Non-rated collateral totaled 12% of the performing pool. Non-rated assets are assumed to have default probability corresponding to the 'CCC' quality. The non-rated assets reflect lack of information required to evaluate these assets via credit opinions. As transactions are deleveraging, Fitch expects increasing reliance on non-rated assets and will continue to evaluate the adequacy of information to maintain the ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AUXILIOR TERM 2024-1: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the notes to be issued by Auxilior Term Funding 2024-1, LLC (XCAP 2024-1, the issuer). The transaction will be the second securitization sponsored by Auxilior Capital Partners, Inc. (Auxilior), a small and medium-ticket independent equipment finance company. The notes will be backed by a pool of loans and leases secured by new and used equipment in three segments, construction and infrastructure (construction equipment, aerial lifts and cranes), transportation and logistics (highway tractors, vocational trucks, trailers, and school buses) and franchise related equipment originated by Auxilior. The complete rating actions are as follows: Issuer: Auxilior Term Funding 2024-1, LLC Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE Moody's cumulative net loss expectation for the XCAP 2024-1 collateral pool is 3.00% and the loss at a Aaa stress is 21.00% (inclusive of 20.00% credit loss and 1.00% residual value loss). The ratings, the cumulative net loss expectation, and the loss at a Aaa stress for the XCAP 2024-1 transaction are based on (1) the high credit quality of the underlying collateral, (2) Moody's expectations of the pool's credit performance considering the historical performance of Auxilior's managed portfolio, although for a limited period that does not cover a full economic cycle. In addition, Moody's considered the performance data of comparable originators of contracts included in transactions Moody's rate for similar equipment types to the collateral in the pool to be securitized, (3) loan performance data from the Small Business Administration (SBA) for limited-service restaurants as a partial proxy for franchise performance given Auxilior's limited historical data for franchise loans, (4) the experience and expertise of Auxilior as the originator and servicer of the collateral, (5) the strength of the transaction structure including, among other factors, the sequential pay structure and credit enhancement levels, (6) GreatAmerica Portfolio Services Group LLC (GPSG) as backup servicer for the contracts, (7) the current expectations for the state of the macroeconomic environment during the life of the transaction, and (8) the legal aspects of the transaction. Additionally, in assigning the provisional short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expect the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, and Class E notes will benefit from 20.25%, 15.25%, 9.25%, 6.50%, and 4.25% of hard credit enhancement, respectively. Hard credit enhancement for the notes will consist of (1) over-collateralization (OC) of 3.25% of the initial pool balance, with the ability to step down once the OC reaches its target of 8.25% of the outstanding pool balance subject to a floor of 1.00% of the initial pool balance, (2) a fully funded, non-declining reserve account of 1.00% of the initial pool balance, and (3) subordination, except for the Class E Notes. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations Methodology" published in September 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. Additionally, Moody's could downgrade the short-term rating of the class A-1 notes if there is a significant slowdown in principal collections in the first year of the transaction, which could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. BAMLL 2024-FRR3: DBRS Finalizes B(low) Rating on D Certs -------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on 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 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. BANK5 2024-5YR7: Fitch Assigns 'B-sf' Final Rating on Cl. X-G Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2024-5YR7 commercial mortgage pass-through certificates series 2024-5YR7 as follows: - $925,000 class A-1 'AAAsf'; Outlook Stable; - $55,000,000 class A-2 'AAAsf'; Outlook Stable; - $0bf class A-2-1 'AAAsf'; Outlook Stable; - $0bf class A-2-2 'AAAsf'; Outlook Stable; - $0bf class A-2-X1 'AAAsf'; Outlook Stable; - $0bf class A-2-X2 'AAAsf'; Outlook Stable; - $706,301,000 class A-3 'AAAsf'; Outlook Stable; - $0bf class A-3-1 'AAAsf'; Outlook Stable; - $0bf class A-3-2 'AAAsf'; Outlook Stable; - $0bf class A-3-X1 'AAAsf'; Outlook Stable; - $0bf class A-3-X2 'AAAsf'; Outlook Stable - $762,226,000a class X-A 'AAAsf'; Outlook Stable; - $110,251,000 class A-S 'AAAsf'; Outlook Stable; - $0bf class A-S-1 'AAAsf'; Outlook Stable - $0bf class A-S-2 'AAAsf'; Outlook Stable - $0bf class A-S-X1 'AAAsf'; Outlook Stable - $0bf class A-S-X2 'AAAsf'; Outlook Stable - $53,084,000 class B 'AA-sf'; Outlook Stable; - $0bf class B-1 'AA-sf'; Outlook Stable; - $0bf class B-2 'AA-sf'; Outlook Stable; - $0bf class B-X1 'AA-sf'; Outlook Stable; - $0bf class B-X2 'AA-sf'; Outlook Stable; - $42,195,000 class C 'A-sf'; Outlook Stable; - $0bf class C-1 'A-sf'; Outlook Stable; - $0bf class C-2 'A-sf'; Outlook Stable; - $0bf class C-X1 'A-sf'; Outlook Stable; - $0bf class C-X2 'A-sf'; Outlook Stable; - $205,530,000a class X-B 'AA-sf'; Outlook Stable; - $23,139,000b class D 'BBBsf'; Outlook Stable; - $12,250,000cbclass E 'BBB-sf'; Outlook Stable; - $35,389,000ab class X-D 'BBB-sf'; Outlook Stable; - $23,139,000b class F 'BB-sf'; Outlook Stable; - $23,139,000ab class X-F 'BB-sf'; Outlook Stable; - $14,972,000b class G 'B-sf'; Outlook Stable; - $14,972,000ab class X-G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $47,639,671b class J; - $47,639,671ab class X-J; - $47,532,548c class RR; - $9,777,750c RR Interest; - $5,035,000d CIRA-1; - $15,105,000d CIRA-2; - $22,610,000d CIRA-3; - $2,250,000e CIRA-RR Interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Collectively represent the "eligible vertical interest" comprising 5.0% of the pool. (d) The transaction includes three classes of non-offered, loan-specific certificates (non-pooled rake classes) related to the Cira Square companion loan. (e) Represents the risk retention interest related to the Cira Square trust subordinate companion loan specific certificates with an initial uncertificated principal balance of approximately $2,250,000. (f) Exchangeable Certificates. The class A-2, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanges for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-2 may be surrendered (or received) for the received (or surrendered) classes A-2-1, A-2-X1, A-2-2 and A-2-X2. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. Since Fitch published its expected ratings on May 28, 2024, the following changes have occurred: the balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the $0-$350,000,000 range and the initial certificate balance of the A-3 class was expected to be in the $411,301,000-$761,301,000 range. The final class balances for classes A-4 and A-5 are $55,000,000 and $706,301,000, respectively. Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S, B, and C) was rated 'A-sf(EXP)', reflecting class C, the lowest rated tranche. Since Fitch published its expected ratings, the class C pass-through rates were finalized and will be variable rate (WAC), equal to the weighted average of the net mortgage interest rates on the mortgage loan, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AA-sf' (from A-sf(EXP) at the time of the presale) reflecting the lowest tranche (class B) whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Global Structured Finance Rating Criteria. The ratings are based on information provided by the issuer as of June 12, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 fixed-rate, commercial mortgage loans with an aggregate principal balance of $1,146,205,970 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 41 commercial properties. The loans were contributed to the trust by Wells Fargo Bank, National Association, Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings, LLC and JPMorgan Chase Bank, National Association. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be KeyBank National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analysis on 23 loans totaling 87.5% of the pool by balance. Fitch's resulting net cash flow (NCF) of $187.9 million represents a 14.7% variance from the issuer's underwritten NCF of $220.3 million. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 90.3% is higher than the YTD 2024 and 2023 averages of 86.6% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 10.6% is lower than the YTD 2024 and 2023 averages of 11.2% and 10.9%, respectively. Office Concentration: In general, the pool has lower property type diversity compared to recent Fitch transactions; the pool's effective property type count of 3.8 is lower than the YTD 2024 and 2023 averages of 4.3 and 4.0, respectively. Additionally, the largest Fitch property type concentration is office (34.9% of the pool), which is higher than the YTD 2024 and 2023 office averages of 15.7% and 27.7%, respectively. In particular, the office concentration includes two of the top three loans (16.1% of the pool) and three of the largest 10 loans (21.4% of the pool). Pools that have a greater concentration by property type are at a greater risk of losses, all else equal. Therefore, Fitch raises the overall losses for pools with effective property type counts below five property types. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf' /'BBB-sf' /'BB-sf' /'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche 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. BARCLAYS MORTGAGE 2024-NQM3: Fitch Gives B Rating on B-2 Certs -------------------------------------------------------------- Fitch Ratings assigns new ratings to the residential mortgage-backed certificates issued by Barclays Mortgage Loan Trust 2024-NQM3 (BARC 2024-NQM3). Entity/Debt Rating ----------- ------ BARC 2024-NQM3 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT Asf New Rating M-1 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating SA LT NRsf New Rating XS LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating TRANSACTION SUMMARY The certificates are supported by 409 nonprime loans with a total balance of approximately $205.3 million as of the cutoff date. Citadel Servicing Corporation d/b/a Acra lending originated 63.8% of the loans in the pool and sold them to the seller, Sutton Funding LLC. The remaining loans were originated by various other originators. All loans are serviced by Citadel Servicing Corporation (63.8%) and Fay Servicing LLC (36.2%). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool are viewed as 11.2% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, remaining unchanged since the prior quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 5.5% yoy nationally as of February 2024 despite modest regional declines, but are still supported by limited inventory. Non-QM Credit Quality (Negative): The collateral consists of 409 loans, totaling $205.3 million and seasoned approximately ten months in aggregate, as determined by Fitch. The borrowers have a moderate credit profile (714 Fitch model FICO and 46.5% model debt to income [DTI] ratio), which considers Fitch's converted debt service coverage ratio (DSCR) values. The borrowers also have moderately high leverage — 79.5% sustainable loan-to-value (sLTV) ratio and 71.0% original combined LTV (cLTV). The pool consists of 43.0% of loans where the borrower maintains a primary residence, while 53.6% comprise an investor property and the remaining 3.4% are second home. Additionally, 46.4% are non-qualified mortgages (non-QMs/NQMs); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 34.25%. This is mostly driven by the non-QM collateral, the lower WAN and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 91.0% of the loans in the pool were underwritten to less than full documentation, and 43.5% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 650bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): Based on Fitch's analysis, there are 206 DSCR products in the pool (50.4% by loan count). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared to standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI, and treats them as low documentation. Fitch's expected loss for these loans is 40.50% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 37.5% WA concentration. Pool Level Adjustments (Negative): The pool has a weighted average number (WAN) of 189 and is incurring approximately a 224bps penalty at the 'AAA'. RMBS pools with an initial WAN below 300 loans are subject to PD penalties that are applied to the pool's model-generated PD. The variability of defaults inherently increases when a portfolio depends on a small number of assets. The pool consists of 409 loans and the 10 largest loans by UPB account for 14.6% of the pool. Additionally, the largest 20 loans account for 22.3% of the UPB. The WAN for this portfolio is significantly less than the number of assets due to the lumpy largest loans. Modified Sequential-Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. BARC 2024-NQM3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. The unrated class B-3 interest allocation goes first towards the Net WAC Shortfall Reserve Account in order to pay the senior classes any Net WAC shortfalls for as long as the senior classes are outstanding. This increases the P&I allocation of the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 11.2% at base case. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton Services, Evolve Mortgage Services, Infinity International Processing Services, Digital Risk, Maxwell Diligence, Mission Global, Opus Capital Market Consultants, Selene Diligence, Canopy Financial Technology Partners and The Stonehill Group. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 43bp reduction in losses at the 'AAAsf' stress. ESG CONSIDERATIONS BARC 2024-NQM3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS 2018-CHRS: S&P Affirms BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings affirmed its ratings on five classes of commercial mortgage pass-through certificates from BBCMS 2018-CHRS Mortgage Trust, a U.S. CMBS transaction This U.S. stand-alone (single-borrower) CMBS transaction is backed by a portion of a 10-year, fixed-rate, interest-only (IO) mortgage loan secured by a first-lien mortgage on the borrower's fee interest in sections (779,084 sq. ft.) of the 1.3 million-sq.-ft. Christiana Mall, a super-regional mall located in Newark, Del. Rating Actions The affirmations on classes A, B, C, D, and E reflect: -- S&P's expected-case valuation, which is unchanged from our last review in December 2020. -- S&P's belief that, given the current net cash flow (NCF) reported for the property for year-end 2023 and for the three months ended March 31, 2024, performance has generally returned to pre-COVID-19-pandemic levels, and the property's valuation is comparable to what S&P derived in its last review. The mall is well-occupied, with reported occupancy rates above 95.0% since 2014. S&P said, "In our last review in December 2020, the property was 98.8% occupied and we assumed a 5.5% vacancy rate (which was generally on par with historical performance), an S&P Global Ratings base rent of $68.88 per sq. ft. and gross rent of $95.87 per sq. ft., and a 17.9% operating expense ratio to arrive at our long-term sustainable NCF of $42.6 million. Using an S&P Global Ratings capitalization rate of 6.25%, we arrived at an expected-case valuation of $682.2 million or $1,278 per sq. ft. Since then, occupancy at the property has remained generally stable: 99.8% in 2019, 96.3% in 2020, 96.0% in 2021, 97.2% in 2022, 99.7% in 2023, and 96.8% as of March 2024. The master servicer, Wells Fargo Bank N.A. (Wells Fargo) reported that NCF had declined 11.9% to $40.6 million in 2020 from $46.1 million in 2019 and then increased by 0.9% to $41.0 million in 2021. NCF continued to rebound by 6.0% to $43.4 million in 2022 and further by 1.3% to $44.0 million in 2023. As of the three months ended March 31, 2024, the servicer reported NCF of $11.1 million. S&P said, "In our current property-level analysis, we used a comparable vacancy rate of 5.5% versus an in-place 0.4% vacancy rate reported for the collateral, based on the Dec. 25, 2023, rent roll. We assumed an S&P Global Ratings' base rent of $68.08 per sq. ft. and gross rent of $94.33 per sq. ft., and a 18.0% operating expense ratio, to arrive at long-term sustainable NCF of $42.6 million, the same as in our last review. Using an S&P Global Ratings capitalization rate of 6.25%, which is unchanged from our last review, we derived an S&P Global Ratings expected-case value of $682.2 million, which is the same as in our last review and 34.4% lower than the issuance appraised value of $1.0 billion. This yielded an S&P Global Ratings loan-to-value (LTV) ratio of 80.6% on the whole loan balance." Although the model-indicated rating was lower than S&P's revised rating on classes A, B, C, D and E, S&P affirmed its ratings on these classes because of certain qualitative considerations. These include: -- The significant market value decline based on the 2018 issuance appraisal value that would be needed before these classes experience principal losses. -- The generally positive trend in reported financial performance at the property since the pandemic, as well as staggered lease rollover risk, except in 2024 when 15.4% of the collateral net rentable area (NRA) leases expire and in 2025 when 20.4% of the NRA leases expire. However, the property has demonstrated an ability to backfill vacant spaces. -- The temporary liquidity support provided in the form of servicer advancing. -- The senior position of classes A, B, C, and D in the payment waterfall. Property-Level Analysis The loan collateral consists of a portion (779,084 sq. ft.) of the 1.3 million-sq.-ft. Christiana Mall, a super-regional mall located in Newark, Del. The mall is located off Interstate 95, 30 miles south of Philadelphia, and was originally built in 1978, with later expansions in 1991, 2011, and 2014. The loan sponsors are Brookfield Properties Group (who acquired the previous co-owner, General Growth Properties, in 2018) and Prime Property Fund. Notably, Delaware is one of four states in the U.S. that does not have a sales tax, which can help draw shoppers from outside the mall's immediate trade area. The mall is anchored by Macy's (noncollateral; 215,000 sq. ft.), JCPenney (noncollateral; 158,000 sq. ft.,), Nordstrom (noncollateral; 123,000 sq. ft.), Target (ground leased; 145,312 sq. ft.; ground lease expires December 2036) and Cabela's (ground leased; 100,000 sq. ft.; January 2035). There is also a 50,643-sq.-ft. Cinemark theatre that serves as a major tenant. As of the Dec. 25, 2023, rent roll, the property was 99.6% occupied. However, after excluding tenants that are not on the mall directory or are expected to vacate without a replacement tenant, S&P calculated an occupancy rate of 96.0% on the collateral square footage. The servicer has indicated that Williams-Sonoma (0.9% of NRA) and Pottery Barn (1.9%), who have since closed their locations, have already re-leased their spaces. The mall was also able to sign on other new tenants in late-2023 and 2024, including notable tenants Uniqlo (10,472 sq. ft., 2.0% of NRA, lease expiration in January 2025), Kendra Scott (2,540 sq. ft., 0.5%, February 2029), and Soleply (2,057 sq. ft., 0.4%, April 2028). The five-largest collateral, non-ground-leased tenants, which made up 27.3% of collateral net rentable area (NRA), included: -- Cinemark (9.5% of NRA; 2.4% of in-place gross rent, as calculated by S&P Global Ratings; November 2029 lease expiration); -- Barnes and Noble Booksellers (6.9%; 1.6%; January 2025); -- Forever 21 (5.1%; pays percent rent in lieu; January 2027); -- H&M (3.8%; 1.6%; January 2032); and -- Victoria's Secret (2.0%; 2.3%; December 2024). The property faces elevated tenant rollover in 2024 (15.4% of collateral NRA; 17.2% of S&P Global Ratings' in-place gross rent) and 2025 (20.4%; 18.1%). Table 1 Servicer-reported collateral performance THREE MONTHS ENDING MARCH 31, 2024(I) 2023(I) 2022(I) Occupancy rate (%) 96.8 99.7 97.2 Net cash flow ($ mil.) 11.1 44.0 43.4 Debt service coverage (x) 1.86 1.84 1.82 Appraisal value ($ mil.) 1,040.0 1,040.0 1,040.0 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (JUNE 2024) (DECEMBER 2020) (JULY 2018) Trust balance ($ mil.) 284.3 284.3 284.3 Vacancy rate (%) 5.5 5.5 5.5 Net cash flow ($ mil.) 42.6 42.6 42.6 Capitalization rate (%) 6.25 6.25 6.00 Value ($ mil.) 682.2 682.2 710.7 Value per sq. ft. ($) 1,278 1,278 1,331 Loan-to-value ratio (%) 80.6 80.6 77.4 Transaction Summary The 10-year, fixed-rate, IO whole mortgage loan had an initial and current balance of $555.0 million (as of the June 7, 2024, trustee remittance report), pays an annual fixed interest rate of 4.278%, and matures on Aug. 1, 2028. The whole loan is split into multiple senior A notes totaling $338.0 million and a $212.0 million junior note. The $284.3 million trust balance (according to the June 7, 2024, trustee remittance report), comprises a $72.3 million senior A note and the $212.0 million junior note. The other senior A notes totaling $265.7 million are securitized in various other CMBS transactions. The sponsor can incur mezzanine financing, subject to certain conditions, including tests based on LTV ratios and debt service coverage (DSC). According to the master servicer, Wells Fargo Bank N.A., the borrower has not incurred additional debt. Wells Fargo reported a DSC of 1.86x for the three months ended March 31, 2024, 1.84x in 2023, and 1.82x in 2022. The loan has a reported current payment status through its June 2024 reporting period. To date, the trust has not incurred any principal losses. There is currently an outstanding interest shortfall of $452 on class E, which we consider de minimis. Ratings Affirmed BBCMS 2018-CHRS Mortgage Trust Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB (sf) BBCMS MORTGAGE 2024-5C27: Fitch Gives B-(EXP) Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to and issued a presale report on BBCMS Mortgage Trust-5C27 commercial mortgage pass-through certificates series 2024-5C27. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $2,891,000a class A-1 'AAAsf'; Outlook Stable; - $125,000,000ae class A-2 'AAAsf'; Outlook Stable; - $432,700,000ae class A-3 'AAAsf'; Outlook Stable; - $560,591,000bc class X-A 'AAAsf'; Outlook Stable; - $97,102,000a class A-S 'AAAsf'; Outlook Stable; - $37,039,000a class B 'AA-sf'; Outlook Stable; - $31,033,000a class C 'A-sf'; Outlook Stable; - $165,174,000b class X-B 'A-sf'; Outlook Stable; - $14,015,000ac class D 'BBB+sf'; Outlook Stable; - $9,009,000ac class E 'BBB-sf'; Outlook Stable; - $23,024,000bc class X-D 'BBB-sf'; Outlook Stable; - $8,009,000ac class F 'BB+sf'; Outlook Stable; - $8,009,000bc class X-F 'BB+sf'; Outlook Stable; - $8,008,000ac class G 'BB-sf'; Outlook Stable; - $8,008,000bc class X-G 'BB-sf'; Outlook Stable; - $8,009,000ac class H 'B-sf'; Outlook Stable; - $8,009,000bc class X-H 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $28,029,844acd class J-RR; a) The certificate balances and notional amounts of these classes include the VRR interest which is expected to be approximately 3.71% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Class J-RR certificates comprise the transaction's horizontal risk retention interest. (e) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $557,700,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $250,000,000 and the expected class A-3 balance range is $307,700,000 to $557,700,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the midpoint of both classes. The expected ratings are based on information provided by the issuer as of June 17, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 50 loans secured by 98 commercial properties having an aggregate principal balance of $800,844,844 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., KeyBank National Association, German American Capital Corporation, Argentic Real Estate Finance 2 LLC, Bank of Montreal, UBS AG, LMF Commercial, LLC, Greystone Commercial Mortgage Capital, LLC and Societe Generale Financial Corporation. The master servicer is expected to be Wells Fargo, National Association and the special servicer is expected to be LNR Partners, LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 33 loans totaling 84.1% of the pool by balance. Fitch's resulting net cash flow (NCF) of $213.7 million represents a 15.0% decline from the issuer's underwritten NCF of $251.4 million. Higher Fitch Leverage: The transaction has higher Fitch leverage compared to recent multiborrower transactions. The pool's Fitch weighted average (WA) trust loan-to-value ratio (LTV) of 92.7% is higher than the 2024 YTD and 2023 averages of 90.4% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 10.3% is worse than both the 2024 YTD and 2023 averages of 10.8% and 10.6%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 17.9% of the pool balance received an investment grade credit opinion. GNL-Industrial Portfolio (9.8% of pool) received a standalone credit opinion of 'BBB-sf*'. 640 5th Avenue (3.1%) received a standalone credit opinion of 'BBB+sf*'. 28-40 West 23rd Street (3.1%) received a standalone credit opinion of 'BBB+sf*'. Kenwood Towne Centre (1.9%) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage of 17.9% is above the YTD 2024 average of 14.6% and the 2023 average of 14.6%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 97.0% and 10.1%, respectively. Lower Loan Concentration: The largest 10 loans comprise 44.4% of the pool, which is much lower than the 2024 YTD and 2023 averages of 59.3% and 65.3%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 36.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow that decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf' /'BBB-sf' /'BB+sf' /'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, an improvement in cash flow that increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf' /'BBB-sf' /'BB+sf' /'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on 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. BENCHMARK 2019-B9: Fitch Lowers Rating on Two Tranches to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded seven classes and affirmed eight classes of Benchmark 2018-B8 Mortgage Trust. Following the downgrades to classes A-S, B, C, D, X-A, X-B and X-D, the classes were assigned Negative Rating Outlooks. Fitch has also downgraded 10 classes and affirmed seven classes of Benchmark 2019-B9 Mortgage Trust. Following the downgrades to classes A-S, B, C, D, E, X-A, X-B and X-D, the classes were assigned Negative Outlooks. Fitch has affirmed 15 classes of Benchmark 2018-B7 Mortgage Trust and revised the Outlooks for classes A-M, B, C and X-A to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B7 A-1 08162TAX1 LT AAAsf Affirmed AAAsf A-2 08162TAY9 LT AAAsf Affirmed AAAsf A-3 08162TBA0 LT AAAsf Affirmed AAAsf A-4 08162TBB8 LT AAAsf Affirmed AAAsf A-M 08162TBD4 LT AAAsf Affirmed AAAsf A-SB 08162TAZ6 LT AAAsf Affirmed AAAsf B 08162TBE2 LT AA-sf Affirmed AA-sf C 08162TBF9 LT A-sf Affirmed A-sf D 08162TAG8 LT BBBsf Affirmed BBBsf E 08162TAJ2 LT BBsf Affirmed BBsf F 08162TAL7 LT B-sf Affirmed B-sf G-RR 08162TAN3 LT CCCsf Affirmed CCCsf X-A 08162TBC6 LT AAAsf Affirmed AAAsf X-D 08162TAC7 LT BBsf Affirmed BBsf X-F 08162TAE3 LT B-sf Affirmed B-sf BMARK 2019-B9 A-2 08160JAB3 LT AAAsf Affirmed AAAsf A-3 08160JAC1 LT AAAsf Affirmed AAAsf A-4 08160JAD9 LT AAAsf Affirmed AAAsf A-5 08160JAE7 LT AAAsf Affirmed AAAsf A-AB 08160JAF4 LT AAAsf Affirmed AAAsf A-S 08160JAH0 LT AA-sf Downgrade AAAsf B 08160JAJ6 LT A-sf Downgrade AA-sf C 08160JAK3 LT BBB-sf Downgrade A-sf D 08160JAY3 LT BBsf Downgrade BB+sf E 08160JBA4 LT Bsf Downgrade BB-sf F 08160JBC0 LT CCCsf Affirmed CCCsf G 08160JBE6 LT CCsf Downgrade CCCsf X-A 08160JAG2 LT AA-sf Downgrade AAAsf X-B 08160JAL1 LT BBB-sf Downgrade A-sf X-D 08160JAN7 LT Bsf Downgrade BB-sf X-F 08160JAQ0 LT CCCsf Affirmed CCCsf X-G 08160JAS6 LT CCsf Downgrade CCCsf BMARK 2018-B8 A-2 08162UAT7 LT AAAsf Affirmed AAAsf A-3 08162UAU4 LT AAAsf Affirmed AAAsf A-4 08162UAV2 LT AAAsf Affirmed AAAsf A-5 08162UAW0 LT AAAsf Affirmed AAAsf A-S 08162UBA7 LT AAsf Downgrade AAAsf A-SB 08162UAX8 LT AAAsf Affirmed AAAsf B 08162UBB5 LT Asf Downgrade AA-sf C 08162UBC3 LT BBBsf Downgrade A-sf D 08162UAC4 LT BBsf Downgrade BBBsf E-RR 08162UAE0 LT BBsf Affirmed BBsf F-RR 08162UAG5 LT B-sf Affirmed B-sf G-RR 08162UAJ9 LT CCCsf Affirmed CCCsf X-A 08162UAY6 LT AAsf Downgrade AAAsf X-B 08162UAZ3 LT Asf Downgrade AA-sf X-D 08162UAA8 LT BBsf Downgrade BBBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' ratings case losses are 6.30% in BMARK 2018-B7, 5.65% in BMARK 2018-B8 and 7.53% in BMARK 2019-B9, each of which have increased since Fitch's prior rating action and reflects concerns with office concentrations. For the BMARK 2018-B7 transaction, Fitch has identified 16 loans (44.6% of the pool) as Fitch Loans of Concern (FLOCs), which includes four loans (13.4%) in special servicing. The Outlook revisions in BMARK 2018-B7 to Negative from Stable reflect possible downgrades of up to one rating category due to the high overall office concentration of 40.3% and the deteriorating performance of FLOCs most notably from the Castleton Commons & Square (2.9%) and Liberty Portfolio (4.5%) loans. Fitch has identified 13 loans (40.3% of the pool) as FLOCs in the BMARK 2018-B8 transaction, which includes one loan (3.1%) in special servicing. The downgrades reflect higher expected losses across the pool driven by performance deterioration of the 5444 & 5430 Westheimer (3.1%) and Missouri Falls (2.4%) loans. Other high loss contributors are Saint Louis Galleria (5.7%) and 3 Huntington Quadrangle office (4.9%). The Negative Outlooks in BMARK 2018-B8 reflect the high overall office concentration of 45.2% and the potential for downgrade without performance stabilization of FLOCs, specifically from the office loans 3 Huntington Quadrangle, 5444 & 5430 Westheimer and 590 East Middlefield. Downgrades of up to one category are possible without performance stabilization of the FLOCs, most notably the office FLOCs. For BMARK 2019-B9, Fitch has identified 13 loans (35.1% of the pool) as FLOCs, which includes two loans (2.1%) in special servicing. The downgrades reflect higher overall pool losses driven by performance deterioration of the Plymouth Corporate Center (5.5%) and Fairbridge Office Portfolio (3.7%) loans. Other high loss contributors include 3 Park Avenue (10.4%) and 735 Bedford Avenue (0.9%). The Negative Outlooks in BMARK 2019-B9 reflect the high overall office concentration of 40.3% and the potential for up to a one category downgrade without performance stabilization of the office FLOCs. Largest Contributors to Loss: The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations in BMARK 2018-B7 is the Castleton Commons & Square loan (2.9%), secured by a 279,452-sf retail complex in Indianapolis, IN. The property was built in 1980 and renovated in 2005. The loan transferred to special servicing in August 2023 for imminent default and the servicer is dual tracking foreclosure and workout strategies. Property performance declined due to the departure of the second largest tenant, Havertys Furniture (16.7% of the NRA) which vacated at lease expiration in 2022. As a result, occupancy for the center declined to 76% as of June 2023 from 93% at YE 2022 with the June 2023 NOI DSCR falling to 1.04x from 1.28x at YE 2022. Fitch's 'Bsf' rating case loss of 38.5% (prior to concentration adjustments) reflects a 20% discount to the most recent draft appraisal value reflecting a recovery value of $73.60 psf. The second largest contributor to overall pool loss expectations in BMARK 2018-B7 is the Liberty Portfolio (4.5%), secured by a two-property office portfolio located in Arizona and totaling 805,746-sf. The portfolio reflects a current occupancy of 95% as of the 2024 rent roll reporting with a most recent NOI DSCR of 1.90x. However, the largest tenant, Centene (43.8% of the portfolio NRA), no longer fully occupies its space and cash management has been activated. Additionally, Carvana (16.8%) did not renew their lease, which expired in February 2024. Overall availability for the portfolio is approximately 60.3%; per CoStar as of 1Q 2024, the submarket reflects a weighted average vacancy rate of 22.9% and an availability rate of 25.0%. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 15.2% factors a 40% stress to the TTM March 2024 NOI to account for the departure of the major tenants coupled with soft market conditions. The largest increase in loss since the prior rating action in the BMARK 2018-B8 is the 5444 & 5430 Westheimer loan (3.1%), which is secured by a 405,000-sf suburban office located in Houston, TX. Per the March 2024 rent roll, major tenant, Alliant (9.6% of the NRA) vacated at lease expiration in early 2024 resulting in occupancy declining to 51% compared to 78% at YE 2022. The Galleria/Uptown office submarket remains challenged, exhibiting a high vacancy rate of 30.2%, as reported by CoStar data for the first quarter of 2024. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 27.0% reflects a cap rate of 10.25% and factors a 30% stress to the YE 2023 NOI to account for the departure of the major tenant coupled with weakening market conditions and high submarket availability. The second largest increase in loss since the prior rating action in BMARK 2018-B8 is the Missouri Falls loan (2.4%), which is secured by a 190,815-sf office property in Phoenix, AZ. Major tenant, Envision Healthcare (30.5% of the NRA) has given notice it will terminate its lease following a bankruptcy filing. With the termination, occupancy as of March 2024 declined to 67% from 99% at YE 2022. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 5.9% reflects a 40% stress to the YE 2023 NOI to account for the departure of the major tenant. The largest increase in loss since the prior rating action in BMARK 2019-B9 is attributed to the Plymouth Corporate Center loan (5.5%), which is secured by a 605,767-sf two-story office building in Plymouth, Minnesota, approximately 10 miles west of the Minneapolis central business district. According to the servicer, the largest tenant at the property, Huntington Bank (69.0% of the NRA) is in the process of vacating its entire space. As of March 2024, base rent from Huntington Bank represented 77% of the total building base rent income. Occupancy and NOI DSCR was 91% and 2.14x as of YE 2023, but is anticipated to decline to 22% and 0.51x, respectively, with the departure of Huntington Bank. Fitch's 'Bsf' rating case loss of 17.6% (prior to concentration adjustments) reflects a 40% stress to the YE 2023 NOI with a cap rate of 10.25% and factors a higher probability of default given the concerns with the imminent departure of the major tenant. The second largest increase in loss since the prior rating action in BMARK 2019-B9 is from the Fairbridge Office Portfolio loan (3.7%), which is secured by a two-property office portfolio located in Illinois and totaling 385,525-sf. Performance of the portfolio continues to deteriorate with YE 2023 occupancy falling to 59% with NOI DSCR of 1.01x which compares with YE 2022 occupancy of 64% and NOI DSCR of 1.27x. The borrower is in discussion with several tenants on renewals and is in discussion with InProduction (1.3% of portfolio NRA) and Sargen & Lundy (8.5%) on the potential expansion of their space. As of the May 2024 remittance, the loan remains current. Fitch's 'Bsf' rating case loss of 16.1% (prior to concentration adjustments) reflects a 10% stress to the YE 2023 NOI with a cap rate of 10.5% and factors a higher probability of default given the deteriorating performance and weakness of the submarket. Changes in Credit Enhancement (CE): As of the May 2024 distribution date, the aggregate balances of the BMARK 2018-B7, BMARK 2018-B8 and BMARK 2019-B9 transactions have been paid down by 5.4%, 8.2% and 4.3%, respectively, since issuance. The BMARK 2018-B7 transaction includes two loans (2.6% of the pool) that have fully defeased; BMARK 2018-B8 has one loan (0.5%) that has fully defeased; BMARK 2019-B9 has three loans (1.5%) that have fully defeased. Cumulative interest shortfalls of $904,224 are affecting the non-rated class J-RR in BMARK 2018-B7, $91,596 are affecting the non-rated class NR-RR in BMARK 2018-B8 and $428,438 are affecting the non-rated J class in BMARK 2019-B9. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs. This applies particularly to office loans with deteriorating performance including Liberty Portfolio in BMARK 2018-B7, 5444 & 5430 Westheimer in BMARK 2018-B8 and Plymouth Corporate Center and Fairbridge Office Portfolio in BMARK 2019-B9, or more loans than expected experience performance deterioration or default at or prior to maturity. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes Liberty Portfolio in BMARK 2018-B7, 5444 & 5430 Westheimer in BMARK 2018-B8 and Plymouth Corporate Center and Fairbridge Office Portfolio in BMARK 2019-B9. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET V-B: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Benefit Street Partners CLO V-B, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Benefit Street Partners CLO V-B, Ltd. X LT NRsf New Rating NR(EXP)sf A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-1R LT BBB+sf New Rating BBB+(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F-R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Benefit Street Partners CLO V-B, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Benefit Street Partners L.L.C. that originally closed in May 2018. This is the first refinancing where the existing notes will be refinanced in whole on June 13, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 98.79% first-lien senior secured loans and has a weighted average recovery assumption of 75.58%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and '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-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Benefit Street Partners CLO V-B, 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. BENEFIT STREET V-B: Moody's Gives B3 Rating to $500,000 F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the "Refinancing Notes") 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, Definitive Rating Assigned Aaa (sf) US$315,000,000 Class A-1R Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$500,000 Class F-R Secured Deferrable Floating Rate Notes due 2037, Definitive Rating Assigned 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): 7.00% 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. BRAVO RESIDENTIAL 2024-RPL1: Fitch Assigns 'B' Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2024-RPL1 (BRAVO 2024-RPL1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2024-RPL1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS 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 Fitch rates the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2024-RPL1 (BRAVO 2024-RPL1) as indicated above. The notes are supported by one collateral group that consists of 2,024 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $404.92 million, which includes $66.8 million, or 16.5%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. 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. The servicer will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.6% above a long-term sustainable level (vs. 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 both high interest rates and elevated home prices. Home prices have increased 5.5% YoY nationally as of February 2024 despite modest regional declines, but are still being supported by limited inventory. Seasoned Performing and Reperforming Loan Credit Quality (Negative): The collateral consists of 2,024 SPLs and RPLs secured by first liens on one- to four-family residential properties, condominiums, planned unit developments, townhouses, manufactured housing, mobile homes and unimproved land, seasoned at approximately 210 months in aggregate, as calculated by Fitch. The pool is 89.0% current and 11.0% delinquent (DQ). Approximately 32.6% of the loans have been delinquent one or more times in the past 24 months (defined by Fitch as "dirty current"). Fitch applies a probability of default (PD) penalty to dirty current loans with the highest penalty applied to those with recent delinquencies. Additionally, 95.9% of loans have a prior modification. The borrowers have a weak credit profile with a 653 FICO, as calculated by Fitch, and a 45% debt-to-income ratio (DTI), as well as moderate leverage with a 74.6% sustainable loan-to-value ratio (sLTV). The pool consists of 93.1% of loans where the borrower maintains a primary residence, while 6.9% are investment properties or second homes or indicated as other/unknown. No Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of principal and interest. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the 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 that class with no advancing. Additionally, the transaction includes a provision where interest amounts otherwise allocable to subordinate classes B-3, B-4 and B-5 will prioritize payment of any unpaid net weighted average coupon (WAC) shortfall amount for the senior class (A-1). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Digital Risk, Inglet Blair, Recovco, Opus Capital Markets Consultants and Clayton Services. A third-party due diligence review was completed on 83% (by loan count) of the pool. The scope, as described in Form 15E, focused on regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Fitch considered this information along with the tax, title and lien (TTL) search results in its analysis and, as a result, Fitch adjusted its loss expectation at the 'AAAsf' stress by approximately 125bps to reflect missing final HUD-1 files and title and lien issues, loans in which diligence was not performed as well as to address outstanding liens and taxes that could take priority over the subject mortgage. 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. BRIDGE STREET I: S&P Assigns Prelim BB- (sf) Rating on D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1R, A-2R, B-R, C-1R, C-2R, and D-R replacement debt from Bridge Street CLO I Ltd./Bridge Street CLO I LLC, a CLO managed by FS Structured Products Advisor LLC, a subsidiary of FS Investments, that was originally issued in January 2021. The preliminary ratings are based on information as of June 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 21, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the January 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the January 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the January 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 third supplemental indenture: -- The non-call period will be extended to June 21, 2026. -- The reinvestment period will be extended to July 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to July 20, 2037. -- No additional assets are being purchased on the June 21, 2024, refinancing date, and the target initial par amount will remain at $350.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2024. -- The transaction has added a restriction to the acquisition of obligations issued by obligors in certain industries. Replacement And Refinanced Debt Issuances Replacement debt -- Class A-1R, $224.00 million: three-month CME term SOFR + 1.55% -- Class A-2R, $42.00 million: three-month CME term SOFR + 1.95% -- Class B-R (deferrable), $21.00 million: three-month CME term SOFR + 2.20% -- Class C-1R (deferrable), $17.50 million: three-month CME term SOFR + 3.40% -- Class C-2R (deferrable), $7.00 million: three-month CME term SOFR + 4.80% -- Class D-R (deferrable), $10.50 million: three-month CME term SOFR + 7.05% Refinanced debt -- Class A-1, $224.00 million: three-month LIBOR +1.53% -- Class A-2, $42.00 million: three-month LIBOR + 2.05% -- Class B, $17.50 million: three-month LIBOR + 2.70% -- Class C, $21.00 million: three-month LIBOR + 4.14% -- Class D, $14.00 million: three-month LIBOR + 7.50% 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 Bridge Street CLO I Ltd. /Bridge Street CLO I LLC Class A-1R, $224.00 million: AAA (sf) Class A-2R, $42.00 million: AA (sf) Class B-R (deferrable), $21.00 million: A (sf) Class C-1R (deferrable), $17.50 million: BBB (sf) Class C-2R (deferrable), $7.00 million: BBB- (sf) Class D-R (deferrable), $10.50 million: BB- (sf) Subordinated notes, $35.20 million: Not rated BX 2024-PALM: S&P Assigns BB (sf) Rating on Class HRR Certificates ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BX 2024-PALM Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by a two-year, interest-only, floating-rate commercial mortgage loan secured by the borrowers' fee simple interests in nine multifamily properties comprising 3,681 units located in three states: Texas, California, and Florida. The ratings reflect S&P's view of the collateral's historic and projected performance, the sponsor's and the manager's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure, among other factors. With the pricing of the certificates, the loan component spread was set at 1.9355%, which is higher than the assumed component spread of 1.8000% when we assigned our preliminary ratings. The borrower offset this increase by purchasing an interest rate cap at a lower strike rate (5.1401%) at issuance than what was previously assumed (5.2757%). S&P's S&P Global Ratings' debt service coverage is unchanged at 1.03x due to the lower strike rate. Ratings Assigned BX 2024-PALM Mortgage Trust Class A, $344,670,000(i): AAA (sf) Class B, $80,300,000(i): AA- (sf) Class C, $59,700,000(i): A- (sf) Class D, $61,110,000(i): BBB- (sf) Class E, $9,910,000(i): BB+ (sf) Class HRR, $29,310,000(i): BB (sf) (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933, to institutional accredited investors under Regulation D and to non-U.S. persons under Regulation S. HRR--Horizontal residual interest certificate. BX TRUST 2024-LNK1: Moody's Withdraws (P)Ba2 Rating on Cl. E Certs ------------------------------------------------------------------ Moody's Ratings has withdrawn the ratings of BX Trust 2024-LNK1, Commercial Mortgage Pass-Through Certificates, Series 2024-LNK1. Cl. A, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Aaa (sf) Cl.X-CP*, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Baa2 (sf) Cl. X-NCP*, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Baa2 (sf) Cl. B, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Aa3 (sf) Cl. C, Withdrawn (sf); previously on June 4, 2024 Assigned (P)A2 (sf) Cl. D, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Baa3 (sf) Cl. E, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Ba2 (sf) Cl. HRR, Withdrawn (sf); previously on June 4, 2024 Assigned (P)Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE Moody's has decided to withdraw the provisional ratings as the transaction is not expected to close in the near future. CARLYLE US 2017-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2017-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2017-2, Ltd._New Reset 2024 A-R2 LT NRsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBBsf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating X-R2 LT NRsf New Rating TRANSACTION SUMMARY Carlyle US CLO 2017-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. that originally closed in June 2017 and refinanced in April 2021. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $399 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 26.31, versus a maximum covenant, in accordance with the initial expected matrix point of 27.5. 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 94.71% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.11% versus a minimum covenant, in accordance with the initial expected matrix point of 72%. Portfolio Composition (Positive): The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D1-R2, between less than 'B-sf' and 'BB+sf' for class D2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D1-R2, 'Asf' for class D2-R2, and 'BBB-sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/orother Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Carlyle US CLO 2017-2, 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. CHASE HOME 2024-6: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-6 (Chase 2024-6). Entity/Debt Rating ----------- ------ Chase 2024-6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-X LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates issued by Chase 2024-6 as indicated above. The certificates are supported by 499 loans with a total balance of approximately $621.66 million as of the cutoff date. The scheduled balance as of the cutoff date is $621.23 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All the mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.7% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR); the remaining 0.3% qualify as rebuttable presumption QM (APOR). There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 10.3% above a long-term sustainable level (vs. 11.1% on a national level as of 4Q23, down 0% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 5.5% yoy nationally as of February 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate, fully amortizing loans with maturities of up to 30 years; 99.7% of the loans qualify as SHQM APOR. The remaining 0.3% qualify as rebuttable presumption QM (APOR). The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of 4.7 months, according to Fitch. The pool has a WA FICO score of 768, as determined by Fitch and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned 12 months or more, which is indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 74.2% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. In addition, the original weighted average (WA) combined loan-to-value (CLTV) ratio of 75.8%, translating to a sustainable loan-to-value (sLTV) ratio of 83.1%, represents moderate borrower equity in the property and reduced default risk, compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as QM loans. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes and planned unit developments (PUDs) constitute 91.7% of the pool; condominiums make up 7.7%; and co-ops make up 0.6%. Fitch viewed it favorable that there are no loans in the pool to multi-family homes and that there are no loans to investors in the pool. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (94.0%), cashout refinances (3.6%) and rate-term refinances (2.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 19.5% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the Los Angeles MSA (7.0%), followed by the Seattle MSA (6.7%) and the Miami MSA (6.2%). The top three MSAs account for 19.9% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable; the servicer is expected to advance delinquent P&I on loans that enter into a coronavirus pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. CE Floor (Positive): A CE or senior subordination floor of 1.15% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.75% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC and Digital Risk. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.15% at the 'AAAsf' stress due to 60.1% due diligence with no material findings DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 60.1% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Chase 2024-6 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk being well controlled in Chase 2024-6. Factors that contributed to well controlled operational risk include strong transaction due diligence, the entire pool is originated by an 'Above Average' originator, and all the pool loans are serviced by a servicer rated 'RPS1-'. These all have a positive impact on the credit profile, and are relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2024-III: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2024-III, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2024-III, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2-A LT BBB-sf New Rating D-2-B LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY CIFC Funding 2024-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 24.35, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.21% versus a minimum covenant, in accordance with the initial expected matrix point of 72.125%. 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 a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-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 as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 2024-III, 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. COMM 2017-COR2: Fitch Lowers Rating on Class G-RR Debt to CCC ------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 10 classes of COMM 2017-COR2 Mortgage Trust Series 2017-COR2. Following their downgrades, classes E-RR and F-RR were assigned Negative Rating Outlooks. Additionally, the Outlooks for classes A-M, B, C, D, X-A, X-B, and X-D were revised to Negative from Stable, following their affirmations. Entity/Debt Rating Prior ----------- ------ ----- COMM 2017-COR2 A-2 12595EAC9 LT AAAsf Affirmed AAAsf A-3 12595EAD7 LT AAAsf Affirmed AAAsf A-M 12595EAF2 LT AAAsf Affirmed AAAsf A-SB 12595EAB1 LT AAAsf Affirmed AAAsf B 12595EAG0 LT AA-sf Affirmed AA-sf C 12595EAH8 LT A-sf Affirmed A-sf D 12595EAN5 LT BBBsf Affirmed BBBsf E-RR 12595EAQ8 LT BBsf Downgrade BBB-sf F-RR 12595EAS4 LT Bsf Downgrade BBsf G-RR 12595EAU9 LT CCCsf Downgrade B-sf X-A 12595EAE5 LT AAAsf Affirmed AAAsf X-B 12595EAJ4 LT AA-sf Affirmed AA-sf X-D 12595EAL9 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades of classes E-RR, F-RR and G-RR reflect increased loss expectations since Fitch's prior rating action driven by a high office concentration (32% of the pool) and continued underperformance of hotel, retail and office Fitch Loans of Concern (FLOCs), namely the AHIP Northeast Portfolio II, Grand Hyatt Seattle, Renaissance Seattle, Mall of Louisiana, Colorado Center, The Landing, and 16027 Ventura Boulevard loans. Fitch's current ratings incorporate a 'Bsf' rating case loss of 5.9%. Fitch identified 16 loans (45.5% of the pool) as FLOCs with no loans currently in special servicing. The Negative Outlooks reflects the potential for downgrades of up to one category should performance of the aforementioned FLOCs experience further performance declines or transfer to special servicing. The Negative Outlooks also incorporate an additional sensitivity scenario that factors a heightened probability of default given concerns with The Landing (FLOC; 3.0%), which is a suburban office property located in Westlake Village, CA with high near-term tenant rollover (40% within the next two years). Largest Loss Contributors: The largest increase in loss expectations since the prior rating action and the largest overall contributor to loss is the 16027 Ventura Boulevard loan (3.0% of the pool), which is secured by a 112,516-sf suburban office building located in Encino, CA. Occupancy has fallen to 64% as of September 2023, a decline from 74% at YE 2021, and 87% at YE 2019. Cash flow has correspondingly declined with NOI DSCR has dropping to 0.59x for the YTD September 2023 reporting period from 1.72x at YE 2022 and 1.81x at YE 2019. Fitch's 'Bsf' ratings case loss of 32.8% (prior to concentration adjustments) includes a 10% cap rate, a 20% stress to the YE 2022 NOI and an increased probability of default to account for the loan's heightened term and maturity default concerns. The next largest increase to loss expectations since the prior rating action is the is the AHIP Northeast Portfolio II loan (6.7% of the pool), which is secured by a portfolio of four extended stay hotels located in Hanover, MD (2), Mount Laurel, NJ (1), and Bethlehem, PA (1). The loan is being monitored for franchise default at the Residence Inn at Bishops Gate property in Mount Laurel, NJ and Arundel Mills Towneplace Suites in Hanover, MD. Portfolio performance has continued to decline with weighted-average occupancy and NOI DSCR of 67% and 0.86x, respectively at YE 2023 compared to 74% and 1.79x at YE 2022 and 76% and 2.63x at YE 2021. Fitch's 'Bsf' rating case loss of 10.3% (prior to concentration adjustments) reflects a 20% stress to YE 2022 NOI and a cap rate of 11.25%. Seattle MSA FLOCs: Two full-service hotel loans in the Seattle MSA, which share the same sponsor, have been identified as a FLOCs, including the 457-room Grand Hyatt Seattle (6.0%) and 557-room Renaissance Seattle (6.0%), both located in the Central Business District. The Grand Hyatt is in close proximity to the Seattle Convention Center. Both hotels continue to underperform with YE 2023 occupancy lower than YE 2019 levels and NOI DSCR coverage ratios near 1.30x for both hotels which compares with issuance NOI DSCR near 2.40x. The Grand Hyatt Seattle 'Bsf' rating case loss of 8.1% (prior to concentration add-ons) reflects an 11.0% cap rate and a 15% stress to the YE 2019 NOI. The Renaissance Seattle 'Bsf' rating case loss of 6.5% (prior to concentration adjustments) reflects an 11.0% cap rate and a 7.5% stress to the YE 2022 NOI. High Office Concentration: Pool-level office concentration includes 12 loans for 31.8% of the pool, six of which (14.0%) have been identified as FLOCs. Increasing Credit Enhancement (CE): As of the May 2024 distribution date, the pool's aggregate principal balance has been reduced by 8.5% to $838.5 million from 916.4 million at issuance. There are five loans (10.2% of the pool) that have fully defeased. Loan maturities are concentrated in 2026 (five loans for 15.0% of the remaining pool balance) and 2027 (36 loans for 85.0% of the remaining pool balance). Interest shortfalls of $68,039 are impacting the non-rated class H-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the 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 junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in CE, or if interest shortfalls occur. Downgrades to classes rated 'AA-sf' and 'A-sf' could occur if deal-level losses increase significantly beyond Fitch's expectations 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 'BBBsf', 'BBsf' and 'Bsf' rated classes, are possible with further performance declines on larger hotel, retail and office FLOCs, namely the AHIP Northeast Portfolio II, Grand Hyatt Seattle, Renaissance Seattle, Mall of Louisiana, The Landing and 16027 Ventura Boulevard and/or the aforementioned loans transfer to special servicing. Further downgrades to distressed rated classes would occur should FLOCs fail to stabilize, loans transfer to special servicing, and/or as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' and 'A-sf' classes may occur with significant improvement in CE and/or defeasance, and with sustained performance improvement and stabilization of the FLOCs; including AHIP Northeast Portfolio II, Grand Hyatt Seattle, Renaissance Seattle, Mall of Louisiana, Colorado Center, The Landing, and 16027 Ventura Boulevard. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf'-rated class would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'B' classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed classes are not expected, but 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. COMM 2024-WCL1: Moody's Assigns B1 Rating to Cl. HRR Certs ---------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by COMM 2024-WCL1 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2024-WCL1: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interests in a portfolio of 41 primarily industrial properties encompassing approximately 1.9 million BSF and 6.2M LSF. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The collateral portfolio consists of 41 industrial properties located across eight port-adjacent markets in three states. The largest concentrations are in Seattle (26.3% of underwritten NOI), Los Angeles (22.2% of underwritten NOI), and Orange County (20.4% of underwritten NOI). The portfolio is highly diverse, with no with no single asset contributing more than 10.8% of underwritten NOI. The portfolio's property-level Herfindahl score is 25.44 based on allocated loan amount (the "ALA"). The properties are leased to 50 national and regional tenants, none of which comprises more than 8.1% of underwritten base rent. The collateral properties contain a total of 1.9M BSF and 6.2M LSF and includes last mile facility (32.4% of NRA, 37.4% of UW NOI), regional distribution (23.8% of NRA, 21.5% of underwritten NOI), and bulk industrial (33.7% of NRA, 16.8% of underwritten NOI) properties. Property size ranges between 614,541 BSF and 25,749 BSF(2,018,208 LSF and 141,840 LSF) and average approximately 211,987 SF . Clear heights for properties range between 14 feet and 30 feet, and average approximately 23.1 feet. The properties were built between 1928 and 2005 with an average year built of 1978. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 0.94x, compared to 0.97x at Moody's provisional ratings due to an interest rate decrease, which is higher than Moody's first mortgage actual stressed DSCR (at a 9.25% constant) of 0.74x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $493,000,000 represents a Moody's LTV ratio of 116.6% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 105.3%, compared to 104.9% issued at Moody's provisional ratings,based on Moody's Value using a cap rate adjusted for the current interest rate environment. With respect to loan level diversity, the pool's loan level Herfindahl score is 25.44. The ten largest loans properties represent 50.3% of the pool balance. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's quality grade is 1.00. Notable strengths of the transaction include: proximity to global gateway markets, infill locations, geographic diversity, strong occupancy, tenant granularity, multiple property pooling and experienced sponsorship. Notable concerns of the transaction include: rollover risk, property age, floating-rate interest-only loan profile, and credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July. 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. 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. CONN'S RECEIVABLES: Fitch Affirms 'B+sf' Rating on Class C Notes ---------------------------------------------------------------- Fitch Ratings has upgraded the ratings on the outstanding notes of Conn's Receivables Funding 2022-A and affirmed all notes of Conn's Receivables Funding 2023-A. The Rating Outlook for Conn's 2022-A class B notes is Stable following the upgrade, and the Rating Outlooks for all other notes remains Stable for both the transactions. Entity/Debt Rating Prior ----------- ------ ----- Conns Receivables Funding 2022-A, LLC B 20825YAB2 LT BBBsf Upgrade BBsf C 20825YAD8 LT BBsf Upgrade Bsf Conn’s Receivables Funding 2023-A, LLC Class A 20824CAA3 LT BBBsf Affirmed BBBsf Class B 20824CAB1 LT BBsf Affirmed BBsf Class C 20824CAC9 LT B+sf Affirmed B+sf TRANSACTION SUMMARY Fitch revised its base case default assumption upward for both transactions to account for the significant increase in the delinquency and defaults observed since last review for Conn's 2022-A and the expectation that Conn's 2023-A will exhibit similar further deterioration. Despite the deteriorated performance and revised default assumptions, Fitch has upgraded the ratings for all outstanding notes of Conn's 2022-A. This is supported by credit enhancement (CE) that has continued to build to absorb the higher losses at the current rating level stresses. Fitch has also affirmed the ratings for all notes of Conn's 2023-A, given the limited transaction seasoning and the notes passing Fitch's modeling at the requisite rating levels. KEY RATING DRIVERS Rating Stress Reflects Subprime Collateral: The Conn's 2022-A receivables pool had a weighted average (WA) FICO score of 616 at closing, and 8.9% of the loans have scores below 550 or no score. Conn's 2023-A receivables pool had a WA FICO score of 619 at closing, and 10.2% of the loans have scores below 550 or no score. Fitch revised its lifetime base case default assumption to 33.00% for both the transactions, up from 31.00% for Conn's 2022-A at the last review and 28.00% for Conn's 2023-A at closing. This higher base case default accounts for the substantial increase in delinquency and defaults in 2022-A transaction, and early defaults and expected deterioration in performance for 2023-A. Fitch applied 2.2x, 1.5x and 1.2x stresses to the lifetime 33% default assumption at the 'BBBsf', 'BBsf' and 'Bsf' levels, respectively. The default multiple reflects the high absolute value of the historical defaults, the variability of default performance in recent years and the high geographical concentration of the portfolio. Rating Cap at 'BBBsf': The rating cap reflects the subprime credit-risk profile of the customer base, higher loan defaults pre-pandemic, high concentration of receivables from Texas, the recent disruption in servicing contributing to increased defaults in recent securitized vintages and servicing collection risk (albeit reduced in recent years) due to a portion of customers making in-store payments. Payment Structure; Sufficient CE: For Conn's 2022-A, the current hard CE for the class B notes has grown to 97.56% from 31.61%, and for the class C notes to 40.29% from 20.95% at close. For Conn's 2023-A, the current hard CE totals 91.53%, 49.14% and 33.43% for class A, B, and C notes, respectively. Current CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes of both the transactions. Adequate Servicing Capabilities: Conn Appliances, Inc. has a long track record as an originator, underwriter and servicer. The credit-risk profile of the entity is mitigated by the backup servicing provided by Systems & Services Technologies, Inc. (SST), which has committed to a servicing transition period of 30 days. Fitch considers all parties to be adequate servicers for this pool at the current rating levels. Fitch evaluated the servicers' business continuity plan as adequate to minimize disruptions in the collection process during the pandemic. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Conn's 2022-A Current Ratings: 'BBsf'/'Bsf'. Increased default base case by 10%: 'BBBsf'/'BB+sf'; Increased default base case by 25%: 'BBBsf'/'BBsf'; Increased default base case by 50%: 'BBBsf'/'B+sf'; Conn's 2023-A Current Ratings: 'BBBsf'/'BBsf'/'B+sf'. Increased default base case by 10%: 'BBBsf'/'BBsf'/'Bsf'; Increased default base case by 25%: 'BBBsf'/'BB-sf'/'CCCsf'; Increased default base case by 50%: 'BBBsf'/'B-sf'/'CCCsf'; Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conn's 2022-A Current Ratings: 'BBsf'/'Bsf'. Decreased default base case by 10%: 'BBBsf'/'BBBsf'; Decreased default base case by 25%: 'BBBsf'/'BBBsf'; Decreased default base case by 50%: 'BBBsf'/'BBBsf'; Conn's 2023-A Current Ratings: 'BBBsf'/'BBsf'/'B+sf'. Decreased default base case by 10%: 'BBBsf'/'BBB-sf'/'BB-sf'; Decreased default base case by 25%: 'BBBsf'/'BBBsf'/'BB+sf'; Decreased default base case by 50%: 'BBBsf'/'BBBsf'/'BBBsf'; 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. CSAIL 2016-C7: Fitch Affirms CCC Rating on 4 Tranches ----------------------------------------------------- Fitch Ratings has affirmed 13 classes of Credit Suisse CSAIL 2016-C7 Commercial Mortgage Trust Mortgage Pass Through Certificates. The Rating Outlook for classes A-S, B, C, D, X-A, and X-B were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2016-C7 A-4 12637UAV1 LT AAAsf Affirmed AAAsf A-5 12637UAW9 LT AAAsf Affirmed AAAsf A-S 12637UBA6 LT AAAsf Affirmed AAAsf A-SB 12637UAX7 LT AAAsf Affirmed AAAsf B 12637UBB4 LT AA-sf Affirmed AA-sf C 12637UBC2 LT A-sf Affirmed A-sf D 12637UAG4 LT BBsf Affirmed BBsf E 12637UAJ8 LT CCCsf Affirmed CCCsf F 12637UAL3 LT CCCsf Affirmed CCCsf X-A 12637UAY5 LT AAAsf Affirmed AAAsf X-B 12637UAZ2 LT AA-sf Affirmed AA-sf X-E 12637UAA7 LT CCCsf Affirmed CCCsf X-F 12637UAC3 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Elevated Loss Expectations: The Negative Outlooks for classes A-S, B, C, D, X-A and X-B reflect elevated loss expectations due to continued underperformance and refinance concerns of Fitch Loans of Concern (FLOCs) including Gurnee Mills, Peachtree Mall, and Coconut Point. There are nine loans (41% of the pool) that were identified as FLOCs, which includes one loan (1.2%) in special servicing. Fitch's current ratings reflect a 'Bsf' rating case loss of 7.8%. Regional Malls/Largest Contributors to Loss Expectations: The largest contributor to Fitch's overall loss expectations is the Gurnee Mills loan (10.7% of the pool), which is secured by a 1.7 million-sf portion of a 1.9 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's and a vacant anchor box previously occupied by Sears. The loan previously transferred to the special servicer in June 2020 for imminent monetary default, returning to the master servicer in May 2021 after receiving forbearance. Per the March 2024 rent roll, the property was 80% occupied, compared to 76.4% at June 2023, 80% at YE 2022, 77% at YE 2021, 86.7% at YE 2020 and 93% at issuance. Occupancy declined in 2023 due to Bed, Bath, and Beyond (3.3%) vacating at their January 2023 lease expiration but has since increased due to Round 1 Bowling & Amusement (4.2%) recently signing a lease with an expected opening date in August 2024. The property faces near-term rollover, with leases totaling 22% of the NRA expiring through 2025, including Bass Pro Shops (8.1% of NRA; December 2025 lease expiration). The NOI DSCR reported at September 2023 was 1.98x compared to 2.06x at YE 2022, 1.86x at YE 2021, 1.24x at YE 2020, and 1.42x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 29% (prior to concentration add-ons) reflects a 15% stress to the YE 2022 NOI and a 12% cap rate, and factors an increased probability of default due to the loan's heightened maturity default risk. The second largest contributor to overall loss expectations is the Peachtree Mall loan (3.0%), which is secured by a 621,367-sf portion of an 822,443-sf regional mall located in Columbus, GA and sponsored by Brookfield Properties Retail Group. The mall is anchored by a non-collateral Dillard's and collateral tenants that include JCPenney, At Home and Macy's. Per the February 2024 rent roll, the collateral was 91% occupied, which is down slightly from 93.5% in March 2023, 91% in 2021 and 93% in 2020. Servicer-reported NOI DSCR for this amortizing loan was 1.40x as of the YTD September 2023, compared with 1.56x at YE 2022, 1.58x at YE 2021 and 1.56x at YE 2020. Fitch's 'Bsf' rating case loss of approximately 39% (prior to concentration add-ons) reflects a 15% stress to the YE 2022 NOI and a 20% cap rate, and factors an increased probability of default due to the loan's heightened maturity default risk. The third largest contributor to overall loss expectations is the Coconut Point loan (13.6%), which is secured by an 836,531-sf retail portion of a 1.2 million-sf open-air, mixed-use development featuring a large anchored regional shopping center, two hotels and the Residences at Coconut Point luxury high-rise condominiums. The property is located in Estero, FL, approximately 18 miles southeast of Fort Myers and was built in 2006. The loan is sponsored 50/50 by Simon and Dillard's The largest collateral tenant, a 16-screen Regal Theater, which leased 9.5% NRA through April 2024, vacated this location prior to lease expiration. Additionally, Christmas Tree Shops, which backfilled the former Bed Bath & Beyond space (4.2% NRA) on a lease through May 2032 closed the store in August 2023 and Barnes and Noble downsized and created smaller format store within the mall. Primarily due to the Regal vacancy, collateral occupancy declined to approximately 77% as of September 2023 from 90% at YE 2019. Servicer-reported NOI DSCR for this loan, which is amortizing after the initial 25-month interest-only (IO) period expired, was 1.39x at YE 2023 compared to 1.48x at YE 2022, 1.54x at YE 2021 and 1.54x at issuance. Fitch did not receive updated sales but in-line sales were $376 psf ($286 excluding Apple) at YE 2021 down from $426 psf ($331 psf excluding Apple) as of TTM ended July 2016 at issuance. Larger collateral tenants at the mall include TJ Maxx, which leases 3.8% NRA through May 2026 and Ross, which leases 3.6% NRA through January 2027. The non-collateral anchors are Super Target and Dillard's. Near-term rollover is granular and includes approximately 25% NRA by YE 2025. Fitch's 'Bsf' rating case loss of approximately 7% (prior to concentration add-ons) reflects a 20% stress to the YE 2023 NOI and a 10% cap rate. Credit Enhancement: As of the May 2024 distribution date, the pool's aggregate balance has been paid down by 14.3% to $657.9 million from $767.6 million at issuance. The pool is scheduled to amortize by 16.2% of the initial pool balance through maturity. Of the current pool, only one loan (7.6%) is full-term IO, and all loans with a partial-term IO period are now amortizing. The pool has experienced no realized losses since issuance. 13 loans (18.1%) have been defeased. Nine loans are scheduled to mature in 2025 (13.5% of pool), while the majority of the pool (86.5%) is scheduled to mature in 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to higher pool defeasance, increasing credit enhancement (CE) and expected pay-off from non-FLOCs and performing FLOCs. Downgrades are possible should a large portion of non-FLOCs that Fitch expects to pay off default at or before maturity, exposing these classes to prolonged workout losses. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in CE, or if interest shortfalls occur. Downgrades to classes rated 'AA-sf' and 'A-sf' may occur should performance of Gurnee Mills, Peachtree Mall, and/or Coconut Point experience further performance declines or other larger performing loans default at or before maturity. Downgrades to classes rated 'BBsf' may occur should the aforementioned FLOCs experience further declines, or should additional loans fail to repay at maturity. A downgrade to 'CCCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the classes rated 'AA-sf' and 'A-sf' may occur with performance improvements of the FLOCs including Gurnee Mills, Peachtree Mall, and/or Coconut Point coupled with improving CE and/or defeasance. Upgrades to classes rated 'BBsf' are unlikely absent greater performance improvement as well as better than expected recoveries on the aforementioned FLOCs. Upgrades to classes rated 'CCCsf' are unlikely absent significant performance improvement and substantially higher recoveries than expected on the FLOCs and specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DIAMETER CREDIT I: Moody's Ups Rating on $28.425MM E Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding I, Ltd.: US$36,700,000 Class B Senior Secured Fixed Rate Notes due 2037, Upgraded to Aaa (sf); previously on July 26, 2021 Upgraded to Aa1 (sf) US$12,300,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Aaa (sf); previously on September 26, 2023 Upgraded to Aa3 (sf) US$12,900,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Aa2 (sf); previously on September 26, 2023 Upgraded to A2 (sf) US$28,425,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Ba1 (sf); previously on September 26, 2023 Upgraded to Ba2 (sf) Diameter Credit Funding I, Ltd, originally issued in May 2019 and partially refinanced in July 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of sustained par coverage, high net interest income, and short period of time remaining before the end of the deal's reinvestment period. In particular, the deal has accumulated par and the current performing par, based on Moody's calculation, is $281.6 million including the assumed recovery on defaulted assets, which is in excess of the reinvestment target par balance. Additionally, the deal is currently benefiting from high net interest income due to approximately 20% exposure to floating rate loans, whose interest payments have increased relative to the fixed rates of interest payable on the rated notes. Furthermore, the notes also benefit from the short period of time remaining before the end of the deal's reinvestment period in July 2024, after which note repayments are expected to commence. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) and higher diversity level compared to their respective covenant levels. Moody's modeled a WARF of 2835 and a diversity of 52 compared to their current covenant levels of 3400 and 45, respectively. No action was taken on the Class A notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $280,383,780 Defaulted par: $2,465,477 Diversity Score: 52 Weighted Average Rating Factor (WARF): 2835 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.89% Weighted Average Coupon (WAC): 6.29% Weighted Average Recovery Rate (WARR): 32.65% Weighted Average Life (WAL): 5.6 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. DRYDEN CLO 61: Moody's Cuts Rating on $6.5MM Class F Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 61 CLO, Ltd.: US$55,000,000 Class B-R Senior Secured Floating Rate Notes due 2032 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on November 21, 2023 Upgraded to Aa1 (sf) US$23,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on November 21, 2023 Upgraded to A1 (sf) Moody's has also downgraded the ratings on the following notes: US$6,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on November 29, 2018 Assigned B3 (sf) Dryden 61 CLO, Ltd., originally issued in November 2018 and partially refinanced in March 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2024. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes since November 2023, and the expectation of further deleveraging as the transaction continues to amortize. The Class A-1-R notes have been paid down by approximately 0.74% or $2.3 million since that time. The deal has also benefited from an improvement in the credit quality of the portfolio since November 2023. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 2656 compared to 2672 in November 2023. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculation, the portfolio has lost 1.04% of par since November 2023, and the over-collaterlization (OC) ratio for the Class F notes is currently 104.65% compared to 105.73% in November 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: $482,955,152 Defaulted par: $12,326,239 Diversity Score: 96 Weighted Average Rating Factor (WARF): 2656 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.36% Weighted Average Coupon (WAC): 3.61% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 4.4 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 Actions 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. EAGLE RE 2021-2: Moody's Upgrades Rating on Cl. M-2 Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds from four US mortgage insurance-linked note (MILN) transactions issued in 2021. 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: Eagle Re 2021-1 Ltd. Cl. B-1, Upgraded to Baa1 (sf); previously on Nov 17, 2022 Upgraded to Ba3 (sf) Cl. B-2, Upgraded to Baa2 (sf); previously on Nov 17, 2022 Upgraded to B1 (sf) Cl. M-1C, Upgraded to Aa1 (sf); previously on Jun 7, 2023 Upgraded to A3 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Jun 7, 2023 Upgraded to Baa3 (sf) Cl. M-2A, Upgraded to A1 (sf); previously on Jun 7, 2023 Upgraded to Baa2 (sf) Cl. M-2B, Upgraded to A2 (sf); previously on Jun 7, 2023 Upgraded to Baa3 (sf) Cl. M-2C, Upgraded to A3 (sf); previously on Jun 7, 2023 Upgraded to Ba1 (sf) Issuer: Eagle Re 2021-2 Ltd. Cl. M-1B, Upgraded to Aa2 (sf); previously on Sep 2, 2022 Upgraded to Baa1 (sf) Cl. M-1C, Upgraded to Baa1 (sf); previously on Sep 2, 2022 Upgraded to Baa3 (sf) Cl. M-1C-1, Upgraded to A3 (sf); previously on Sep 2, 2022 Upgraded to Baa2 (sf) Cl. M-1C-2, Upgraded to Baa1 (sf); previously on Sep 2, 2022 Upgraded to Baa3 (sf) Cl. M-1C-3, Upgraded to Baa2 (sf); previously on Sep 2, 2022 Upgraded to Ba1 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Sep 2, 2022 Upgraded to Ba3 (sf) Issuer: Radnor Re 2021-1 Ltd. Cl. M-1C, Upgraded to A1 (sf); previously on Jun 7, 2023 Upgraded to Baa3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Jun 7, 2023 Upgraded to B1 (sf) Issuer: Radnor Re 2021-2 Ltd. Cl. M-1A, Upgraded to Aaa (sf); previously on Sep 2, 2022 Upgraded to Baa1 (sf) Cl. M-1B, Upgraded to Baa3 (sf); previously on Sep 2, 2022 Upgraded to Ba1 (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 cumulative loss for the transactions below 0.01% and low delinquencies. 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, 64% 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-1C from Eagle Re 2021-1 Ltd. getting paid down, which Moody's expect in the next 7-8 months, class M-1B from Eagle Re 2021-2 Ltd., which Moody's expect to be paid down in the next 9-10 months and class M-1A from Radnor Re 2021-2 Ltd., which Moody's expect to be paid down in the next 2-3 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 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. ELMWOOD CLO 30: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 30 Ltd./Elmwood CLO 30 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of June 18, 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 notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 30 Ltd./Elmwood CLO 30 LLC Class A, $352.00 million: AAA (sf) Class B, $66.00 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D-1 (deferrable), $33.00 million: BBB- (sf) Class D-2 (deferrable), $5.50 million: BBB- (sf) Class E (deferrable), $16.50 million: BB- (sf) Class F (deferrable), $5.50 million: B- (sf) Subordinated notes, $43.50 million: Not rated GCAT TRUST 2022-INV1: Moody's Hikes Rating on Cl. B-5 Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 17 bonds issued by multiple issuers. The collateral backing these deals consist of agency eligible, non-agency eligible and non-owner occupied 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: GCAT 2022-INV1 Trust Cl. B-1, Upgraded to Aa2 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 26, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 26, 2022 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jan 26, 2022 Definitive Rating Assigned B2 (sf) Issuer: Mello Mortgage Capital Acceptance 2021-MTG1 Cl. A19, Upgraded to Aaa (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A20, Upgraded to Aaa (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A21, Upgraded to Aaa (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa1 (sf) Cl. AX20*, Upgraded to Aaa (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa1 (sf) Cl. AX21*, Upgraded to Aaa (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa1 (sf) Cl. AX22*, Upgraded to Aaa (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B1, Upgraded to Aa2 (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B1A, Upgraded to Aa2 (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa3 (sf) Cl. BX1*, Upgraded to Aa2 (sf); previously on Mar 22, 2021 Definitive Rating Assigned Aa3 (sf) Issuer: Oceanview Mortgage Trust 2022-1 Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 20, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Oct 20, 2022 Definitive Rating Assigned A3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Oct 20, 2022 Definitive Rating Assigned Ba3 (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 0.01%. In addition, each of the three transactions has three or less loans in delinquent status. In addition, enhancement levels for each of the tranches Moody's upgraded has grown, on average, 1.13x since closing. 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 the 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, credit enhancement and other qualitative considerations. 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. 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. GENERATE CLO 16: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Generate CLO 16 Ltd./Generate CLO 16 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 Generate Advisors LLC. The preliminary ratings are based on information as of June 17, 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 notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Generate CLO 16 Ltd./Generate CLO 16 LLC Class A-1, $179.500 million: AAA (sf) Class A-1L loans(i), $90.500 million: AAA (sf) Class A-2, $22.500 million: AAA (sf) Class B, $49.500 million: AA (sf) Class C (deferrable), $27.000 million: A (sf) Class D-1 (deferrable), $27.000 million: BBB (sf) Class D-2 (deferrable), $4.500 million: BBB- (sf) Class E (deferrable), $12.375 million: BB- (sf) Subordinated notes, $45.000 million: Not rated (i)All or a portion of the class A-1L loans may be converted into class A-1 notes, subject to a maximum conversion of $90.50 million. Upon a conversion, the balance on the class A-1 notes may be increased, and the balance of the class A-1L loans may be decreased, to reflect the conversion. No portion of the class A-1 notes may be converted into class A-1L loans. GOLUB CAPITAL 74(B): Fitch Assigns BB-(EXP) Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital Partners CLO 74(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 74(B), Ltd. A LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Golub Capital Partners CLO 74(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL 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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.73, 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 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.62% versus a minimum covenant, in accordance with the initial expected matrix point of 75.1%. Portfolio Composition (Negative): The largest three industries may comprise up to 57% 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 obligor and geographic concentrations is in line with other recent CLOs. The industry concentration is higher than other recent CLOs but was accounted for in Fitch's stressed analysis. 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 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 74(B), 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. GOODLEAP SUSTAINABLE 2024-1: Fitch Gives BB Rating on Cl. C Notes ----------------------------------------------------------------- Fitch Ratings has assigned GoodLeap Sustainable Home Solutions Trust Series 2024-1 (GoodLeap 2024-1) final ratings. Entity/Debt Rating Prior ----------- ------ ----- GoodLeap Sustainable Home Solutions Trust 2024-1 A LT Asf New Rating A(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BBsf New Rating BB(EXP)sf TRANSACTION SUMMARY The transaction is a securitization of 20-to-25-year consumer loans primarily backed by solar equipment. KEY RATING DRIVERS Performance Assumptions Informed by FICO: Fitch set a weighted average (WA) base case default rate at 9.0%, comprising discrete FICO band-based default rates. Similarly, WA base CPR was set at 6.8% for the first months and 5.2% thereafter. The differentiation of prepayment levels considers the impact of borrowers prepaying to the target balance amount. In contrast, Fitch did not differentiate its recovery assumption by FICO scores and assumed a 25% base case recovery rate. Fitch's rating default rates (RDRs) for 'Asf', 'BBBsf' and 'BBsf' ratings are 27.5%, 20.1% and 13.7%, respectively. Fitch's rating recovery rates (RRRs) are 16.0%, 18.3% and 20.5%, respectively. Rating Sensitive to Small Changes: Slight deviations from Fitch's performance assumptions can have a material rating impact, particularly in certain model scenarios. To ensure robust ratings, Fitch's analysis considers the notes' ability to repay under severe stresses, sensitivities, and the effectiveness of amortization triggers. Turbo Sequential on Trigger Breach: The notes will initially amortize based on target over-collateralization (OC) percentages. Should asset performance deteriorate, additional principal will be paid to cover any defaulted amounts. Then once the cumulative loss trigger is breached, the payment waterfall will switch to "turbo" sequential to the senior class. Standard, Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust Company (A /Negative/F1), and the servicer's lockbox account is with KeyBank National Association (BBB+ /Stable/F2). Commingling risk is mitigated by the daily transfer of collections, high Automated Clearing House (ACH) share at closing and the ratings of KeyBank. Established Lender but New Assets: GoodLeap has grown into one of the largest U.S. solar loan lenders. Underwriting is mostly automated and in line with those of other U.S. ABS originators. Other than the solar lending business, GoodLeap also originates home efficiency loans and mortgages. Some loan servicing is outsourced to Genpact (UK) Limited, the sub-servicer, while GoodLeap has increased its role in direct servicing over time. Servicing disruption risk is further mitigated by the appointment of Vervent, Inc. as the backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Additional performance data that imply annualized default rates (ADRs) in excess of 1.2% or show lower-than-expected prepayment rates may contribute to an Outlook revision to Negative or a downgrade. Material adverse changes in policy support, the economics of purchasing and financing photovoltaic panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also affect the ratings negatively. Fitch ran sensitivities in MACFM; however, given that the recommendation deviated from the MIR, in order to have consistency between the proposed ratings and the sensitivities, and due to model conventions, Fitch used the following sensitivities: Increase of defaults (Class A, B, C) +10%: 'A-' / 'BBB-' / 'BB-' +25%: 'BBB+' / 'BB+' / 'B+' +50%: 'BBB-' / 'BB' / 'B-' Decrease of recoveries (Class A, B,C) -10%: 'A-' / 'BBB' / 'BB' -25%: 'A-' / 'BBB-' / 'BB' -50%: 'BBB+' / 'BBB-' / 'BB-' Increase of defaults/decrease of recoveries (Class A, B, C) +10% / -10%: 'BBB+' / 'BBB-' / 'BB-' +25% / -25%: 'BBB' / 'BB+' / 'B' +50% / -50%: 'BB+' / 'BB-' / 'CCC' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch does not rate solar transactions 'AAAsf' due to limited data history. The rating cap may be lifted should more robust performance data be provided. Positive rating actions may also result from data specific to the level of defaults after the investment tax credit due date, more data on recoveries, and the performance of interest-only loans. Subject to those conditions, good transaction performance, credit enhancement at the target over-collateralization levels and ADRs materially below 1.2% would support an upgrade. Fitch ran sensitivities in MACFM, however, given that the recommendation deviated from the MIR, in order to have consistency between the proposed ratings and the sensitivities, and due to model conventions, Fitch used the following sensitivities: Decrease of defaults (Class A, B, C) -10%: 'A' / 'BBB' / 'BB+' -25%: 'A+' / 'A-' / 'BBB-' -50%: 'AA' / 'AA-' / 'BBB+' Increase of recoveries (Class A, B, C) +10%: 'A' / 'BBB' / 'BB' +25%: 'A' / 'BBB' / 'BB' +50%: 'A' / 'BBB+' / 'BB+' Decrease of defaults/increase of recoveries (Class A, B, C) -10% / +10%: 'A' / 'BBB+' / 'BB+' -25% / +25%: 'AA-' / 'A-' / 'BBB-' -50% / +50%: 'AA+' / 'AA-' / 'A-' CRITERIA VARIATION This analysis includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in the consumer ABS criteria report for new ratings. According to the criteria, the committee can decide to deviate from the MIRs but, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variations for the class B and C notes are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing and tranche size, the ultimate ratings were constrained by sensitivity analysis. 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 Similar to other solar ABS originators, GoodLeap can provide historical information only covering a small share of the whole up to 25-year loan tenor. Fitch applied default and recovery stresses at the high or median-high level of the criteria range. The amortizing nature of the assets and the application of an annual default rate to the static portfolio allowed us to determine lifetime default assumptions. In addition, Fitch considered proxy data from other originators and borrower characteristics (including demographics and fairly high FICO scores) to derive asset assumptions, as envisaged under the Consumer ABS Rating Criteria. Taking into account this analytical approach, the rating committee decided to cap the rating in the 'Asf' rating category. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2015-GS1: Fitch Lowers Rating on Class C Debt to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded nine and affirmed four classes of GS Mortgage Securities Trust 2015-GS1 (GSMS 2015-GS1). In addition, Fitch has assigned a Negative Outlook to six of the downgraded classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2015-GS1 A-2 36252AAB2 LT AAAsf Affirmed AAAsf A-3 36252AAC0 LT AAAsf Affirmed AAAsf A-AB 36252AAD8 LT AAAsf Affirmed AAAsf A-S 36252AAG1 LT Asf Downgrade AAsf B 36252AAH9 LT BBBsf Downgrade BBB+sf C 36252AAK2 LT Bsf Downgrade BBsf D 36252AAL0 LT CCsf Downgrade CCCsf E 36252AAN6 LT Csf Downgrade CCsf F 36252AAQ9 LT Csf Affirmed Csf PEZ 36252AAJ5 LT Bsf Downgrade BBsf X-A 36252AAE6 LT Asf Downgrade AAsf X-B 36252AAF3 LT BBBsf Downgrade BBB+sf X-D 36252AAM8 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 12.0% from 10.3%. The GSMS 2015-GS1 transaction has 10 Fitch Loans of Concern (FLOCs; 46.5% of the pool), including four loans (12.9%) in special servicing. The downgrades on classes A-S, B, C, D, E, PEZ, X-A, X-B, and X-D reflect higher pool loss expectations since the prior rating action driven primarily by three FLOCs including, Glenbrook Square (7.0%), South Plains Mall (9.2%), and Deerfield Crossing (3.8%). The Glenbrook Square and Deerfield Crossing loans are both in special servicing and are reporting appraisal value declines and a downwards trend in performance since issuance. Both loans have receivers in place. South Plains Mall is a super-regional mall located in a tertiary market with upcoming rollover risk and performance that is lagging pre-pandemic levels. The Negative Outlooks on classes A-S, B, C, PEZ, X-A, and X-B reflect an additional sensitivity scenario which considers a higher potential loss and a heightened probability of default on the Element LA loan (9.2%). The Negative Outlook reflects the potential for downgrades due to the uncertainties surrounding the single-tenancy of the Element LA loan. The tenant, Riot Games, has a lease expiration in March 2030, and has been in the news recently regarding layoffs to its global workforce and downsizing at another location. Downgrades are possible if the tenant vacates prior to the loan's maturity in November 2025. Additionally, the Negative Outlooks reflect the pool's high concentration of office loans, comprising 33.2% of the pool, including 15.3% which are office FLOCs. The largest contributor to overall loss expectations is the Glenbrook Square loan, secured by 784,604-sf of a 1,005,604-sf super-regional Mall in Fort Wayne, IN. The loan, which is sponsored by Brookfield Property Partners, transferred to special servicing in July 2020 for payment default. The loan has been periodically brought current on payments through the application of trapped cash throughout 2021 and 2022. According to the special servicer, the property is in receivership (Spinoso Real Estate) as of September 2022, and the receiver has been able to attract new tenants and maintain tenancy. Collateral anchors include Macy's (25% of NRA leased through January 2027) and JCPenney (19%; May 2028). Former collateral anchor Carson's (12.1%) and non-collateral anchor Sears both closed their stores at the property in 2018, and the Sears store has been demolished. Collateral occupancy was 82.3% occupied as of the April 2024 rent roll, compared with 80.7% as of the September 2022, 79.3% in August 2021, 80.4% in December 2020, and 82.3% in March 2019. The servicer-reported NOI DSCR has fallen to 1.14x at YE 2022 from 1.37x at 6/2020 and 1.32x at YE 2019. Fitch's 'Bsf' rating case loss of 74.6% (prior to concentration add-ons) considers a discount to the January 2023 appraisal value and implies a 23% cap rate to the YE 2022 NOI. The second largest contributor to overall loss expectations is the South Plains Mall loan, secured by 992,140-sf portion of a 1,135,840-sf super-regional mall located in Lubbock, TX. The loan is sponsored by the Macerich Company and GIC Realty. Collateral anchors include Dillard's (26% of collateral NRA through April 2024); JCPenney (21%; March 2028); Home Depot (10.4%; December 2040); Premiere Cinemas (16 screens - 6.3%; April 2032), and a non-collateral former Sears (143,700 sf), which closed in late 2018. According to the servicer, Dillard's is still in-place at the property and is on a month-to-month lease, following its lease expiration in April 2024. In addition, the servicer noted that the tenant will be closing its current locations and will be relocating to the former Sear's space at the mall, which is set to happen in fall 2024. The December 2023 rent roll shows 36 leases totaling 29.2% of NRA that are expiring by YE2024, including Dillard's (26% of NRA), which expired in April 2024. An additional 20 leases representing 8.1% of the NRA is set to expire by YE 2025. YE 2023 occupancy was 84% compared with 96% at YE 2022, 84% at YE 2021 and 79% at YE 2020. NOI debt service coverage ratio (DSCR) also increased to 2.00x at YE 2023, compared with 1.87x at YE 2022, 1.69x at YE 2021 and 1.77x at YE 2020. Fitch's 'Bsf' rating case loss of 34.6% (prior to concentration add-ons) reflects an 15.0% cap rate and 15% stress to the YE 2023 NOI. The third largest contributor to overall loss expectations is the Deerfield Crossing loan, secured by a 320,902-sf suburban office property in Mason, OH. The loan transferred to special servicing in September 2023 for imminent monetary default. According to the servicer, foreclosure was filed in November 2023 and a receiver was appointed on January 2024. According to the January 2024 rent roll, the property was 55.3% occupied compared with the March 2023 occupancy summary report, when physical occupancy was 51.8%. The servicer reported occupancy has been declining year-over-year to 61% as of YE 2022 from 82% as of YE 2021, 89% as of YE 2020 and issuance occupancy of 93%. The decline in occupancy is primarily due to Cengage Learning reducing its space as part of a renewal agreement. As part of the 11-year renewal agreement, Cengage reduced its space to 56,011-sf (NRA 17.5%) from 160,069 sf (NRA 49.9%), and included a 50% rent abatement period occurring between January 2022 and January 2024. The tenant subsequently further reduced its a space to 13.5% of the NRA. Near term rollover includes 14.8% in 2024 and 9.8% in 2025. Due to the increased vacancy, YE 2023 NOI has fallen to 0.32x, compared with 0.45x at YE 2022 and 0.96x at YE 2021. The loan's lockbox is active due to a low DSCR not meeting the required threshold. The lockbox was originally activated due to Cengage failing to renew its lease for at least three years by January 2020. Fitch's 'Bsf' rating case loss of 32.3% (prior to concentration add-ons) considers a discount to the October 2023 appraisal value of $24.8 million, which has declined 44% from the issuance appraisal value of $44.2 million. The transaction reflects a sensitivity analysis addressing binary risk of the third largest loan in the pool, Element LA loan, a single-tenant office property located in Los Angeles, CA. The subject is occupied by Riot Games, which utilizes the location as their global headquarters. The loan was identified as a FLOC as the tenant has been in the news recently regarding layoffs to its global workforce and downsizing at another location. The tenant had a lease termination option scheduled for March 2025 with 12 months' notice. According to the servicer, the tenant has not indicated intentions to exercise their termination option and the termination option has subsequently expired, as the tenant did not give notice during the 12 month notice period. The tenant's lease extends through March 2030, beyond the loan's November 2025 maturity date. Fitch's base case 'Bsf' ratings case loss of 3.3% (prior to concentration add-ons) reflects a stress to the most recent cash flow that considers higher submarket vacancy rates and a sensitivity analysis to account for the tenant potentially vacating prior to the loan's maturity. Loan-level sensitivity losses increase to 24.3%, prior to concentration add-ons, with deal losses increasing to 13.9%. Change to Credit Enhancement (CE): As of the May 2024 distribution date, the pool's aggregate balance has been reduced by 7.7% to $757.5 million from $820.6 million at issuance. Ten loans (16.6% of pool) have been defeased. Ten loans (47.2%) are full-term interest-only (IO), and the remaining 52.8% of the pool is amortizing. Interest Shortfalls: As of the May 2024 distribution date, interest shortfalls of about $1.3 million are affecting the non-rated class G in the transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' category rated classes could occur if deal-level expected losses increase significantly, or if interest shortfalls occur. - Downgrades to classes rated in the 'Asf' and 'BBBsf' 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. Loans of particular concern include the Glenbrook Square, South Plains Mall, Deerfield Crossing, and Element LA. - Downgrades to the 'Bsf' category are possible with higher than expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans; - Downgrades to 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, such as Glenbrook Square, South Plains Mall, Deerfield Crossing, and Element LA. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCsf' and 'Csf' 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. JAMESTOWN CLO XV: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2, C, D, and E debt following payment in full on the June 11, 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 debt was 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 was issued at floating spreads, replacing the current fixed coupon and floating spreads. -- The stated maturity was extended to July 2035, and the reinvestment period was extended to July 2027. -- The non-call period was extended to June 2025. -- New class X debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 12 payment dates beginning with the payment date in October 2024. Replacement And Original Debt Issuances Replacement debt -- Class A-1R, $263.5000 million: Three-month CME term SOFR + 1.37% -- Class A-2R, $12.7500 million: Three-month CME term SOFR + 1.70% -- Class B-1R, $31.8750 million: Three-month CME term SOFR + 1.85% -- Class B-2R, $14.8750 million: Three-month CME term SOFR + 2.15% -- Class C-R (deferrable), $25.5000 million: Three-month CME term SOFR + 2.45% -- Class D-R (deferrable), $25.5000 million: Three-month CME term SOFR + 3.85% -- Class E-R (deferrable), $15.5125 million: Three-month CME term SOFR + 7.06% Original debt -- Class A, $256.0000 million: Three-month CME term SOFR + 1.34% + CSA(i) -- Class B-1, $38.0000 million: Three-month CME term SOFR + 1.85% + CSA(i) -- Class B-2, $10.0000 million: 3.26% -- Class C (deferrable), $22.0000 million: Three-month CME term SOFR + 2.45% + CSA(i) -- Class D (deferrable), $22.0000 million: Three-month CME term SOFR + 3.65% + CSA(i) -- Class E (deferrable), $18.0000 million: Three-month CME term SOFR + 7.00% + CSA(i) -- Subordinated notes, $42.0500 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." Ratings Assigned Jamestown CLO XV Ltd./Jamestown CLO XV Corp. Class X, $2.0000 million: AAA (sf) Class A-1R, $263.5000 million: AAA (sf) Class A-2R, $12.7500 million: AAA (sf) Class B-1R, $31.8750 million: AA+ (sf) Class B-2R, $14.8750 million: AA (sf) Class C-R (deferrable), $25.5000 million: A (sf) Class D-R (deferrable), $25.5000 million: BBB- (sf) Class E-R (deferrable), $15.5125 million: BB- (sf) Ratings Withdrawn Jamestown CLO XV Ltd./Jamestown CLO XV Corp. Class A to not rated from 'AAA (sf)' Class B-1 to not rated from 'AA (sf)' Class B-2 to not rated from 'AA (sf)' Class C (deferrable) to not rated from 'A (sf)' Class D (deferrable) to not rated from 'BBB- (sf)' Class E (deferrable) to not rated from 'BB- (sf)' Other Debt Jamestown CLO XV Ltd./Jamestown CLO XV Corp. Subordinated notes, $42.0500 million: Not rated JP MORGAN 2014-C20: Moody's Lowers Rating on Cl. C Certs to B1 -------------------------------------------------------------- Moody's Ratings has affirmed the ratings on two classes and downgraded the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-C20, Commercial Pass-Through Certificates, Series 2014-C20 as follows: Cl. B, Affirmed Baa2 (sf); previously on Jun 21, 2023 Downgraded to Baa2 (sf) Cl. C, Downgraded to B1 (sf); previously on Jun 21, 2023 Downgraded to Ba2 (sf) Cl. X-B*, Affirmed Baa2 (sf); previously on Jun 21, 2023 Downgraded to Baa2 (sf) Cl. EC, Downgraded to Ba3 (sf); previously on Jun 21, 2023 Downgraded to Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl. B was affirmed due to Moody's loan-to-value (LTV) ratio and the expected principal paydowns from the remaining loans in the pool. Cl. B has paid down 71% from its original balance, is now the most senior outstanding class and will benefit from priority of payment for principal proceeds from any future loan paydowns or liquidations. The rating on Cl. C was downgraded due to the increased interest shortfall risk from the significant exposure to specially serviced loans that have passed their original maturity dates. The three specially serviced loans represent 69% of the pool and include 200 West Monroe (28% of the pool), an office building in Chicago CBD, with significant NOI declines in recent years, Lincolnwood Town Center (27% of the pool), which is already REO and has been deemed non-recoverable by the master servicer and Westminster Mall (15% of the pool) which had a negative NOI in 2023 due to occupancy and cash flow declines. Two of three remaining performing loans had a maturity or anticipated repayment date in June 2024 and given loan performance and the higher interest rate environment are not expected to imminently payoff. If the remaining performing loans become delinquent and/or the specially serviced loan performance continues to decline, there may be an increased risk of losses or interest shortfalls on the outstanding classes. The rating on the IO class, Cl. X-B, was affirmed based on the credit quality of its referenced class. The rating on the exchangeable class, Cl. EC, was downgraded due to a decline in the credit quality and paydowns of its referenced exchangeable classes. Cl. EC originally referenced Classes A-S, B and C, however, Cl. A-S has been paid in full and the balance on Cl. B has paid down 71% from its original balance. Moody's rating action reflects a base expected loss of 53.7% of the current pooled balance, compared to 20.7% at Moody's last review. Moody's base expected loss plus realized losses is now 11.3% of the original pooled balance, compared to 11.4% at the last review. 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 can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION 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 analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since approximately 70% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the May 17, 2024 distribution date, the transaction's aggregate certificate balance has decreased by 81.3% to $166 million from $878 million at securitization. The certificates are collateralized by six mortgage loans. Three loans (69% of the pool) are currently in special servicing and two performing loans (26% of the pool) either have an anticipated repayment date or maturity date in June 2024. As of the May 2024 remittance statement cumulative interest shortfalls were $7.1 million and impacted up to Cl. D. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $7.9 million (for a loss severity of 42%). The largest specially serviced loan is the 200 West Monroe Loan ($46.0 million – 28.0% of the pool), which represents a pari passu portion of $68.9 million mortgage loan. The loan is secured by an approximately 536,000 square feet (SF) portion of a 649,200 SF, Class B, office building located in Chicago, Illinois. The loan transferred to the special servicer in February 2024 due to the monetary default after three consecutive years of the reported NOI DSCR being below 1.0X. As of March 2024, the property was 62% occupied, compared to 68% in December 2023 and 84% at securitization. As a result of a decrease in occupancy, both the revenue and NOI of the property have significantly declined in recent years and the year-end 2023 NOI was down 42% year over year and was 70% below the NOI in 2014. As of the May 2024 remittance statement, the loan was more than 90 days delinquent and last paid through its December 2023 payment date. Special servicer commentary indicates the borrower has been unwilling to fund the shortfalls at this time and is expected to deliver a modification proposal. As of the May 2024 remittance statement the loan has accrued $3.8 million in servicer advances. The second largest specially serviced loan is the Lincolnwood Town Center Loan ($44.5 million – 27.1% of the pool), which is secured by an enclosed regional mall in Lincolnwood, Illinois. The mall is located approximately 13 miles north of the Chicago CBD. The mall is not the dominant mall in its trade area and faces competition from three malls within 10 miles. The mall is anchored by Kohl's and The RoomPlace, which was formerly a Carson Pirie Scott. The loan transferred to special servicing in May 2020 due to the imminent monetary default and became REO in August 2021. As of March 2024, collateral occupancy was 84%, compared to 81% in December 2022 and 96% at securitization. Property performance has declined annually since 2017 and the reported NOI in December 2022 was negative. An updated appraised value from April 2023 represented an 83% decline from its value at securitization and was 66% below the outstanding loan amount. The loan reported $3.2 million of loan advances and has been deemed non-recoverable by the master servicer. The third specially serviced loan is the Westminster Mall Loan ($24.3 million – 14.8% of the pool), which represents a pari passu portion of $68.9 million mortgage loan. The loan is secured by an approximately 771,800 SF of a 1.4 million SF regional mall located in Westminster, California. The two largest collateral anchors, Target (23% of NRA) and J.C. Penney (20% of NRA), own their own improvements and ground lease the land from the borrower. The property's performance has consistently declined since 2014 primarily due to significant declines in rental revenue. The loan transferred to special servicing in February 2024 for imminent monetary default after reporting an NOI DSCR below 0.50X since 2021. Based on the May 2024 remittance report, the loan was classified as non-performing maturity balance and was paid through its April 2024 payment date. Special servicer commentary indicates the property is under contract to be sold and the special servicer is working with the borrower on a short-term forbearance/extension in order to successfully close the sale. Three non-special servicing loans represent 30% of the pool balance. The largest non-special servicing loan is the 109 Prince Street Loan ($30.8 million – 18.8% of the pool), which is a mixed use (office/retail) property located in Soho - Cast Iron Historic District of New York, NY. The building was built with a French Renaissance design in 1882 and restored in 1994. As of December 2023, the property was 100% leased and has remained fully occupied since securitization. The collateral is 94% leased by Polo New York (9,881 SF/ 74.2% of NRA), which occupies the entirety of the retail space. The loan has an anticipated repayment date (ARD) in June 2024 and a final maturity date in January 2026. The loan has had stable performance, however, due to the near term tenant concentration risk Moody's do not anticipate this loan to imminently payoff. The loan has amortized 12.0% since securitization and Moody's LTV and stressed DSCR are 114% and 0.81X, respectively. The second largest non-special servicing loan is the Pinnacle at Encino Commons Loan ($11.7 million – 7.1% of the pool), which is a 99,893 SF retail center built in 2008-2009 and located approximately 15 miles north of downtown San Antonio, TX. The loan previously transferred to special servicer in June 2020 after its original largest tenant Golds Gym (50% of the total NRA) closed in June 2020, however, it returned to the master servicer in December 2021 after LA Fitness took over the original Gold Gym's space. As of the December 2023 rent roll, the property was 94% leased. The loan has amortized 13% since securitization and Moody's LTV and stressed DSCR are 139% and 0.72X, respectively. The third non-special servicing loan is the Madison Place Loan ($6.7 million – 4.1% of the pool), which is a 235,502 SF retail shopping center consisting of four single-story buildings, located in Madison Heights, MI. The loan is a 15-year fully amortizing loan with a maturity date of June 2029. As of December 2022, the property was 92% leased and the property's NOI has gradually improved since securitization. The loan has amortized 58% since securitization and Moody's LTV and stressed DSCR are 34% and 3.38X, respectively. LEHMAN XS 2007-15N: Moody's Hikes Rating on 2 Tranches to Ca ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of three bonds and downgraded the rating of one bond issued by Lehman XS Trust Series 2007-15N. The collateral backing this deal consists of option ARM mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. Issuer: Lehman XS Trust Series 2007-15N Cl. 1-A1, Upgraded to Caa1 (sf); previously on Dec 22, 2016 Upgraded to Caa2 (sf) Cl. 1C-A1, Downgraded to B1 (sf); previously on May 31, 2019 Upgraded to Ba3 (sf) Cl. 1C-A2, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) Cl. AF2, Upgraded to Ca (sf); previously on Oct 22, 2010 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades reflect the credit enhancement available to the bonds, and the improved performance for the deal as indicated by the key metrics observed. The rating downgrade is primarily due to a deterioration in collateral performance. Each of the bonds in this review are currently impaired or Moody's believe there is a possibility they will become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in this deal because the 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 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. MCR MORTGAGE 2024-TWA: Moody's Assigns B3 Rating to Cl. F Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by MCR 2024-TWA Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2024-TWA: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. X-A*, Definitive Rating Assigned Aa1 (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage collateralized by the borrower's sub-leasehold interest in the TWA Hotel, a full-service hotel, located onsite at John F. Kennedy International Airport ("JFK Airport") in Jamaica, NY. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The TWA Hotel is a 512-guestroom, full-service, LEED Gold certified hotel located onsite and directly connected to Terminal 5 at JFK Airport. The property was originally developed as the TWA Flight Center in 1962 and was redeveloped into the subject hotel 2019. The TWA Hotel was designed to combine the retro aspects of the 1960s style ambiance with contemporary amenities and finishes. Hotel features include approximately 50,000 SF of meeting space, six food and beverage venues, an outdoor rooftop infinity pool, fitness center and sundries shop. Since opening in 2019, the TWA Hotel has received numerous awards including Forbes' Best Hotel Opening of 2019, The Best Architecture of 2019 by The Wall Street Journal and best airport hotel in North America by Skytrax in 2024. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization 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. The Moody's first mortgage actual DSCR is 0.97X and Moody's first mortgage actual stressed DSCR is 0.85X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $290,000,000 represents a Moody's LTV of 127.4%. Moody's LTV ratio is based on Moody's value. Moody's did not adjust Moody's value to reflect the current interest rate environment as part of Moody's analysis for this transaction. Moody's also grade properties on a scale of 0 to 5 (best to worst) and 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's property quality grade is 1.50. Positive features of the transaction include the location, future demand, asset quality, net cash flow margins and sponsorship. Offsetting these strengths are the dependence on a single demand driver, limited operating history, lack of collateral diversification, interest-only loan profile, low debt service coverage, performance volatility inherent within the hotel sector, 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 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. NEUBERGER BERMAN 27: Fitch Gives BB-(EXP) Rating on Cl. E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 27, Ltd. Reset transaction. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 27, LTD. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Neuberger Berman Loan Advisers CLO 27, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers LLC that originally closed in March 2018. The CLO's secured notes will be refinanced on July 15, 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 $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 25.52, versus a maximum covenant, in accordance with the initial expected matrix point of 25.6. 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 98.91% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.58% versus a minimum covenant, in accordance with the initial expected matrix point of 75.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 44% 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 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-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'A-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 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and between 'BBB+sf' and 'BBsf' 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 Neuberger Berman Loan Advisors CLO 27, 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. NEUBERGER BERMAN XVII: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman CLO XVII, Ltd.'s reset transaction. Entity/Debt Rating ----------- ------ Neuberger Berman CLO XVII, Ltd. A-R3 LT NRsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1R3 LT BBB-sf New Rating D-2R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Neuberger Berman CLO XVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Investment Advisers LLC. The transaction originally closed in July 2014 and was refinanced in May 2017 (First Refinancing Date) and in February 2020 (Second Refinancing Date). On June 13, 2024 (Closing Date), the CLO will refinance the secured notes issued on the second refinancing date with net proceeds from the issuance of new secured and additional subordinated notes (in addition to the existing subordinated notes), which 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 25.47, versus a maximum covenant, in accordance with the initial expected matrix point of 26.00. 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 94.37% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.75% versus a minimum covenant, in accordance with the initial expected matrix point of 71.65%. 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 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1R3, between less than 'B-sf' and 'BB+sf' for class D-2R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, 'A+sf' for class D-1R3, 'A-sf' for class D-2R3, and 'BBB+sf' for class E-R3. Key Rating Drivers and Rating Sensitivities are further described in the new issue report. 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 Neuberger Berman CLO XVII, 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. NEW RESIDENTIAL 2017-4: Moody's Raises Rating on 7 Tranches to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 216 bonds issued by New Residential Mortgage Loan Trust between 2015 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers and Nationstar Mortgage LLC is the master servicer for all deals. 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: New Residential Mortgage Loan Trust 2015-1 Cl. B-2, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B2-IO*, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A1 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Issuer: New Residential Mortgage Loan Trust 2015-2 Cl. B-1, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B1-IO*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B2-IO*, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa1 (sf); previously on Aug 24, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A3 (sf) Cl. B-5, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2016-1 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B1-IO*, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B2-IO*, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Aug 24, 2023 Upgraded to Ba3 (sf) Issuer: New Residential Mortgage Loan Trust 2016-2 Cl. A-2, Upgraded to Aaa (sf); previously on May 31, 2016 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B1-IO*, Upgraded to Aaa (sf); previously on Mar 9, 2022 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B2-IO*, Upgraded to Aa1 (sf); previously on Mar 9, 2022 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Aug 24, 2023 Upgraded to Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2016-3 Cl. A-2, Upgraded to Aaa (sf); previously on Sep 29, 2016 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B1-IO*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B1-IOA*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B1-IOB*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B1-IOC*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B2-IO*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B2-IOA*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B2-IOB*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B2-IOC*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B3-IOA*, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B3-IOB*, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B3-IOC*, Upgraded to A1 (sf); previously on Mar 9, 2022 Upgraded to A3 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Mar 9, 2022 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Mar 9, 2022 Upgraded to Ba3 (sf) Issuer: New Residential Mortgage Loan Trust 2017-4 Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IOA*, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IOB*, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IOC*, Upgraded to Aa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2B, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2C, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2-IOA*, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2-IOB*, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-2-IOC*, Upgraded to A1 (sf); previously on Mar 18, 2019 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-3A, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-3B, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-3C, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IOA*, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IOB*, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-3-IOC*, Upgraded to Baa1 (sf); previously on Jun 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-4A, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-4B, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-4C, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-4-IOA*, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-4-IOB*, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-4-IOC*, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-7, Upgraded to B2 (sf); previously on Sep 28, 2020 Downgraded to B3 (sf) Issuer: New Residential Mortgage Loan Trust 2017-5 Cl. A-3, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. A-6, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-IO*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa2 (sf) Cl. B2-IO*, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B-3A, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B-3B, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B-3C, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B3-IOA*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B3-IOB*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B3-IOC*, Upgraded to Aa1 (sf); previously on Jan 22, 2020 Upgraded to A2 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Sep 28, 2020 Downgraded to Baa2 (sf) Cl. B-4A, Upgraded to Aa2 (sf); previously on Sep 28, 2020 Downgraded to Baa2 (sf) Cl. B-4B, Upgraded to Aa2 (sf); previously on Sep 28, 2020 Downgraded to Baa2 (sf) Cl. B4-IOA*, Upgraded to Aa2 (sf); previously on Sep 28, 2020 Downgraded to Baa2 (sf) Cl. B4-IOB*, Upgraded to Aa2 (sf); previously on Sep 28, 2020 Downgraded to Baa2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Sep 28, 2020 Downgraded to Ba2 (sf) Cl. B-5A, Upgraded to A3 (sf); previously on Sep 28, 2020 Downgraded to Ba2 (sf) Cl. B-5B, Upgraded to A3 (sf); previously on Sep 28, 2020 Downgraded to Ba2 (sf) Cl. B5-IOA*, Upgraded to A3 (sf); previously on Sep 28, 2020 Downgraded to Ba2 (sf) Cl. B5-IOB*, Upgraded to A3 (sf); previously on Sep 28, 2020 Downgraded to Ba2 (sf) Cl. IO*, Upgraded to Aaa (sf); previously on Jul 31, 2017 Definitive Rating Assigned Aa1 (sf) Issuer: New Residential Mortgage Loan Trust 2017-6 Class A-2, Upgraded to Aaa (sf); previously on Oct 13, 2017 Definitive Rating Assigned Aa1 (sf) Class B-1, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Class B-1A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Class B-1B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Class B-1C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Class B-2, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Class B-2A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Class B-2B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Class B-2C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Class B-3, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Class B-3A, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Class B-3B, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Class B-3C, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Class B-4, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Class B-4A, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Class B-4B, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Class B-4C, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Class B-5, Upgraded to Baa1 (sf); previously on Aug 24, 2023 Upgraded to Ba2 (sf) Class B-5A, Upgraded to Baa1 (sf); previously on Aug 24, 2023 Upgraded to Ba2 (sf) Class B-5B, Upgraded to Baa1 (sf); previously on Aug 24, 2023 Upgraded to Ba2 (sf) Class B-5C, Upgraded to Baa1 (sf); previously on Aug 24, 2023 Upgraded to Ba2 (sf) Class B-5D, Upgraded to Baa1 (sf); previously on Aug 24, 2023 Upgraded to Ba2 (sf) Class B-7, Upgraded to A3 (sf); previously on Aug 24, 2023 Upgraded to Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2018-2 Cl. B-2, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3D, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4A, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4B, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4C, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A1 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-5A, Upgraded to A1 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-5B, Upgraded to A1 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-5C, Upgraded to A1 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-5D, Upgraded to A1 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-7, Upgraded to Aa3 (sf); previously on Aug 24, 2023 Upgraded to Baa1 (sf) Issuer: New Residential Mortgage Loan Trust 2018-4 Cl. A-4, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-4A, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-4B, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-4C, Upgraded to A2 (sf); previously on Aug 24, 2023 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on Aug 24, 2023 Upgraded to B2 (sf) Cl. B-5A, Upgraded to Baa2 (sf); previously on Aug 24, 2023 Upgraded to B2 (sf) Cl. B-5B, Upgraded to Baa2 (sf); previously on Aug 24, 2023 Upgraded to B2 (sf) Cl. B-5C, Upgraded to Baa2 (sf); previously on Aug 24, 2023 Upgraded to B2 (sf) Cl. B-5D, Upgraded to Baa2 (sf); previously on Aug 24, 2023 Upgraded to B2 (sf) Cl. B-7, Upgraded to Baa2 (sf); previously on Aug 24, 2023 Upgraded to B1 (sf) Issuer: New Residential Mortgage Loan Trust 2018-5 Cl. B-3, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3A, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3B, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3C, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-3D, Upgraded to Aaa (sf); previously on Aug 24, 2023 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Aa1 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4A, Upgraded to Aa1 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4B, Upgraded to Aa1 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-4C, Upgraded to Aa1 (sf); previously on Aug 24, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Baa1 (sf) Cl. B-5A, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Baa1 (sf) Cl. B-5B, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Baa1 (sf) Cl. B-5C, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Baa1 (sf) Cl. B-5D, Upgraded to Aa2 (sf); previously on Mar 9, 2022 Upgraded to Baa1 (sf) Cl. B-7, Upgraded to Aa2 (sf); previously on Aug 24, 2023 Upgraded to A3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-3 Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aa1 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2B, Upgraded to Aa3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2C, Upgraded to Aa3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2D, Upgraded to Aa3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3B, Upgraded to A3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3C, Upgraded to A3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3D, Upgraded to A3 (sf); previously on Jul 12, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4A, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4B, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4C, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Cl. B-5A, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Cl. B-5B, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Cl. B-5C, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Cl. B-5D, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at B1 (sf) Cl. B-7, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement of 8.8%, on average, for the bonds Moody's upgraded since last review. The loans underlying the pools have fewer delinquencies and have prepaid at a faster rate than originally anticipated, resulting in an improvement of approximately 10%, on average, in Moody's loss projections for the pools since Moody's last review (link above provides Moody's current estimates). 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, 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 methodologies used in rating all classes except interest-only classes were "Non-performing and Re-performing Loan Securitizations" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OAKTREE CLO 2019-4: 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 and 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. At the same time, S&P withdrew its ratings on the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E debt following payment in full on the June 18, 2024, refinancing date. The replacement debt will be issued via a 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 20 payment dates beginning with the payment date on Oct. 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) -- Class E, $30.00 million: Three-month CME term SOFR + 7.23% + 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." 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) Ratings Withdrawn Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Class A-1-R to NR from 'AAA (sf)' Class A-2-R (deferrable) to NR from 'AAA (sf)' Class B-R (deferrable) to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-1-R (deferrable) to NR from 'BBB+ (sf)' Class D-2-R (deferrable) to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Subordinated notes, $64.75 million: NR NR--Not rated. OAKTREE CLO 2019-4: S&P Assigns Prelim BB-(sf) Rating on ERR 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 our 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 its 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 20 payment dates beginning with the payment date on Oct. 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) -- Class E, $30.00 million: Three-month CME term SOFR + 7.23% + 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 OMI TRUST 2000-A: S&P Lowers Class A-4/A-5 Certs Rating to 'D(sf)' ------------------------------------------------------------------ S&P Global Ratings completed its review of four ratings from three U.S. manufactured housing ABS transactions issued by OMI Trust 2000-A and 2000-D and Oakwood Mortgage Investors Inc.'s series 1998-B. The review resulted in the ratings on OMI Trust 2000-A's class A-4 and A-5 and OMI Trust 2000-D's class A-4 certificates to be lowered to 'D (sf)' from 'CC (sf)'. Additionally, S&P lowered its rating on Oakwood Mortgage Investors Inc. series 1998-B's class M-1 certificates to 'D (sf)' from 'CCC- (sf)'. S&P subsequently withdrew its ratings on the four classes. The transactions are U.S. ABS transactions backed by manufactured housing loans. The downgrades on the A-4 and A-5 certificates from OMI Trust 2000-A and the A-4 certificates from OMI Trust 2000-D follow the transactions' failures to make timely interest payments for 12 consecutive months. The downgrade on the class M-1 certificates from Oakwood Mortgage Investors Inc.'s series 1998-B followed the transaction's failure to make the full principal payment on the certificates' final scheduled distribution date on May 15, 2024. ORION CLO 2024-3: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Orion CLO 2024-3 Ltd./Orion 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 Antares Liquid Credit Strategies LLC, an affiliate of Antares Capital Advisers LLC, and a subsidiary of Antares Holdings L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC Class A, $246.00 million: AAA (sf) Class B, $58.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $39.95 million: Not rated OZLM LTD XI: Moody's Affirms B1 Rating on $26.2MM Class D-R Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by OZLM XI, Ltd.: US$24.6M Class B-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 29, 2024 Upgraded to Aa1 (sf) US$33M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Feb 29, 2024 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$332.3M (Current outstanding amount USD85,856,137) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 18, 2017 Assigned Aaa (sf) US$66M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 29, 2024 Upgraded to Aaa (sf) US$26.2M Class D-R Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Aug 13, 2020 Downgraded to B1 (sf) US$10.5M Class E-R Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Feb 29, 2024 Downgraded to Caa3 (sf) OZLM XI, Ltd., originally issued in March 2015 and refinanced in August 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sculptor CLO Management LLC. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class B-R and C-R notes are primarily a result of the significant deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since the last rating action in February 2024. The A-1-R notes have paid down by approximately 37.3% or USD 51.0 million since the last rating action in February 2024 and USD246.4 million (74.2%) since closing. Additionally, Moody's note that there is a principal proceeds balance of USD 30.4 million as of May 2024 [1]. 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 165.2%, 142.2%, 119.8% and 106.5% compared to February 2024 [2] levels of 150.7%, 134.4%, 117.4% and 106.6%, respectively. The affirmations on the ratings on the Class A-1-R, A-2-R, D-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's use in Moody's 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 Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD253.2m Defaulted Securities: USD1.9m Diversity Score: 57 Weighted Average Rating Factor (WARF): 2819 Weighted Average Life (WAL): 3.4 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.2% Weighted Average Recovery Rate (WARR): 46.4% 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 incorporate 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 assume 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. PALMER SQUARE 2021-2: Moody's Affirms Ba3 Rating on $7MM E Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2021-2, Ltd.: US$42M Class B Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 14, 2023 Upgraded to Aa1 (sf) US$24.5M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Dec 14, 2023 Upgraded to A3 (sf) Moody's has also affirmed the ratings on the following notes: US$476M (Current outstanding amount US$104,132,906) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 21, 2021 Definitive Rating Assigned Aaa (sf) US$84M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 18, 2022 Upgraded to Aaa (sf) US$24.5M Class D Senior Secured Deferrable Floating Rate Notes, Affirmed Ba1 (sf); previously on Dec 14, 2023 Upgraded to Ba1 (sf) US$7M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jul 18, 2022 Upgraded to Ba3 (sf) Palmer Square Loan Funding 2021-2, Ltd., issued in April 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 B and Class C notes are primarily a result of the significant deleveraging of the Class A-1 notes following amortisation of the underlying portfolio since the last rating action in December 2023. The affirmations on the ratings on the Class A-1, A-2, 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 Class A-1 notes have paid down by approximately USD106.1 million (22.3%) since the last rating action in December 2023 and USD371.9 million (78.1%) 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 155.4%, 132.2%, 121.6% and 112.6% compared to December 2023[2] levels of 146.4%, 128.1%, 119.4% and 111.8%, respectively. Moody's notes that the May 2023 principal payments are not reflected in the reported OC ratios. 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: USD320,479,610.5 Defaulted Securities: USD2,375,190.79 Diversity Score: 54 Weighted Average Rating Factor (WARF): 2809 Weighted Average Life (WAL): 3.24 years Weighted Average Spread (WAS) (before accounting for floors): 3.33% Weighted Average Recovery Rate (WARR): 47.53% 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 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 servicer 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 servicer'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 servicer'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. PALMER SQUARE 2024-3: Moody's Assigns Ba2 Rating to $35MM D Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of notes issued and one class of loans incurred by Palmer Square Loan Funding 2024-3, Ltd. (the "Issuer" or "Palmer Square 2024-3"). Moody's rating action is as follows: US$420,000,000 Class A-1 Loans maturing 2032, Assigned Aaa (sf) US$260,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032, Assigned Aaa (sf) US$120,000,000 Class A-2 Senior Secured Floating Rate Notes due 2032, Assigned Aa1 (sf) US$60,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2032, Assigned A2 (sf) US$35,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032, Assigned Baa3 (sf) US$35,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032, Assigned Ba2 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt ". 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. Palmer Square 2024-3 is a static cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. The portfolio is 100% ramped as of the closing date. Palmer Square Capital Management LLC (the "Servicer") may engage in disposition of the assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sale and unscheduled principal proceeds received will be used to amortize the debt in sequential order. In addition to the Rated Debt, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. 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. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $1,000,000,000 Diversity Score: 88 Weighted Average Rating Factor (WARF): 2432 Weighted Average Spread (WAS): 3.36% (actual spread vector of the portfolio) Weighted Average Coupon (WAC): 3.99% (actual coupon vector of the portfolio) Weighted Average Recovery Rate (WARR): 46.76% Weighted Average Life (WAL): 4.95 years (actual amortization vector of the portfolio) 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 Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Servicer's investment decisions and management of the transaction will also affect the performance of the Rated Debt. RCKT MORTGAGE 2024-INV1: Moody's Gives B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 46 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aa1 (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L and Class A-2L loans, assigned on June 11, 2024, because the issuer will not be issuing these 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. SANTANDER BANK 2024-A: Moody's Assigns (P)B3 Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the Santander Bank Auto Credit-Linked Notes, Series 2024-A (SBCLN 2024-A) notes to be issued by Santander Bank, N.A. (SBNA). SBCLN 2024-A is the first credit linked notes transaction issued by SBNA in 2024 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank, N.A. Series: Santander Bank Auto Credit-Linked Notes, Series 2024-A Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa3 (sf) Class C Notes, Assigned (P)A3 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (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 Santander Bank, N.A. or as a result of a FDIC conservator or receivership. This deal is unique in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or P-1 by Moody's. SBNA will pay principal in the unlikely event that the cash collateral account does not have enough funds. The transaction also benefits from a Letter of Credit 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 Santander Bank, N.A. (Baa1). 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 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 and expertise of Santander Consumer USA Inc. as the servicer. Moody's median cumulative net loss expectation for the 2024-A reference pool is 3.00% and a loss at a Aaa stress of 12.50%. The median cumulative net loss at 3.00% for 2024-A is same as that assigned for 2023-B and the loss at a Aaa stress at 12.50% for 2024-A is 0.50% higher than that assigned for 2023-B, the last transaction Moody's rated. 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 Santander Consumer USA Inc. 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 benefit 12.95%, 11.50%, 9.50%, 7.75%, 6.50%, and 4.25% 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. SEQUOIA MORTGAGE 2024-6: Fitch Assigns BB-(EXP) Rating on B4 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2024-6 (SEMT 2024-6). Entity/Debt Rating ----------- ------ SEMT 2024-6 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 452 loans with a total balance of approximately $509.4 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 452 loans totaling approximately $509.4 million and seasoned at approximately three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 773 and 34.8% debt-to-income (DTI) ratio, and moderate leverage, with an 82.0% sustainable loan-to-value (sLTV) ratio, and 72.7% mark-to-market combined LTV (cLTV) ratio. Overall, the pool consists of 92.5% in loans where the borrower maintains a primary residence, while 7.5% are of a second home; 69.0% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.0% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, which remained unchanged since the prior quarter). Home prices had increased 5.5% yoy nationally as of February 2024, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent: a stop-advance loan. Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps to limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.2% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and AMC. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% reduction in its loss analysis. This adjustment(s) resulted in a 17bp reduction to the 'AAA' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on about 93.4% of the pool by loan count. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." Clayton and AMC were engaged to perform the review. Loans reviewed under this engagement were given credit, compliance and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for further details. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5-designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS SEMT 2024-6 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-6 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SLM STUDENT 2012-7: Fitch Affirms B Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has affirmed the ratings on the outstanding notes of SLM Student Loan Trust (SLM) 2012-1, 2012-2, 2012-6, and 2012-7. The Rating Outlooks for the notes of SLM 2012-1 and 2012-2 remain Stable, while the Outlooks for the outstanding notes of SLM 2012-6 and 2012-7 have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2012-1 A-3 78446WAC1 LT Bsf Affirmed Bsf B 78446WAD9 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-7 A-3 78447KAC6 LT Bsf Affirmed Bsf B 78447KAD4 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-6 A-3 78447GAC5 LT Bsf Affirmed Bsf B 78447GAD3 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-2 A 78446YAA1 LT Bsf Affirmed Bsf B 78446YAB9 LT Bsf Affirmed Bsf TRANSACTION SUMMARY SLM 2012-1 and SLM 2012-2: The outstanding class A notes miss their legal final maturity dates of September 25, 2028 and January 25, 2029 for SLM 2012-1 and 2012-2, respectively, under Fitch's credit and maturity stresses. If the class A notes miss their legal final maturity date, this would constitute an event of default on the transaction's indenture, which would result in diversion of interest from the class B notes to pay class A notes until the class A notes are paid in full. This would cause an event of default for the class B notes. All classes from these transactions are eventually paid in full under Fitch's stressed, 'Bsf', cashflow analysis. In affirming the ratings at 'Bsf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the time horizon until the class A maturity dates, current rate of amortization, the revolving credit agreements available to the trusts and the eventual full payment of principal in modeling. The Outlooks remain Stable. SLM 2012-6 and SLM 2012-7: The outstanding class A notes miss their legal final maturity date of May 26, 2026 under both credit and maturity stresses in Fitch's cashflow modelling. If the class A notes miss their legal final maturity date, this constitutes an event of default on the transaction's indenture, which would result in diversion of interest from the class B notes to pay class A notes until the class A notes are paid in full. This would cause an event of default for the class B notes. All classes from these transactions are eventually paid in full under Fitch's stressed, 'Bsf', cashflow analysis. The legal final maturity date of the class A notes for both transactions is less than two years away in May 2026. The repayment of this class by its legal final maturity date is unlikely for either transaction under Fitch's maturity stress scenarios without an extension of the legal final maturity date or without support from the sponsor. Currently, there are no active consent solicitations for a maturity date extension for these transactions. The trusts have entered into a revolving credit agreement with Navient by which they may borrow funds at maturity in order to pay off the notes. Fitch decreased the qualitative credit to the revolving credit agreement available to the trust, affirmed the ratings at 'Bsf' and revised the Rating Outlooks for the outstanding notes to Negative from Stable, reflective of the possibility of negative rating pressure due to the decreasing time period to the legal final maturity of the class A notes. If this revolving credit facility is utilized, it will result in positive rating pressure to these ratings. The sustainable constant default rate (sCDR) assumption was increased to 7.00% from 4.50% for SLM 2012-1, to 6.50% from 4.00% for 2012-2, to 6.00% from 4.00% for 2012-6 and to 6.50% from 5.00% for 2012-7. An increase in the trend of defaults that represent higher long-term trends for the transactions is the key factor in the changes to sustainable assumptions. In addition, the sustainable constant prepayment rate (sCPR) assumption was increased to 12.00% from 11.00% for SLM 2012-1, to 11.00% from 10.50% for 2012-2 and to 10.50% from 10.00% for SLM 2012-7 as prepayments, including from loan consolidation, remain higher than expectations and historical levels for these transactions. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is 'AA+'/Outlook Stable. Collateral Performance: For all transactions, Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, the increase in sCDR levels for these transactions is due to an increase in transaction-specific defaults above historic levels, while the increase in sCPR levels is due to prepayments, including from loan consolidation, remaining high despite the end of the Public Service Loan Forgiveness waiver in October 2022. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. SLM 2012-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 48.50% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is 99.58% in the 'AA' case. Fitch is revising the sustainable constant default rate (sCDR) upwards to 7.00% from 4.50% along with revising the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) upwards to 12.00% from 11.00% in cash flow modeling. The trailing-twelve-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 6.38% (5.87% at April 30, 2023), 18.94% (20.25%) and 25.57% (22.28%). These assumptions are the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have decreased and are currently 5.62% for 31 DPD and 2.34% for 91 DPD compared to 5.82% and 2.74% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.03%, based on information provided by the sponsor. SLM 2012-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 48.75% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is 99.75% in the 'AA' case. Fitch is revising the sCDR upwards to 6.50% from 4.00% along with revising the sCPR upwards to 11.00% from 10.50% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 5.86% (5.77% at April 30, 2023), 17.83% (18.86%) and 28.56% (23.99%). These assumptions are the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have decreased and are currently 5.46% for 31 DPD and 2.23% for 91 DPD compared to 6.40% and 2.70% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.03%, based on information provided by the sponsor. SLM 2012-6: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 43.50% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is 99.70% in the 'AA' case. Fitch is revising the sCDR upwards to 6.00% from 4.00% and maintaining the sCPR of 11.50% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 5.52% (5.29% at April 30, 2023), 16.72% (17.34%) and 29.11% (25.63%). These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have remained flat and are currently 5.51% for 31 DPD and 2.33% for 91 DPD compared to 5.32% and 2.32% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.07%, based on information provided by the sponsor. SLM 2012-7: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 50.75% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is 99.87% in the 'AA' case. Fitch is revising the sCDR upwards to 6.50% from 5.00% along with revising the sCPR upwards to 10.50% from 10.00% in cash flow modeling. The TTM levels of deferment, forbearance, and IBR are 5.77% (5.73% at April 30, 2023), 19.79% (18.86%) and 27.38% (23.92%). These assumptions are the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have decreased and are currently 6.37% for 31 DPD and 2.22% for 91 DPD compared to 6.55% and 2.31% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.04%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent collection period, approximately 99.90%, 100.00%, 99.53% and 99.86% of the student loans in SLM 2012-1, 2012-2, 2012-6, and 2012-7, respectively, are indexed to SOFR, while the remainder are indexed to the 91-day T-bill rate. All of the outstanding notes in SLM 2012-1, 2012-2, 2012-6 and 2012-7 are indexed to 30-day Average SOFR plus the spread adjustment of 0.11448%. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization (OC), and for the class A notes, subordination provided by the class B notes. As of the most recent collection period, reported total parity is 101.29%, 101.27%, 101.01% and 101.01% for SLM 2012-1, 2012-2, 2012-6 and 2012-7, respectively. Liquidity support is provided by reserve accounts sized at their floors of $764,728, $821,986, $1,247,589 and $1,248,784 for SLM 2012-1, 2012-2, 2012-6 and 2012-7, respectively. As of the latest collection period, SLM 2012-1 is not releasing cash, while SLM 2012-2, 2012-6 and 2012-7 are releasing cash. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. SLM Student Loan Trust 2012-1 Current Ratings: class A-3 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-3 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2012-2 Current Ratings: class A 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2012-6 Current Ratings: class A-3 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-3 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2012-7 Current Ratings: class A-3 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-3 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2012-1, 2012-2, 2012-6 and 2012-7 The current ratings are most sensitive to Fitch's maturity risk scenario. An extension of the legal final maturity date of the A notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling, would result in upward rating pressure. Additional secondary factors that may lead to a positive rating action are: material increases in the payment rate and/or a material reduction in the weighted average remaining loan term. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOUND POINT 39: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Sound Point CLO 39, Ltd. Entity/Debt Rating ----------- ------ Sound Point CLO 39 Ltd. A1 LT NR(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D1 LT BBB(EXP)sf Expected Rating D2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Sound Point CLO 39, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.3, versus a maximum covenant, in accordance with the initial expected matrix point of 25.3. 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 97.49% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.44% versus a minimum covenant, in accordance with the initial expected matrix point of 70.8%. 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 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D1, between less than 'B-sf' and 'BB+sf' for class D2, 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 A2 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 D1, 'A-sf' for class D2, 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 Sound Point CLO 39, 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. SYMPHONY CLO 44: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Symphony CLO 44, Ltd. Entity/Debt Rating ----------- ------ Symphony CLO 44, Ltd. A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C-1 LT A+(EXP)sf Expected Rating C-2 LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Symphony CLO 44, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25, versus a maximum covenant, in accordance with the initial expected matrix point of 26.44. 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 75.36% versus a minimum covenant, in accordance with the initial expected matrix point of 72.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C-1, between 'B+sf' and 'BBB+sf' for class C-2, 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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C-1, 'AAsf' for class C-2, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Symphony CLO 44, 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. SYMPHONY CLO XVIII: Moody's Cuts Rating on $22.5MM E-R Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Symphony CLO XVIII, Ltd.: US$45,000,000 Class B-R Senior Floating Rate Notes due 2033 (the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-1 Floating Rate MASCOT Notes due 2033 (the "Class B-1 Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-1X Interest Only Notes* due 2033 (the "Class B-1X Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-2 Floating Rate MASCOT Notes due 2033 (the "Class B-2 Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-2X Interest Only Notes* due 2033 (the "Class B-2X Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-3 Floating Rate MASCOT Notes due 2033 (the "Class B-3 Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-3X Interest Only Notes* due 2033 (the "Class B-3X Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-4 Floating Rate MASCOT Notes due 2033 (the "Class B-4 Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Up to US$45,000,000 Class B-4X Interest Only Notes* due 2033 (the "Class B-4X Notes"), Upgraded to Aa1 (sf); previously on June 28, 2021 Assigned Aa2 (sf) Moody's has also downgraded the ratings on the following notes: US$22,500,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on June 28, 2021 Assigned Ba3 (sf) US$2,000,000 Class F-R Deferrable Mezzanine Floating Rate Notes due 2033 (the "Class F-R Notes"), Downgraded to Caa1 (sf); previously on June 28, 2021 Assigned B3 (sf) * Reflects interest-only classes Symphony CLO XVIII, Ltd., originally issued in December 2016, partially refinanced in July 2019 and refinanced in June 2021 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions reflect the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2024 and also reflect an expectation that the notes will begin to be repaid in order of seniority after July 2024. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) compared to the covenant level. Moody's modeled a WARF of 3076 compared to its current covenant level of 3106. The downgrade rating actions on the Class E-R and F-R notes reflect the specific risks to these notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation the OC ratios for the Class E-R and F-R notes are calculated at 106.34% and 105.83% respectively versus April 2023 level [1] of 107.32% and 106.80% respectively. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3106 compared to 2981 in April 2023 [2]. No actions were taken on the Class X, Class A-1-RR, Class A-1-1, Class A-1-1X*, Class A-1-2, Class A-1-2X*, Class A-1-3, Class A-1-3X*, Class A-1-4, Class A-1-4X*, Class A-2-R, Class A-2-1, Class A-2-1X*, Class A-2-2, Class A-2-2X*, Class A-2-3, Class A-2-3X*, Class A-2-4, Class A-2-4X*, Class C-R, Class C-1, Class C-1X*, Class C-2, Class C-2X*, Class C-3, Class C-3X*, Class C-4, Class C-4X*, Class D-R, Class D-1, Class D-1X*, Class D-2, Class D-2X*, Class D-3, Class D-3X*, Class D-4, and Class D-4X* 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: $439,442,798 Defaulted par: $1,742,971 Diversity Score: 83 Weighted Average Rating Factor (WARF): 3076 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.45% Weighted Average Coupon (WAC): 5.4% Weighted Average Recovery Rate (WARR): 46.8% Weighted Average Life (WAL): 4.4 years Par haircut in OC tests and interest diversion test: 0.24% 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 rating all classes except interest-only classes 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. Interest only notes 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. TRINITAS CLO VI: S&P Affirms B- (sf) Rating on Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-RRR replacement debt from Trinitas CLO VI Ltd./Trinitas CLO VI LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in 2017 and underwent a second refinancing in February 2021. At the same time, S&P withdrew its rating on the February 2021 class A-RR debt following payment in full on the June 14, 2024, refinancing date. S&P also affirmed its ratings on the class B-R1, B-R2, C-RR1, C-RR2, D-R1, D-R2, D-R3, D-R4, E-R, and F debt, which was not refinanced. S&P also withdrew its rating on the class X debt as it has been paid in full. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- A non-call period was implemented for the class A-RRR debt, ending June 14, 2025. -- The reinvestment period was not extended. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were not extended. -- The weighted average life test was not extended. -- No additional assets were purchased on the June 14, 2024, refinancing date, and the target initial par amount remains at $700.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2024. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F debt (which was not refinanced) than the rating action on the debt reflects. However, we affirmed our 'B- (sf)' rating on the class F debt as we believe the payment of principal or interest on the class F debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our guidance criteria." Replacement And February 2021 Debt Issuances Replacement debt -- Class A-RRR, $437.50 million: Three-month CME term SOFR + 1.33% February 2021 debt -- Class A-RR, $437.50 million: Three-month CME term SOFR + 1.31% + CSA(i) -- Class B-R1, $62.50 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class B-R2, $32.00 million: 2.66% -- Class C-RR1, $18.00 million: Three-month CME term SOFR + 2.25% + CSA(i) -- Class C-RR2, $22.50 million: 3.38% -- Class D-R1, $9.20 million: Three-month CME term SOFR + 3.50% + CSA(i) -- Class D-R2, $12.50 million: Three-month CME term SOFR + 3.75% + CSA(i) -- Class D-R3, $15.00 million: 4.82% -- Class D-R4, $3.30 million: Three-month CME term SOFR + 4.25% + CSA(i) -- Class E-R, $26.25 million: Three-month CME term SOFR + 6.816% + CSA(i) -- Class F, $11.75 million: Three-month CME term SOFR + 8.714% + CSA(i) -- Subordinated notes, $81.00 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." Ratings Assigned Trinitas CLO VI Ltd./Trinitas CLO VI LLC Class A-RRR, $437.50 million: AAA (sf) Ratings Withdrawn Trinitas CLO VI Ltd./Trinitas CLO VI LLC Class A-RR to NR from 'AAA (sf)' Class X to NR from 'AAA (sf)' Ratings Affirmed Trinitas CLO VI Ltd./Trinitas CLO VI LLC Class B-R1: AA (sf) Class B-R2: AA (sf) Class C-RR1: A (sf) Class C-RR2: A (sf) Class D-R1: BBB (sf) Class D-R2: BBB- (sf) Class D-R3: BBB- (sf) Class D-R4: BBB- (sf) Class E-R: BB- (sf) Class F: B- (sf) Other Debt Trinitas CLO VI Ltd./Trinitas CLO VI LLC Subordinated notes, $81.00 million: NR NR--Not rated. UBS COMMERCIAL 2017-C1: Fitch Affirms C Rating on Class F-RR Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of UBS Commercial Mortgage Trust 2017-C1 (UBS 2017-C1) and 13 classes and of UBS Commercial Mortgage Trust 2017-C2 (UBS 2017-C2). Fitch has revised the Rating Outlooks for classes C, X-B and D in UBS 2017-C1 to Negative from Stable. The Outlooks for classes F-RR and G-RR in UBS 2017-C2 remain Negative. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C2 A-3 90276CAD3 LT AAAsf Affirmed AAAsf A-4 90276CAE1 LT AAAsf Affirmed AAAsf A-S 90276CAH4 LT AAAsf Affirmed AAAsf A-SB 90276CAC5 LT AAAsf Affirmed AAAsf B 90276CAJ0 LT AA-sf Affirmed AA-sf C 90276CAK7 LT A-sf Affirmed A-sf D-RR 90276CAL5 LT BBB+sf Affirmed BBB+sf E-RR 90276CAN1 LT BBBsf Affirmed BBBsf F-RR 90276CAQ4 LT BBB-sf Affirmed BBB-sf G-RR 90276CAS0 LT Bsf Affirmed Bsf H-RR 90276CAU5 LT CCCsf Affirmed CCCsf X-A 90276CAF8 LT AAAsf Affirmed AAAsf X-B 90276CAG6 LT A-sf Affirmed A-sf UBS 2017-C1 A3 90276EAD9 LT AAAsf Affirmed AAAsf A4 90276EAE7 LT AAAsf Affirmed AAAsf AS 90276EAH0 LT AAAsf Affirmed AAAsf ASB 90276EAC1 LT AAAsf Affirmed AAAsf B 90276EAJ6 LT AA-sf Affirmed AA-sf C 90276EAK3 LT A-sf Affirmed A-sf D 90276EAN7 LT BBB-sf Affirmed BBB-sf D-RR 90276EAQ0 LT CCCsf Affirmed CCCsf E-RR 90276EAS6 LT CCsf Affirmed CCsf F-RR 90276EAU1 LT Csf Affirmed Csf X-A 90276EAF4 LT AAAsf Affirmed AAAsf X-B 90276EAG2 LT A-sf Affirmed A-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 5.2% in UBS 2017-C1 and 4.4% in UBS 2017-C2. Fitch Loans of Concerns (FLOCs) comprise 12 loans (20.9% of the pool) in UBS 2017-C1 including five specially serviced loans (5.6%) and 14 loans (28.7%) in UBS 2017-C2 including two specially serviced loans (5.4%). The affirmations of all classes in UBS 2017-C1 reflect overall stable pool performance and higher than expected recoveries on two disposed assets since Fitch's prior rating action. The Negative Outlooks reflect an additional sensitivity scenario that assumed an increased probability of default on the One West 34th Street (4.2%), secured by a 215,205-sf office property in New York, NY. Performance has continued to deteriorate. The affirmations of all classes in UBS 2017-C2 reflect stable performance for the majority of the pool since the last rating action. The Negative Outlooks for UBS 2017-C2 also incorporate an additional sensitivity scenario that assumed an increased probability of default on the 85 Broad Street and Concorde Portfolio loans due to tenant or performance concerns. The Negative Outlooks also reflect the concentration of FLOCs. FLOCs; Largest Loss Contributors: The largest FLOC and second largest contributor to loss in UBS 2017-C1 is the One West 34th Street. The property is located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. The property's major tenants include CVS (ground floor retail; 7.2% of NRA; leased through January 2034), International Inspiration (4.2%; November 2026) and Amazon (3.5%; October 2026). Property occupancy declined to 78.3% as of the January 2024 servicer-provided rent roll from 86.9% at September 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy recently declined between September 2023 and January 2024 due to four tenants (combined 5.3% of NRA) vacating upon lease expiry. The servicer-reported NOI DSCR was 1.05x as of YE 2023, compared with 0.87x at YE 2022 and 0.82x at YE 2021. According to CoStar, the property lies within the Penn Plaza/Garment Office Submarket of the New York market area. As of 1Q24, average rental rates were $66.59 psf and $56.47 psf for the submarket and market, respectively. Vacancy for the submarket and market was 17.4% and 14.2%, respectively. Fitch's 'Bsf' case loss of 19.9% (prior to a concentration adjustment) is based on a 9.25% cap rate and 10% stress to the annualized trailing-nine-months ended September 2023 NOI. Fitch also included a sensitivity analysis which assumed a higher probability of default due to concerns with continued performance declines and the expectation of a term or maturity default. The largest increase in loss since the prior rating action and fourth largest contributor to loss in UBS 2017-C1, La Quinta Inns & Suites Harrisburg Hershey, is secured by an 81-key limited service hotel in Harrisburg, PA. The asset is REO. Fitch's 'Bsf' case loss of 74% (prior to a concentration adjustment) is based on a haircut to most recent appraised value. The second largest increase in loss since the prior rating action and third largest contributor to loss in UBS 2017- C1, Comfort Inn Cleveland, is secured by a 136-key limited service hotel in the Cleveland, OH metropolitan area. The asset is REO. Fitch's 'Bsf' case loss of 96.5% (prior to a concentration adjustment) is based on a 30% stress to most recent appraised value which was reported as of March 2023. The largest increase in loss since the prior rating action and largest contributor to loss in UBS 2017-C2 is the AHIP Northeast Portfolio III loan (4.6%) which was secured by a portfolio of four full-service hotels containing 491 rooms in Maryland (two), New York (one) and New Jersey (one). The loan transferred to special servicing in January 2024 for imminent default. A receiver was appointed in May 2024. Per the special servicer, the receiver will be focused on increasing occupancy levels and addressing any urgent property condition repairs. Fitch's 'Bsf' case loss of 24% (prior to a concentration adjustment) is based on a stress to a recent Broker Opinion of Value (BOV) as a recent appraisal value was not reported. The second largest increase in loss since the prior rating action and second largest contributor to loss in UBS 2017- C2 is the 85 Broad Street loan (5%), which is secured by a 1,118,512-sf office building in the Financial District, near the New York Stock Exchange in downtown Manhattan. The loan was flagged as a FLOC due to exposure to WeWork. The two largest tenants are Viner Finance (Oppenheimer [24.6% of NRA and 32.9% rent]) and WeWork (17.5% of NRA and 17.2% rent). WeWork's lease expires in Aug 2033 and Viner Finance's (Oppenheimer) expires in February 2028. Viner/Oppenheimer has a termination option in February 2024. A status update on the termination option was requested but not received. Fitch's 'Bsf' case loss of 12.1% (prior to a concentration adjustment) is based on an 9% cap rate and 10% stress to the YE 2023 NOI. Change to Credit Enhancement: As of the May 2024 remittance report, the aggregate balances of the UBS 2017- C1 and UBS 2017- C2 have been reduced by approximately 24.9% and 24.5%, respectively, since issuance. The UBS 2017-C1 transaction includes 13 loans (9.8% of the pool) that have fully defeased, while UBS 2017- C2 has 10 defeased loans (17.5% of the pool). Interest Shortfalls: Interest shortfalls of about $4.1MM are affecting the distressed rated class E-RR through the non-rated NR-RR class in UBS 2017-C1 and $374,000 are affecting the non-rated NR-RR class in UBS 2017- C2. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to '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 junior 'AAAsf' rated classes are possible with continued performance deterioration of the specially serviced loans or significant increases in exposure, limited to no improvement in class CE, or if interest shortfalls occur. 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 rated in the 'BBBsf' category are possible with higher than expected losses from continued underperformance of the FLOCs and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Elevated risk loans include One West 34th Street and the specially serviced loans in UBS 2017-C1 and AHIP Northeast Portfolio III and 85 Broad Street in UBS 2017-C2. Downgrades to classes rated in the 'Bsf' category would occur with greater certainty of losses on the specially serviced loans or FLOCs, should additional loans transfer to special servicing or default. Downgrades to distressed ratings would occur as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including One West 34th Street and the specially serviced loans in UBS 2017-C1 and AHIP Northeast Portfolio III and 85 Broad Street in UBS 2017-C2. Upgrades to classes rated in the 'BBBsf' category 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 a likelihood of interest shortfalls. Upgrades to the 'Bsf' category rated class are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs and specially serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans and/or performance improvement of the 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. VOYA CLO 2024-2: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2024-2, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2024-2, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Voya CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (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 23.86, versus a maximum covenant, in accordance with the initial expected matrix point of 25. 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 98.59% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.31% versus a minimum covenant, in accordance with the initial expected matrix point of 69.3%. 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 5.0-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Voya CLO 2024-2, 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. WELLFLEET CLO 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Wellfleet CLO 2024-1 Ltd./Wellfleet CLO 2024-1 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 Blue Owl Liquid Credit Advisors LLC, a subsidiary of Blue Owl Capital 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 Wellfleet CLO 2024-1 Ltd./Wellfleet CLO 2024-1 LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $10.00 million: BBB (sf) Class D-1-F (deferrable), $10.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $10.00 million: BB- (sf) Subordinated notes, $39.35 million: Not rated ZAIS CLO 11: Moody's Raises Rating on $24MM Class D Notes from Ba1 ------------------------------------------------------------------ Moody's Ratings has assigned ratings to four classes of CLO refinancing notes (the "Refinancing Notes") issued by ZAIS CLO 11, Limited (the "Issuer"). Moody's rating action is as follows: US$204,057,738 Class A-1-R Senior Secured Floating Rate Notes due 2032 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$16,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2032 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$48,000,000 Class B-R Senior Secured Floating Rate Notes due 2032 (the "Class B-R Notes"), Assigned Aaa (sf) US$21,000,000 Class C-R Secured Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class C-R Notes"), Assigned Aa3 (sf) Additionally, Moody's has taken rating action on the following outstanding notes originally issued by the Issuer on December 20, 2018 (the "Original Closing Date"): US$24,000,000 Class D Deferrable Mezzanine Floating Rate Notes due 2032 (the "Class D Notes"), Upgraded to Baa3 (sf); previously on August 12, 2020 Downgraded to Ba1 (sf) A comprehensive review of all credit ratings for the respective transaction 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. ZAIS Leveraged Loan Master Manager, LLC (the "Manager") will continue to direct the disposition of the assets on behalf of the Issuer. The Issuer previously issued two other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the Refinancing Notes' non-call period; updates in the definition of "Adjusted Weighted Average Moody's Rating Factor"; updates in the definition of "Subordinated Collateral Management Fee" and updates in the definition of "Reference Rate" to adopt Term SOFR as reference rate for the Refinancing Notes. Moody's rating action on the Class D Notes is primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. No action was taken on the Class E notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "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: $344,969,323 Defaulted par: $5,876,885 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2701 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.99% Weighted Average Recovery Rate (WARR): 46.06% Weighted Average Life (WAL): 3.8 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. [*] Moody's Takes Action on $239MM of US RMBS Issued 2005-2007 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 14 bonds and downgraded the ratings of three bonds from six US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2006-9 Cl. 1-AF-3, Upgraded to Caa2 (sf); previously on Oct 19, 2016 Confirmed at Caa3 (sf) Cl. 1-AF-6, Upgraded to Caa2 (sf); previously on Oct 19, 2016 Confirmed at Caa3 (sf) Cl. 2-AV, Upgraded to Aaa (sf); previously on Aug 2, 2023 Upgraded to A2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-10 Cl. 1-A-1, Upgraded to A3 (sf); previously on Aug 2, 2023 Upgraded to Ba3 (sf) Cl. 1-A-2, Upgraded to Baa2 (sf); previously on Aug 2, 2023 Upgraded to B2 (sf) Cl. 2-A-4, Upgraded to A3 (sf); previously on Aug 2, 2023 Upgraded to Ba2 (sf) Cl. 2-M-1, Upgraded to Ca (sf); previously on Mar 25, 2009 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-11 Cl. 1-A-2, Upgraded to Baa1 (sf); previously on Aug 2, 2023 Upgraded to B2 (sf) Cl. 1-A-1, Upgraded to A1 (sf); previously on Aug 2, 2023 Upgraded to Ba2 (sf) Cl. 2-A-4, Upgraded to Ba1 (sf); previously on Aug 2, 2023 Upgraded to B3 (sf) Issuer: GSAA Home Equity Trust 2006-2 Cl. 1A2, Upgraded to Aa1 (sf); previously on Oct 16, 2018 Upgraded to Baa1 (sf) Cl. 2A4, Upgraded to Aa1 (sf); previously on Oct 16, 2018 Upgraded to A1 (sf) Cl. 2A5, Upgraded to Aa2 (sf); previously on Oct 16, 2018 Upgraded to Baa2 (sf) Issuer: HarborView Mortgage Loan Trust 2005-11 Cl. 1-A-1A, Downgraded to Caa1 (sf); previously on Jun 12, 2015 Upgraded to B3 (sf) Cl. 2-A-1A, Downgraded to B3 (sf); previously on Aug 2, 2023 Downgraded to Baa2 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1 Cl. B-2, Upgraded to Aaa (sf); previously on Aug 2, 2023 Upgraded to Aa1 (sf) Cl. B-3, Downgraded to Caa1 (sf); previously on Apr 27, 2017 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades reflects the credit enhancement available to the bonds, and the improved performance for the deal as indicated by the key metrics observed. The rating downgrades are primarily due to a deterioration in collateral performance, and/or decline in credit enhancement available to the bonds. Certain bonds in this review are currently impaired or expected to become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. In addition, Moody's analysis for some of the bonds also considered the existence of historical interest shortfalls which have since been recouped. For these bonds, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of Moody's analysis. 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. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. 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 and credit enhancement. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***