/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240728.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, July 28, 2024, Vol. 28, No. 209 Headlines ABPCI DIRECT XI: Fitch Affirms 'BB-sf' Rating on Class E Notes ACRE COMMERCIAL 2021-FL4: DBRS Confirms B(low) Rating on G Notes ACREC 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes AFFIRM ASSET 2024-A: DBRS Confirms BB Rating on Class E Notes AIMCO CLO 17: Moody's Assigns B3 Rating to $1.055MM Cl. F-R Notes AIMCO CLO 18: S&P Assigns B- (sf) Rating on Class F-R Notes ALLO ISSUER: Fitch Assigns 'BB-sf' Final Rating on Class C Notes AMUR EQUIPMENT 2021-1: Moody's Ups Rating on Class F Notes to Ba2 AMUR EQUIPMENT XIV: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes ANNISA CLO: Moody's Assigns Ba3 Rating to $20MM Cl. E-RR Notes ARBOR REALTY 2021-FL4: DBRS Confirms B(low) Rating on G Notes ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs AUXILIOR TERM 2024-1: DBRS Gives Prov. BB Rating on Class E Notes BAIN CAPITAL 2017-2: Fitch Assigns 'BB-sf' Rating on E-R3 Debt BAMLL COMMERCIAL 2024-NASH: DBRS Finalizes BB(low) on E Certs BARINGS CLO 2022-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes BARINGS CLO 2024-II: Fitch Assigns 'BB-sf' Rating on Cl. E Notes BARINGS CLO 2024-III: S&P Assigns Prelim BB-(sf) Rating on E Notes BATTERY PARK: Fitch Assigns 'BB-sf' Final Rating on Class E-J Notes BBCMS 2019-BWAY: Fitch Lowers Rating on 4 Tranches to Csf BBCMS MORTGAGE 2024-5C27: Fitch Assigns B-sf Rating on 2 Tranches BENCHMARK 2020-B16: Fitch Lowers Rating on Two Tranches to 'Bsf' BENCHMARK 2024-V8: Fitch Assigns 'B-sf' Rating on Class G-RR Certs BENEFIT STREET XXVI: S&P Assigns BB-(sf) Rating on Class E-R Notes BENEFIT STREET XXVI: S&P Assigns Prelim 'BB-' Rating on E-R Notes BFLD TRUST 2020-EYP: S&P Affirms CCC (sf) Rating on Class D Certs BFLD TRUST 2024-WRHS: Fitch Assigns 'BBsf' Rating on Class E Certs BMO 2024-C9: Fitch Assigns 'B-sf' Rating on Class G-RR Certificates BRIDGECREST LENDING 2024-3: S&P Assigns 'BB' Rating on Cl. E Notes BRSP 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes BSST 2021-1818: S&P Affirms BB+ (sf) Rating on Class C Certs BSST 2022-1700: S&P Lowers Class D Certs Rating to 'B+ (sf)' BX COMMERCIAL 2024-AIRC: Fitch Affirms BB(EXP) Rating on HRR Certs BX COMMERCIAL 2024-AIRC: Fitch Gives BB(EXP)sf Rating on HRR Certs CANADA SQUARE 7: Moody's Lowers Rating on GBP2.82MM D Notes to Ba1 CARLYLE US 2018-4: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes CARVAL CLO VII-C: S&P Assigns BB- (sf) Rating on Class E-R Notes CARVAL CLO X-C: S&P Assigns BB- (sf) Rating on Class E Notes CARVANA AUTO 2024-N2: DBRS Finalizes BB(high) Rating on E Notes CD 2016-CD2: Fitch Lowers Rating on 4 Tranches to Csf CEDAR FUNDING IX: S&P Assigns B- (sf) Rating on Class F Notes CEDAR FUNDING IX: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes CFMT 2024-HB14: DBRS Finalizes B Rating on Class M6 Notes CHASE HOME 2024-6: DBRS Gives Prov. B(low) Rating on B-5 Certs CHASE HOME 2024-7: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs CHASE HOME 2024-RPL3: DBRS Gives Prov. B(high) Rating on B2 Certs CIFC FUNDING 2014-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R3 Notes CITIGROUP 2015-GC35: Fitch Lowers Rating on Class F Debt to Csf CITIGROUP MORTGAGE 2024-RP3: DBRS Gives B Rating on B2 Notes CLICKLEASE EQUIPMENT 2024-1: DBRS Finalizes BB(low) on D Notes CLOVER CLO 2020-1: Moody's Gives B3 Rating to $250,000 F-RR Notes COLLEGIATE FUNDING 2005-B: Fitch Affirms Bsf Rating on Cl. B Notes COLT 2024-4: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs COMM 2012-LTRT: DBRS Confirms CCC Rating on 2 Classes COMM 2014-CCRE14: DBRS Confirms C Rating on Class F Notes COMM 2014-CCRE15: DBRS Cuts Class F Certs Rating to C COMM 2014-LC17: DBRS Confirms C Rating on Class G Certs COMM 2015-CCRE25: Fitch Affirms CCC Rating on Class E Debt COMM 2015-PC1: DBRS Confirms BB Rating on Class X-D Certs CONN'S RECEIVABLES 2024-A: Fitch Puts Class C Debt on Watch Neg. CPS AUTO 2024-C: DBRS Finalizes BB Rating on Class E Notes CRESTLINE DENALI XV: Moody's Cuts Rating on $6MM E-2 Notes to Caa2 CSAIL 2016-C6: Fitch Lowers Rating on Class D Certs to 'B+sf' DBGS 2024-SBL: Fitch Assigns 'B(EXP)sf' Rating on Class HRR Certs DBWF 2015-LCM: DBRS Confirms BB(low) Rating on 2 Classes ELMWOOD CLO 17: Fitch Assigns 'BB-sf' Rating on Class E-R Notes GCAT TRUST 2023-INV1: Moody's Ups Rating on Cl. B-5 Certs to Ba3 GENERATE CLO 4: S&P Assigns BB- (sf) Rating on Class E-RR Notes GOLDENTREE LOAN 12: Fitch Assigns 'BB+(EXP)sf' Rating on E-R Notes GOLDENTREE LOAN 12: Moody's Assigns (P)B3 Rating to $12MM F-R Notes GOLUB CAPITAL 75(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs GS MORTGAGE 2021-ROSS: S&P Lowers Class D Certs Rating to 'B (sf)' GS MORTGAGE 2024-RPL4: Fitch Gives 'Bsf' Rating on Class B-2 Certs GS MORTGAGE 2024-RPL4: Fitch Gives B(EXP)sf Rating on Cl. B-2 Certs HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2023-1 Cl. 1D Notes HILDENE TRUPS P17BC: Moody's Assigns Ba3 Rating to $34.4MM B Notes IMSCI 2014-5: DBRS Confirms BB(low) Rating on G Certs JP MORGAN 2016-JP2: Fitch Lowers Rating on Class E Debt to CCCsf JP MORGAN 2024-5: DBRS Finalizes BB Rating on Class B-4 Certs JP MORGAN 2024-VIS2: S&P Assigns Prelim 'B-' Rating on B-2 Certs JUNIPER VALLEY: S&P Assigns BB- (sf) Rating on Class E-R Notes LAKE SHORE II: Moody's Assigns Ba3 Rating to $18MM Cl. E-RR Notes LCM 31: S&P Assigns B- (sf) Rating on $2.5MM Class F Notes LEHMAN ABS 2001-B: S&P Raises Class M-1 Certs Rating to BB- (sf) MADISON PARK LV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MADISON PARK LV: Moody's Assigns B3 Rating to $250,000 F-R Notes MADISON PARK XLIV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MARANON LOAN 2024-1: S&P Assigns Prelim BB- (sf) Rating on E Notes MEACHAM PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MERCHANTS FLEET 2024-1: DBRS Finalizes BB Rating on Class E Notes MF1 2024-FL15: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes MFA TRUST 2024-RPL1: Fitch Gives 'B(EXP)sf' Rating on Cl.B2 Notes MIDOCEAN CREDIT VI: S&P Affirms 'B- (sf)' Rating on Class F Notes MONROE CAPITAL XVI: S&P Assigns BB- (sf) Rating on Class E Notes MORGAN STANLEY 2015-C27: DBRS Confirms C Rating on Class H Certs MORGAN STANLEY 2016-BNK2: Fitch Affirms CCC Rating on 2 Tranches MORGAN STANLEY 2019-PLND: Moody's Cuts Rating on D Certs to 'Caa3' MORGAN STANLEY 2021-230P: S&P Lowers D Notes Rating to 'B+ (sf)' NEUBERGER BERMAN 27: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes NEW RESIDENTIAL 2019-5: Moody's Hikes Rating on 5 Tranches to Ba1 NORTHWOODS CAPITAL XI-B: S&P Assigns BB- (sf) Rating on E-R Notes OCP CLO 2022-25: S&P Assigns BB- (sf) Rating on Class E-R Notes OHA CREDIT 13: S&P Assigns BB- (sf) Rating on Class E-R Notes ONNI 2024-APT: DBRS Gives Prov. BB(low) Rating on HRR Certs ONNI COMMERCIAL 2024-APT: Fitch Assigns BB Rating on Class E Certs PALMER SQUARE 2022-2: S&P Assigns 'BB- (sf)' Rating on Cl. E Notes PARK BLUE 2022-II: Moody's Assigns Ba3 Rating to $17MM E-R Notes PARLIAMENT FUNDING IV: DBRS Gives Prov. BB(low) Rating on C Notes PPT ABS 2004-1: Moody's Cuts Class A Debt Rating to Ba1 PREFERRED TERM XXIII: Moody's Hikes Rating on 3 Tranches From Ba1 PRMI 2024-CMG1: DBRS Gives Prov. B Rating on Class B-2 Notes PROGRESS 2024-SFR4: DBRS Gives Prov. BB Rating on Class F1 Certs PRPM 2024-NQM2: DBRS Finalizes B(low) Rating on Class B-2 Certs PRPM 2024-NQM2: DBRS Gives Prov. B(low) Rating on Class B2 Certs RADIAN MORTGAGE 2024-J1: Fitch Gives 'B-(EXP)' Rating on B-5 Certs RCKT MORTGAGE 2024-CES5: Fitch Gives B(EXP) Rating on 5 Tranches REALT 2019-1: DBRS Places B Rating on G Certs Under Review REGATTA XI: Fitch Assigns 'B-sf' Final Rating on Class F-R Notes RIN LLC VIII: Moody's Assigns Ba3 Rating to $7.5MM Class E Notes ROCKFORD TOWER 2022-3: S&P Assigns BB-(sf) Rating on Cl. E-R Notes RR 21 LTD: Fitch Assigns 'BB+sf' Final Rating on Class D-R Notes SANTANDER BANK 2022-C: Moody's Ups Rating on Class F Notes from B2 SCULPTOR CLO XXXIII: S&P Assigns BB- (sf) Rating Class E Notes SCULPTOR CLO XXXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes SEQUOIA MORTGAGE 2024-7: Fitch Assigns B+sf Rating on Cl. B4 Certs SG COMMERCIAL 2016-C5: Fitch Lowers Rating on 2 Tranches to CC SIERRA TIMESHARE 2024-2: Fitch Assigns 'BB-(EXP)' Rating on D Notes SIERRA TIMESHARE 2024-2: S&P Assigns BB (sf) Rating on Cl. D Notes SIXTH STREET IX: S&P Assigns BB- (sf) Rating on Class E-R Notes SIXTH STREET IX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SMB PRIVATE 2024-D: DBRS Gives Prov. BB Rating on Class E Notes SWITCH ABS 2024-2: DBRS Finalizes BB(low) Rating on Class C Notes TIAA CLO IV: S&P Affirms 'BB- (sf)' Rating on Class D Notes TIKEHAU US VI: Fitch Assigns 'BB-sf' Rating on Class E Notes TOWD POINT 2019-HY3: Moody's Raises Rating on Cl. B2 Certs to Ba1 TOWD POINT 2024-3: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B2 Notes TRIMARAN CAVU 2021-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes TRIMARAN CAVU 2021-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes UBSCM 2018-NYCH: DBRS Confirms B(low) Rating on Class G Certs VERDELITE STATIC 2024-1: Fitch Assigns 'BB+sf' Rating on E Notes WAMU MORTGAGE 2004-AR6: Moody's Cuts Rating on Cl. X Certs to Caa3 WELLS FARGO 2015-C28: DBRS Cuts Class F Certs Rating to C WELLS FARGO 2015-C31: Fitch Affirms 'B-sf' Rating on Class E Certs WELLS FARGO 2015-NXS1: DBRS Confirms B Rating on Class F Certs WELLS FARGO 2019-JWDR: Fitch Hikes Rating on Class F Debt to 'Bsf' ZAIS CLO 15: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes [*] DBRS Reviews 103 Classes From 13 US RMBS Transactions [*] DBRS Reviews 97 Classes From 18 US RMBS Transactions [*] Moody's Takes Action on $130.2MM of US RMBS Issued 2004-2006 [*] Moody's Takes Action on $26.4MM of US RMBS Issued 2003-2007 [*] S&P Takes Various Action on 57 Classes From 13 U.S. RMBS Deals ********* ABPCI DIRECT XI: Fitch Affirms 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has affirmed all rated classes of notes in ABPCI Direct Lending Fund CLO XI, LP (ABPCI XI) and ABPCI Direct Lending Fund CLO XV, Ltd. (ABPCI XV). The Rating Outlooks on the rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- ABPCI Direct Lending Fund CLO XV Ltd A-1 000842AA2 LT AAAsf Affirmed AAAsf A-2 000842AC8 LT AAAsf Affirmed AAAsf ABPCI Direct Lending Fund CLO XI LP A-1 00091UAA1 LT AAAsf Affirmed AAAsf A-2 00091UAC7 LT AAAsf Affirmed AAAsf A-L LT AAAsf Affirmed AAAsf B-1 00091UAE3 LT AAsf Affirmed AAsf B-2 00091UAN3 LT AAsf Affirmed AAsf C 00091UAG8 LT A-sf Affirmed A-sf D 00091UAJ2 LT BBB-sf Affirmed BBB-sf E 00091UAL7 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY ABPCI XI and ABPCI XV are middle market (MM) collateralized loan obligations (CLOs) managed by AB Private Credit Investors, LLC. ABPCI XI closed in September 2022 and will exit its reinvestment period in October 2026. ABPCI XV closed in October 2023 and will exit its reinvestment period in October 2027. Both CLOs are secured primarily by first-lien, senior secured MM loans. KEY RATING DRIVERS Stable Portfolio Performance and Sufficient Credit Enhancement The affirmations are driven by stable portfolio performance and sufficient credit enhancement. Portfolio credit quality for both transactions has remained at the 'B-' rating level since the last rating actions. The average Fitch weighted average rating factor of both portfolios slightly improved to 31.7 (B/B-) from 31.8. There are no defaulted assets in either portfolio. The portfolios hold 91 obligors on average, with the top 10 comprising of 23.6% of the portfolio on average. Fitch considered 14.8% of the portfolios on average to be in the 'CCC' category. The trustee also reported PIK loans consisting of 0.5% of the portfolios on average. All collateral quality tests, concentration limitations, and coverage tests are in compliance for both portfolios. Cash Flow Analysis Fitch conducted an updated cash flow analysis based on the current portfolio for both transactions and a newly run Fitch Stressed Portfolio (FSP) for ABPCI XI. The FSP analysis stressed the current portfolio to account for permissible concentration and CQT limits. The FSP analysis was updated to stress weighted average life to 6.0 years at all points on the Fitch Test Matrix. Fitch affirmed all the notes' ratings in line with their model-implied ratings (MIRs) as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with each class' rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to a downgrade of one notch for the class B-1, B-2, C, D, and E notes in ABPCI XI and no impact on all other rated notes, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of two notches for the class B-1 and B-2 notes in ABPCI XI, and five rating notches for the class C, D, and E notes in ABPCI XI, based on the MIRs. Upgrade scenarios are not applicable 'AAAsf' rated notes as those tranches are already at the highest rating level. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ACRE COMMERCIAL 2021-FL4: DBRS Confirms B(low) Rating on G Notes ---------------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on all classes of notes issued by ACRE Commercial Mortgage 2021-FL4 Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) Morningstar DBRS also changed the trends on Classes E, F, and G to Negative from Stable. The trends on all remaining classes are Stable. The trend changes reflect the increased loss expectations across two loans in special servicing, representing 33.2% of the current trust balance coupled with concerns around the ultimate recoverability for the remaining loans in the pool. The Landing (Prospectus ID #10; 10.6% of the current trust balance), is secured by a 193,355-sf office property in Oakland, CA. The loan transferred to special servicing in October 2023 for imminent monetary default and since matured in December 2023. According to the servicer, the likely resolution strategy is foreclosure. The borrower's business plan at closing was to utilize future funding of $6.3 million to complete various capital expenditures throughout the property to increase rental rates and occupancy to market. According to documents provided by the servicer, the property was 60.6% occupied as of year-end 2023, down from 88.9% at issuance. As of the year-end 2023, reporting the property generated a net cash flow (NCF) of $0.8 million, resulting in a debt service coverage ratio (DSCR) of 0.30 times (x). At closing, the property had an As-Is appraised value of $38.0 million, which Morningstar DBRS believes has significantly decreased due to the property's recent performance. In its current analysis, Morningstar DBRS assumed a distressed property value given the status of the loan and liquidated it from the trust. The resulting loan loss severity was approximately 64%. The largest-largest loan in special servicing, Exchange (Prospectus ID#3; 22.5% of the current trust balance), is secured by a 567,859-sf office property in Charlotte, NC. The loan transferred to special servicing for maturity default in May 2024. According to the servicer, the lender is pursuing foreclosure. According to the collateral manager, the loan is fully funded as the borrower has completed its planned capital expenditures. Since completing the capital expenditures, occupancy improved to 67.8% as of the year-end 2023 reporting, up from 53.0% as of the year-end 2022 reporting. As of the year-end 2023 reporting, the property generated a net cash flow (NCF) of $4.4 million, resulting in a DSCR of 0.65x. The property was recently appraised for $83.0 million, down 24.7% from the issuance value of $110.2 million. The updated value implies an loan-to value ratio (LTV) of 82.7% based on the current funded A-note of $68.6 million. In its analysis, Morningstar DBRS applied a haircut to the most recent appraisal value, resulting in a minor loss severity. The projected cumulative losses across both specially serviced loans are expected to be contained to the unrated $64.2 million first loss piece. In addition to the loans in special servicing, the pool also exhibits a high concentration of office loans, which have been susceptible to value declines as the properties have been unable to successfully execute the stated business plans. In total, four of the remaining six loans, representing 84.3% of the current trust balance, are secured by office properties. The credit rating confirmations reflect the increased credit support to the bonds as a result of successful loan repayments, with collateral reduction of 53.9% since issuance. The transaction closed in January 2021 with an initial collateral pool of 23 floating-rate mortgage loans secured by 34 mostly transitional real estate properties with a cut-off-date pool balance of approximately $667.2 million. The collateral pool for the transaction is static; however, the Issuer was able to acquire funded loan participation interests into the trust over the Permitted Funded Companion Participation Acquisition Period, which ended with the April 2024 Payment Date. As of the June 2024 remittance, the pool comprises six loans with a cumulative trust balance of $307.9 million. Since Morningstar DBRS' previous credit rating action in June 2023, three loans with a cumulative trust balance of $45.8 million were paid in full and two loans with a cumulative trust balance of $56.6 million liquidated from the pool with aggregate losses of $3.3 million. In addition to the office loans noted above, the two remaining loans in the pool are each secured by a multifamily property (9.3%) and an industrial property (6.4%). The largest loan in the pool, 311 West Monroe (Prospectus ID #1; 27.1% of the current trust balance) is secured by a 15-story, 390,512-sf, Class A office property in the West Loop submarket of Chicago. The borrower used the advanced funds to pay for leasing costs for tenants that had executed leases at loan closing and to fund debt service shortfalls. Future funding proceeds of $48.0 million was allocated $34.7 million of leasing costs and $13.3 million for debt service carry costs. The borrower's business plan was to stabilize operations after signing new leases to secure takeout financing or sell the asset. The loan matured in March 2023; however, the loan was modified to extend the loan maturity to March 2025. As part of the modification, the borrower purchased a new interest rate cap agreement and deposited $2.2 million into the carry reserve. According to documents provided by the servicer, the property was 92.5% occupied as of December 2023 with a year-end NCF $4.3 million equating to a DSCR of 0.72x. In its analysis Morningstar DBRS assumed a stressed value which resulted in an LTV in excess of 100%. Morningstar DBRS also has concerns for the only loan on the servicer's watchlist, 1023 Mission Street (Prospectus ID# 17; 6.4% of the pool). The loan is secured by a 33,000-sf flex industrial property in San Francisco. The borrower's initial business plan included investing approximately $6.0 million in capital expenditures to white box the interior of the vacant property and install power and amenities, ultimately leasing the available space to a production, distribution, and repair user by 2023; however, the property remains vacant, and the San Francisco market suffers from challenges related to an oversupply and lack of demand resulting in stagnant leasing momentum. Given the expectation for continued softness in this market and uncertainty around the ultimate time frame for leasing traction to pick up, Morningstar DBRS considered the potential for a full loss for this loan. Notes: All figures are in U.S. dollars unless otherwise noted. ACREC 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on all classes of notes issued by ACREC 2021-FL1 Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the collateral in the transaction as borrowers are generally progressing with their stated business plans. The pool also benefits from a favorable property type concentration as the trust is secured by multifamily properties. Historically, loans secured by multifamily properties have exhibited lower default rates and the ability to retain and increase asset value. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-dbrs@morningstar.com. The initial collateral consisted of 23 floating-rate mortgages secured by 23 transitional multifamily properties with a cut-off date balance totaling approximately $875.6 million. Most loans were in a period of transition with plans to stabilize performance and improve the asset value. The transaction was structured with a reinvestment period that expired with the July 2023 payment date. As of the June 2024 remittance, the pool comprises 17 loans secured by 17 properties with a cumulative trust balance of $726.4 million. Eleven of the original 23 loans, representing 63.7% of the current trust balance, remain in the transaction. Since the previous Morningstar DBRS rating action in July 2023, four loans, totaling $124.3 million, have repaid in full from the pool, resulting in a collateral reduction of 17.0%. Twelve loans of the remaining loans, representing 73.2% of the pool, are secured by properties in suburban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 3, 4, or 5. Four loans, representing 20.3% of the pool, are secured by properties with a Morningstar DBRS Market Rank of 6 or 7, denoting an urban market, while one loan, representing 6.5% of the pool, is secured by property with a Morningstar DBRS Market Rank of 2, denoting a tertiary market. Properties in secondary and tertiary markets have generally correlated with higher rates of default over time compared with properties in urban markets, which have historically shown greater liquidity and investor demand. In comparison, in July 2023, properties in suburban markets represented 65.9% of the collateral while properties in urban markets represented 28.7%. The current weighted-average (WA) as-is appraised loan-to-value (LTV) ratio is 72.5% as of the June 2024 reporting, with a current WA stabilized LTV of 63.5%. In comparison, these figures were 74.5% and 69.2%, respectively, at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 or 2022 and may not reflect the widening of capitalization rates (cap rates) amid the current rising interest rate environment. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments for 14 loans, representing 88.1% of the current trust balance. Through March 2024, the collateral manager had advanced cumulative loan future funding of $9.3 million to four of the outstanding individual borrowers. The largest cumulative advances were made to the borrowers of Belmont Apartments ($3.0 million) and Lakewood Greens ($2.5 million). The Belmont Apartments loan is secured by a 260-unit garden-style multifamily property located in Grand Prairie, Texas. Funds were advanced to the borrower to complete its capital improvement project across the property. The Lakewood Greens loan is secured by a 252-unit garden-style multifamily property located in Dallas. The business plan included completing various capital expenditure projects throughout the property, including unit renovations and common area upgrades. The loan is sponsored by Tides Equities, which, according to published reports, had previously expressed concerns related to its ability to cover debt service shortfalls across its portfolio given the rise in its floating interest-rate debt. The loan benefits from an interest rate cap agreement with a pay rate of 5.61%; however, according to the YE2023 servicer reporting, the debt service coverage ratio (DSCR) was 0.39 times. An additional $8.4 million of loan future funding allocated to six individual borrowers remains available. Belmont Apartments ($2.4 million) and Lakewood Green ($2.1 million) are the largest loans with available future funding. As of the June 2024 remittance, there are no delinquent or specially serviced loans, however, two loans, representing 6.5% of the pool balance, are on the servicer's watchlist. The loans, Heinz at 950 and The Otis, were both flagged for below breakeven DSCRs. Maturity risk is elevated as 11 loans, representing 63.0% of the pool balance, are scheduled to mature by YE2024. Each loan has outstanding maturity extension options, and Morningstar DBRS expects individual borrowers to exercise these options, if necessary, which may require loan modifications on a case-by-case basis if performance-based test requirements are not achieved. Notes: All figures are in U.S. dollars unless otherwise noted. AFFIRM ASSET 2024-A: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following notes issued by Affirm Asset Securitization Trust 2024-A (Affirm 2024-A): -- $988,080,000 Class A Notes at AAA (sf) -- $80,050,000 Class B Notes at AA (sf) -- $69,800,000 Class C Notes at A (sf) -- $49,320,000 Class D Notes at BBB (sf) -- $62,750,000 Class E Notes at BB (sf) Initial notes totaling $500 million were issued (Initial Notes) on February 15, 2024, the Initial Closing Date. The transaction includes a feature known as Expandable Notes, whereby the Issuer may issue Additional Notes (up to a maximum $1,500,000,000 of the total Notes outstanding) at any point during the Revolving Period. On June 18, 2024 (the Additional Notes Closing Date), the Issuer has issued an additional $750 million of Additional Notes for a total Note issuance of $1.25 billion. The terms of the Additional Notes of each Class are the same as those of the Initial Notes of that Class, except that the interest due on the Additional Notes shall accrue from June 15, 2024 and shall be payable starting on the first Payment Date following the Additional Notes Closing Date. The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (2) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, the Yield Supplement Overcollateralization Amount, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the Affirm 2024-A transaction documents. (3) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for receivables that are permissible in the transaction. -- Concentration limits designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the revolving period and begin amortization. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (Affirm). (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lender. -- All loans in the initial pool included in Affirm 2024-A are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The loan pool only includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- Loans originated to borrowers in Iowa will be eligible to be included in the Receivables to be transferred to the Trust. These loans will be originated under the ALS entity using Affirm's state license in Iowa. -- Loans originated to borrowers in West Virginia will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations that will enable it to operate the bank partner platform in West Virginia. -- Affirm has obtained a supervised lending license from Colorado, permitting Affirm to facilitate supervised loans in excess of the Colorado annual rate cap of 12%, outside of the Assurance of Discontinuance's (AOD's) safe harbor. All loans originated on the Affirm Platform in Colorado have Contract Rates below the usury threshold. -- Loans originated to borrowers in Vermont above the state usury cap will be eligible to be included in the Receivables to be transferred to the Trust. Affirm has the required licenses and registrations in the state of Vermont. -- Loans originated to borrowers in Connecticut with a Contract Rate above the state usury cap will be ineligible to be included in the Receivables to be transferred to the Trust until Affirm obtains the required licenses and registrations in the state of Connecticut. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and legal opinions that address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distribution Amount and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the portion of Note Interest Shortfall attributable to interest on unpaid Note Interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. AIMCO CLO 17: Moody's Assigns B3 Rating to $1.055MM Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the "Refinancing Notes") issued by AIMCO CLO 17, Ltd. (the "Issuer"): US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$1,055,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2037, 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 eligible investments and up to 10% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Allstate Investment Management Company (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 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 the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to certain concentration Limitations; changes to the overcollateralization test levels; changes to benchmark rate replacement provisions 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 Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's Ratings used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3087 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8 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. AIMCO CLO 18: S&P Assigns B- (sf) Rating on Class F-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-1L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and new class A-1L and F-R debt from AIMCO CLO 18 Ltd./AIMCO CLO 18 LLC, a CLO originally issued in September 2022 that is managed by Allstate Investment Management Co. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full on the July 22, 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 non-call period was extended to July 20, 2026. -- The reinvestment period was extended to July 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to July 20, 2037. -- The target initial par amount was raised to $500 million. -- There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2024. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $267.35 million: Three-month CME term SOFR + 1.360% -- Class A-1L-R, $0.00 million: Three-month CME term SOFR + 1.360% -- Class A-1L loans, $52.65 million: Three-month CME term SOFR + 1.360% -- Class A-2-R, $5.00 million: Three-month CME term SOFR + 1.500% -- Class B-R, $55.00 million: Three-month CME term SOFR + 1.600% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.900% -- Class D-1-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.800% -- Class D-2-R (deferrable), $5.00 million: Three-month CME term SOFR + 4.100% -- Class E-R (deferrable), $15.00 million: Three-month CME term SOFR + 5.500% -- Class F-R (deferrable), $5.00 million: Three-month CME term SOFR + 7.730% -- Subordinated notes, $40.28 million: Not applicable Original debt -- Class A-1, $308.00 million: Three-month CME term SOFR + 2.050% -- Class A-2, $12.00 million: 4.518% -- Class B-1, $52.00 million: Three-month CME term SOFR + 2.950% -- Class B-2, $8.00 million: 5.358% -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 3.900% -- Class D (deferrable), $27.35 million: Three-month CME term SOFR + 4.850% -- Class E (deferrable), $15.00 million: Three-month CME term SOFR + 8.650% -- Subordinated notes, $40.28 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AIMCO CLO 18 Ltd./AIMCO CLO 18 LLC Class A-1-R, $267.35 million: AAA(sf) Class A-1L-R, $0.00 million: AAA (sf) Class A-1L loans, $52.65 million: AAA(sf) Class A-2-R, $5.00 million: AAA (sf) Class B-R, $55.00 million: AA (sf) Class C-R, $30.00 million: A (sf) Class D-1-R, $30.00 million: BBB- (sf) Class D-2-R, $5.00 million: BBB- (sf) Class E-R, $15.00 million: BB- (sf) Class F-R, $5.00 million: B- (sf) Ratings Withdrawn AIMCO CLO 18 Ltd./AIMCO CLO 18 LLC Class A-1 to not rated from 'AAA(sf)' Class A-2 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 to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt AIMCO CLO 18 Ltd./AIMCO CLO 18 LLC Subordinated notes, $40.28 million: Not rated ALLO ISSUER: Fitch Assigns 'BB-sf' Final Rating on Class C Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ALLO Issuer, LLC, Secured Fiber Network Revenue Term Notes, Series 2024-1 as follows: - $128.0 million 2024-1 class A-2 'Asf'; Outlook Stable; - $33.3 million 2024-1 class B 'BBBsf'; Outlook Stable; - $71.6 million 2024-1 class C 'BB-sf'; Outlook Stable. Fitch has also affirmed the following classes: - $32 million(a) 2023-1 class A-1-L at 'Asf'; Outlook Stable; - $150 million(b) 2023-1 class A-1-V at 'Asf'; Outlook Stable; - $405 million 2023-1 class A-2 at 'Asf'; Outlook Stable; - $58 million 2023-1 class B at 'BBBsf'; Outlook Stable; - $113 million 2023-1 class C at 'BB-sf'; Outlook Stable. The following classes are not rated by Fitch: - $36,000,000(c) series 2023-1, class R. - $12,700,000(c) series 2024-1, class R. (a) This note is a liquidity funding note that can be drawn for the purpose of funding liquidity funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch net cash flow (NCF) ratio. (b) This note is a variable funding note (VFN) and has a maximum commitment of $150 million contingent on leverage consistent with the class A-1 notes. This class will reflect a zero balance at issuance. (c) Horizontal credit risk retention interest representing 5% of the 2023-1 & 2024-1 notes. The note balances include prefunding amounts of $40 million for the 2024-1 series, which are allocated between classes B and C. Entity/Debt Rating Prior ----------- ------ ----- ALLO Issuer, LLC Secured Fiber Network Revenue Notes, Series 2024-1 A-2 LT Asf New Rating A(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BB-sf New Rating BB-(EXP)sf R LT NRsf New Rating NR(EXP)sf ALLO Issuer, LLC Secured Fiber Network Revenue Notes, Series 2023-1 A-1-L LT Asf Affirmed Asf A-1-V LT Asf Affirmed Asf A-2 01983KAA2 LT Asf Affirmed Asf B 01983KAC8 LT BBBsf Affirmed BBBsf C 01983KAE4 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY The transaction is a securitization of the contract payments derived from an existing Fiber to the Premise (FTTP) network. Debt is secured by the cash flow from operations and benefits from a perfected security interest in the securitized assets, which includes conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. Since the 2023-1 issuance of notes, 10 additional issuer-defined markets in Nebraska and Colorado have been contributed to the trust. The additional collateral comprises 8.2% of transaction revenue and passes over 76,581 locations with a weighted average penetration rate of approximately 16.3%. Transaction proceeds will be utilized to pay down the balance of the series 2023-1 A-1-V, fund the series 2024-1 prefunding account, fund the applicable securitization transaction reserves, pay transaction fees, and for general corporate purposes, which may include a distribution to the parent for growth capital expenditures. A cash-out dividend is not expected. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in the underlying fiber optic network, not an assessment of the corporate default risk of the ultimate parent, ALLO Communications LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's NCF on the pool is $78.9 million in the base case, implying a 17.4% haircut to issuer base case NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.6x in this scenario, versus the debt/issuer NCF leverage of 8.05x. Inclusive of the prefunding and the cash flow required to draw on the maximum variable funding note (VFN) commitment of $150 million, the Fitch NCF on the pool is $101.9 million, implying a 17.1% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.4x, compared with the debt / issuer NCF leverage of 7.8x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale of the network, market concentration, the market position of the sponsor, capability of the operator, higher barriers to entry and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction are not rated above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades. - Fitch's base case NCF was 17.4% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'Asf' to 'BBBsf'; class B from 'BBBsf' to 'BBsf'; class C from 'BB-sf' to 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts, contract amendments, or expense reductions could lead to upgrades; - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'Asf' to 'Asf'; class B from 'BBBsf' to 'A-sf'; class C from 'BB-sf' to 'BBsf'; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AMUR EQUIPMENT 2021-1: Moody's Ups Rating on Class F Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded one class of notes in Amur Equipment Finance Receivables IX LLC, Series 2021-1 (Amur 2021-1), four classes of notes in Amur Equipment Finance Receivables X LLC, Series 2022-1 (Amur 2022-1), four classes of notes in Amur Equipment Finance Receivables XI LLC, Series 2022-2 (Amur 2022-2) and four classes of notes in Amur Equipment Finance Receivables XII LLC, Series 2023-1 (Amur 2023-1). The notes are backed by a pool of fixed-rate loans and leases secured primarily by trucking, transportation and construction equipment. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables IX LLC, Series 2021-1 Class E Notes, Upgraded to Aa2 (sf); previously on Dec 7, 2023 Upgraded to A1 (sf) Issuer: Amur Equipment Finance Receivables X LLC, Series 2022-1 Class C Notes, Upgraded to Aaa (sf); previously on Dec 7, 2023 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa2 (sf); previously on Dec 7, 2023 Upgraded to A1 (sf) Class E Notes, Upgraded to A3 (sf); previously on Dec 7, 2023 Upgraded to Baa3 (sf) Class F Notes, Upgraded to Ba2 (sf); previously on Dec 7, 2023 Upgraded to B1 (sf) Issuer: Amur Equipment Finance Receivables XI LLC, Series 2022-2 Class C Notes, Upgraded to Aa2 (sf); previously on Dec 7, 2023 Upgraded to A1 (sf) Class D Notes, Upgraded to A3 (sf); previously on Dec 7, 2023 Upgraded to Baa2 (sf) Class E Notes, Upgraded to Ba1 (sf); previously on Dec 7, 2023 Upgraded to Ba2 (sf) Class F Notes, Upgraded to Ba3 (sf); previously on Dec 7, 2023 Upgraded to B2 (sf) Issuer: Amur Equipment Finance Receivables XII LLC, Series 2023-1 Class B Notes, Upgraded to Aaa (sf); previously on Jun 28, 2023 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Jun 28, 2023 Definitive Rating Assigned A1 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Jun 28, 2023 Definitive Rating Assigned Baa3 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on Jun 28, 2023 Definitive Rating Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating actions were primarily driven by the continuous buildup of credit enhancement as the notes amortized. The notes feature sequential payment structure with the higher priority notes benefitting from the subordination of notes with lower payment priority. Moody's also considered servicer's substitution of assets, rising delinquencies and losses related to the high exposure to the trucking and transportation industry which is generally cyclical and highly correlated with the health of the overall economy. No action was taken on the remaining rated tranches because there were no material changes in collateral quality, and credit enhancement remains commensurate with the current ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows 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 of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and changes in servicing practices. Down Moody's could downgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. 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 equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US macroeconomy, the equipment markets, and poor servicer performance. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. AMUR EQUIPMENT XIV: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the Amur Equipment Finance Receivables XIV LLC (Series 2024-2) (AXIS 2024-2) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by Amur Equipment Finance, Inc. (Amur) and Fitch's inaugural rating of the equipment contract backed notes issued under the AXIS platform. Entity/Debt Rating ----------- ------ Amur Equipment Finance Receivables XIV LLC (Series 2024-2) A-1 ST F1+(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 KEY RATING DRIVERS Collateral Performance: Consistent with prior AXIS transactions, AXIS 2024-2 is focused on transportation, construction and vocational equipment with low obligor concentration. A high 97.63% of the pool is collateralized by contracts backed by personal guarantees, with a weighted-average (WA) FICO score of 725. These have been trending higher and are at the second-highest level for the platform, consistent with 726 in 2024-1 (NR). Conventional trucks with sleeper transportation equipment are the largest exposure, at 24.30%. The largest equipment type in prior securitizations was long-haul transportation equipment, at 27.46% for 2024-1 and 30.78% for 2023-1 (NR). The transaction is exposed to adverse pool selection risk from prefunding and substitution, which can be as high as 20% and 15% of the initial collateral pool, respectively. Improving Performance; Forward-Looking Approach to Derive Rating Case Loss Proxy: Amur's managed static pool continues to demonstrate strong and stable cumulative net loss (CNL) performance, with CNLs tracking well below those of peak recessionary vintages. Fitch utilized the 2006-2009 and 2017-2019 managed portfolio vintages, prior ABS performance and, given the ability to prefund and substitute collateral, worst case portfolio mix to derive the rating-case CNL proxy of 5.0%. Concentration Risk — Concentrated Transportation Collateral, Low Obligor Concentration: The pool has 45.2% exposure to the transportation sector, higher than 40.5% for 2024-1, which has been under stress for over a year. The top-20 obligors represent 6.16% of the 2024-2 pool, up from 4.01% in 2024-1; no obligors represent more than 1.00% of the pool. Initial credit enhancement (CE) to the class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors on a net coverage basis at close under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2024-2 is lower than 2024-1 and 2023-1, but higher than historical transactions since 2015. Total initial hard CE for AXIS 2024-2 class A, B, C, D and E notes is 27.85%, 23.35%, 17.70%, 11.70% and 9.00%, respectively, comprising subordination, a non-declining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 8.00% of the initial discounted pool balance. Additionally, all classes benefit from 1.17% per annum of excess spread. At a 5.00% rating case CNL proxy, the transaction structure is able to support 5.0x, 4.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C, D and E notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes Amur has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 2.50%, based on its global economic outlook and asset class outlook and Amur's managed pool and historical securitization performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels higher than the rating case and would likely result in declines of CE and the remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Fitch conducted sensitivity analyses by stressing the transaction's initial rating case CNL and recovery rate assumptions, and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf', based on the breakeven loss coverage provided by the CE supporting the notes. Additionally, Fitch increased the CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. Fitch also evaluated the impact of stressed recovery rates on an equipment ABS structure and rating impact with a 50% haircut. These analyses are intended to indicate the rating sensitivity of notes to unexpected deterioration of a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and possibly lead to an upgrade. If CNL is 20% less than the projected proxy, the expected ratings could be maintained for class A and D notes and upgraded by one rating category for each of the class B, C and E notes. 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. The third-party due diligence described in Form 15E compared or re-computed certain information with respect to 150 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. A copy of the Form-15E received by Fitch in connection with this transaction may be obtained through the link contained at the bottom of the related rating action commentary 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. ANNISA CLO: Moody's Assigns Ba3 Rating to $20MM Cl. E-RR Notes -------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (the "Refinancing Notes") issued by Annisa CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$152,152,899 Class A-RR Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$50,000,000 Class B-RR Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$18,000,000 Class C-RR Deferrable Mezzanine Secured Floating Rate Notes due 2031, Assigned Aa2 (sf) US$24,000,000 Class D-RR Deferrable Mezzanine Secured Floating Rate Notes due 2031, Assigned Baa2 (sf) US$20,000,000 Class E-RR Deferrable Junior Secured Floating Rate Notes due 2031, Assigned Ba3 (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. This includes Moody's expectation that the notes will continue to be repaid given the end of the reinvestment period in July 2023. 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. Invesco RR Fund L.P. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Issuer previously issued 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 which include extension of the non-call period for the Refinancing Notes. 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: $285,401,661 Defaulted par: $2,756,440 Diversity Score: 67 Weighted Average Rating Factor (WARF): 3066 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.69% Weighted Average Recovery Rate (WARR): 47.24% Weighted Average Life (WAL): 3.50 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, lower recoveries on defaulted assets. Methodology 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. ARBOR REALTY 2021-FL4: DBRS Confirms B(low) Rating on G Notes ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of commercial mortgage-backed notes issued by Arbor Realty Commercial Real Estate Notes 2021-FL4, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the collateral in the transaction as borrowers are generally progressing toward the completion of the stated business plans and have generally demonstrated rental rate growth relative to issuance levels based on the Q1 2024 collateral report provided by the collateral manager. The transaction consists solely of multifamily collateral across 63 loans. Historically, loans secured by multifamily properties have exhibited lower default rates and the ability to retain and increase asset value. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in December 2021 with the initial collateral consisting of 51 floating-rate mortgages and senior participations secured by 87 transitional multifamily properties with a cut-off date balance totaling approximately $1.79 billion. Most of the loans are in a period of transition with plans to stabilize performance and improve the asset value. The transaction included a 180-day ramp-up acquisition period, which was used to increase the trust balance to a total target collateral principal balance of $2.1 billion. Additionally, the transaction had a Reinvestment Period that expired with the June 2024 payment date. As of the June 2024 reporting, the pool comprises 63 loans secured by 85 properties with a cumulative trust balance of $1.8 billion. Forty-five loans with a former cumulative trust balance of $1.3 billion have successfully repaid from the pool since issuance, including 19 loans with a former cumulative trust balance of $610.7 million since Morningstar DBRS' prior credit rating action in June 2023. An additional 24 loans with a current cumulative trust balance of $626.5 million have been added to the trust since June 2023. The loans are primarily secured by properties in suburban markets, which Morningstar DBRS defines as markets with a Morningstar DBRS Market Rank of 3, 4, or 5. As of June 2024, 53 loans, representing 85.2% of the current trust balance, were secured by properties in suburban markets. An additional nine loans, representing 11.2% of the current trust balance, were secured by properties in tertiary markets, defined as markets with a Morningstar DBRS Market Rank of 1 or 2. Only one loan, representing 3.6% of the current trust balance, is secured by a property in an urban market, with a Morningstar DBRS Market Rank of 6. There are no loans in the pool that are secured by properties with a Morningstar DBRS Market Rank of 7 or 8. Based on the as-is appraised values, leverage across the pool has decreased from closing, with a current Morningstar DBRS weighted-average (WA) as-is loan-to-value ratio (LTV) of 74.3% (compared with 77.3% at closing). However, the Morningstar DBRS WA stabilized LTV increased over that same period, increasing to 67.1% (compared with 57.3% at closing). Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 through 2023 and may not reflect the current interest rate and widening capitalization rate (cap rate) environment. For a select number of loans that are exhibiting increased credit risk from issuance, including the pool's only specially serviced loan, East Orange (Prospectus ID#26; 1.9% of the pool balance), which transferred to the special servicer in December 2023 for monetary default, Morningstar DBRS applied upward LTV adjustments across six loans, representing 17.4% of the current trust balance in the analysis for this review. Through May 2024, the collateral manager had advanced cumulative whole loan future funding of $246.9 million allocated to 39 of the 63 remaining individual borrowers to aid in property stabilization efforts. The largest advance, $58.1 million, was made to the borrower of the 153-10 88th Avenue loan (Prospectus ID#101, 3.5% of the pool), which is secured by a 223-unit multifamily property in Jamaica, New York, consisting of 156 market-rate units and 67 affordable-rate units. Funds were advanced to the borrower to complete its first ground-up construction project of the property. Per the Q1 2024 report provided by the collateral manager, the borrower has disbursed approximately 94.0% of the construction reserve for hard and soft costs. Both the affordable units and market-rate units are currently in the process of being leased, with the leasing of the market-rate units underway since July 2023. As of Q1 2024, 92 leases (41.0%) have been executed at an average rental rate of $3,004 per unit, which is approximately 11.0% higher than the appraiser's market rent projection of $2,713 per unit and 32.5% higher than Morningstar DBRS' rent projection of $2,268 per unit. The borrower has also been offering market rate concessions of two months of free rent for 14-month leases in an effort to lease up the vacant units. Approximately $4.6 million of future funding remains outstanding for this loan. An additional $77.7 million of loan future funding allocated to 12 of the remaining individual borrowers remains available. The largest portion of available funds ($54.0 million) is allocated to the borrower of Equinox on Prince loan (Prospectus ID#80, 0.8% of the pool). The loan was contributed to the trust in March 2023 and is secured by a multifamily property in Tucson, Arizona. The available funds are allocated for the borrower's capital improvement and lease-up plan. As of the June 2024 remittance, 31 loans (53.1% of the current trust balance) have maturities scheduled through the next six months. However, the majority of these loans have extension options available that are expected to be exercised. In addition, according to an update from the collateral manager, seven loans (9.6% of the pool) are expected to pay off in the next few months. The pool's only specially serviced loan, East Orange, is secured by a portfolio of eight multifamily properties, totaling 282 units, in East Orange, New Jersey. The loan transferred to special servicing in December 2023 for payment default and, as of the June 2024 reporting, has been paid through September 2023. The loan had an initial maturity in March 2023, but due to rent collection difficulties and the high concessions offered, the borrower was unable to make its debt service payments. The loan was modified to extend its maturity to September 2023 and allow for two three-month extension options. The borrower exercised the first extension option, bringing the loan's maturity to December 2023. The second option was not exercised, and the loan is now flagged as a matured nonperforming loan. Per the Q1 2024 reporting, a receiver has been assigned, and the collateral manager has been engaging in further discussions about a take-over strategy. Per the June 2024 reporting, the property was reappraised in January 2024 at a value of $31.5 million, a 14.1% decline in comparison to the issuance as-is value of $36.7 million. The borrower's business plan was to complete interior and exterior renovations, with the goal of achieving an average rental rate that is at or above the appraiser's stabilized rate of $1,651 per unit as units turn over. As a result of the COVID-19 eviction moratorium, which was lifted in January 2022, the borrower has faced challenges in collecting rents, and has since been working on evicting 55 residents with the goal of renovating and re-leasing the units at the market rate. According to the Q1 2024 update from the collateral manager, the portfolio occupancy was 76.0%, with an average rental rate of $1,333 per unit, which represents a 25.0% premium over the average in-place rate at closing. The borrower has also been offering concessions to new tenants but expects to reduce the amount of concessions offered over time. The average rental rate excluding the concessions would be approximately $1,610 per unit. According to the financial reporting provided by the collateral manager, the annualized net cash flow for the trailing three-month period ended November 30, 2024, was $0.7 million. Although the borrower has demonstrated commitment to the collateral through several loan modifications and additional equity injections of $2.3 million to fund shortfalls since closing, Morningstar DBRS maintains a cautious outlook for the loan. In the analysis for this review, Morningstar DBRS increased the loan's as-is and stabilized LTVs by adjusting the property value assumptions made by the appraiser at closing in addition to increasing the loan's probability of default, resulting in an expected loss approximately 150.5% greater than the pool's WA expected loss. According to the collateral manager, 26 loans, representing 55.0% of the current cumulative trust loan balance have been modified. Loan modification terms have included maturity extensions, rolling renovation reserves, and changes in property management, among others. Outside of the East Orange loan, four loans (8.9% of the current pool balance), are late on their payments per the June 2024 remittance, and one loan, Peninsula Court Apartments (Prospectus ID#58; 0.8% of the current pool balance), secured by a 68-unit multifamily property in Bayonne, New Jersey, is between 30 and 60 days delinquent. In spite of the delinquent payment, the property was 98.5% occupied as of February 2024, with an average rental rate of $1,956 per unit, representing a 14.6% increase over issuance levels. The borrower was able to complete 29 of the 50 planned unit renovations through Q1 2024, with the renovated units achieving an average rental rate of $2,004 per unit. Morningstar DBRS believes the property's cash flow may continue to increase as more unit renovations are completed. However, given the loan's delinquency, upward adjustments to both the as-is and stabilized LTV were applied, in addition to increasing the loan's probability of default. Notes: All figures are in U.S. dollars unless otherwise noted. ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ASHF issued by Ashford Hospitality Trust 2018-ASHF as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-EXT at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable-to-improved performance of the underlying hotel portfolio, as evidenced by the growth in net cash flow (NCF), occupancy, and revenue per available room (RevPAR) figures since YE2022. Morningstar DBRS' loan-to-value ratio (LTV) is 78.6% for the Morningstar DBRS-rated debt and 98.9% for the all-in debt. The credit profile of the transaction remains in line with Morningstar DBRS' expectations. As such, Morningstar DBRS did not update the LTV sizing benchmarks as part of this review. The subject transaction comprises an interest-only (IO), floating-rate loan, collateralized by a portfolio of 19 hotel properties, with multiple formats including all-suite, full-service, limited-service, and extended-stay hotels. The portfolio totals 5,269 rooms across 12 states. As of the June 2024 remittance, the trust balance of $685.0 million represented a collateral reduction of approximately 12.4% since issuance as a result of property releases and principal curtailments. In 2019, three hotels were sold and released from the original portfolio at a release price of 115% of the allocated loan amount (ALA) as outlined in the loan documents, bringing the outstanding balance of the pooled trust mortgage down to $720.7 million. There have been no property releases since 2019; however, the borrower did make a principal curtailment of $35.8 million in April 2023, in order to achieve a debt yield of 9.5%, a requirement for the fourth and fifth loan extensions. The borrower has since exercised the fifth and final loan extension option, which required no principal curtailment given the improved performance, extending the maturity to April 2025. There is additional senior and junior mezzanine financing, which had an initial balance of $202.3 million, which had amortized to $177.0 million as of June 2024. The loan maturities are coterminous. According to the Q1 2024 financials, the consolidated NCF for the trailing 12 months (T-12) ended March 31, 2024, was reported at $83.9 million, a slight decline of 3.4% compared with the YE2023 figure of $86.8 million, but a 15.5% improvement from the YE2022 figure of $72.6 million and a 193.0% increase from the YE2021 figure of $26.6 million. Given the floating rate nature of the loan, the debt service ratio (DSCR) declined from 2.64 times (x) at YE2022 to 1.56x as of Q1 2024, as a result of the increased debt service payments stemming from a higher interest rate. The increase in cash flow, however, was primarily due to increased room and food and beverage revenues coinciding with increased occupancy. Morningstar DBRS previously upgraded the credit ratings on four classes during the July 2023 review to reflect the strong rebound in portfolio performance and continues to have a positive outlook for the underlying collaterals refinance prospects as the loan approaches its final maturity date. According to the March 2024 financials, the portfolio reported a T-12 ended March 31, 2024, weighted-average occupancy rate of 69.4%, average daily rate (ADR) of $185, and RevPAR of $134, respectively, with only four of the 19 hotels in the portfolio reporting a RevPAR penetration rate below 100.0%. These updated metrics represent an occupancy, ADR, and RevPAR increase of 2.8%, 1.6%, and a 10.7%, respectively, relative to the YE2022 figures of 66.6%, $182, and $121, respectively. The updated RevPAR for the portfolio is also above the pre-pandemic YE2019 portfolio RevPAR of $129. Overall, Morningstar DBRS expects portfolio performance to remain generally in line with the reported metrics in 2023 through the loan's maturity. The loan is sponsored by Ashford Hospitality Trust, Inc. (Ashford), an experienced hotel investment company and publicly traded real estate investment trust. The sponsor had previously invested $227.5 million ($39,328 per room) in the portfolio's hotels since acquisition in 2013. In general, the portfolio is performing above its competitive set across all STR metrics, and continues to benefit from granularity by ALA, geographic diversity, experienced management companies, and strong brand affiliation, with most of the hotels operating under the Marriott Hotels & Resorts, Hilton Hotels & Resorts, and Hyatt Hotels Corporation flags. Given the nominal changes since last review, and stable performance, Morningstar DBRS did not update the LTV sizing benchmarks with this review, and the expectations for ongoing performance are largely unchanged. Notes: All figures are in U.S. dollars unless otherwise noted. AUXILIOR TERM 2024-1: DBRS Gives Prov. BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by Auxilior Term Funding 2024-1, LLC (XCAP 2024-1, or the Issuer): -- $32,500,000 Class A-1 Notes at R-1 (high) (sf) -- $112,110,000 Class A-2 Notes at AAA (sf) -- $112,100,000 Class A-3 Notes at AAA (sf) -- $15,900,000 Class B Notes at AA (sf) -- $19,070,000 Class C Notes at A (sf) -- $8,740,000 Class D Notes at BBB (sf) -- $7,150,000 Class E Notes at BB (sf) The provisional credit ratings are based on the review by Morningstar DBRS of the following analytical considerations: -- Subordination, OC, amounts held in the Reserve Account, and excess spread create credit enhancement levels that can support Morningstar DBRS' expected cumulative net loss (CNL) of 2.50% under various stress scenarios using multiples of 5.20 times (x) of the expected CNL assumption with respect to the Class A Notes, 4.40x with respect to the Class B Notes, 3.40x with respect to the Class C Notes, 2.50x with respect to the Class D Notes, and 1.80x with respect to the Class E Notes. Seasoning credit was not given as the collateral pool is only very slightly seasoned, on a weighted-average (WA) basis, by less than 5 months. -- The initial OC as of the Closing Date will be equal to 3.25%, expected to build up to 8.25% of the current Securitization Value subject to a floor of 1.00% of the original Aggregate Securitization Value as of the Initial Cut-Off Date. -- A non-amortizing cash Reserve Account equal to 1.00% of the Aggregate Securitization Value as of the Initial Cut-Off Date. -- The WA annual percentage rate for the collateral pool is approximately 8.58%. The Securitization Value of the collateral pool is determined by discounting all leases and loans at 8.80%, thus, creating excess spread that may be available to XCAP 2024-1. -- Given the relatively short operating history of Auxilior, Morningstar DBRS supplemented its review of the actual performance by the Company to date in its assessment of the expected CNL for the transaction with the review of (1) the performance of static collateral pools originated by the equipment lease and loan originator, which had been managed by the current Auxilior management team in the past, and of (2) the proxy data related to comparable ABS transactions. Proxy data and the current market information on equipment values were similarly referenced in the assessment of the stressed recovery rate assumption. -- Auxilior has experienced, since inception, a relatively small amount of delinquencies, gross defaults and losses in each of its three primary origination industry segments. Thus, since inception in 2020 through 2023, the highest static pool annual vintage cumulative gross default (CGD) and CNL rates experienced by Auxilior in its overall managed portfolio were 1.30% and 0.57%, respectively. The overall CGD and CNL rates experienced for the managed portfolio through 2023 were 0.51% and 0.24%, respectively, on the aggregate financed amount of approximately $1.63 billion. -- In its assessment of the CNL assumption for the transaction's cash flow scenarios, Morningstar DBRS also referenced the performance for the similar industry segments at the equipment finance entity managed by the current Auxilior's management team in the past, which then had been reviewed by Morningstar DBRS. -- In addition, Morningstar DBRS referenced the proxy data for ABS collateral pools originated and securitized by several comparable captive lessors focused on transportation and construction equipment. Furthermore, Morningstar DBRS reviewed information available in the respective Franchise Disclosure Documents for the majority of franchisors represented in the Contract Pool. Morningstar DBRS also considered the relevant market data on the static pool performance of franchisee obligors. -- Morningstar DBRS' cash flow scenarios tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments under three different net loss timing scenarios and during zero conditional prepayment rate (CPR) and 12 CPR prepayment environments. -- While XCAP 2024-1 allows inclusion of booked residuals in the Aggregate Securitization Value for the transaction, the residuals were given only a limited credit in Morningstar DBRS' cash flow scenarios. As of the Initial Cut-Off Date, the discounted balance of booked residuals accounted for approximately 2.85% of the Aggregate Securitization Value. -- The transaction is the second term ABS sponsored by Auxilior, which has been operating since 2020. Nevertheless, the Company's senior management team includes seasoned professionals with a long history of founding and growing successful commercial financing businesses including equipment finance groups at DLL, Element Financial/ECN Capital and PNC Financial Services. -- Auxulior primarily originates small- and middle-ticket equipment leases and equipment loan contracts through strategic marketing alliances and other program relationships with equipment vendors and directly with end users of commercial equipment. Its top relationships include well-known and established equipment vendors and franchisors. -- Morningstar DBRS deems Auxilior to be an acceptable originator and servicer of equipment backed leases and loans. Auxilior will be the Servicer and Administrator, and GreatAmerica Portfolio Services will be the Backup Servicer. -- XCAP 2024-1 is collateralized by small- to mid-ticket equipment contracts, participation interests in master lease agreements (which account for approximately 2.88% of the aggregate securitization value) and related assets, and the transaction exhibits modest obligor concentrations, with the largest 10 obligors collectively accounting for 11.51% of the Aggregate Securitization Value as of the Initial Cut-Off Date. The collateral is diversified geographically, with obligors located in Texas, Florida and Pennsylvania accounting for 12.8%, 8.0% and 8.0% of the Aggregate Securitization Value. The contracts originated through Auxilior's CIG origination industry segment accounted for 64.4% of the Aggregate Securitization Value as of the Initial Cut-Off Date. The contracts originated by FFG and TLG origination industry segments accounted for 22.5% and 13.1%, respectively. Approximately, 79% of the highway transportation collateral associated with TLG industry segment could be considered small fleet size, with the remainder related to medium and large fleets. Also, as of the Initial Cut-Off Date, approximately 44.2% of collateral associated with TLG industry segment was represented by motorcoach. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. -- The transaction is supported by an established structure and is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Legal opinions covering true sale and nonconsolidation will also be provided. Morningstar DBRS' credit rating on the Class A-1, Class A-2, Class A-3, Class B, Class C, Class D, and Class E Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Noteholders' Monthly Accrued Interest, related Noteholders' Interest Carryover Shortfall, and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated financial obligations that are not financial obligations are the related interest on the Interest Carryover Shortfall for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BAIN CAPITAL 2017-2: Fitch Assigns 'BB-sf' Rating on E-R3 Debt -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Bain Capital Credit CLO 2017-2, Limited's reset transaction. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2017-2, Limited A-1-R3 LT AAAsf New Rating A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Surbordinated LT NRsf New Rating TRANSACTION SUMMARY Bain Capital Credit CLO 2017-2, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Bain Capital Credit, LP. that originally closed in December 2013 (formerly known as Cavalry CLO III, Ltd.). This is the third refinancing where the existing notes will be refinanced in whole on July 12, 2024. Net proceeds from the issuance of the secured notes and additional 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 24.33, versus a maximum covenant, in accordance with the initial expected matrix point of 25.22. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.91% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.57% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-R3, between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1-R3, between less than 'B-sf' and 'BB+sf' for class D-2-R3, 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 Upgrade scenarios are not applicable to the class A-1-R3 and class A-2-R3 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-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1-R3, 'A-sf' for class D-2-R3, and 'BBB+sf' for class E-R3. 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 Bain Capital Credit CLO 2017-2, Limited 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. BAMLL COMMERCIAL 2024-NASH: DBRS Finalizes BB(low) on E Certs ------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-NASH (the Certificates) issued by BAMLL Commercial Mortgage Securities Trust 2024-NASH (the Trust): -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the BAMLL 2024-NASH transaction is secured by the borrower's fee-simple, leasehold, and condominium interests and the Operating Lessee's leasehold interests in the Renaissance Nashville hotel, encompassing 674 keys. The upper-upscale hotel is well situated within downtown Nashville, adjacent to Broadway, and within walking distance to Music City Hall, the main convention center of Nashville. Renaissance Nashville hotel has long been viewed as an anchor in downtown Nashville's lodging market. Morningstar DBRS has a positive view on the collateral considering its favorable location and believes that the recent property improvements should support the property's financial performance and competitiveness in the growing Nashville market. The subject rebranded as the Renaissance Nashville Hotel in 1996, and was connected to the old Nashville convention center. While the old convention center was razed in 2017 and moved to Music City Hall, Renaissance Nashville consolidated and renovated some meeting spaces of the old convention center along with its lobby and F&B outlets. Since 2019, the property has undergone renovation projects to update the lobby and restaurants, add a presidential suite, and broader property upgrades. The hotel features two F&B outlets, Little Fib and Bridge Bar, a retail shop, the Five Chords Mercantile, 112,498 sf of meeting spaces including ballrooms and breakout rooms used for large events, a fitness center, a complementary lounge, and an indoor pool with sundecks, which is expected to be open to guests by May 2024. Its prime location, renowned meeting spaces, and comprehensive amenity package have made Renaissance Nashville one of the best performing hotels under the Renaissance brand. The subject mortgage loan of $267.2 million will be used to retire $241.7 million of existing BAMLL 2019-AHT debt, return $16.9 million of equity to the sponsor, and cover closing costs of approximately $8.6 million. The loan is a two-year floating-rate IO mortgage loan, with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the initial weighted-average component spread, which is 3.98%. The borrower will be required to purchase an interest rate cap agreement, with one-month Term SOFR strike price of 5.00%, which as of the date of this report is below the spot rate. Ashford Hospitality Limited Partnership (Ashford) is the Borrower Sponsor for this transaction. Headquartered in Dallas, TX, Ashford and its predecessor companies had over 50 years in the hotel business. Externally advised by Ashford Inc., Ashford benefited from successful transaction track record, disciplined capital market activities, and managed economic downturns. As of March 2024, Ashford has interests in 75 hotels totaling approximately 18,000 keys across different markets. In 2019, prior to the COVID-19 pandemic, the subject reported an occupancy rate of 85.3%, ADR of $246.53, and resulting RevPAR of $210.17. While occupancy has declined since 2019, the sponsor has been successful in achieving an ADR that is above the pre-pandemic level. The property achieved a RevPAR of $230.93 as of the T-12 ended March 31, 2024, compared with a RevPAR of $210.17 in 2019 and a RevPAR of $49.15 in 2020. Morningstar DBRS believes that the room rate has been normalizing because of the phasing out of the pent-up transient demand witnessed in the first half of 2023 as a result of the removal of the pandemic-related travel restrictions, as evidenced by the RevPAR of $230.33 in 2023, which was almost in line with the RevPAR of $230.93 as of the T-12 ended March 31, 2024. Morningstar DBRS expects moderate room rate growth because of the subject's location, capital improvements, and experienced sponsorship. Morningstar DBRS concluded to a RevPAR of $222.41, which is +5.8% above the 2019 level and -3.7% lower than the March 2024 T-12 level. 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 the Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Morningstar DBRS' ratings do not address the payment of Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US dollars unless otherwise noted. BARINGS CLO 2022-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2022-II reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2022-II A 06759UAA1 LT PIFsf Paid In Full AAAsf A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-1 06759UAC7 LT PIFsf Paid In Full AAsf B-2 06759UAJ2 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 06759UAE3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 06759UAG8 LT PIFsf Paid In Full BBB-sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E 06760UAA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating TRANSACTION SUMMARY Barings CLO Ltd 2022-II (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Barings LLC which originally closed in August 2022 and is being reset on July 15, 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.32, 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 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.34% versus a minimum covenant, in accordance with the initial expected matrix point of 71.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% 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 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 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'AAsf' 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. BARINGS CLO 2024-II: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Barings CLO Ltd. 2024-II. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2024-II A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Barings CLO Ltd. 2024-II (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.44, versus a maximum covenant, in accordance with the initial expected matrix point of 23.50. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.75% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.81% versus a minimum covenant, in accordance with the initial expected matrix point of 71.30%. Portfolio Composition (Positive): The largest three industries may comprise up to 48% 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, 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-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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, 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. BARINGS CLO 2024-III: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Barings CLO Ltd. 2024-III/Barings CLO 2024-III LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Barings LLC. The preliminary ratings are based on information as of July 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 Barings CLO Ltd. 2024-III/Barings CLO 2024-III LLC Class X, $5.00 million: AAA (sf) Class A, $310.00 million: AAA (sf) Class B, $70.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $46.40 million: Not rated BATTERY PARK: Fitch Assigns 'BB-sf' Final Rating on Class E-J Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Battery Park CLO Ltd reset transaction. Entity/Debt Rating ----------- ------ Battery Park CLO Ltd reset 2024 X LT NRsf New Rating A-R LT NRsf New Rating A-J LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB+sf New Rating D-J LT BBB-sf New Rating E LT BB+sf New Rating E-J LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Battery Park CLO Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Goldman Sachs Asset Management L.P. The original deal was closed in 2019 and on July 15, 2024, the reset deal will refinance all the existing secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $339 million of primarily first lien senior secured leveraged loans (excluding defaulted assets). 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 25.26, versus a maximum covenant, in accordance with the initial expected matrix point of 27.50. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.09% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.99% versus a minimum covenant, in accordance with the initial expected matrix point of 73.40%. 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 three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-R, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'BBsf' for class E, and between less than 'B-sf' and 'B+sf' for class E-J. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J 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-R, 'A+sf' for class D-J, 'BBB+sf' for class E, and 'BBB+sf' for class E-J. 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 Battery Park CLO Ltd reset transaction. 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. BBCMS 2019-BWAY: Fitch Lowers Rating on 4 Tranches to Csf --------------------------------------------------------- Fitch Ratings has downgraded seven classes of BBCMS 2019-BWAY Mortgage Trust (BBCMS 2019-BWAY) commercial mortgage pass-through certificates. Additionally, classes A and X-NCP remain on Rating Watch Negative following their downgrades. The other five classes were removed from Rating Watch Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-BWAY A 05492NAA1 LT B-sf Downgrade AA-sf B 05492NAC7 LT CCsf Downgrade A-sf C 05492NAE3 LT Csf Downgrade BBB-sf D 05492NAG8 LT Csf Downgrade BB-sf E 05492NAJ2 LT Csf Downgrade B-sf HRR 05492NAL7 LT Csf Downgrade CCCsf X-NCP 05492NAQ6 LT B-sf Downgrade AA-sf KEY RATING DRIVERS Performance Deterioration; Delinquent Loan; Value Decline: The downgrades reflect a significant decline in both the updated appraised value received in June 2024 and Fitch's value of the asset, leading to substantially lower recovery expectations since the last rating action in April 2024. The current ratings also factor in the loan's delinquent status and interest shortfalls affecting all classes since the June 2024 remittance. The decline in Fitch's value of the asset is driven by continued property performance deterioration and weaker market fundamentals beyond Fitch's view of sustainable performance and incorporates an alternative approach using a discounted cash flow analysis to consider the adverse impact of the illiquid office lending market and the short remaining term on the ground lease. The ratings of class A and interest-only class X-NCP consider the possibility of a loan modification that could include terms resulting in a full recovery to these classes as the sponsor and special servicer continue to negotiate workout options. The Rating Watch Negative continuation on class A and X-NCP reflects the likelihood of further downgrades if the borrower and special servicer fail to reach a commercially viable modification agreement for the loan. These classes will be downgraded to 'CCCsf' or below, including 'Dsf', if a modification that would result in a greater certainty of recovery to these classes does not occur. Fitch will resolve the Rating Watch status within six months or as further updates on the progress of the loan workout become available. Default is considered probable for class B, and considered inevitable for classes C through HRR. Recent commentary indicated the current special servicer, Mount Street, is dual tracking foreclosure and a potential loan modification. Fitch expects a commercially viable loan modification would align with industry standards, with terms that typically include a 1- to 3-year loan term extension, temporary payment relief and/or an A/B note bifurcation that incorporates additional capital infusion from the sponsor sufficient to address upcoming rollover and re-tenanting either in the form of reserves or new equity. Well-structured loan modifications also implement a cash trap for all excess property cashflow and have the borrower bring current the loan and all past due servicer advances and other fees. Significant Decline in Appraised Value: Fitch reviewed the appraisal performed by CBRE, which Fitch received a finalized copy in early June. The appraiser concluded a May 2024 as-is value of $136 million. This represents a 73% decline from the $510 million issuance appraised value. The appraisal also contemplated an as-stabilized value of $177 million in May 2029 with no ground lease extension, a hypothetical as-is value of $197 million with a ground lease extension and a hypothetical as-stabilized value of $286 million with a ground lease extension. Short-Term Leasehold Interest: The property is subject to a 76-year ground lease through December 2030, with one 18-year renewal option remaining, which would extend the ground lease through December 2048. The current ground lease payments are a fixed $414,000 per annum, which are set to increase to a fixed $450,000 per annum on January 2031 through December 2048. Under Fitch's standard approach, Fitch's updated sustainable net cash flow (NCF) of $21.9 million, which is down 20.5% from $27.6 million since the last rating action. The updated Fitch sustainable NCF, and a 9.5% cap rate result in a Fitch Value of approximately $231 million. Given the remaining term on the ground lease, and illiquid office lending market, Fitch does not believe that the reported cash flow is a good reflection of recoverable value. Fitch used an alternative approach to valuing the asset which incorporates a similar approach used in the appraisal received from the special servicer and applies a 24-year discounted cashflow (DCF) analysis to correspond to the remaining fully extended ground lease term. The ratings reflect this alternate approach. Fitch adjusted the appraiser's stabilized 24-year DCF for the first 10 years of the analysis reflecting Fitch's projections of stabilized occupancy, capital expenses, tenant improvements and leasing commissions. Fitch used a more conservative occupancy assumption generally 5% lower than the appraiser based on a more conservative lease-up projection as the loan modification and potentially the ground-lease extension are being negotiated. Fitch assumes that the property reaches an economic occupancy of approximately 77.3% in 2029 and 80.2% in 2034. CoStar projects that submarket occupancy for the Penn Plaza/Garment District office market will level off at approximately 80% through 2028. Fitch adjusted downward the capital expenditures to $20 million over 10 years from the appraiser's $32 million reflecting a more realistic assumption of what a leasehold owner might invest if the ground lease were not to be extended. Fitch's tenant improvement allowance assumptions for small office spaces were lowered to $23.50 psf and $11.75 psf for new/renewal leases based on 50% and 25% of market rent respectively. These smaller spaces are typically leased by garment tenants and are delivered in "white box" condition with minimal tenant improvement allowances. For larger office spaces, Fitch assumed approximately $55 psf and $22.50 psf for new/renewal leases based on 100% and 50% of the market rental rate respectively. Fitch applied 4% leasing commissions for new tenants and 2% for renewal tenants for all tenant types compared to the appraiser's estimate of 5.5% and 2.75% (new/renewal) for small tenants and 4.81% and 2.41% (new/renewal) for larger office spaces. These adjustments reflect Fitch's criteria and are closer to the current packages being offered to tenants at the subject property. This analysis indicates a Fitch value of approximately $190 million and represents the ratings case analysis for the downgrades. Specially Serviced Loan: The loan transferred to the special servicer in August 2023 ahead of its second extended maturity date in November 2023. The special servicer was subsequently transferred from KeyBank to Mount Street in November 2023. Fitch received a notice in June 2024 that the special servicer was being transferred by the new controlling class holder from Mount Street to Torchlight; however, Fitch has not received confirmation that the change in special servicer has been completed. As of the June 2024 payment date, the loan was reported as a non-performing matured balloon and was over 90 days past due, with the last paid through date as of March 2024. An appraisal reduction of $226.4 million has been applied to the loan balance as of the June 2024 remittance reporting, which has limited master servicer advancing on the loan. Interest shortfalls are currently affecting all classes per the remittance. Recovery of interest shortfalls are possible as the property continues to generate sufficient cash flow to pay debt service; however, recovery is reliant on the special servicer's application of cash flow to refund advances and interest shortfalls, and also likely to depend on the terms of a potential modification. Further Performance Declines: The servicer reported YE 2023 NCF was $19.5 million, compared to $22 million at YE 2022, $22.7 million at YE 2021, $28.7 million at YE 2020 and $36.5 million issuer underwritten NCF. Property operating expenses have increased as a percentage of income as rental revenue has declined due to higher vacancy. The property performance continues to lag the submarket averages. Per the appraisal, occupancy has declined to 74.3% from 81.3% at Fitch's prior April 2024 review (based on a February 2024 rent roll), 83.9% at YE 2022, 86.1% at YE 2021 and 93.8% at issuance in 2019. The average in place rent for office space is approximately $50 psf. Per recent CoStar reports (December 2023), the Penn Plaza/Garment office submarket has a reported vacancy rate of approximately 18% and average asking rents of approximately $66 psf for comparable class of office property types. The tenant roster is fairly granular, with the property comprising of a concentration of apparel and garment-related tenants which typically have smaller footprints. The servicer-provided rent roll indicates that the sponsor continues efforts to maintain occupancy and sign or renew both office and retail tenants at the property. Recent leasing at the property show office rental rates have generally ranged from around $40 psf to $55 psf (excluding rent steps) depending on the space and lease terms. As of the June 2024 servicer reporting, the leasing reserve has a balance of approximately $3.3 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Further downgrades to classes A and X-NCP, to 'CCCsf' or lower, including 'Dsf', are possible if workout negotiations stall, a modification that would result in a greater certainty of recovery to these classes does not occur or the property is transitioned to the lender. Further downgrades to the remaining classes are possible as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely due to the loan's delinquent status and market conditions that could affect the property's cash flow and recovery value, but may be possible with an extension of the ground lease coupled with a sustained improvement in collateral performance and greater certainty on the ultimate resolution of the loan. 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. BBCMS MORTGAGE 2024-5C27: Fitch Assigns B-sf Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2024-5C27 Commercial Mortgage Pass-Through Certificates, Series 2024-5C27 as follows: - $2,891,000a class A-1 'AAAsf'; Outlook Stable; - $103,853,000a class A-2 'AAAsf'; Outlook Stable; - $453,847,000a 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 class is not 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 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. Since Fitch published its expected ratings on June 18, 2024, the balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the expected class A-2 balance range was $0 to $250,000,000 and the expected class A-3 balance range was $307,700,000 to $557,700,000. Fitch's certificate balances for classes A-2 and A-3 were assumed at the midpoint of both classes (inclusive of the VRR interest). The final class balances for classes A-2 and A-3 are $103,853,000 and $453,847,000, respectively. 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 Wells Fargo, National Association and the special servicer is LNR Partners, LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates will 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 2020-B16: Fitch Lowers Rating on Two Tranches to 'Bsf' ---------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 14 classes of Benchmark 2020-B16 Mortgage Trust (BMARK 2020-B16). Negative Rating Outlooks were assigned to classes F and X-F following their downgrades. The Outlooks for affirmed classes A-M, X-A, B, C, X-B, D, E and X-D have been revised to Negative from Stable. Fitch has also downgraded four classes and affirmed 11 classes of Benchmark 2020-B17 Mortgage Trust (BMARK 2020-B17). Classes E, X-D and F-RR were assigned Negative Outlooks following their downgrades. The Outlook for affirmed classes A-S, X-A, B, C, X-B and D have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B16 A-1 08161NAA5 LT AAAsf Affirmed AAAsf A-2 08161NAB3 LT AAAsf Affirmed AAAsf A-3 08161NAC1 LT AAAsf Affirmed AAAsf A-4 08161NAE7 LT AAAsf Affirmed AAAsf A-5 08161NAF4 LT AAAsf Affirmed AAAsf A-M 08161NAH0 LT AAAsf Affirmed AAAsf A-SB 08161NAD9 LT AAAsf Affirmed AAAsf B 08161NAJ6 LT AA-sf Affirmed AA-sf C 08161NAK3 LT A-sf Affirmed A-sf D 08161NAW7 LT BBBsf Affirmed BBBsf E 08161NAY3 LT BBB-sf Affirmed BBB-sf F 08161NBA4 LT Bsf Downgrade BB-sf G 08161NBC0 LT CCCsf Downgrade B-sf X-A 08161NAG2 LT AAAsf Affirmed AAAsf X-B 08161NAL1 LT A-sf Affirmed A-sf X-D 08161NAN7 LT BBB-sf Affirmed BBB-sf X-F 08161NAQ0 LT Bsf Downgrade BB-sf X-G 08161NAS6 LT CCCsf Downgrade B-sf Benchmark 2020-B17 A-1 08162MAU2 LT AAAsf Affirmed AAAsf A-2 08162MAV0 LT AAAsf Affirmed AAAsf A-4 08162MAW8 LT AAAsf Affirmed AAAsf A-5 08162MAX6 LT AAAsf Affirmed AAAsf A-S 08162MBB3 LT AAAsf Affirmed AAAsf A-SB 08162MAY4 LT AAAsf Affirmed AAAsf B 08162MBC1 LT AA-sf Affirmed AA-sf C 08162MBD9 LT A-sf Affirmed A-sf D 08162MAC2 LT BBBsf Affirmed BBBsf E 08162MAE8 LT BBsf Downgrade BBB-sf F-RR 08162MAG3 LT B-sf Downgrade BB-sf G-RR 08162MAJ7 LT CCCsf Downgrade B-sf X-A 08162MAZ1 LT AAAsf Affirmed AAAsf X-B 08162MBA5 LT A-sf Affirmed A-sf X-D 08162MAA6 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 3.90% in BMARK 2020-B16 and 4.84% in BMARK 2020-B17. Fitch Loans of Concern (FLOCs) comprise four loans (19.2% of the pool) in BMARK 2020-B16, including one loan in special servicing (3.8%), and eight loans (35.4%) in the BMARK 2020-B17, including one loan in special servicing (2.0%). BMARK 2020-B16: The downgrades in the BMARK 2020-B16 transaction reflect higher overall pool losses since the prior rating action, driven by performance deterioration of FLOCs, including 181 West Madison (4.8%), Landing Square (4.0%), West Road Plaza (2.4%) and Creekside (1.6%). The Negative Outlooks on classes A-M through E in BMARK 2020-B16 reflect the concentration of office loans within the pool (26.6%) and the potential for downgrades should performance of the FLOCs, 3500 Lacey (5.6%), 181 West Madison (4.8%), Landing Square (4.0%), West Road Plaza (2.4%) and Creekside (1.6%), fail to stabilize, and/or with additional declines in performance or prolonged workouts of the loans in special servicing. BMARK 2020-B17: The downgrades in the BMARK 2020-B17 transaction reflect higher overall pool losses since the prior rating action, driven by performance deterioration of office and retail FLOCs, including 3000 Post Oak (3.2%), Crenshaw Plaza (3.3%) and Murphy Crossing (9.1%). The Negative Outlooks in BMARK 2020-B17 reflect the high office concentration of 42.1% and the potential for downgrades without performance stabilization of the FLOCs, Murphy Crossing, 650 Madison Avenue, Apollo Education Group HQ Campus, 3500 Lacey, The Westin Book Cadillac, Crenshaw Plaza, 3000 Post Oak and 25 Jay Street. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action in the BMARK 2020-B16 transaction is the 181 West Madison loan (4.8%), secured by a 50-story, 946,099-sf office tower located in the central business district (CBD) of Chicago, IL. The largest tenant is Northern Trust (42.3% of the NRA) with a lease expiration in December 2027. The loan transferred to special servicing in November 2021 due to the bankruptcy of the borrower, HNA Group and returned to the master servicer following a loan modification in August 2023. Property performance has deteriorated since issuance. As of YE 2023, occupancy was 80% with a NOI DSCR of 1.46x, down from 88% and 5.16x at issuance. Additionally, the Central Loop office submarket remains challenged, exhibiting a vacancy rate of 21.2%, as reported by CoStar as of 2Q24. Due to the performance declines since issuance and weakened submarket fundamentals, this loan no longer has the credit characteristics consistent with an investment-grade credit opinion. Fitch's 'Bsf' rating case loss of 8.0% (prior to concentration adjustments) reflects a higher stressed cap rate of 9.5% (up from 8.75% at issuance) and a lower updated Fitch sustainable net cash flow (NCF) of $13.1 million, which is 19.4% below Fitch's issuance NCF of $16.2 million, factoring a higher vacancy assumption due to the elevated submarket vacancy and availability rates. This resulted in a Fitch-stressed valuation decline that is approximately 63% below the issuance appraisal. The second largest increase in loss expectations since the prior rating action for BMARK 2020-B16 is the West Road Plaza loan (2.4%), secured by a 444,756-sf retail power center located in northwest Houston, TX. Major tenant, Fry's Electronics (30.6% of the NRA), closed in 2021 following its bankruptcy and the space has remained dark. The lease sweep was activated, and there are currently $2.0 million reserved in the lease sweep account. As of YE 2023, occupancy was 69% with a NOI DSCR of 1.70x, down from 95% and 3.11x at issuance. Fitch's 'Bsf' rating case loss of 12.1% (prior to concentration adjustments) reflects a 9.25% cap rate and 10% stress to the YE 2023 NOI to account for the continued low occupancy. The third largest increase in loss expectations since the prior rating action in the BMARK 2020-B16 is the Landing Square loan (4.0%), secured by a 322-unit garden-style multifamily property located in Atlanta, GA. Property performance has deteriorated with TTM March 2024 occupancy falling to 82% from 92% at YE 2023. Cash flow has also declined with TTM March 2024 NOI DSCR down to 0.91x from 1.14x at YE 2023 and 1.52x at YE 2022. Fitch's 'Bsf' rating case loss of 10.0% (prior to concentration adjustments) reflects an 8.75% cap rate and a 10% stress to the TTM March 2024 NOI. The fourth largest increase in loss expectations since the prior rating action in the BMARK 2020-B16 is the Creekside loan (1.6%), secured by a 99,353-sf office complex located in Salem, OR. Property performance has deteriorated with YE 2023 NOI falling 40% below YE 2022 and 38% below the originator's underwritten NOI from issuance. As of June 2024, occupancy was 87% with YE 2023 NOI DSCR of 2.25x, down from 94% and 3.77x at YE 2022. Fitch's 'Bsf' rating case loss of 12.0% (prior to concentration adjustments) reflects a cap rate of 11% and a 20% stress to the YE 2023 NOI to account for concentrated lease rollover of 50% over the next three years. The largest increase in loss expectations since the prior rating action and the second largest contributor to overall pool loss expectations in the BMARK 2020-B17 transaction is the 3000 Post Oak loan (3.2%), secured by a 19-story, 441,523-sf office building located in Houston, TX. The loan has an upcoming maturity in March 2025. The single tenant, Bechtel (98.9% of the NRA) is expected to vacate at lease expiration in July 2024. According to media reports, the tenant will be relocating to another office property for approximately half the size of its current space by the end of this year. The Galleria/Uptown submarket of Houston reported an elevated vacancy rate of 29.7% according to Costar as of 2Q24. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 25.9% reflects a 10.25% cap rate, 15% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of the single tenant, high submarket vacancy and anticipated maturity default concerns. The second largest increase in loss expectations since the prior rating action and the largest contributor to overall pool loss expectations in the BMARK 2020-B17 transaction is the Crenshaw Plaza loan (3.3%), secured by a 137,794-sf retail center located in Los Angeles, CA. The anchor tenant, Ralph's Market (30.9% of the NRA), closed its store in May 2021. The space has remained dark since then and the tenant fully vacated at lease expiration in May 2024. Cash management has been activated. As of YE 2023, occupancy for the center was 65% with a NOI DSCR of 0.70x. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 25.4% reflects the YE 2023 NOI and an elevated cap rate of 9.25% due to the loss of the anchor tenant at the property. The third largest increase in loss expectations since the prior rating action and the third largest contributor to overall pool loss expectations for BMARK 2020-B17 is the Murphy Crossing loan (9.1%), secured by a 363,567-sf office property located in Milpitas, CA. The largest tenant is Intersil Corporation (59.5% of the NRA) which has a lease expiration in April 2026. As of March 2024, reported occupancy for the property has fallen to 79%. Additionally, CoStar reports about 44% of Intersil Corporation's space is available for sublease. There is currently $2.0 million reserved for lease rollover. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 7.7% reflects a higher cap rate of 10% (up from 9% at issuance) and a 40% stress to the most recently reported TTM June 2023 NOI to address the tenancy and occupancy concerns. 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 expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class credit enhancement (CE), or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the FLOCs, most notably 181 West Madison, Landing Square, West Road Plaza and Creekside in BMARK 2020-B16, and 3000 Post Oak, Crenshaw Plaza, The Westin Book Cadillac and Murphy Crossing in BMARK 2020-B17, deteriorate further or if more loans than expected default at or prior to maturity. Downgrades for 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 'CCCsf' ratings 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 181 West Madison, Landing Square, West Road Plaza and Creekside in BMARK 2020-B16, and 3000 Post Oak, Crenshaw Plaza, The Westin Book Cadillac and Murphy Crossing in BMARK 2020-B17. 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 'CCCsf' ratings 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. BENCHMARK 2024-V8: Fitch Assigns 'B-sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2024-V8 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2024-V8 as follows: - $15,468,000 class A-1 'AAAsf'; Outlook Stable; - $122,050,000 class A-2 'AAAsf'; Outlook Stable; - $569,471,000 class A-3 'AAAsf'; Outlook Stable; - $97,211,000 class A-M 'AAAsf'; Outlook Stable; - $804,200,000a,b class X-A 'AAAsf'; Outlook Stable; - $53,025,000 class B 'AA-sf'; Outlook Stable; - $37,874,000 class C 'A-sf'; Outlook Stable; - $22,725,000b class D 'BBBsf'; Outlook Stable; - $22,725,000a,b class X-D 'BBBsf'; Outlook Stable; - $11,362,000b,c class E-RR 'BBB-sf'; Outlook Stable; - $21,462,000b,c class F-RR 'BB-sf'; Outlook Stable; - $15,150,000b,c class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $44,187,421b,c class J-RR; - $92,161,421a,b class X-RR. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expecting ratings on June 24, 2024, a change has occurred. The balances for class 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 range of $0-$300,000,000. The final class balance for class A-2 is $122,050,000. The certificate balance of the A-3 class was expected to be in the range of $300,000,000 to $691,521,000. The final class balance for class A-3 is $569,471,000. The ratings are based on information provided by the issuer as of July 18, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 35 fixed-rate, commercial mortgage loans with an aggregate principal balance of $1,009,985,421, as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 81 commercial properties. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Bank of Montreal and Barclays Capital Real Estate Inc. The master servicer is Wells Fargo Bank, National Association and the special servicer is LNR Partners, LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. These certificates will follow a sequential paydown structure. Fitch has withdrawn the expected rating of 'A-sf(EXP)' for class X-B because the class was removed from the deal structure by the issuer. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 25 loans totaling 92.9% of the pool by balance, including the largest 20 loans and all hospitality and office loans in the pool. Fitch's resulting net cash flow (NCF) of $107.4 million represents a 15.8% decline from the issuer's underwritten NCF of $127.6 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 96.2% is higher than recent similar private label multiborrower YTD 2024 transactions and 2023 averages of 90.6% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 10.6% is lower than the YTD 2024 and in line with the 2023 averages of 10.9% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 10.7% of the pool balance received an investment grade credit opinion. 640 Fifth Avenue (9.6% of the pool) received a standalone credit opinion of 'BBB+sf*', and GNL Portfolio (1.1%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 10.7% is lower than the YTD 2024 and 2023 averages of 13.2% and 14.6%, respectively. The pool's Fitch LTV and DY, excluding credit opinion loans (COLs), are 99.3% and 10.6%, respectively. 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 (PD) 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 analyzing 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: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/; 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'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on 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. BENEFIT STREET XXVI: S&P Assigns BB-(sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and new class X debt from Benefit Street Partners CLO XXVI Ltd./Benefit Street Partners CLO XXVI LLC, a CLO originally issued in June 2022 that is managed by BSP CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full On the July 22, 2024, refinancing date, the proceeds from the replacement debt were used to redeem the original debt. At that time, S&P withdrew its ratings on the original debt and assigned ratings to the replacement debt. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, and E-R debt was issued at a lower spread over three-month term SOFR than the original debt. -- The replacement class sequential D-1-R and D-2-R debt was issued at a spread of 3.00% and 4.40%, respectively, over three-month term SOFR, replacing the current class D debt. -- The stated maturity and reinvestment period were extended three years, while the non-call period was extended just over two years. -- The term "pre-reset assets" was added to the transaction for the refinancing. -- 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 16 payment dates, beginning with the payment date in October 2024. 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 Benefit Street Partners CLO XXVI Ltd./ Benefit Street Partners CLO XXVI LLC Class X, $4.00 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R. $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO XXVI Ltd./ Benefit Street Partners CLO XXVI LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Benefit Street Partners CLO XXVI Ltd./ Benefit Street Partners CLO XXVI LLC Subordinated notes, $35.70 million: NR NR--Not rated. BENEFIT STREET XXVI: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and proposed new class X debt from Benefit Street Partners CLO XXVI Ltd./Benefit Street Partners CLO XXVI LLC, a CLO originally issued in June 2022 that is managed by BSP CLO Management LLC. The preliminary ratings are based on information as of July 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 22, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, and E-R notes are expected to be issued at a lower spread over three-month term SOFR than the original notes. -- The replacement class sequential D-1-R and D-2-R notes are expected to be issued at a spread of 3.00% and 4.40%, respectively, over three-month term SOFR, replacing the current class D notes. -- The stated maturity and reinvestment period will be extended three years, while the non-call period will be extended just over two years. -- The term "pre-reset assets" was added to the transaction for the refinancing. -- The class X notes will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 16 payment dates beginning with the payment date in October 2024. -- Of the identified underlying collateral obligations, 99.5% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 92.7% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. 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 Benefit Street Partners CLO XXVI Ltd./ Benefit Street Partners CLO XXVI LLC Class X, $4.00 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R. $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Subordinated notes, $35.70 million: Not rated BFLD TRUST 2020-EYP: S&P Affirms CCC (sf) Rating on Class D Certs ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class A, B, C, and X-EXT commercial mortgage pass-through certificates from BFLD Trust 2020-EYP, a U.S. CMBS transaction. At the same time, we affirmed our rating on the class D certificates from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a floating-rate, interest-only (IO) mortgage loan. The loan is secured by the borrower's fee simple interest in EY Plaza, a 1985-built, 41-story, 938,097-sq.-ft. class A office building located at 725 South Figueroa St. in the Downtown Los Angeles office submarket, and a portion (1,480 parking spaces) of an adjacent 13-level, 2,400-space parking structure. Rating Actions The downgrades on classes A, B, and C, and the affirmation on class D reflect the following: -- S&P's revised expected-case valuation, which is 29.3% lower than the valuation it derived in its January 2024 review. Based on recent available market value data for comparable peer office properties, particularly the 777 Tower, which is in the same master planned development as the collateral property, we believe the subject property's current market value may be closer to the $140-$150 per sq. ft. range, which is considerably lower than the December 2023 appraised value of $225 per sq. ft. -- The property's reported net cash flow (NCF) and occupancy have not materially improved and remain depressed. -- S&P's view that the continued increase in loan exposure, due primarily to servicer advances for loan debt service and other expenses, may further reduce liquidity and recovery of the $275.0 million loan, which has a reported nonperforming matured balloon payment status. Since January 2024, the reported loan exposure increased $16.5 million to $307.3 million as of the July 2024 reporting period. S&P said, "The downgrade on class C to 'CCC (sf)' and the affirmation on class D ('CCC (sf)') also reflect our view that these classes are at heightened risk of default and loss and are susceptible to liquidity interruption, based on recent available market data on comparable peer office properties, current market conditions, and their positions in the payment waterfall. "The downgrade on the class X-EXT IO certificates reflects our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates references class A." At the time of our Jan. 29, 2024, review, the loan had a reported nonperforming matured balloon payment status. It had outstanding advances and accruals totaling $15.8 million, which comprised the following: -- Interest advances totaling $13.4 million; -- Other expenses advances totaling $258,232; -- Accrued unpaid interest totaling $360,651; and -- Cumulative appraisal subordinate entitlement reduction (ASER) amounts totaling $1.8 million. The special servicer, Situs Holding LLC, stated that it was still developing a liquidation strategy and resolution timing was unknown. Situs has also informed S&P that it has received approval, but the settlement documents were still in negotiations to fund the approximately $10.5 million outstanding amounts to settle the litigations and mechanic liens on the property from two tenants: Jackson Lewis P.C. (5.2% of net rentable area) and Saiful Bouquet Structural Engineers (2.7%). The master servicer, KeyBank Real Estate Capital, implemented an appraisal reduction amount of $104.7 million based on the revised $210.7 million appraised value published in the December 2023 reporting period. This caused class E (not rated by S&P Global Ratings) and the subordinate classes to incur interest shortfalls. According to the Jan. 16, 2024, trustee remittance report, the monthly interest shortfalls totaled $907,440 and the cumulative interest shortfalls totaled $1.8 million. Since then, according to the July 15, 2024, trustee remittance report, the loan exposure increased $16.5 million to $307.3 million. The outstanding advances and accruals totaling $32.3 million included the following: -- Interest advances totaling $13.9 million, -- Other expenses advances totaling $10.7 million, -- Accrued unpaid interest totaling $595,437, and -- Cumulative ASER amounts totaling $7.1 million. As of the July 2024 trustee remittance report, classes E, F, G, and HRR (which are not rated by S&P Global Ratings) have experienced monthly interest shortfalls totaling $875,288 and had cumulative interest shortfalls outstanding totaling $7.1 million primarily due to the ASER amount. S&P said, "In our current analysis, Situs has indicated that it plans to sell the property through receivership, with a targeted resolution timing by year end. It also noted that all but two mechanic liens totaling $1.4 million have been addressed through settlements with the two tenants. Based on the special servicer's targeted resolution timing, we assessed that the loan exposure may increase by another $6.3 million to about $313.6 million. We will continue to monitor the asset resolution, including the anticipated timing and trajectory of future exposure build, and revise our analysis and take additional rating actions as we determine necessary." Updates To Property-Level Analysis As of the June 30, 2024, rent roll, the property was 71.5% leased. The special servicer reported a net operating income of $15.8 million for the trailing 12 months ended March 31, 2024. S&P said, "In our current analysis, after considering potential tenant movements, we revised and lowered our sustainable NCF to $13.0 million from $15.0 million in our January 2024 review, assuming a 69.7% occupancy rate, a $49.08-per-sq.-ft. S&P Global Ratings gross rent, and a 55.9% operating expense ratio. Using an S&P Global Ratings capitalization rate of 7.5% (unchanged from the last review) and deducting $40.0 million in mechanic liens recorded against the property and outstanding and projected advances through January 2025, we arrived at an S&P Global Ratings expected-case value of $133.6 million, or $142 per sq. ft., which is 36.6% below the December 2023 appraisal value of $210.7 million ($225 per sq. ft.) and a 29.3% decline from our January 2024 review's expected-case value of $189.1 million ($202 per sq. ft.). This yielded an S&P Global Ratings loan-to-value ratio of 205.8% on the trust balance." S&P said, "In our analysis, we also considered that the 1.4 million-sq.-ft. Gas Company Tower, another downtown Los Angeles office building owned by the sponsor, was recently re-appraised in March 2024 at $214.5 million, or $156 per sq. ft., a decline of 20.6% from its April 2023 appraised value of $270.0 million ($196 per sq. ft.) and 66.1% from its issuance appraised value of $632.0 million ($459 per sq. ft.). The Gas Company Tower secures the sole loan in GCT Commercial Mortgage Trust 2021-GCT (not rated by S&P Global Ratings) and has a reported foreclosure in progress payment status. In addition, CoStar noted that the nearby 1.1 million-sq.-ft. Aon Center office tower was acquired in late 2023 for about $140 per sq. ft. and the 215,000-sq.-ft. 617 W. 7th Street office property was purchased for roughly $95 per sq. ft. in April 2024. Further, the adjacent 1.0 million-sq.-ft. 777 Tower, which is also owned by the sponsor, was set to sell for approximately $145.0 million or $141 per sq. ft., but the deal fell through in April 2024." Ratings Lowered BFLD Trust 2020-EYP Class A to 'BB- (sf)' from 'A (sf)' Class B to 'B- (sf)' from 'BBB- (sf)' Class C to 'CCC (sf)' from 'B (sf)' Class X-EXT to 'BB- (sf)' from 'A (sf)' Rating Affirmed BFLD Trust 2020-EYP Class D: CCC (sf) BFLD TRUST 2024-WRHS: Fitch Assigns 'BBsf' Rating on Class E Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks to the BFLD Trust 2024-WRHS, Commercial Mortgage Pass-Through Certificates, Series 2024-WRHS: - $374,480,000 class A 'AAAsf'; Outlook Stable; - $47,300,000 class B 'AAsf'; Outlook Stable; - $56,410,000 class C 'A-sf'; Outlook Stable; - $68,060,000 class D 'BBB-sf'; Outlook Stable; - $31,730,000 class E 'BB+sf'; Outlook Stable; - $30,420,000b class HRR 'BBsf'; Outlook Stable. (a) Notional amount and interest only. (b) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Since Fitch published its expected ratings on June 24, 2024 the interest rate classes X-CP and X-NCP have been removed. Since Fitch published its expected ratings on June 24, 2024 classes X-CP and X-NCP were removed from the transaction structure by the issuer. Fitch has withdrawn the expected 'BBB-(EXP)sf' ratings from each of the class X-CP and X-NCP because the classes were removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust that will hold a $608.4 million, two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 83 industrial facilities, comprising approximately 9.9 million sf located in eight states and 12 markets. The mortgage loan, along with approximately $241.5 million of sponsor equity, was used to acquire the portfolio for $825.4 million and to pay the transaction closing costs of approximately $24.5 million, resulting in a total cost amount of $849.9 million. The certificates will follow a pro rata paydown for the initial 25% of the loan amount and a standard senior-sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default (EOD) is continuing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. The loan is expected to be originated by Morgan Stanley Bank, N.A., Bank of Montreal, German American Capital Corporation and Société Générale Financial Corporation. KeyBank National Association is expected to be the servicer with Situs Holdings, LLC as special servicer. Wilmington Trust, National Association will act as the trustee and Computershare Trust Company, N.A. will serve as the certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is scheduled to close on July 18, 2024. Since Fitch published its expected ratings on June 24, 2024, classes X-CP and X-NCP were removed from the transaction structure by the issuer. Fitch has withdrawn the expected 'BBB-(EXP)sf' ratings from each of the class X-CP and X-NCP because the classes were removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is $46.4 million. This is 2.8% lower than the issuer's NCF and 3.0% higher than the fiscal 2023 NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $640.6 million. High Fitch Leverage: The $608.4 million whole loan equates to debt of approximately $61psf with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.93x, 95.0% and 7.6%, respectively. The loan represents approximately 60.1% of the appraised value of $1.0 billion. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch market LTV is 88.0%. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity with 83 industrial properties (9.9 million sf) located across eight states and 12 markets, per CoStar. The three largest state concentrations are Ohio (2.5 million sf; 16 properties), Georgia (1.9 million sf; 18 properties) and Texas (1.6 million sf; 21 properties). The three largest MSAs are Columbus, OH (23.2% of NRA; 17.4% of allocated loan amount [ALA]), Atlanta, GA (18.9% of NRA; 18.9% of ALA) and Chicago, IL (13.8% of NRA; 13.5% of ALA). The Fitch effective geographic count for the pool is 6.3. The portfolio also exhibits significant tenant diversity, as it features 186 distinct tenants. Institutional Sponsorship and Management: The loan is sponsored by Brookfield affiliates and managed by Brookfield Properties (USA), LLC. Brookfield manages approximately $900 billion in AUM, $271 billion of which falls within real estate. Its commercial portfolio includes six sectors: office, retail, alternative, multifamily, hospitality and logistics. Brookfield's North American logistics business includes 320 properties containing 64 million sf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf '/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf' - 10% NCF Decline: 'AA+sf'/'Asf '/'BBB-sf'/'BBsf'/'BB-sf'/'B+sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf '/'Asf'/'BBB-sf'/'BB+sf'/'BBsf' - 10% NCF Increase: 'AAAsf'/'AAAsf '/'AA-sf'/'BBB+sf'/'BBBsf'/'BBB-sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BMO 2024-C9: Fitch Assigns 'B-sf' Rating on Class G-RR Certificates ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BMO 2024-C9 Mortgage Trust commercial mortgage pass-through certificates, series 2024-C9 as follows: - $4,947,000a class A-1 'AAAsf'; Outlook Stable; - $9,860,000a class A-2 'AAAsf'; Outlook Stable; - $7,634,000a class A-SB 'AAAsf'; Outlook Stable; - $637,854,000a class A-5 'AAAsf'; Outlook Stable; - $660,295,000ab class X-A 'AAAsf'; Outlook Stable; - $116,731,000a class A-S 'AAAsf'; Outlook Stable; - $40,089,000a class B 'AA-sf'; Outlook Stable; - $30,657,000a class C 'A-sf'; Outlook Stable; - $187,477,000ab class X-B 'A-sf'; Outlook Stable; - $18,866,000ac class D 'BBBsf'; Outlook Stable; - $9,432,000ac class E 'BBB-sf'; Outlook Stable; - $28,298,000abc class X-D 'BBB-sf'; Outlook Stable; - $18,866,000ac class F 'BB-sf'; Outlook Stable; - $18,866,000abc class X-F 'BB-sf'; Outlook Stable; - $11,791,000acd class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $36,552,471acd class J-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 3.05% 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) Classes G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. The ratings are based on information provided by the issuer as of July 17, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 45 loans secured by 73 commercial properties having an aggregate principal balance of $943,279,471 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, Argentic Real Estate Finance 2 LLC, Wells Fargo Bank, National Association, Société Générale Financial Corporation, Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., UBS AG, KeyBank National Association, Zions Bancorporation, N.A., LMF Commercial, LLC, and BSPRT CMBS Finance, LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is Argentic Services Company LP. The trustee and certificate administrator is Computershare Trust Company, N.A. The certificates follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 56.6% of the loans by balance, cash flow analysis of 92.4% of the pool and asset summary reviews on 100% of the pool. Since Fitch published its expected ratings on June 21, 2024, class A-4 was removed from the transaction structure by the issuer. At the time the expected ratings were published, the class A-4 and class A-5 initial certificate balances were unknown, and were expected to total $637,854,000 in the aggregate, including their proportionate share of the vertical risk retention interest. The initial certificate balance of class A-5 is $637,854,000, including its proportionate share of the vertical risk retention interest. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' from class A-4, because the class was removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 35 loans totaling 92.4% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $107.5 million represents a 12.78% decline from the issuer's aggregate underwritten NCF of $123.3 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 86.4% is better than both the 2024 YTD and 2023 averages of 88.7% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 11.4% is better than both the 2024 YTD and 2023 averages of 11.3% and 10.9%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 15.9% of the pool by balance received an investment-grade credit opinion. St. Johns Town Center (8.6%) received an investment-grade credit opinion of 'Asf*' on a standalone basis. 20 & 40 Pacifica (7.3%) received an investment-grade credit opinion of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is better than the 2024 YTD average of 12.8%, but worse than the 2023 average of 17.8%. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 89.9% and 11.2%, respectively, compared to the equivalent conduit 2024 YTD LTV and DY averages of 93.3% and 10.7%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans make up 62.0% of the pool, which is worse than the 2024 YTD average of 58.9%, but better than the 2023 average of 63.7%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.4. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Higher Amortization: Based on the scheduled balances at the end of the loan terms, the pool will pay down by 1.5%, which is better than both the 2024 YTD and 2023 averages of 0.8% and 1.4%, respectively. The pool has 31 interest-only loans (85.9% of the pool), which is better than the 2024 YTD average of 89.9% but worse than the 2023 average of 84.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRIDGECREST LENDING 2024-3: S&P Assigns 'BB' Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Bridgecrest Lending Auto Securitization Trust 2024-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 63.32%, 58.69%, 49.45%, 38.73%, and 34.37% credit support (hard credit enhancement and a haircut to excess spread) for the class A (collectively, class A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on S&P's final post-pricing stressed breakeven cash flow scenarios. These credit support levels provide at least 2.37x, 2.25x, 1.85x, 1.38x, and 1.25x coverage of its expected cumulative net loss of 25.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.38x S&P's expected loss level), all else being equal, its 'A-1+ (sf)', 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A-1, A-2/A-3, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (A+/Stable/A-1), which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, and our view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. (BBB/Stable/--). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structure. Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2024-3 Class A-1, $96.00 million: A-1+ (sf) Class A-2, $128.00 million: AAA (sf) Class A-3, $112.00 million: AAA (sf) Class B, $64.00 million: AA+ (sf) Class C, $100.00 million: A+ (sf) Class D, $124.00 million: BBB (sf) Class E, $56.00 million: BB (sf) BRSP 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of commercial mortgage-backed notes issued by BRSP 2021-FL1, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) Morningstar DBRS changed the trends on Classes F and G to Negative from Stable. The trends on the remaining classes remain Stable. The trend changes reflect the increased credit risk to the transaction as a result of Morningstar DBRS' increased loan-level expected losses for loans secured by office collateral, which represent 35.4% of the current trust balance. In particular, the two largest loans secured by office properties, Mohawk Business Park (Prospectus ID#41; 5.7% of the current pool) and Makers Point (Prospectus ID#39; 5.5% of the current pool), have both been modified in the last year to extend their respective maturity dates and reduce the loans' interest rate spread. Both loans are secured by office properties located in suburban markets with a Morningstar DBRS Market rank of 3 or 4, which historically have exhibited less investor demand and higher probabilities of default (PODs). Business plan progression has been slow to date, with occupancy rates at both properties well below stabilized levels. Morningstar DBRS analyzed both loans with increased loan-to-value ratios (LTVs) and elevated PODs, resulting in expected loss levels for both loans approximately 60.0% greater than the pool's weighted-average (WA) expected loss. Throughout 2024, 18 loans, representing 70.7% of the current trust balance, are scheduled to mature. Six of these loans, representing 19.5% of the current trust balance, are secured by office properties. Given the ongoing headwinds in the office market, lending activity on office properties slowed significantly in 2023 and continues to struggle through Q2 2024. As such, Morningstar DBRS expects borrowers to face difficulties in executing exit strategies over the near to medium term. While the majority of the loans include extension options, the borrowers may require loan modifications as several loans will be unable to achieve the performance-based extension requirements. Despite the increased credit risk with the transaction's office loans and concerns with upcoming loan maturities, the credit rating confirmations reflect the increased credit support to the bonds as a result of successful loan repayments, with collateral reduction of 14.7% since issuance. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. At issuance, the initial collateral consisted of 31 floating-rate mortgages or pari passu participation interests in mortgage loans secured by 41 mostly transitional properties with a cut-off balance totaling $800.0 million. As of the June 2024 remittance, the pool comprises 26 loans secured by 31 properties with a cumulative trust balance of $682.2 million. Most loans are in a period of transition with plans to stabilize and improve the asset's value. The transaction had a Reinvestment Period that expired with the July 2023 payment date. Since the previous Morningstar DBRS credit rating action in July 2023, three loans with a former trust balance of $111.8 million were re-paid in full. Beyond the office concentration noted above, the transaction also comprises 15 loans, representing 60.6% of the current trust balance, secured by multifamily properties and one loan, representing 4.1% of the pool, secured by a mixed-use property with multifamily, retail, and office components. In comparison with the June 2023 reporting, office represented 29.9% of the collateral while multifamily properties represented 66.6% of the collateral and mixed-use properties represented 3.5% of the collateral. The loans are secured primarily by properties in suburban markets. Four loans, representing 16.6% of the pool, are secured by properties in urban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 6, 7, or 8. The remaining 21 loans, representing 83.4% of the pool, are secured by properties in suburban markets, as defined by Morningstar DBRS, with a Morningstar DBRS Market Rank of 3, 4, or 5. In comparison, as of June 2023, properties in urban markets represented 14.1% of the collateral while suburban markets represented 85.9% of the collateral. Based on the as-is appraised values, leverage across the pool has increased slightly from issuance, with a current WA LTV of 76.4%, up from 74.5% at issuance. However, the WA stabilized LTV decreased over that same period, dropping to 64.6% from 69.2% at issuance. Morningstar DBRS recognizes that select property values may be inflated as the majority of the individual property appraisals were completed in 2021 and 2022 and may not reflect the current rising interest rate or widening capitalization rate (cap rate) environments. In the analysis for this review, Morningstar DBRS applied upward LTV adjustments across 12 loans, representing 54.3% of the current trust balance. Through May 2024, the lender has advanced cumulative loan future funding of $71.8 million to 23 individual borrowers to aid in property stabilization efforts. The largest future funding advances have been released to the borrowers of the Central Park Plaza loan (Prospectus ID#31; 1.6% of the current pool) ($13.6 million) and the 360 Wythe loan (Prospectus ID#13; 4.1% of current pool) ($11.7 million). The Central Park Plaza loan is secured by six office properties in San Jose, California, and the 360 Wythe loan is secured by a mixed-use property in Brooklyn, New York. The borrowers on both loans have used loan future funding for capital improvement projects and to fund leasing costs. Additional future funding is available for the borrower of the 360 Wythe loan for debt service shortfalls and a potential earn-out, though the earn-out has not been achieved to date. The sponsor for the Central Park Plaza loan has completed the planned exterior renovations and has built out several spec suites, resulting in an occupancy rate of 88.1% as of December 2023. The sponsor for 360 Wythe has successfully leased 96.0% of the multifamily portion of the collateral as of December 2023 and has signed several retail tenants since loan close, resulting in an occupancy rate of 100.0% for the retail portion. The office component was reported as just 8.7% occupied as of December 2023, but this is expected to increase to 70.0% once a recently signed tenant takes occupancy in Q2 2024. An additional $41.6 million of loan future funding allocated to 22 individual borrowers remains available. The largest amount outstanding is $6.2 million to the borrower of the aforementioned 360 Wythe loan for debt service shortfalls and a future earn-out conditional on the achievement of a 7.25% debt yield and a 1.15 times (x) debt service coverage ratio. Based on the YE2023 net cash flow of $3.2 million and the funded loan balance of $77.7 million, the loan's debt yield is approximately 4.1%. The second-largest amount of future funding outstanding is $5.6 million to the borrower of the Mohawk Business Park loan. The loan is secured by a Class B office property in Tualatin, Oregon, with loan future funding available to fund capital improvements and leasing costs. Capital improvements funding totaling $6.1 million has been spent over the last six years. The sponsor is currently attempting to lease up the property from the 56.6% occupancy rate reported as of December 2023. A tenant representing 3.2% of net rentable area (NRA) has been signed at a rental rate of $26.00 per square foot (psf) and two tenants, collectively representing 4.5% of NRA, have renewed at an average rental rate of $26.65 psf, in line with Morningstar DBRS' concluded rental rate estimate when the loan was contributed to the pool in 2022. The loan is structured with three 12-month extension options, the first of which was exercised in December 2023. As part of the extension, the loan was modified to reduce the loan's interest rate spread. In connection with the modification, the sponsor made a $250,000 deposit to a shortfall reserve and purchased a new interest rate cap. Given the leasing slowdown in the office market, the property's low occupancy rate, and the loan modification, in its analysis, Morningstar DBRS applied an upward LTV adjustment, reflecting an in-place LTV approaching 100.0% and a stabilized LTV exceeding 90.0%. Morningstar DBRS also increased the loan's POD, resulting in an expected loss approximately 70.0% greater than the pool's WA expected loss. As of the June 2024 remittance, there are no delinquent loans or loans in special servicing; however, 16 loans, representing 60.8% of the current trust balance, are on the servicer's watchlist for a variety of reasons, mainly for upcoming loan maturity as well as low debt service coverage ratios and occupancy rates. All affected borrowers, with the exception of the 450 Pacific Avenue loan (Prospectus ID#16; 3.4% of the current pool), have outstanding maturity date extension options on their respective loans. The 450 Pacific Avenue loan has a final maturity date in October 2024 and is currently 100.0% occupied by a single tenant, with refinancing conversations currently in progress. Three loans, representing 16.6% of the current trust balance, have been modified. The modifications have generally allowed borrowers to exercise loan extension options by amending loan terms in return for fresh equity deposits and the purchase of a new interest rate cap agreement. The most common amendments include the removal of performance-based tests and changes to the loans' interest rate spread. Notes: All figures are in U.S. dollars unless otherwise noted. BSST 2021-1818: S&P Affirms BB+ (sf) Rating on Class C Certs ------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from BSST 2021-1818 Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its rating on the class C certificates from the transaction. This U.S. standalone (single-borrower) CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee-simple and leasehold interests in a 1972-built, 37-story, 999,828 sq. ft. class A office building located at 1818 Market Street in the Philadelphia central business district. Rating Actions The downgrades on classes A and B and affirmation on class C reflect the following: -- S&P's revised expected-case valuation, which is 8.4% lower than the value it derived in its February 2024 review because it factored in the $5.0 million in exposure to date as well as the potential for an additional $8.0 million of exposure S&P estimates over the next year as the special servicer pursues either a loan workout or foreclosure. -- The property's reported net cash flow (NCF) and occupancy, which have not materially improved. S&P said, "Our view that the lack of meaningful workout terms and protracted resolution timing--as well as the continued increase in loan exposure due primarily to servicer advances for loan debt service, real estate taxes, and insurance--may further reduce liquidity and recovery of the $222.9 million loan, which has a reported nonperforming matured balloon payment status. Since February 2024, the reported loan exposure increased $1.5 million to $227.9 million as of the July 2024 reporting period. According to the transaction's payment waterfall, advances are repaid to the servicer prior to any distributions to the bondholders. "The downgrade on the class X-EXT IO certificates reflects our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-EXT certificates references class A." At the time of our Feb. 1, 2024, review, the loan, which had transferred to special servicing for imminent monetary default on Sept. 28, 2023, had a 60-days-delinquent payment status. It had outstanding advances and accruals totaling $3.5 million, which comprised the following: -- Interest advances totaling $3.3 million; -- Other expense advances totaling $126,431; and -- Accrued unpaid interest totaling $10,525. The special servicer, Rialto Capital Advisors LLC, stated that it was in discussions with the borrower for a potential loan modification; however, no terms have yet been agreed upon. Rialto had expected the special servicing transfer to be resolved by April 2024. Since S&P's last review, according to the July 15, 2024, trustee remittance report, the loan exposure increased $1.5 million to $227.9 million. The loan matured March 9, 2024 (after the borrower exercised the first of its three extension options in March 2023) and amassed an additional $1.5 million in exposure. The outstanding advances and accruals totaled $5.0 million and comprised the following: -- Interest advances totaling $3.3 million; -- Other expense advances totaling $518,565; -- Real estate taxes and insurance advances totaling $1.1 million; and -- Cumulative accrued unpaid interest totaling $49,254. Rialto has not provided any meaningful updates on the resolution strategy and timing other than that negotiations are still ongoing with the borrower. The expected resolution date was updated to year-end 2024. S&P will continue to monitor the asset resolution, including the anticipated timing and trajectory of future increases in exposure, and will revise our analysis and take additional rating actions as we determine necessary. Updates To Property-Level Analysis As of the March 31, 2024, rent roll, the property was 74.0% leased, which was in line with our last review, and had a reported NCF of $17.3 million as of year-end 2023. Per CoStar, the Market Street West office submarket, where the property sits, had 15.6% vacancy and 19.4% availability rates for 3- to 5-star properties as of year-to-date July 2024. Based on S&P's $12.0 million S&P Global Ratings NCF and the loan's $19.8 million annual debt service obligation--reflecting current one-month SOFR and the 3.554% loan spread (the loan currently lacks an interest rate cap agreement)--a one-year workout or foreclosure timeframe could result in an additional $8.0 million of exposure (including tax and insurance expenses and accounting for $3.5 million currently held in reserves, as reported in the July 2024 investor reporting package), for a total $13.0 million of exposure senior to the outstanding trust debt. S&P said, "Given the minimal change in reported occupancy and NCF, we maintained our NCF of $12.0 million derived from our last review. Using an S&P Global Ratings capitalization rate of 7.75% (unchanged from the last review) and deducting $13.0 million for existing and future projected advances (discussed above), we arrived at a net recovery value of $142.3 million, or $142 per sq. ft., down from $155.2 million, or $155 per sq. ft., at the last review. This is 49.6% below the issuance appraisal value of $282.1 million ($282 per sq. ft.)." Ratings Lowered BSST 2021-1818 Mortgage Trust Class A to 'AA- (sf)' from 'AAA (sf)' Class B to 'BBB+ (sf)' from 'A (sf)' Class X-EXT to 'AA- (sf)' from 'AAA (sf)' Rating Affirmed BSST 2021-1818 Mortgage Trust Class C: BB+ (sf) BSST 2022-1700: S&P Lowers Class D Certs Rating to 'B+ (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BSST 2022-1700 Mortgage Trust, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple and leasehold interests in a 32-story, 850,209-sq.-ft. class A office building located at 1700 Market St. in the Philadelphia central business district. Rating Actions The downgrades on the class A, B, C, and D certificates reflect: -- S&P expected case value, which, while unchanged from its December 2023 review, is 15.7% below its issuance value and 39.9% below the April 2024 appraised value of $199.0 million that was published in the July 2024 reporting period. -- The property's reported net cash flow (NCF) and occupancy, which have not materially improved. According to the master servicer, Berkadia Commercial Mortgage LLC, the property has modest new leasing activity since S&P's last review. -- S&P's view that the lack of meaningful workout terms and protracted resolution timing may result in reduced liquidity and recovery to the trust. In its last review, S&P anticipated the special servicing transfer to be resolved by mid-2024. According to the July 2024 investor reporting package reports, the expected resolution date was updated to year-end. -- The downgrade on the class X-EXT IO certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The class X-EXT notional amount references class A. As of S&P's Dec. 14, 2023, review, the loan had transferred to the special servicer, Rialto Capital Advisors LLC (Rialto), on Aug. 8, 2023, for imminent maturity default. The loan, which had a current payment status, was set to mature on Feb. 9, 2024. Rialto informed its that it was in discussions with the borrower, who initially proposed a loan modification with terms including a two-year extension and an interest rate reduction, but no terms had been agreed upon. Since then, the loan matured and no meaningful updates on resolution strategy and timing from the special servicer other than that discussions with the borrower are still ongoing. To S&P's knowledge, the borrower has not purchased a replacement interest rate protection agreement, and the loan is currently unhedged against changes in one-month SOFR. As of the July 15, 2024, trustee remittance report, the loan was paid through July 2024 and there is about $9.0 million in lender-controlled reserve accounts. The report also disclosed the updated April 2024 appraised value of $199.0 million ($234 per sq. ft.) for the collateral property, down 18.6% from the issuance appraised value of $244.5 million ($288 per sq. ft.). Moreover, class KRR (not rated by S&P Global Ratings) has incurred monthly interest shortfalls of $39,965 and accumulated interest shortfalls of $446,071 due primarily to special servicing fees. S&P said, "We will continue to monitor the performance of the property and loan, including the loan's payment status, and the workout strategy and timing. If we receive information that differs materially from our expectations, such as property performance that is below our expectations or a workout strategy that negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take additional rating actions as we deem appropriate." Updates To Property Level Analysis S&P said, "As of the March 31, 2024, rent roll, the property was 76.2% leased, which was in line with our last review, and had a reported NCF of $10.3 million as of year-end 2023. According to CoStar, two new tenants signed leases totaling 26,782 sq. ft. (3.2% of the building's net rentable area). However, the May 2024 leasing report provided by Rialto indicated that tenant Goldberg Segalla LLP, which currently occupies 26,664 sq. ft. (3.1%) with a lease expiration in November 2024, intends to downsize its space by about 16,361 sq. ft. (1.9%) and extend its lease through May 2032. "Given the minimal change in reported occupancy and NCF, we maintained our NCF of $9.3 million derived from the last review. Using an S&P Global Ratings capitalization rate of 7.8% (unchanged from last review), we arrived at an S&P Global Ratings expected-case value of $119.5 million, or $141 per sq. ft., a decline of 39.9% from the updated April 2024 appraisal value of $199.0 million ($234 per sq. ft.)." Ratings Lowered BSST 2022-1700 Mortgage Trust Class A to 'AA- (sf' from 'AAA (sf)' Class B to 'BBB (sf)' from 'A (sf)' Class C to 'BB+ (sf)' from 'BBB (sf)' Class D to 'B+ (sf)' from 'BB (sf)' Class X-EXT to 'AA- (sf)' from 'AAA (sf)' BX COMMERCIAL 2024-AIRC: Fitch Affirms BB(EXP) Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed the following expected ratings and Ratings Outlooks to BX Commercial Mortgage Trust 2024-AIRC, Commercial Mortgage Pass-Through Certificates, Series 2024-AIRC: - $1,938,200,000 class A 'AAAsf'; Outlook Stable; - $295,900,000 class B 'AA-sf'; Outlook Stable; - $224,100,000 class C 'A-sf'; Outlook Stable; - $304,300,000 class D 'BBB-sf'; Outlook Stable; - $40,000,000 class E 'BB+sf'; Outlook Stable; - $147,500,000a class HRR 'BBsf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Since the expected ratings were published on July 11, 2024, the transaction size has increased to $2.95 billion from $2.0 billion with the addition of 10 additional multifamily properties to the collateral. Fitch completed a full analysis of the transaction with these additional assets. Entity/Debt Rating Prior ----------- ------ ----- BX Commercial Mortgage Trust 2024-AIRC A LT AAA(EXP)sf Affirmed AAA(EXP)sf B LT AA-(EXP)sf Affirmed AA-(EXP)sf C LT A-(EXP)sf Affirmed A-(EXP)sf D LT BBB-(EXP)sf Affirmed BBB-(EXP)sf E LT BB+(EXP)sf Affirmed BB+(EXP)sf HRR LT BB(EXP)sf Affirmed BB(EXP)sf TRANSACTION SUMMARY The certificates represent the beneficial interests in a trust that holds a two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple or leasehold interests in 29 multifamily properties with a total of 8,831 units located across nine states. The portfolio is 96.5% leased as of the May 2024 rent rolls. Loan proceeds, together with approximately $925.4 million in cash equity, will be used to acquire the properties and pay closing costs. The certificates will follow a pro rata paydown structure for the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The borrowers have a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default (EOD) is continuing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. The loan is expected to be originated by Wells Fargo Bank, National Association, Bank of Montreal, Goldman Sachs Bank USA, JPMorgan Chase Bank, National Association, Barclays Capital Real Estate Inc., Bank of America, N.A., Morgan Stanley Mortgage Capital Holdings LLC, German American Capital Corporation and Societe Generale Financial Corporation. Wells Fargo Bank, National Association is expected to act as servicer and KeyBank National Association is expected to act as special servicer. Computershare Trust Company, National Association is expected to act as trustee and certificate administrator. Pentalpha Surveillance LLC is expected to act as operating advisor. The transaction is expected to close on Aug. 15, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $198.7 million. This is 7.02% lower than the issuer's NCF and 1.2% lower than the YE23 NCF. Fitch applied a 6.5% cap rate, resulting in a Fitch value of approximately $3.1 billion. Moderate Fitch Leverage: The $2.95 billion total mortgage loan ($334,051/unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.90x, 96.5% and 6.7%, respectively. The loan represents approximately 76.7% of the as-portfolio appraised value of $3.848 billion. The Fitch market LTV at 'BBsf' is 88.4%. Best in Class Collateral: The loan is collateralized by a diverse portfolio of high-quality multifamily properties with stable operating history, located in core markets, with institutional sponsorship. This unique combination of positive credit characteristics compares favorably to other portfolios rated by Fitch. Multifamily properties have continued to exhibit stable performance with significantly lower than average delinquency rates, defaults and losses relative to other major commercial property types. Fitch capital structure assumptions have been adjusted for strong collateral. Diverse Portfolio: The portfolio is secured by 8,831 units across 29 high-rise, mid-rise, and garden-style multifamily properties located in nine states and 11 markets. The portfolio is granular, with no property comprising more than 8.7% of the total units or 9.7% of allocated loan amount (ALA). No state or market represents more than 30.4% or 30.4% of the ALA, respectively. Institutional Sponsorship: The loan sponsor AIR Communities (AIR) was acquired by Blackstone in June 2024. Apartment Income REIT Corp. (NYSE: AIRC), known as AIR Communities, is the owner and operator of 77 apartment communities totaling over 27,000 apartment homes located in 10 states and the District of Columbia. AIR Communities professionally manages high-quality properties in many major U.S. markets, including Miami, Los Angeles, Washington, D.C. and Boston. Blackstone is one of the world's leading investment firms, with approximately $1 trillion of assets under management (AUM) as of Dec. 31, 2023. Blackstone's Real Estate group began investing in real estate in 1991 and is a global leader in real estate investing with $337 billion of AUM. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'; - 10% NCF Decline: 'AAsf'/BBB+sf '/'BBB-sf'/'BBsf'/'BB-sf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BBBsf'/'BBB-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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BX COMMERCIAL 2024-AIRC: Fitch Gives BB(EXP)sf Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to BX Commercial Mortgage Trust 2024-AIRC, Commercial Mortgage Pass-Through Certificates Series 2024-AIRC: - $1,271,100,000 class A 'AAAsf'; Outlook Stable; - $215,900,000 class B 'AA-sf'; Outlook Stable; - $149,200,000 class C 'A-sf'; Outlook Stable; - $210,200,000 class D 'BBB-sf'; Outlook Stable; - $53,600,000 class E 'BB+sf'; Outlook Stable; - $100,000,000a class HRR 'BBsf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Entity/Debt Rating ----------- ------ BX Commercial Mortgage Trust 2024-AIRC A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating HRR LT BB(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates represent the beneficial interests in a trust that holds a two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple or leasehold interests in 19 multifamily properties with a total of 5,983 units located across eight states. The portfolio is 96.5% leased as of the May 2024 rent rolls. Loan proceeds, together with approximately $651.5 million in cash equity, will be used to acquire the properties and pay closing costs. The certificates will follow a pro rata paydown structure for the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The borrowers have a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default (EOD) is continuing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. The loan is expected to be originated by Wells Fargo Bank, National Association, Bank of Montreal, Goldman Sachs Bank USA, JPMorgan Chase Bank, National Association, Barclays Capital Real Estate Inc., Bank of America, N.A., Morgan Stanley Bank, N.A., German American Capital Corporation and Societe Generale Financial Corporation. Wells Fargo Bank, National Association is expected to act as servicer and KeyBank National Association is expected to act as special servicer. Computershare Trust Company, National Association is expected to act as trustee and certificate administrator. Pentalpha Surveillance LLC is expected to act as operating advisor. The transaction is expected to close on July 30, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $132.3 million. This is 8.2% lower than the issuer's NCF and 3.1% lower than the YE23 NCF. Fitch applied a 6.5% cap rate, resulting in a Fitch value of approximately $2.0 billion. Moderate Fitch Leverage: The $2.0 billion total mortgage loan ($334,280/unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.88x, 98.3% and 6.6%, respectively. The loan represents approximately 77.0% of the as-portfolio appraised value of $2.598 billion. The Fitch market LTV at 'BBsf' is 89.7%. Best in Class Collateral: The loan is collateralized by a diverse portfolio of high-quality multifamily properties with stable operating history, located in core markets, with institutional sponsorship. This unique combination of positive credit characteristics compares favorably to other portfolios rated by Fitch. Multifamily properties have continued to exhibit stable performance with significantly lower than average delinquency rates, defaults and losses relative to other major commercial property types. Fitch capital structure assumptions have been adjusted for strong collateral. Diverse Portfolio: The portfolio is secured by 5,983 units across 19 high-rise, mid-rise, and garden-style multifamily properties located in eight states and 10 markets. The portfolio is granular, with no property comprising more than 12.9% of the total units or 14.2% of allocated loan amount (ALA). No state or market represents more than 32.9% or 32.9% of the ALA, respectively. Institutional Sponsorship: The loan sponsor AIR Communities was acquired by Blackstone in June 2024. Apartment Income REIT Corp. (NYSE: AIRC), known as AIR Communities, is the owner and operator of 77 apartment communities totaling over 27,000 apartment homes located in 10 states and the District of Columbia. AIR Communities professionally manages high-quality properties in many major U.S. markets, including Miami, Los Angeles, Washington, D.C. and Boston. Blackstone is one of the world's leading investment firms, with approximately $1 trillion of assets under management (AUM) as of Dec. 31, 2023. Blackstone's Real Estate group began investing in real estate in 1991 and is a global leader in real estate investing with $337 billion of AUM. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'; - 10% NCF Decline: 'AAsf'/BBB+sf '/'BBB-sf'/'BB-sf'/'BB-sf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BBBsf'/'BBB-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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CANADA SQUARE 7: Moody's Lowers Rating on GBP2.82MM D Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating of Class D Notes in Canada Square Funding 7 PLC. The rating action reflects lower than anticipated yield generated by the pool of mortgage loans. GBP2.82 million Class D Notes due December 2051, Downgraded to Ba1 (sf); previously on May 8, 2024 Baa2 (sf) Placed on Review for Downgrade The rating action concludes the review of Class D Notes placed on review for downgrade on May 8, 2024. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating action is prompted by lower than anticipated yield generated by the pool of mortgage loans which led to a build-up in principal deficiency leading to the deterioration in the level of available credit enhancement for the affected tranche. Decrease in Available Credit Enhancement and lower than anticipated portfolio yield The increase in constant prepayment rate (CPR) was a significant factor in the observed lower than anticipated portfolio yield and the resulting underperformance of the excess spread within the transaction. This scenario resulted in a principal deficiency ledger (PDL) build-up, currently at GBP3.46 million, and consequently the deterioration in the level of available credit enhancement for junior notes. The sustained period of excess spread underperformance culminated in the PDL surpassing the critical 10% threshold for Class D Notes preventing further use of principal to pay interest on these notes. Current loan portfolio in this transaction is composed of 61% of fixed-rate loans with 44% resetting to variable rate in August 2024 and 17% resetting in November 2024. Since September 2023, Class D Notes have been deferring interest, with interest accruing on unpaid interest. The credit enhancement for Class D Notes decreased to 0.17% from 1.64% since closing as a result of the build-up of PDL on these notes. Excess spread is expected to become positive once all fixed-rate loans have either reset or left the pool. Available credit enhancement for Class A, B, C and E Notes remains commensurate with the current ratings to cover modelled projected losses as well as credit risk from other relevant qualitative considerations. The principal methodology used in this rating was "Residential Mortgage-Backed Securitizations" published in May 2024. The analysis undertaken by us at the initial assignment of a rating for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see Residential Mortgage-Backed Securitizations methodology for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS. Factors that would lead to an upgrade or downgrade of the rating: Factors or circumstances that could lead to an upgrade of the rating include (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement and (3) improvements in the credit quality of the transaction counterparties. Factors or circumstances that could lead to a downgrade of the rating include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. CARLYLE US 2018-4: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2018-4, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2018-4, 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-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating TRANSACTION SUMMARY Carlyle US CLO 2018-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. that originally closed in December 2018. The secured notes are expected to be refinanced in full on the first refinancing date. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $597 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 25.1, versus a maximum covenant, in accordance with the initial expected matrix point of 27.4. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.2% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.7% versus a minimum covenant, in accordance with the initial expected matrix point of 73.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 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 the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBBsf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Carlyle US CLO 2018-4, 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. CARVAL CLO VII-C: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC, a CLO originally issued in February 2023 that is managed by CarVal CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full on the July 22, 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 non-call period was extended to July 20, 2026. -- The reinvestment period was extended to July 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended by approximately 2.5 years to July 20, 2037. -- The target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2024. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. 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 CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC Class A-1-R, $310.00 million: AAA (sf) Class A-2-R, $15.00 million: AAA (sf) Class B-R, $55.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $30.00 million: BBB- (sf) Class D-2R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC Subordinated notes, $52.30 million: Not rated NR--Not rated. CARVAL CLO X-C: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CarVal CLO X-C Ltd./CarVal CLO X-C 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 CarVal CLO Management LLC. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned CarVal CLO X-C Ltd./CarVal CLO X-C LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $50.00 million: Not rated CARVANA AUTO 2024-N2: DBRS Finalizes BB(high) Rating on E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the classes of notes issued by Carvana Auto Receivables Trust 2024-N2 (CRVNA 2024-N2 or the Issuer) as follows: -- $61,910,000 Class A-1 Notes at R-1 (high) (sf) -- $192,030,000 Class A-2 Notes at AAA (sf) -- $99,350,000 Class A-3 Notes at AAA (sf) -- $105,980,000 Class B Notes at AA (high) (sf) -- $62,960,000 Class C Notes at A (high) (sf) -- $96,880,000 Class D Notes at BBB (high) (sf) -- $64,360,000 Class E Notes at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The ratings are based on Morningstar DBRS's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, a fully funded reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Carvana, LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the entities to be an acceptable originator and servicer, respectively, of auto loans. (4) The operational history of Carvana and the strength of the overall company and its management team. -- Company management has considerable experience in the consumer lending business. -- Carvana has a technology-driven platform that focuses on providing the customer with high-level experience, selection, and value. Its website and smartphone app provide the consumer with vehicle search and discovery (currently showing more than 30,000 vehicles online); the ability to trade or sell vehicles almost instantaneously; and real-time, personalized financing. Carvana has developed underwriting policies and procedures for use across the lending platform that leverages technology where appropriate to validate customer identity, income, employment, residency, creditworthiness, and proper insurance coverage. -- Carvana has developed multiple proprietary risk models to support various aspects of its vertically integrated automotive lending business. All proprietary risk models used in Carvana's lending business are regularly monitored and tested. The risk models are updated from time to time to adjust for new performance data, changes in customer and economic trends, and additional sources of third-party data. (5) The credit quality of the collateral, which includes Carvana-originated loans with Deal Scores of 49 or lower. -- As of the June 03, 2024 Cut-off Date, the collateral pool for the transaction is primarily composed of receivables due from nonprime obligors with a weighted-average (WA) FICO score of 567, WA annual percentage rate of 22.32%, and WA loan-to-value ratio of 99.46%. Approximately 56.94%, 27.88%, and 15.18% of the pool include loans with Carvana Deal Scores greater than or equal to 30, between 10 and 29, and between 0 and 9, respectively. Additionally, 1.15% is composed of obligors with FICO scores greater than 751, 29.19% consists of FICO scores between 601 and 750, and 69.66% is from obligors with FICO scores less than or equal to 600 or with no FICO score. -- Morningstar DBRS analyzed the performance of Carvana's auto loan and retail installment contract originations and static pool vintage loss data broken down by Deal Score to determine a projected CNL expectation for the CRVNA 2024-N2 pool. (6) The Morningstar DBRS CNL assumption is 14.80% based on the cut-off date pool composition. -- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (7) Carvana's financial condition as reported as part of its Q1 2024 10-Q filed as of May 1, 2024. (8) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Carvana, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and the related Note Balance. Morningstar DBRS's credit rating does not address non-payment risk associated with contractual payment obligations that are not financial obligations. Morningstar DBRS's long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CD 2016-CD2: Fitch Lowers Rating on 4 Tranches to Csf ----------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed 12 classes of German American Capital Corp.'s CD 2016-CD2 Mortgage Trust, commercial mortgage pass-through certificates, series 2016-CD2. Fitch has also assigned a Negative Rating Outlook on classes C and V1-C following their downgrade. The Outlooks for affirmed classes A-4, A-M, X-A, V1-A, B, X-B and V1-B have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CD 2016-CD2 A-3 12515ABD1 LT AAAsf Affirmed AAAsf A-4 12515ABE9 LT AAAsf Affirmed AAAsf A-M 12515ABG4 LT AAAsf Affirmed AAAsf A-SB 12515ABC3 LT AAAsf Affirmed AAAsf B 12515ABH2 LT A-sf Affirmed A-sf C 12515ABJ8 LT BBsf Downgrade BBB-sf D 12515AAN0 LT CCCsf Affirmed CCCsf E 12515AAQ3 LT Csf Downgrade CCsf F 12515AAS9 LT Csf Downgrade CCsf V1-A 12515ABK5 LT AAAsf Affirmed AAAsf V1-B 12515ABL3 LT A-sf Affirmed A-sf V1-C 12515ABW9 LT BBsf Downgrade BBB-sf V1-D 12515ABQ2 LT CCCsf Affirmed CCCsf X-A 12515ABF6 LT AAAsf Affirmed AAAsf X-B 12515AAA8 LT A-sf Affirmed A-sf X-D 12515AAE0 LT CCCsf Affirmed CCCsf X-E 12515AAG5 LT Csf Downgrade CCsf X-F 12515AAJ9 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Office Loan Concentration: The downgrades to classes C and V1-C reflect the increase in deal-level 'Bsf' rating case loss to 13.0% from 11% since Fitch's prior rating action. The downgrades to distressed classes E, X-E, F and X-F reflect the greater certainty of loss on specially serviced loans, especially 229 West 43rd Street Retail Condo (8.7% of the pool). Fitch Loans of Concern (FLOCs) comprise 12 loans (63.1% of the pool), including two loans (13.4%) in special servicing with higher loss expectations. The assigned Negative Outlook reflects the potential for downgrades should performance of the FLOCs decline or fail to stabilize. Fitch remains concerned about the high concentration of loans primarily secured by office collateral (49.8%), which are expected to face refinancing challenges. Due to the pool concentrations and heightened refinancing risk, the Negative Outlooks also incorporate additional sensitivity scenarios, including a heightened probability of default on the 80 Park Plaza office FLOC. Fitch also performed a look-through analysis to determine the loans' expected recoveries and losses at maturity to assess the outstanding classes' ratings relative to credit enhancement (CE). These sensitivities contributed to the Negative Outlook revisions including on class A-4. FLOCs/Largest Contributors to Loss: The largest contributor to overall loss expectations is 229 West 43rd Street Retail Condo (8.7% of the pool), which is secured by a 245,132-sf retail condominium located in Manhattan's Time Square district. The loan transferred to special servicing in December 2019 for imminent monetary default. The property had already been experiencing tenancy issues prior to the pandemic. With tenants operating in the entertainment and tourism industries, the property sustained further declines due to the onset of the pandemic. As of the April 2023 rent roll, the property was 40.9% occupied. The largest remaining tenants include Bowlmor (31.2%; July 2034), The Ribbon (6.4%, February 2034), and Haru (2.2%, December 2028). A receiver was appointed in March 2021 and then a foreclosure action was filed. According to recent servicer reporting, the foreclosure sale of the asset was scheduled for May 29, 2024. Fitch's 'Bsf' rating case loss of 91% (prior to concentration add-ons) reflects a discount to the most recent appraised value provided by the servicer. The largest increase in loss expectations since the prior rating action and second largest contributor to loss is the specially serviced Park Square Portland (4.7%) loan, which transferred to special servicing in April 2024 for imminent monetary default. The delinquent loan, secured by a 295,768-sf office property in Portland, OR. lost its largest tenant, Regence BlueCross BlueShield (63% of NRA), at lease expiration in December 2023. Occupancy has declined to approximately 29.5% after the departure, from 93% at YE 2023. A foreclosure complaint was filed in May 2024 by the special servicer and a receiver was appointed in June 2024 per the recent servicer reporting. Fitch's 'Bsf' rating case loss of 44% (prior to concentration adjustments) reflects the recent default and a NOI 65% below 2023 NOI for a recovery of $76psf. The third largest contributor to modeled losses is The Prudential Plaza loan (8.1%), which is current after returning to the master servicer in March 2024. A loan modification agreement was executed, which extended the maturity through August 2027 and included two, one-year extension options. The loan is secured by a two-building office complex spanning a total of 2.2 million sf located in Chicago, IL. Per the servicer, the property was 76% occupied at YE 2023, down from 82.5% at YE 2022 and 85% at YE 2021. Occupancy will decline further due to the expected vacancy of tenants accounting for 10% of the NRA. Fitch's 'Bsf' rating case loss of 12% (prior to concentration add-ons) is based on a revised stabilized cash flow that is 10.6% below Fitch's stressed cash flow at issuance to account for performance declines, increasing operating expenses and softening market conditions. Other large office FLOCs include 8 Times Square & 1460 Broadway, 60 Madison Avenue (6.4%) and 80 Park Plaza (4.5%). The 8 Times Square & 1460 Broadway (11.6%) loan is secured by a 214,341-sf high end office property with retail component. The property is 100% leased to two tenants: WeWork (83% of NRA; lease expires 2034) and Footlocker (17%; lease expires 2032). While WeWork remains open under an amended lease agreement, the loan remains a FLOC due to its significant exposure to the co-working tenant that recently emerged from bankruptcy. 60 Madison Avenue is secured by a 217,534-sf office building located at in Manhattan near Madison Square Park. the property has experienced a decline in occupancy due to tenant departures during the pandemic and was 64% occupied as of first quarter 2024 reporting. The occupancy dropped after the loss of co-working tenant Knotel in 2021. However, the servicer reported Q1 2024 NOI DSCR was 2.09x. The 80 Park Plaza loan is secured by 960,689-sf office building located in Newark, NJ. This FLOC was flagged due to anticipated refinance concerns as a significant portion of the largest tenant's (PSEG, 85.8% through Sept. 2030) space has been listed as available for sublease. Fitch incorporated a higher probability of default in its analysis which contributed to the Negative Outlooks. Investment Grade Credit Opinion Loans: One loan, 10 Hudson Yards (7.9% of the pool), maintains its high standalone investment grade credit opinion due to cash flow growth, high occupancy rate and property quality grade. 667 Madison Avenue (4.7%) is no longer considered an investment grade credit opinion due to its decline in occupancy and lower Fitch sustainable cash flow compared to issuance. The sponsor is working to re-tenant the office and retail components, and has recently exhibited successful leasing momentum. The property benefits from its location at Madison Avenue and 61st Street in midtown Manhattan. Increased Credit Enhancement: As of the June 2024 remittance report, the pool's aggregate balance has been reduced by 12% to $858.3 million from $975.4 million at issuance. Four loans (7.5%) are defeased. Twelve loans, representing 71% of the pool, are full-term interest only; all other loans are currently amortizing. Other than the modified Prudential Plaza loan, all of the loans, including a defeased ARD loan, are scheduled to mature in 2026 (91.9%). Pool Concentrations and Pari Passu Loans: The largest loan represents 11.7% of the pool and the top 10 loans represent 72% of the pool. Nine loans (49.8%) are comprised of primarily office collateral. Twelve loans (74.1%) are pari passu loan participations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the senior 'AAAsf' rated classes are not likely due to the expected paydown from loan repayments and continued amortization, but may occur should interest shortfalls affect these classes. Downgrades to the class A-4 and junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, larger loans are unable to refinance at loan maturity, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to the classes rated in the 'Asf' and 'BBsf' categories, which have Negative Outlooks, may occur should performance of the FLOCs, including 8 Times Square & 1460 Broadway, Prudential Plaza, 60 Madison Avenue, Park Square Portland, and 80 Park Plaza, among others, deteriorate further, and/or more loans than expected default at or prior to maturity. Downgrades to distressed ratings 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' category may be possible with significantly increased CE due to loan payoffs, coupled with stable-to-improved pool-level loss expectations and sustained improved performance on the FLOCs, including 8 Times Square & 1460 Broadway, Prudential Plaza, 60 Madison Avenue and 80 Park Plaza. Upgrades to 'Asf' and 'BBsf' rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool improves, recoveries on the FLOCs (including the aforementioned loans) are better than expected and there is sufficient CE to the classes. Additionally, upgrades could 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 for interest shortfalls. Upgrades to distressed ratings 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. CEDAR FUNDING IX: S&P Assigns B- (sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and new class X and F debt from Cedar Funding IX CLO Ltd., a CLO originally issued in May 2018 that is managed by Aegon. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the July 22, 2024, refinancing date. S&P did not rate the original class A-2 debt. The replacement debt and new debt were issued via a supplemental indenture, which outlines their terms. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt were issued at higher floating spreads over three-month SOFR than the original debt. -- In connection with this refinancing, the issuer replaced the original class D debt with the replacement class D-1-R and D-2-R debt, which are paid sequentially. -- The issuer also added new floating-rate class F debt to the capital structure. -- The new class X debt issued in connection with this refinancing is expected to be paid down using interest proceeds during the first eight payment dates beginning with the payment date in October 2024. -- The stated maturity and reinvestment period were each extended by 6.2 years. -- The non-call period was extended to July 2026. -- The concentration limitations of the collateral portfolio's investment guidelines were amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Cedar Funding IX CLO Ltd./Cedar Funding IX CLO LLC Class X, $3.000 million: AAA (sf) Class A-R, $267.750 million: AAA (sf) Class B-R, $55.250 million: AA (sf) Class C-R (deferrable), $25.500 million: A (sf) Class D-1-R (deferrable), $21.250 million: BBB (sf) Class D-2-R (deferrable), $6.375 million: BBB- (sf) Class E-R (deferrable), $14.300 million: BB- (sf) Class F (deferrable), $4.750 million: B- (sf) Ratings Withdrawn Cedar Funding IX CLO Ltd./Cedar Funding IX CLO LLC Class A-1 notes to NR from 'AAA (sf)' Class B notes to NR from' AA (sf)' Class C (deferrable) notes to NR from 'A (sf)' Class D (deferrable) notes to NR from 'BBB- (sf)' Class E (deferrable) notes to NR from 'BB- (sf)' Other Debt Cedar Funding IX CLO Ltd./Cedar Funding IX CLO LLC Subordinated notes, $53.00 million: Not rated NR--Not rated. CEDAR FUNDING IX: S&P Assigns Prelim B- (sf) Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X and F debt from Cedar Funding IX CLO Ltd., a CLO originally issued in May 2018 that is managed by Aegon. The preliminary ratings are based on information as of July 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the refinancing date of July 22, 2024, the proceeds from the replacement debt and new debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt and new debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt and new debt." The replacement debt and new debt will be issued via a proposed supplemental indenture, which outlines their terms. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at higher floating spreads over three-month SOFR than the original debt. -- In connection with this refinancing, the issuer is replacing the original class D debt with the replacement class D-1-R and D-2-R debt, which are paid sequentially. -- The issuer will also add new floating-rate class F debt to the capital structure. -- The new class X debt to be issued in connection with this refinancing is expected to be paid down using interest proceeds during the first eight payment dates beginning with the payment date in October 2024. -- The stated maturity and reinvestment period will each be extended by 6.2 years. -- The non-call period will be extended up to July 2026. -- The concentration limitations of the collateral portfolio's investment guidelines will be amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Cedar Funding IX CLO Ltd./Cedar Funding IX CLO LLC Class X, $3.000 million: AAA (sf) Class A-R, $267.750 million: AAA (sf) Class B-R, $55.250 million: AA (sf) Class C-R (deferrable), $25.500 million: A (sf) Class D-1-R (deferrable), $21.250 million: BBB (sf) Class D-2-R (deferrable), $6.375 million: BBB- (sf) Class E-R (deferrable), $14.300 million: BB- (sf) Class F (deferrable), $4.750 million: B- (sf) Subordinated notes, $53.00 million: Not rated CFMT 2024-HB14: DBRS Finalizes B Rating on Class M6 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Notes, Series 2024-2 issued by CFMT 2024-HB14, LLC: -- $328.9 million Class A at AAA (sf) -- $46.6 million Class M1 at AA (low) (sf) -- $34.7 million Class M2 at A (low) (sf) -- $34.8 million Class M3 at BBB (low) (sf) -- $34.9 million Class M4 at BB (low) (sf) -- $10.2 million Class M5 at B (high) (sf) -- $12.2 million Class M6 at B (sf) The AAA (sf) rating reflects 36.2% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), B (high) (sf), and B (sf) ratings reflect 27.2%, 20.5%, 13.7%, 7.0%, 5.0%, and 2.6% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (April 30, 2024), the collateral has approximately $515.9 million in unpaid principal balance (UPB) from 1,461 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate-owned (REO) properties secured by first liens typically on single-family residential properties, condominiums, multifamily (two to four - family) properties, manufactured homes, planned unit developments, and townhouses. All of the mortgage assets were originated between 2006 and 2015. Of the total assets, 1,144 have a fixed interest rate (79.7% of the balance), with a 5.3% weighted-average coupon (WAC). The remaining 317 assets have floating-rate interest (20.3% of the balance) with a 7.7% WAC, bringing the entire collateral pool to a 5.8% WAC. As of the Cut-Off Date, the mortgage assets in this transaction are both performing and nonperforming (i.e., inactive) assets. There are 249 performing loans comprising 16.1% of the total UPB. As for the 1,212 nonperforming loans (NPLs), 648 are in a foreclosure process (54.5% of balance), 255 are in default (11.3%), 67 are in bankruptcy (4.5%), 94 are called due (4.6%), and the remaining 148 loans are in REO status (9.1%). However, all these assets are insured by the U.S. Department of Housing and Urban Development (HUD), and this insurance acts to mitigate losses compared with uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 62.4% for these assets. The WA LTV is calculated by dividing the UPB by the maximum claim amount (MCA) plus the asset value. Among the 249 performing loans, 230 loans, representing 92.8% of the performing loan UPB, are flagged to be strategically held and not assigned (the Strategically Held set), and the remaining 19 loans, representing 7.2% of the performing loan UPB, are flagged as curable impeded assignments. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, M5, M6, and M7 (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (June 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M6 and Class M7 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue additional accrued amounts. Morningstar DBRS does not rate these additional accrued amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amounts. In addition, the associated financial obligations for the Class A, M1, M2, M3, M4, and M5 Notes include the related Cap Carryover and Interest Payment Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an Issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2024-6: DBRS Gives Prov. B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-6 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-6 (CHASE 2024-6) as follows: -- $528.0 million Class A-1 at AAA (sf) -- $528.0 million Class A-2 at AAA (sf) -- $330.0 million Class A-3 at AAA (sf) -- $247.5 million Class A-4 at AAA (sf) -- $82.5 million Class A-5 at AAA (sf) -- $198.0 million Class A-6 at AAA (sf) -- $132.0 million Class A-7 at AAA (sf) -- $49.5 million Class A-8 at AAA (sf) -- $56.5 million Class A-9 at AAA (sf) -- $56.5 million Class A-9-A at AAA (sf) -- $56.5 million Class A-9-X at AAA (sf) -- $198.0 million Class A-10 at AAA (sf) -- $198.0 million Class A-10-X at AAA (sf) -- $198.0 million Class A-11 at AAA (sf) -- $198.0 million Class A-11-X at AAA (sf) -- $198.0 million Class A-12 at AAA (sf) -- $584.6 million Class A-X-1 at AAA (sf) -- $15.5 million Class B-1 at AA (low) (sf) -- $15.5 million Class B-1-A at AA (low) (sf) -- $15.5 million Class B-1-X at AA (low) (sf) -- $8.4 million Class B-2 at A (low) (sf) -- $8.4 million Class B-2-A at A (low) (sf) -- $8.4 million Class B-2-X at A (low) (sf) -- $6.2 million Class B-3 at BBB (low) (sf) -- $2.8 million Class B-4 at BB (low) (sf) -- $1.6 million Class B-5 at B (low) (sf) Classes A-9-X, A-10-X, A-11-X, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-7, A-9, A-10, A-10-X, A-12, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of base depositable or depositable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, and A-12 are super senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.90% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.40%, 2.05%, 1.05%, 0.60%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CHASE 2024-6 is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 499 loans with a total principal balance of $621,227,641 as of the Cut-Off Date (June 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average loan age of three months. All of the loans are traditional, nonagency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the presale report. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by Morningstar DBRS) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for Non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2024-7: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-7 (Chase 2024-7). Entity/Debt Rating ----------- ------ Chase 2024-7 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 2024-7 as indicated above. The certificates are supported by 483 loans with a total balance of approximately $576.30 million as of the cutoff date. The scheduled balance as of the cutoff date is $575.61 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 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, 99.99% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans; the remaining 0.01% 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 or they are floating rate based off the SOFR index; as a result, the certificates have no Libor exposure. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 10.2% above a long-term sustainable level (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 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 483 high-quality, fixed-rate, fully amortizing loans with maturities of 30 years that total $575.61 million. In total 99.99% of the loans qualify as SHQM APOR; the remaining 0.01% 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 5.2 months, according to Fitch. The pool has a WA FICO score of 772, as determined by Fitch, and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 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 82.1% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool the original weighted average (WA) combined loan-to-value (CLTV) ratio is 75.8% (75.7% per the transaction documents), which translates to a sustainable loan-to-value (sLTV) ratio of 82.5%. This represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Of the pool, 100.0% 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 89.8% of the pool, condominiums make up 8.7%, co-ops make up 1.1% and 0.4% are multifamily properties. Fitch viewed the fact that there are no investor loans favorably. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (96.0%), cashout refinances (1.7%) and rate-term refinances (2.3%). Fitch views favorably that a majority of mortgages are purchases. Of the pool loans, 20.0% are concentrated in California, followed by Florida and Texas. The largest MSA concentration is in the New York MSA (7.1%), followed by the San Francisco MSA (6.2%) and the Seattle MSA (5.3%). The top three MSAs account for 18.6% 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 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. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. 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 0.70% 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 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 0.13% at the 'AAAsf' stress due to 59.6% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.6% 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 2024-7 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk due to operational risk being well controlled in Chase 2024-7. 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. CHASE HOME 2024-RPL3: DBRS Gives Prov. B(high) Rating on B2 Certs ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Certificates, Series 2024-RPL3 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-RPL3 (Chase 2024-RPL3 or the Trust): -- $390.2 million Class A-1-A at AAA (sf) -- $42.7 million Class A-1-B at AAA (sf) -- $432.9 million Class A-1 at AAA (sf) -- $18.5 million Class A-2 at AA (high) (sf) -- $12.9 million Class M-1 at A (sf) -- $7.6 million Class M-2 at BBB (high) (sf) -- $5.6 million Class B-1 at BB (high) (sf) -- $2.7 million Class B-2 at B (high) (sf) The AAA (sf) credit rating on the Class A-1-A, A-1-B and A-1Certificates reflect 20.00%, 11.25% and 11.25% of credit enhancements, respectively, provided by subordinated notes in the transaction. The AA (high) (sf), A (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 7.45%, 4.80%, 3.25%, 2.10%, and 1.55% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of primarily seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage certificates (the Certificates). The Certificates are backed by 2,297 loans with a total principal balance of $513,437,404 as of the Cut-Off Date (May 31, 2024). JPMorgan Chase Bank, N.A. (JPMCB) will serve as the Sponsor and Mortgage Loan Seller of the transaction. JPMCB will also act as the Servicer, Mortgage Loan Seller, and Custodian. DBRS Morningstar rates JPMCB's Long-Term Issuer Rating and Long-Term Senior Debt at AA and its Short-Term Instruments rating R-1 (high), all with Stable trends. The loans are approximately 215 months seasoned on average. As of the Cut-Off Date, 99.4% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method, and 0.6% is in bankruptcy. All the bankruptcy loans are currently performing. Approximately 98.4% and 78.7% of the mortgage loans have been zero times (x) 30 days delinquent for the past 12 months and 24 months, respectively, under the MBA delinquency method. Within the portfolio, 98.7% of the loans are modified. The modifications happened more than two years ago for 95.9% of the modified loans. Within the pool, 1,110 mortgages have non-interest-bearing deferred amounts, which equates to 12.3% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current balance, including the applicable non-interest-bearing deferred amounts. One of the Sponsor's majority-owned affiliates will acquire and retain a 5% vertical interest in the transaction, consisting of an uncertificated interest in the issuing entity, to satisfy the credit risk retention requirements. Such uncertificated interest represents the right to receive at least 5% of the amounts collected on the mortgage loans (net of fees, expenses, and reimbursements). There will not be any advancing of delinquent principal or interest on any mortgage by the Servicer or any other party to the transaction; however, the Servicer is generally obligated to make advances in respect of taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. For this transaction, the servicing fee payable for the mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. On any Distribution Date when the aggregate unpaid principal balance (UPB) of the mortgage loans is less than 10% of the aggregate Cut-Off Date UPB, the Servicer (and it's successors and assignees) will have the option to purchase all of the mortgage loans at a purchase price equal to the sum of the UPB of the mortgage loans, accrued interest, the appraised value of the real estate owned (REO) properties, and any unpaid expenses and reimbursement amounts (Optional Clean-Up Call). The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Certificates, but such shortfalls on Class M-1 and more subordinate bonds will not be paid from principal proceeds until Class A-1-A, Class A-1-B, and Class A-2 are retired. Notes: All figures are in US Dollars unless otherwise noted. CIFC FUNDING 2014-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2014-V, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2014-V, Ltd._2024 A-1R3 LT NRsf New Rating A-2R3 LT AAAsf 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 CIFC Funding 2014-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed on Dec. 30, 2014 and had its first full refinancing in October 2016 and second full refinancing in September 2018. This is the third refinancing where the existing secured notes will be refinanced in whole on July 12, 2024. Net proceeds from the issuance of the secured notes and additional subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior 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 25.11, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. 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 95.94% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.1% versus a minimum covenant, in accordance with the initial expected matrix point of 73.35%. Portfolio Composition (Positive): The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10.25% 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-2R3 notes, between 'BB+sf' and 'A+sf' for class B-R3 notes, between 'B+sf' and 'BBB+sf' for class C-R3 notes, between less than 'B-sf' and 'BB+sf' for class D-1R3 notes, between less than 'B-sf' and 'BB+sf' for class D-2R3 notes, and between less than 'B-sf' and 'B+sf' for class E-R3 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R3 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-R3 notes, 'AA+sf' for class C-R3 notes, 'A+sf' for class D-1R3 notes, 'A-sf' for class D-2R3 notes, and 'BBBsf' for class E-R3 notes. 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 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 CIFC Funding 2014-V, 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. CITIGROUP 2015-GC35: Fitch Lowers Rating on Class F Debt to Csf --------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed five classes of Citigroup Commercial Mortgage Trust 2015-GC33 commercial mortgage pass-through certificates (CGCMT 2015-GC33). In addition, Fitch has assigned Negative Rating Outlooks to three classes following their downgrades, and have revised Outlooks on two affirmed classes to Negative from Stable. Fitch has also downgraded six and affirmed seven classes of GS Mortgage Securities Trust commercial mortgage pass-through certificates, series 2015-GC34 (GSMS 2015-GC34). In addition, Fitch has assigned Negative Rating Outlooks to four classes following their downgrades, and has revised Outlooks on two affirmed classes to Negative from Stable. Fitch has also downgraded 10 and affirmed four classes of Citigroup Commercial Mortgage Trust 2015-GC35 commercial mortgage pass-through certificates (CGCMT 2015-GC35). In addition, Fitch has assigned Negative Rating Outlooks to six classes following their downgrades, and revised Outlooks on one affirmed class to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-GC33 A-3 29425AAC7 LT AAAsf Affirmed AAAsf A-4 29425AAD5 LT AAAsf Affirmed AAAsf A-AB 29425AAE3 LT AAAsf Affirmed AAAsf A-S 29425AAF0 LT AAAsf Affirmed AAAsf B 29425AAG8 LT A-sf Downgrade AA-sf C 29425AAH6 LT BB+sf Downgrade BBBsf D 29425AAJ2 LT CCCsf Downgrade B+sf E 29425AAP8 LT CCsf Downgrade CCCsf F 29425AAR4 LT Csf Downgrade CCsf PEZ 29425AAN3 LT BB+sf Downgrade BBBsf X-A 29425AAK9 LT AAAsf Affirmed AAAsf X-D 29425AAM5 LT CCCsf Downgrade B+sf CGCMT 2015-GC35 A-2 17324KAM0 LT AAAsf Affirmed AAAsf A-3 17324KAN8 LT AAAsf Affirmed AAAsf A-4 17324KAP3 LT AAAsf Affirmed AAAsf A-AB 17324KAQ1 LT AAAsf Affirmed AAAsf A-S 17324KAR9 LT A-sf Downgrade AA-sf B 17324KAS7 LT BBB-sf Downgrade A-sf C 17324KAT5 LT BB-sf Downgrade BBB-sf D 17324KAU2 LT CCCsf Downgrade Bsf E 17324KAA6 LT CCsf Downgrade CCCsf F 17324KAC2 LT Csf Downgrade CCsf PEZ 17324KAY4 LT BB-sf Downgrade BBB-sf X-A 17324KAV0 LT A-sf Downgrade AA-sf X-B 17324KAW8 LT BBB-sf Downgrade A-sf X-D 17324KAX6 LT CCCsf Downgrade Bsf GSMS 2015-GC34 A-3 36250VAC6 LT AAAsf Affirmed AAAsf A-4 36250VAD4 LT AAAsf Affirmed AAAsf A-AB 36250VAE2 LT AAAsf Affirmed AAAsf A-S 36250VAH5 LT AAAsf Affirmed AAAsf B 36250VAJ1 LT BBB+sf Downgrade A+sf C 36250VAL6 LT BBsf Downgrade BBBsf D 36250VAM4 LT CCCsf Downgrade B-sf E 36250VAP7 LT CCsf Affirmed CCsf F 36250VAR3 LT CCsf Affirmed CCsf PEZ 36250VAK8 LT BBsf Downgrade BBBsf X-A 36250VAF9 LT AAAsf Affirmed AAAsf X-B 36250VAG7 LT BBB+sf Downgrade A+sf X-D 36250VAN2 LT CCCsf Downgrade B-sf Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 11.0% in CGCMT 2015-GC33, 15.6% in GSMS 2015-GC34 and 13.6% in CGCMT 2015-GC35. The CGCMT 2015-GC33 transaction has 12 Fitch Loans of Concern (FLOCs; 37.0% of the pool), including two loans (11.9%) in special servicing. The GSMS 2015-GC34 transaction has nine FLOCS (43.2% of the pool), including three loans (27.1%) in special servicing. The CGCMT 2015-GC35 transaction has 10 FLOCs (53.1% of the pool), including four loans (18.5%) in special servicing. CGCMT 2015-GC33: The downgrades on classes B, C, PEZ, D, X-D, E, and F reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance declines and refinance concerns with three office FLOCs, Illinois Center (11.2%), Hamilton Landing (7.2%) and The Decoration and Design Building (7.4%), which account for approximately 77% of the overall pool loss expectations. The Negative Outlook on classes A-S, X-A, B, C, PEZ reflect the elevated concentrations of office (34.4%) and specially serviced loans (11.9%), and possible further downgrades should performance of the three aforementioned office FLOCs, along with other retail, hotel and mixed use FLOCs, including Mix at Midtown, Hyatt Place Rogers, Courtyard Sunnyvale and Renaissance Faire I, fail to stabilize, deteriorate further or with prolonged specially serviced loan workouts. GSMS 2015-GC34: The downgrades on classes B, X-B, C, PEZ, D, and X-D reflect higher pool loss expectations since Fitch's prior rating action driven by the three specially serviced office FLOCs (combined, 27.1% of pool) due to further performance declines on 750 Lexington Avenue (11.1%) and Illinois Center (13.1%), as well as continued limited workout progress on the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets (2.9%). Loss expectations for these three specially serviced office FLOCs account for approximately 89% of the overall pool loss expectations. The Negative Outlooks on classes A-S, X-A, B, X-B, C and PEZ reflect the high office concentration (45.8%), inclusive of three specially serviced office loans (27.1%), and further downgrades will occur without performance stabilization and workout progress on the aforementioned three specially serviced office FLOCs. Both the 750 Lexington Avenue and Illinois Center loans transferred to special servicing since the prior rating action, and are 90+ days and 60 days delinquent, respectively, as of the June 2024 remittance reporting. Additionally, an updated appraisal value on 750 Lexington Avenue indicates a lower value than previously expected. CGCMT 2015-GC35: The downgrades on classes A-S, X-A, B, X-B, C, PEZ, D, X-D, E and F reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance declines and refinance concerns with office and retail FLOCs, including 750 Lexington Avenue (4.6%), Paramus Park (12.8%), Illinois Center (6.0%) and South Plains Mall (10.7%). Loss expectations for these four office and retail FLOCs account for approximately 84% of overall pool loss expectations. The Negative Outlooks on classes A-4, A-S, X-A, B, X-B, C and PEZ reflect the elevated concentrations of office (30.4%) and special serviced loans (18.5%), and potential for further downgrades should performance not stabilize on these aforementioned office and retail FLOCs. The Negative Outlook on class A-4 also considered the class' reliance on repayment from other underperforming hotel, retail and office FLOCs, including Westin Boston Waterfront, Doubletree Jersey City, Commerce Center, 700 North Sacramento Boulevard, 627 North Albany and Cortez Plaza East; should loss expectations on these FLOCs exceed Fitch's expectation with further performance deterioration or an extended loan workout, a downgrade is possible. Largest Contributors to Loss: The Illinois Center loan, the largest increase in loss since the prior rating action in CGCMT 2015-GC33, second largest increase in GSMS 2015-GC34 and third largest increase in CGCMT 2015-GC35, is secured by two adjoining 32-story office towers totaling 2.1 million-sf in the East Loop submarket of the Chicago CBD. The loan transferred to special servicing in April 2024 for payment default. According to the June 2024 remittance porting, the loan was 60 days delinquent. Combined occupancy of the two office towers dropped to 47.8% as of the December 2023 rent roll from 63.7% at YE 2022, when several tenants vacated upon lease expiration. The Department of Health & Human Services (formerly 8.1% of NRA) vacated in November 2023 and Bankers Life and Casualty (formerly 6.5% of NRA) vacated in August 2023. The 111 E Wacker building was 62.1% occupied and the 233 North Michigan building was 33.9% occupied. The largest tenants are Taft Stettinius & Hollister (5.1% of NRA through August 2034), iHeartMedia + Entertainment (4.6%; August 2034) and AmTrust (3.3%; June 2026). Upcoming rollover per the December 2023 rent roll includes 6.9% of the NRA rolling in 2024 and 5.0% in 2025. New leases totaling 8.3% of the NRA are expected to commence between 2024 and 2026, inclusive of Taft Stettinius & Hollister's lease renewal. Recently executed leases have an average rental rate of $21 psf. The servicer-reported YE 2023 NOI DSCR was 1.41x, compared to 1.14x at YE 2022, 1.15x at YE 2021, 1.61x at YE 2020, and 2.19x at YE 2019. Fitch's 'Bsf' rating case loss of 32.6% (prior to concentration add-ons) reflects a 10.0% cap rate and a 15% stress to the YE 2023 NOI due to rollover concerns and weak submarket fundamentals. The largest increase in loss since the prior rating action in GSMS 2015-GC34 and in CGCMT 2015-GC35 is the 750 Lexington Avenue loan, secured by the leasehold interest in a 361,443-sf office property with ground floor retail located in Manhattan's Plaza District, NY. The loan transferred to special servicing in October 2023 for delinquent payments. Per the June 2024 remittance, the loan is 90+ days delinquent. The property's largest tenants include WeWork (21.6% of NRA leased through March 2033), The Invus Group (5.9%; January 2026), Stemline Therapeutics, Inc. (4.5%; May 2028) and Odeon Capital Group, LLC (3.9%; May 2029). Sephora is largest retail tenant (1.8%; January 2025). A 7,676-sf portion of the 24,602-sf land parcel is subject to a ground lease until December 31, 2077. The ground rent expense recently increased to $6.4 million, as part of a scheduled rent reset based on 110% of the prior year's rent or 9% of the land value. The ground rent expense increases again in 2030. The WeWork lease was executed to consist of two portions, both at below-market rents and expiring in March 2035, with the tenant receiving a total of 32 months of free rent spread over its lease term. The first portion of the lease (82,500 sf; 21.6% of NRA) commenced in March 2018 at rents of $65 psf, which helped to drive occupancy up to 89.2% in June 2018 from 66% in June 2017. The second portion of the lease, which includes an additional 30,775 sf (8.6% of NRA) on the 10th and 11th floors, was expected to commence in February 2020; these are vacant. According to the most recent borrower's comment, they are in dispute with WeWork for the two full floors of space. WeWork is obligated to pay rent till 2035. Additionally, WeWork halted rent payments in October 2023 ahead of their bankruptcy filing, but did not reject its lease at the property. WeWork is currently in discussions with the borrower for a rent deduction. The servicer-reported YE 2023 NOI DSCR was 0.45x, compared to 0.66x at YE 2022, 1.15x at YE 2021, and 2.26x at YE 2020. The loan began amortizing in November 2020. Fitch's 'Bsf' rating case loss of 66.5% (prior to concentration add-ons) considers a recent appraisal value, reflecting a stressed value of approximately $138 psf. The second largest increase in loss since the prior rating action in CGCMT 2015-GC33 is the Hamilton Landing loan, secured by a 406,355-sf office property located in Novato, CA. Major tenants at property include Visual Concepts Entertainment (30.2% NRA, whereby 52% of that space expires in July 2025 and the remainder in 2033), Activision (5.7%; July 2025) and Apparent (4.7%; June 2033). YE 2023 occupancy declined to 64% from 79% at YE 2022, 85% at YE 2021, 86% at YE 2020, and 92% at YE 2019. The decline in occupancy at YE 2023 is attributed to two tenants vacating the subject at lease expiration - Psychological Services (11.3%; December 2022) and Marin Capital Management (4.9%; May 2023). Per the most recently provided September 2023 rent roll from the servicer, upcoming rollover includes 4.5% of the NRA in 2024 and 30.7% in 2025. The servicer-reported NOI DSCR as of Q2 2023 was 1.82x, compared to 2.37x at YE 2022, 2.77x at YE 2021, 3.11x at YE 2020 and 2.51x at YE 2019. Fitch's 'Bsf' rating case loss of 31.0% (prior to concentration add-ons) reflects a 9.5% cap rate to the YE 2023 NOI and factors a heightened probability of default due to the declining occupancy, upcoming rollover and anticipated refinance concerns. The second largest increase in loss since the prior rating action in in CGCMT 2015-GC35 is the Paramus Park loan, secured by a 302,283-sf portion of a 761,340-sf regional mall located in Paramus, NJ. Non-collateral anchors include Macy's and Stew Leonard's, which took over a 100,000-sf portion of the former 169,634 sf Sears box that was vacated in 2019. Collateral occupancy as of the March 2024 rent roll was 83.4%, compared to 84% in March 2023, 89% at YE 2022, 82% at YE 2021, and 73% at YE 2020. The March 2024 rent roll shows 15 leases totaling 16.9% of NRA are scheduled to expire 2024, and 19 leases totaling 30.6% in 2025. Comparable in-line tenant sales for tenants under 10,000sf improved to $423 psf as of TTM March 2023, after declining to $233 psf in 2020, and is in line with $429 psf in 2019. Fitch's 'Bsf' rating case loss of 18.4% (prior to concentration add-ons) reflects a 13% cap rate to the YE 2023 NOI. The fourth largest change in loss since the prior rating action in CGCMT 2015-GC35 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; expired 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 (MTM) 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 the NRA that are expiring by YE 2024, including the Dillard's MTM lease. 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. The servicer-reported YE 2023 NOI DSCR was 2.00x, 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 34.5% (prior to concentration add-ons) reflects a 15% cap rate and 15% stress to the YE 2023 NOI and factors a heighted probability of default given its asset quality, declining performance and anticipated refinance concerns. The second largest contributor to overall loss expectations in CGCMT 2015-GC33 is The Decoration & Design Building loan, secured by the leasehold interest in a 588,512-sf office property located in midtown Manhattan. According to the June 2024 remittance, the loan was 30 days delinquent. The property is subject to a ground lease that expired in December 2023. The ground rent reset in January 2024 to the greater of the prior year's payment or 6% of the unencumbered land value. Based on the appraiser's estimate of unencumbered land value at issuance, the ground lease payment is expected to increase to $13.8 million from its previous amount of $3.8 million. Major tenants at the property include Stark Carpet (6.3% of NRA through November 2024), Holly Refining and Marketing (3.2%; March 2027) and F. Schumacher (3.1%; December 2029). Per the October 2023 rent roll, the property was 65.3% occupied, compared with 66% at YE 2022, 77% at YE 2021, 83% at YE 2020, and 87% at YE 2019. There is 14.6% and 7.0% of the NRA scheduled to roll in 2024 and 2025, respectively. The annualized Q3 2023 NOI DSCR was 1.60x, compared with 1.71x at YE 2022, 2.14x at YE 2021, 2.39x at YE 2020, and 2.64x at YE 2019. With the ground rent reset, YE 2024 NOI DSCR is expected to drop to approximately 1.13x. Fitch's 'Bsf' rating case loss of 35.0% (prior to concentration add-ons) reflects a 11.5% cap rate, 35% stress to the annualized Q3 2023 NOI incorporating the increase in ground rent payment. It also factors a high probability of default due to the declining occupancy, ground rent reset and expected refinance concerns. The third largest contributor to overall loss expectations in GSMS 2015-GC34 the REO Woodlands Corporate Center and 7049 Williams Road Portfolio assets (2.9% of the pool), a portfolio of eight office/flex properties located in suburban Buffalo, NY. The loan transferred to special servicing in December 2019 for imminent default and the assets became REO in October 2022. According to the special servicer, the vacant spaces across the portfolio are being marketed for lease. As of June 2024, the assets are not listed for sale as the servicer is continuing to address leasing and capex needs at the properties. Portfolio cash flow has declined since issuance, partially attributed to the rent reduction of the largest tenant, Silipos (16.6% of portfolio NRA leased through April 2028), by nearly 47% as part of its 10-year lease renewal. The portfolio's other largest tenants include Calamar Construction Management, Inc. (14.3%; July 2025) and TDG Transit Design Group (8.4%; August 2029). The YE 2023 NOI DSCR was 0.35x, compared to 0.71x at YE 2022. Portfolio occupancy was 71% occupied, compared to 80% in March 2023, 80% in December 2022, 74.8% in May 2021 and 86.3% in April 2020. Fitch's 'Bsf' rating case loss of 71.2% (prior to concentration add-ons) considers a stress to a recent appraisal, reflecting a stressed value of $40 psf. Improved Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance for CGCMT 2015-GC33 has been reduced by 12.6% to $836.6 million from $958.5 million at issuance. Fourteen loans (17.0% of pool) have been defeased. Six loans (26%) are full-term interest-only (IO) and the remaining 74% of the pool is amortizing. Scheduled loan maturities include 58 loans (93%) in 2025 and one loan (7%) in 2026. As of the June 2024 distribution date, the pool's aggregate balance for GSMS 2015-GC34 has been reduced by 15.4% to $717.5 million from $848.4 million at issuance. Seventeen loans (17.1% of pool) have been defeased. Four loans (39%) are full-term IO and the remaining 61% of the pool is amortizing. All 51 loans are scheduled to mature in 2025. As of the June 2024 distribution date, the pool's aggregate balance for CGCMT 2015-GC35 has been reduced by 15.3% to $935.8 million from $1.1 billion at issuance. Sixteen loans (9.3% of pool) have been defeased. Eleven loans (54%) are full-term IO and the remaining 46% of the pool is amortizing. All 56 loans are scheduled to mature in 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes senior rated 'AAAsf' in CGCMT 2015-GC33 and GSMS 2015-GC34 and classes A-2, A-3 and A-AB in CGCMT 2015-GC35 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 class A-4 in CGCMT 2015-GC35 which is rated 'AAAsf' with a Negative Outlook may be possible should loss expectations on the FLOCs, including 750 Lexington Avenue, Paramus Park, Illinois Center, South Plains Mall, Westin Boston Waterfront, Doubletree Jersey City, Commerce Center, 700 North Sacramento Boulevard, 627 North Albany and Cortez Plaza East, significantly exceed Fitch's expectation due to further performance deterioration or an extended loan workout. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are expected 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 'Asf' category could occur should performance of the FLOCs, most notably Illinois Center (all three transactions), 750 Lexington (GSMS 2015-GC34 and CGCMT 2015-GC35), The Decoration & Design Building (CGCMT 2015-GC33), South Plains Mall (CGCMT 2015-GC35) and Paramus Park (CGCMT 2015-GC35), deteriorate further or if more loans than expected default at or prior to maturity. Downgrades in the 'BBBsf' and 'BBsf' rated categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office and retail FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, as losses be realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and performance stabilization on the FLOCs, including Illinois Center (all three transactions), 750 Lexington (GSMS 2015-GC34 and CGCMT 2015-GC35), The Decoration & Design Building (CGCMT 2015-GC33), South Plains Mall (CGCMT 2015-GC35) and Paramus Park (CGCMT 2015-GC35). 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' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to the 'CCCsf', 'CCsf' and 'Csf' category rated classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP MORTGAGE 2024-RP3: DBRS Gives B Rating on B2 Notes ------------------------------------------------------------ DBRS, Inc. assigned credit ratings to the Mortgage-Backed Securities, Series 2024-RP3 (the Notes) issued by Citigroup Mortgage Loan Trust 2024-RP3 (the Trust): -- $1.2 billion Class A-1 at AAA (sf) -- $55.6 million Class A-2 at AA (low) (sf) -- $1.3 billion Class A-3 at AA (low) (sf) -- $1.3 billion Class A-4 at A (low) (sf) -- $1.4 billion Class A-5 at BBB (low) (sf) -- $43.5 million Class M-1 at A (low) (sf) -- $33.5 million Class M-2 at BBB (low) (sf) -- $20.7 million Class B-1 at BB (low) (sf) -- $12.1 million Class B-2 at B (sf) Classes A-3, A-4, and A-5 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) credit rating on the Class A-1 certificates reflects 13.65% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 9.75%, 6.70, 4.35%, 2.90% and 2.05% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 6,329 loans with a total principal balance of $1,425,009,649 as of the Cut-Off Date (May 31, 2024). The mortgage loans are approximately 116 months seasoned. As of the Cut-Off Date, 99.0% of the loans are current (including 0.6% bankruptcy-performing loans), and 1.0% of the loans are 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 85.0% and 98.3% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively. The portfolio contains 98.1% modified loans. The modifications happened more than two years ago for 90.2% of the loans that Morningstar DBRS classified as modified. Within the pool, 1,058 mortgages have an aggregate non-interest-bearing deferred amount of $36,018,114, which comprises 2.5% of the total principal balance. The Seller, Citigroup Global Markets Realty Corp. (CGMRC), acquired the mortgage loans through bulk whole loan acquisitions. The Seller will then contribute the loans to the Trust through an affiliate, Citigroup Mortgage Loan Trust Inc. (the Depositor). As the Sponsor, CGMRC or one of its majority-owned affiliates will acquire and retain a 5% eligible vertical interest in each class of Notes (other than the Class R Notes) to satisfy the credit risk retention requirements. The loans were originated and previously serviced by various entities. As of the Cut-Off Date, all of the loans are being serviced by an Interim Servicer. All servicing will be transferred to Nationstar Mortgage LLC doing business as Rushmore Servicing (Rushmore). There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners' association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. When the aggregate pool balance is reduced to less than 25% of the balance as of the Cut-Off Date, the directing noteholder may purchase all of the mortgage loans and real estate owned properties from the Issuer, as long as the aggregate proceeds meet a minimum price that meets or exceeds par plus interest. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired. Notes: All figures are in U.S. Dollars unless otherwise noted. CLICKLEASE EQUIPMENT 2024-1: DBRS Finalizes BB(low) on D Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by ClickLease Equipment Receivables 2024-1 LLC (CLICK 2024-1 or the Issuer): -- $121,200,000 Class A Notes at AA (low) (sf) -- $40,440,000 Class B Notes at A (low) (sf) -- $40,560,000 Class C Notes at BBB (low) (sf) -- $21,160,000 Class D Notes at BB (low) (sf) The credit ratings are based on the review by Morningstar DBRS of the following analytical considerations: (1) ClickLease LLC (ClickLease or the Company) provides micro-ticket financing in form of operating leases primarily focusing on sub-prime or near-prime commercial obligors. To evaluate the likelihood of default by an obligor and structure key financing terms, ClickLease's automated underwriting process utilizes an empirically derived proprietary risk tiering algorithm. -- The collateral for the CLICK 2024-1 transaction includes internally graded A, B, C, D, E, F and G credits, which are also classified and grouped by ClickLease as High Risk, Medium Risk and Low Risk depending on the type of financed equipment. Morningstar DBRS considered the impact from inclusion of the lower tiered and deemed "high risk" credits in its assumptions for the stressed cash flow scenarios. -- As of the Cut-Off Date of April 30, 2024, the collateral pool comprised obligors internally graded A, B, C, D, E, F and G, which accounted, respectively, for 6.51%, 15.55%, 32.17%. 35.74%, 7.67%, 1.41% and 0.96% of ADCB of Initial Leases. In addition, obligors classified as Low Risk, Medium Risk and High Risk accounted for 64.77%, 20.76% and 14.47% of ADCB, respectively. (2) The subordination, OC, cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of the Notes. Under various stressed cash flow scenarios, the credit enhancement can withstand the expected loss using Morningstar DBRS multiples of 2.75 times (x) with respect to the Class A Notes and 2.10x, 1.50x, and 1.30x with respect to the Class B, C, and D Notes, respectively. -- CLICK 2024-1 relies on the expected loss coverage multiples for the Class A Notes, Class B Notes, Class C Notes, and Class D Notes that are below the Morningstar DBRS range of multiples set forth in the rating methodology for this asset class. Morningstar DBRS believes this is warranted, given the magnitude of expected cumulative net loss (CNL), company's focus on non-prime commercial credits, and structural features of the transaction. (3) Morningstar DBRS used the expected cumulative net loss (CNL) assumption of 20.86% in its stressed cash flow scenarios, assessed using the actual static pool performance data for ClickLease. In addition to the overall managed portfolio data, Morningstar DBRS considered the historical quarterly static pool vintage cumulative gross loss (CGL), recovery and CNL performance by internally assigned credit grade as well as risk classification. Morningstar DBRS also reviewed the quarterly static pool vintage performance related to the leases secured by utility trailers. -- Morningstar DBRS' expected CNL assumption incorporates full credit to seasoning of the collateral pool, taking into account the relatively short original effective term of 43.81 months, substantial seasoning of collateral as of the Cut-Off Date of 10.46 months and the historical loss timing curve. (4) The transaction assumptions consider Morningstar DBRS baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2024 Update, published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (5) The collateral pool as of the Cut-Off Date did not contain any significant concentrations of obligors or geographies and comprised a diversified mix of equipment types with moderate concentrations in utility trailers (34.3% of ADCB) and industrial equipment (13.6%). Weighted average (WA) non-zero FICO of the guarantors as of the Cut-Off Date was 650, and the WA effective yield - 34.2%. (6) Aggregate discounted residual balance as of the Cut-Off Date was $19.9 million, or approximately 8.46% of the ADCB of collateral pool. -- Booked residuals are given only 45% (AA) to 75% (BB) credit in the Morningstar DBRS stressed cash flow scenarios. (7) ClickLease was founded and is led by industry veterans with many years of combined experience in equipment leasing and small business lending. On March 14, 2024, Morningstar DBRS conducted an operational risk onsite meeting with ClickLease and deemed the Company to be an acceptable originator and servicer of small-ticket lease contracts. Morningstar DBRS has reviewed Orion First Financial, LLC and believes it to be an acceptable backup servicer of the small-ticket equipment financing contracts. (8) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with ClickLease, and that the Indenture Trustee has a valid first-priority security interest in the assets. Morningstar DBRS also reviewed the transaction terms for consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS credit ratings on the Class A Notes, Class B Notes, Class C Notes, and Class D Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Note Interest and the Outstanding Amount of each class of Notes. Morningstar DBRS credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the contractual payment obligations that are not financial obligations are the payments related to the Servicer Indemnified Amounts. 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. CLOVER CLO 2020-1: Moody's Gives B3 Rating to $250,000 F-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Clover CLO 2020-1, LLC (the Issuer): US$288,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$250,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2037, 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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of assets that are not first lien loans. Clover Credit Management, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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, the other five classes of secured notes and one additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests. 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 Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3098 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 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. COLLEGIATE FUNDING 2005-B: Fitch Affirms Bsf Rating on Cl. B Notes ------------------------------------------------------------------ Fitch Ratings has downgraded the class A-4 notes of Collegiate Funding Services Education Loan Trust (CFS) 2005-B to 'BBBsf' from 'Asf'. Following the downgrade, class A-4 has been assigned a Negative Rating Outlook. Fitch has also affirmed the ratings of class B notes and the Outlook of class B remains Stable. Entity/Debt Rating Prior ----------- ------ ----- Collegiate Funding Services Education Loan Trust 2005-B A-4 19458LBH2 LT BBBsf Downgrade Asf B 19458LBJ8 LT Bsf Affirmed Bsf TRANSACTION SUMMARY CFS 2005-B's class A-4 notes were downgraded to 'BBBsf' from 'Asf' due to increased maturity risk (the risk of not being able to repay the principal due on the notes by legal final maturity) for the notes in Fitch's cashflow modeling. Maturity risk increased since the last review as reflected by the slow decline in weighted average remaining term, which declined by less than 2 months over the last twelve months ending May, 2024. The model-implied rating from Fitch's cashflow modelling of the class A-4 notes is one category lower than the assigned ratings, which is permitted by the Federal Family Education Loan Program (FFELP) Rating Criteria. The Negative Outlooks for the class A-4 notes reflect the possibility of further negative rating pressure in the next one to two years if maturity risk increases, particularly if the remaining loan term does not move lower. CFS 2005-B's class B notes miss their legal final maturity date under both credit and maturity base case stresses. The notes were maintained at their current ratings given the legal final maturity date is over 10 years away and the ability of the trust to be called after reaching 10% pool factor. In Fitch's cashflow modelling the class A-4 notes and class B notes are eventually paid in full without a principal shortfall across all rating scenarios. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 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. Fitch currently rates the U.S. sovereign rating 'AA+'/Stable. Collateral Performance: Based on transaction specific performance to date, Fitch maintained its sustainable constant default rate assumption (sCDR) of 2.5% and the sustainable constant prepayment rate (sCPR) is 7.0%. The 'AAsf' and base case default rate is 41.94% and 15.25%. After applying the default timing curve per criteria, the 'AA' and base case effective default rate are unchanged. The 31-60 days past due (DPD) decreased to 2.14% from 2.48% one year prior, but 91-120 DPD increased slightly to 0.76% from 0.74% at May 31, 2023. The TTM levels of deferment, forbearance, and income-based repayment (IBR prior to adjustment) were 2.21% (2.35% at May 31, 2023), 10.0% (8.6%), and 21.1% (19.3%), respectively. These levels are used as the starting point in cash flow modeling and subsequent declines and increases are modeled as per criteria. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. Borrower benefits are 0.26% based on information provided by the sponsor. Basis and Interest Risk: Basis risk for the transaction 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 distribution date, all trust student loans are indexed to 30-day Average SOFR and all notes are indexed to 90-day Average SOFR. Fitch applies its standard basis and interest rate stresses to these two 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 June 2024 distribution date, reported total parity is 103.59%. Liquidity support is provided by reserve accounts currently sized at their floors $1,915,862. The transaction is currently not releasing cash. Operational Capabilities: Navient Solutions LLC is the servicer for all the loans in the trust. This year Navient announced that it has entered into a binding letter of intent to transfer its student loan servicing to MOHELA in the coming months. Fitch has reviewed the servicing operations of Navient and MOHELA and considers both to be adequate private student loan servicers for the transaction based on their historical performance servicing student loan collateral. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'CCCsf'; - Default increase 50%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'Bsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AA+sf'; class B 'CCCsf' - Default decrease 50%: class A 'AA+sf'; class B 'CCCsf' - Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'CCCsf' - Basis Spread decrease 0.50%: class A 'AA+sf'; class B 'CCCsf' Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'BBBsf'; class B 'CCCsf' - CPR increase 50%: class A 'Asf'; class B 'Bsf' - IBR Usage decrease 25%: class A 'BBsf'; class B 'CCCsf' - IBR Usage decrease 50%: class A 'BBBsf'; class B 'CCCsf' - Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf - Remaining Term decrease 50%: class A 'AA+sf'; class B 'AA+sf' 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. COLT 2024-4: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by COLT 2024-4 Mortgage Loan Trust (COLT 2024-4). COLT 2024-4 utilizes Fitch's new Interactive RMBS presale feature. To access the interactive feature, click the link at the top of the presale report's first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating Prior ----------- ------ ----- COLT 2024-4 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-4 Mortgage Loan Trust as indicated above. The certificates are supported by 528 nonprime loans with a total balance of approximately $308.3 million as of the cutoff date. Loans in the pool were originated by multiple originators, including The Loan Store, Inc. Foundation Mortgage Corporation, OCMBC, Inc. (dba LoanStream Mortgage), Lendsure Mortgage and various others. The loans were aggregated by Hudson Americas L.P., and are currently serviced by Fay Servicing LLC (Fay), Select Portfolio Servicing, Inc. (SPS), Citadel Servicing Corporation (dba Acra Lending) and Northpointe Bank. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.3% above a long-term sustainable level (versus 11.1% on a national level as of 4Q23, 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 increased 5.5% yoy nationally as of February 2024. COLT 2024-4 has a combined original loan-to-value (cLTV) of 74.4%, slightly higher than that of the previous Hudson transaction, COLT 2024-3. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 82.1%, compared with 82.5% for the previous transaction. Non-QM Credit Quality (Negative): The collateral consists of 528 loans totaling $308.3 million and seasoned at approximately four months in aggregate. The borrowers have a moderate credit profile, consisting of a 743 model FICO, and moderate leverage with an 82.1% sLTV and a 74.4% cLTV. Of the pool, 55.5% of the loans are of a primary residence, while 37.5% comprise an investor property. Additionally, 56.6% are non-qualified mortgages (non-QMs, or NQMs), including 2.2% designated as Ability-to-Repay (ATR) risk, 1.4% as high-priced QM (HPQMs), 4.7% as safe-harbor QM (SHQMs) and QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 21.0%. This is mainly driven by the NQM collateral and the significant investor cash flow product (debt service coverage ratio [DSCR]) concentration. Loan Documentation (Negative): About 94.9% of loans in the pool were underwritten to less than full documentation and 63.1% 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) ATR Rule (the Rule). Fitch's treatment of alternative loan documentation increased 'AAAsf' expected losses by 600bps, compared with a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): In the pool, there are 145 DSCR products (19.0% by unpaid principal balance [UPB]). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt-to-income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats them as low documentation. Fitch's treatment for DSCR loans results in a higher Fitch-reported non-zero DTI. Of the DSCR loans, 4.1% (by UPB) include a default interest rate feature, whereby the interest rate to the borrower increases upon delinquency/default. Fitch expects a lower cure rate on loans with this feature and increases the likely default rate, similar to the impact of an adjustable-rate mortgage (ARM). Fitch's average expected losses for DSCR loans is 31.0% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans serviced by SPS, Fay and Northpointe for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then the securities administrator will be obligated to make such advance. For the Citadel-serviced mortgage loans, there will be no advances of delinquent 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 to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2024-4 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bp increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Clayton, Evolve, Selene, Clarifii, Opus and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 49bps reduction to the 'AAA' expected loss. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2012-LTRT: DBRS Confirms CCC Rating on 2 Classes ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on the COMM 2012-LTRT Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT issued by COMM 2012-LTRT Mortgage Trust, as follows: -- Class X-A at AA (sf) -- Class A2 at AA (low) (sf) -- Class B at A (low) (sf) -- Class C at B (high) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) All trends are Stable, with the exception of Class D and Class E, which have credit ratings that do not typically carry a trend in commercial mortgage backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' ultimate expectation of recoverability based on the September 2022 appraisal values obtained by the servicer for both of the collateral malls backing the loans in the transaction. As Morningstar DBRS expected, property level performance has remained stagnant over the last two years as evidenced by the aggregate servicer reported YE 2023 net cash flow (NCF) of $22.8 million, which is down by $2.0 million from the YE2022 figure. While Morningstar DBRS recognizes the relatively healthy debt service coverage ratios (DSCR) for each loan of above 1.20x, there remains increased credit risk for refinancing at the upcoming October 2024 maturity dates for both loans given both of the current fixed interest rates are below 4.50% and current market rates would result in much lower DSCRs. The subject transaction is evidenced by two promissory notes, each individually secured by the fee interest in a portion of one of two super-regional malls known as the Westroads Mall and the Oaks Mall. The two loans are coterminous and originally structured with 10-year loan terms, each with a 30-year amortization schedule with no interest-only (IO) periods. The loans are not cross collateralized or cross defaulted. Both loans were originally scheduled to mature in October 2022; however, the servicer granted a two-year extension for each and the loans now mature in October 2024. Morningstar DBRS has requested the full terms of the loan modifications from the servicer to determine the stipulated specific paydown requirements, if any; however, the servicer has not provided those to date. As of the June 2024 remittance, the loans report an aggregate senior note balance of $174.1 million, down from $192.5 million at the prior credit rating action in June 2023 and $209.7 million in October 2022 when the loan was modified. Given the reporting shows principal paydown of $35.7 million since October 2022, reducing the collateral balance by about 17.0%, Morningstar DBRS believes it is likely that the loan modifications required paydown as part of the terms. At issuance there was additional mezzanine debt of $37.0 million, which had been reduced to $30.2 million as of July 2022; Morningstar DBRS inquired regarding the current mezzanine debt balance but has not yet received an update. Of the two loans backing the transaction, the Westroads Mall loan, which is secured by the fee interests in 540,304 square feet (sf) of a 1.1 million-sf regional mall in Omaha, Nebraska, has been the stronger performer. The noncollateral anchor spaces are occupied by JCPenney, Von Maur, and First Westroads Bank, while the largest collateral anchor and junior anchors at the property include Dick's Sporting Goods, AMC Theatres, and Forever 21. The mall faces upcoming tenant rollover risk comprising 33.2% of net rentable area (NRA) in 2024 including major tenant AMC Theaters (6.8% of NRA; December 2024 lease expiration) and 5.7% of NRA in 2025, including major tenant H&M (2.4% of NRA; January 2025 lease expiration). The mall is a dominant shopping destination within Omaha, but there is a competing open-air shopping center in Village Pointe that is within seven miles and has a concentration of overlapping tenants with the subject, including Designer Shoe Warehouse (DSW) and Old Navy. Village Pointe targets an upscale clientele, and its overall tenant mix is considered superior to the subject's tenant roster as it includes Apple, Lululemon, and Kendra Scott. At issuance, Westroads Mall was 94.5% occupied and had in-line sales of $458 per square foot (psf). The occupancy rate has recently increased to 95.89% as of YE 2023, up from 91.0% as of YE 2022. Morningstar DBRS has not received updated sales since the September 2021 tenant sales report (TSR), which showed very low in-line sales of $240 psf. That figure is believed to be at least partially affected by the coronavirus pandemic but the cash flow trends for the property suggest performance continues to lag issuance expectations. The senior note reported a DSCR of 1.57 times (x) at YE 2023, generally in line with figures reported since 2020. Given the continued declines in the property's cash flow performance, Morningstar DBRS maintained the previous surveillance credit rating action's approach, which was based on the September 2022 appraisal value of $149.0 million. That figure is down significantly from the appraisal value at issuance of $242.0 million. This value is also generally in line with the Morningstar DBRS value of $146.2 million, initially derived in 2020 when the credit ratings were assigned. The appraiser's value estimate implies a cap rate of 9.7% on the YE2023 NCF figure and an LTV of 63.2% on the outstanding loan balance as of the June 2024 remittance. Although the decline in cash flows in 2023 suggests the possibility that the as-is value could have declined since the 2022 appraisal, the continued paydown of the loan through the remainder of the term mitigates this risk. Should the property's financial performance continue to deteriorate, Morningstar DBRS could elect to further stress the value for future surveillance reviews. The Oaks Mall loan is secured by the fee interest in 581,849 sf of a 906,349-sf super regional mall in Gainesville, Florida. The property is approximately four miles from the University of Florida's main campus and is anchored by Belk, two Dillard's stores (one of which is collateral), and JCPenney (noncollateral). Major tenants JCPenney, Belk, and Forever 21 recently extended their leases by an additional five years to 2028. Former anchor Macy's closed in 2018 and the ground-leased parcel was purchased by Dillard's and released as collateral for the trust, with net proceeds of $4.9 million from the sale held in reserve as additional collateral. Dillard's continues to operate a second store on the former Macy's parcel. There was also a noncollateral Sears store at issuance, with the property and improvements owned by Seritage, until that anchor was closed in 2018. The former Sears box is now occupied by the University of Florida Health (UF Health) - The Oaks. The mall historically drew traffic from the nearby college campus, but Butler Plaza, a competing open-air shopping center that is the largest power center in the Southeastern United States with nearly 2.0 million sf of retail space, is also nearby and has become the primary retail destination for the area. At issuance, the Oaks Mall had an occupancy rate of 96.8% and in-line sales of $368 psf. According to the YE 2023 financial reporting, the property was 94.0% occupied, generally flat since 2021. The most recent sales data available is as of the September 2021 TSR, which reported in-line sales of $151 psf. Although occupancy has remained relatively stable, Morningstar DBRS notes cash flows have been trending downward since peaking at YE2018. These trends were most recently demonstrated by the YE 2023 NCF of $8.4 million, down $1.5 million from the 2021 figure. Because of recent principal paydown, the senior note reported an improved YE2023 DSCR of 1.23x, compared with 1.10x for the year prior. Given property performance remains depressed, Morningstar DBRS maintained the analysis performed at the previous credit rating action when this loan was analyzed based on the September 2022 appraisal value of $85.0 million. This figure compares with the Morningstar DBRS value of $94.1 million derived in 2020 when the credit ratings were assigned. The 2022 appraisal is down significantly from the appraisal value at issuance of $227.0 million. The appraiser's value estimate implies a cap rate of 9.8% on the YE2023 NCF figure and an LTV of 94.0% on the outstanding loan balance as of the June 2024 remittance. Similarly to the above note regarding the potential implications of further cash flow declines for the Westroads Mall property, Morningstar DBRS also notes this value could be further stressed for future reviews should cash flow trends continue to deteriorate. Morningstar DBRS considers the ongoing principal paydown by Brookfield, albeit likely a condition of maturity extensions for both loans, demonstrates an increased level of commitment to the subject malls. However, Morningstar DBRS remains cautiously optimistic given Brookfield's willingness to turn other underperforming properties, similar to the Oaks Mall, which is the larger of the two malls, in its portfolio back to the lenders for other assets backing CMBS loans. In addition, the three classes rated below investment grade together have an aggregate balance of $50.5 million, providing significant cushion against loss for the two outstanding classes most senior in the waterfall. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE14: DBRS Confirms C Rating on Class F Notes --------------------------------------------------------- DBRS Limited downgraded the following classes of COMM 2014-CCRE14 Mortgage Trust as follows: -- Class C to BBB (low) (sf) from A (low) (sf) -- Class PEZ to BBB (low) from A (low) (sf) -- Class D to CCC (sf) from BB (high) (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class B at AA (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes B, C, and PEZ to Negative from Stable. Classes D, E, and F are assigned credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. Since the last credit rating action, 34 loans have repaid from the trust, with seven loans outstanding, all of which are in special servicing and flagged for maturity default. As such, Morningstar DBRS analyzed the loans based on a liquidation and recoverability analysis. The credit rating downgrades and Negative trends reflect the increased loss projections upon resolution of the remaining loans, with the largest losses stemming from the second- and third-largest loans, 175 West Jackson (Prospectus ID#8, 17.7% of the pool) and 16530 Ventura Boulevard (Prospectus ID#20, 8.7% of the pool), both of which are secured by office properties. Total losses of $54.4 million would erode the entirety of the unrated Class G and Class F balances and approximately 90.0% of the Class E balance, supporting the credit rating downgrades with this review. Additionally, Morningstar DBRS' credit ratings are constrained by Morningstar DBRS expectations of accruing interest shortfalls prior to loan resolution, which also contributed to the trend change to Negative for Classes B and C. Interest shortfalls have increased to $7.0 million with the June 2024 remittance, up from $4.7 million at the last credit rating action. Shortfalls have accumulated up to Class D for over six remittance cycles, which exceeds the Morningstar DBRS tolerance for unpaid interest at the BB rating category, therefore further supporting the credit rating downgrades. Considering all loans are in special servicing and updated appraisals are being made available with values that are generally trending downwards, the borrower's ability to pay interest on the senior debt and the servicer's continued advancing of interest has likely to diminish, potentially leaving Classes B and C exposed to future interest shortfalls, supporting the Negative trends. The credit rating confirmations on the remaining classes reflect the recoverability expectations for the largest loan in the pool, 625 Madison (Prospectus ID#1, 47.2% of the pool), a pari passu loan that is also secured in the COMM 2014-CCRE15 Mortgage Trust transaction (rated by Morningstar DBRS). The loan is secured by the leased-fee interest in the land under 625 Madison Avenue, a 17-storey Class A office tower in Manhattan. SL Green (SLG) was the ground-lease tenant and owned the improvements; however, due to a dispute between SLG and the loan sponsor, Ben Ashkenazy, SLG foreclosed on Ashkenazy's interest in the land after he defaulted on a $195.0 million mezzanine loan (which SLG owns a stake in). The senior loan was modified in December 2023 to extend the loan to December 2026, terminate the ground lease, and pre-approve an equity transfer. A $25.0 million principal paydown was made in connection with the modification. Based on several news articles, ownership of the leased fee interest was transferred to Ross Related Companies with SLG having a $234.5 million equity as well. The plan is to demolish the office building and construct a new tower that would include hotel, retail, and condo space. Based on the November 2023 appraisal, the value of the land was reported at $415.1 million, an increase from the $400.0 million appraised value at issuance, and well above the current whole-loan balance of $168.9 million. As such, the loan is likely to be recovered, therefore supporting the credit rating confirmations. The largest contributor to the projected losses is the 175 West Jackson loan, which is secured by a 22-story, 1.54 million-square-foot (sf) office tower in Chicago's central business district. The loan failed to repay at its November 2023 maturity and workout discussions are currently ongoing. Occupancy at the subject has been depressed for the last several years with the trailing 12-month period ended March 31, 2024, financials reporting an occupancy rate of 58.0% and a debt service coverage ratio below breakeven. Reis reports an average vacancy rate of 14.4% for office properties located in the Central Loop submarket as of Q1 2024, compared with the Q1 2023 figure of 14.2%. The March 2024 appraisal reported a value of $120.0 million, a significant decline from the December 2022 value of $195.0 million and the whole-loan balance of $250.5 million. Given the steep value decline and soft office submarket fundamentals, the loan was analyzed with a liquidation scenario based on a stressed haircut to the March 2024 value, resulting in a loss severity approaching 70.0%. The 16530 Ventura Boulevard loan is secured by the Encino Atrium, a 157,000-sf suburban office building located in Encino, California. The loan recently transferred to special servicing as the borrower failed to pay off the loan at the January 2024 maturity. Although a resolution strategy has yet to be determined, the borrower is working towards upgrading common areas and interior meeting spaces in order to attract new tenants. Occupancy has been depressed for the last several years with the year-end 2023 financials reporting an occupancy rate of 42.1% and negative cash flows. In comparison, The SFV – Central submarket reported an average vacancy rate of 17.2% for Q1 2024 as per Reis. An appraisal dated February 2024 valued the property at $4.3 million, a significant decline from the issuance appraised value of $30.0 million and well below the loan amount of $17.6 million. Given the significant decline in value and soft submarket performance, the loan was analyzed with a full loss to the loan. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE15: DBRS Cuts Class F Certs Rating to C ----------------------------------------------------- DBRS Limited downgraded its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE15 issued by COMM 2014-CCRE15 Mortgage Trust: -- Class E to CCC (sf) from BB (high) (sf) -- Class F to C (sf) from B (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class PEZ at AA (sf) -- Class X-B at A (low) (sf) -- Class D at BBB (high) (sf) Morningstar DBRS changed the trends on Classes D and X-B to Negative from Stable. All other trends are Stable, with the exception of Classes E and F, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. Since the last credit rating action, 26 loans have repaid from the trust and five loans are outstanding, all of which are in special servicing and flagged for either payment or maturity default. As such, Morningstar DBRS analyzed the loans based on a liquidation and recoverability analysis. The credit rating downgrades and Negative trends reflect the increased loss projections tied to a select number of specially serviced loans, with the largest losses stemming from 25 West 45th Street (Prospectus ID#4, 32.9% of the pool) and 600 Commonwealth (Prospectus ID#6, 16.5% of the pool), which are secured by office properties in New York and Los Angeles, respectively. Total losses of $43.8 million would erode the entirety of the unrated Class G and the majority of the Class F balance, therefore supporting the credit rating downgrades with this review. Additionally, Morningstar DBRS' credit ratings are constrained by its expectation of accruing interest shortfalls prior to loan resolution, which also contributed to the Negative trends on Classes D and X-B. Interest shortfalls are currently contained to the unrated Class G; they have increased to $2.0 million from $1.7 million at Morningstar DBRS' last credit rating action and continue to accrue at a rate of approximately $25,000 per month. Morningstar DBRS expects shortfalls to continue to accumulate at the bottom of the capital stack, with potential to affect senior classes, considering that all loans are currently specially serviced. The credit rating confirmations on the remaining classes reflect the recoverability expectations for the largest loan in the pool, 625 Madison (Prospectus ID#3, 37.8% of the pool), a pari passu loan that is also secured in the COMM 2014-CCRE14 Mortgage Trust transaction (rated by Morningstar DBRS). The loan is secured by the leased-fee interest in the land under 625 Madison Avenue, a 17-story Class A office tower in Manhattan. SL Green (SLG) was the ground-lease tenant and owned the improvements but, because of a dispute between SLG and the loan sponsor, Ben Ashkenazy, SLG foreclosed on Ashkenazy's interest in the land after he defaulted on a $195.0 million mezzanine loan (in which SLG owns a stake). The senior loan was modified in December 2023 to extend the loan to December 2026, terminate the ground lease, and preapprove an equity transfer. A $25.0 million principal paydown was made in connection with the modification. Based on several news articles, ownership of the leased-fee interest was transferred to Related Companies, with SLG having $234.5 million in equity. The plan is to demolish the office building and construct a new tower that would include hotel, retail, and condominium space. Based on the November 2023 appraisal, the value of the land was reported at $415.1 million, an increase from the $400.0 million appraised value at issuance and well above the current whole-loan balance of $168.9 million. As such, the loan is likely to be recovered, therefore supporting the credit rating confirmations. The largest contributor to the loss projections is the 25 West 45th Street loan, which is secured by a 17-story Class B office tower in Manhattan's Grand Central submarket. The loan transferred to special servicing as it was unable to repay at its January 2024 maturity date. Foreclosure and appointment of a receiver are being pursued while discussions with the borrower continue. Despite the generally healthy financials with a YE2023 debt service coverage ratio (DSCR) of 1.56 times, this figure has declined as two large tenants, WeWork and FedEx (collectively representing 17.0% of net rentable area (NRA)), vacated in 2023. WeWork had terminated its lease and paid a $660,000 termination fee, but it appears that the borrower did not deposit the funds into a reserve. The property was 70.4% occupied as of the May 2024 reporting, whereas the Grand Central submarket had a vacancy figure of 12.9% for Q1 2024, as per Reis. An updated appraisal is not currently available, but Morningstar DBRS anticipates that the value has declined significantly from the issuance value of $107.0 million. As such, the loan was analyzed with a liquidation scenario and a stressed haircut to the issuance value, resulting in a loss severity in excess of 50.0%. The 600 Commonwealth loan is secured by a 316,000-square-foot office property built in 1970 in Los Angeles. The loan transferred to special servicing as it failed to repay at its January 2024 maturity date. A loan modification to allow an extension of the loan term is currently in the approval stage. According to the YE2023 financials, the DSCR dropped well below breakeven as occupancy declined to 38.0% at YE2023 from 64.0% at YE2022. Only one tenant, LA County Department of Health Services, representing 38.0% of NRA, remained at the property. According to the February 2024 appraisal, the subject was valued at $31.4 million, a significant drop from the issuance value of $50.0 million. For this review, the loan was analyzed with a liquidation scenario, resulting in a loss severity of 30.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-LC17: DBRS Confirms C Rating on Class G Certs ------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC17 issued by COMM 2014-LC17 Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class X-C at BB (high) (sf) -- Class D at BB (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) -- Class G at C (sf) Class A-SB was discontinued with this review as it was repaid in full with the June 2024 remittance. Morningstar DBRS changed the trends on Classes D, X-C, and E from Stable to Negative with this review. The change in trends is a result of nine loans that Morningstar DBRS has identified as having an elevated refinance risk evidenced by notable gap financing issues ahead of the respective maturity dates in 2024, as further described below. All remaining trends are Stable with the exception of Classes F and G, which have ratings that do not typically carry a trend in commercial mortgage backed securities (CMBS) credit ratings. The rating confirmations and Stable trends reflect pool performance and loss expectations that remain in line with Morningstar DBRS' expectations at the time of the last rating action. Since the last credit rating action in July 2023, nine loans have repaid in full, contributing approximately $95 million in principal paydown, and one loan was liquidated at a better-than-expected recovery. To date, eight loans have been liquidated from the trust with a cumulative realized loss of approximately $32.6 million. Additionally, there has been a new defeasance of approximately $53.5 million, bringing the total defeased collateral to 23.7% of the pool. As of the June 2024 remittance, 39 of the original 71 loans remain in the pool, with an aggregate principal balance of $642.5 million, representing a collateral reduction of 48.0% since issuance. The vast majority of the remaining loans in the pool are scheduled to mature by YE2024. In a wind-down scenario, Morningstar DBRS expects that the majority of non-specially serviced loans will successfully repay at maturity as evidenced by a weighted-average (WA) debt service coverage ratio (DSCR) of 1.73 times (x) for all remaining loans in the pool. However, Morningstar DBRS has identified several loans that exhibit increased maturity default risk given weak credit metrics. To account for this, Morningstar DBRS' analysis included stressed loan-to-value ratios (LTVs) and/or elevated probabilities of default (PODs) for nine of loans, representing 23% of the pool, to increase the expected loss (EL) as applicable. The resulting WA EL for these loans was approximately double the pool's WA EL. There are 27 loans (71.8% of the pool) on the servicer's watchlist, all of which have been flagged for upcoming maturities within the next six months. However, only four (9.8% of the pool) of these are being monitored for additional performance related concerns. There are two loans (2.3% of the pool) in special servicing, both of which were also in special servicing at the time of the last rating action. In its analysis for this review, Morningstar DBRS maintained its liquidation of the two loans in special servicing. The largest specially serviced loan, Paradise Valley (Prospectus ID#26; 2.0% of the pool), is secured by an 87,000-square-foot retail center in Phoenix. The loan transferred to the special servicer in August 2020 for imminent payment default and became real estate owned in December 2021. Following a significant increase in vacancy, the borrower attempted to modify and reinstate the loan, but ultimately decided to return the asset to the trust through a nonjudicial foreclosure. As of the March 2024 rent roll, the subject property is 77.8% occupied, up from 45% at YE2022. The improvement reflects a new lease to Influence Gymnastics (35.3% of the net rentable area (NRA), lease expiry in December 2034). Additionally, the servicer commentary indicates that an existing tenant Chainco, LLC (2.1% of the NRA, lease expiry in August 2024), which operates as a martial arts school, will be expanding to more than double its current footprint, and an additional lease for approximately 6.0% of the NRA is nearing execution. Per the YE2023 financials, expenses exceeded revenue and the loan reported a debt service coverage ratio (DSCR) of -0.44x compared with the YE2022 DSCR of 0.53x. However, following the increase in occupancy over the prior year Morningstar DBRS expects revenue will improve. An updated appraisal dated March 2024 reflects this, with the property now valued at $18.9 million, compared with the December 2022 appraised value of $12.6 million. In its analysis for this review, Morningstar DBRS liquidated this loan from the trust with an implied loss severity approaching 20.0%, based on a stress to the most recent appraised value. Excluding collateral that has been defeased, the pool is most concentrated by loans that are secured by lodging and office properties, representing 30.4% and 15.3% of the pool balance, respectively. Most of the loans secured by office properties in this transaction continue to perform as expected, based on the most recent financials available. However, Morningstar DBRS has a cautious outlook on this asset type as sustained upward pressure on vacancy rates in the broader office market may challenge landlords' efforts to backfill vacant space, and, in certain instances, contribute to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Where applicable, Morningstar DBRS increased the POD penalties, and, in certain cases, applied stressed LTVs for loans that are secured by office properties. The largest loan on the servicer's watchlist flagged for performance related concerns -- and one of the loans Morningstar DBRS identified as a risk for maturity default -- is Aloft Cupertino (Prospectus ID#6; 4.8% of the pool). The loan is secured by a 123-key, limited-service hotel in Cupertino, California. The subject is located approximately a half-mile from Apple's 1 Infinite Loop office. The loan was placed on the servicer's watchlist in July 2022 for a low DSCR following a period in special servicing and is now flagged for its upcoming loan maturity in August 2024. The loan previously received a modification with terms that included retroactively deferring principal and interest payments for six months; converting the loan to interest-only (IO) thereafter for 12 months; and deferring of furniture, fixtures, and equipment reserve deposits through June 2022, with all deferred amounts to be repaid prior to maturity in June 2024. Per the December 2023 operating statement, occupancy and revenue per available room have declined year over year. The loan reported a YE2023 DSCR of 0.66x, reflecting a debt yield of 5.2%, compared with the YE2022 DSCR of 0.95x. The borrower has been contacted about its upcoming maturity date, however, it has not provided an update. The decline in cash flow and limited amortization since the loan's modification may present a challenge to efforts to refinance the loan. To reflect this concern, Morningstar DBRS analyzed this loan with an elevated POD, increasing the loan's EL to approximately double the WA pool EL. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2015-CCRE25: Fitch Affirms CCC Rating on Class E Debt ---------------------------------------------------------- Fitch Ratings has affirmed 10 classes of COMM 2015-CCRE25 Mortgage Trust. The Rating Outlooks for classes B, C, D and X-C were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE25 A-3 12593PAV4 LT AAAsf Affirmed AAAsf A-4 12593PAW2 LT AAAsf Affirmed AAAsf A-M 12593PAY8 LT AAAsf Affirmed AAAsf A-SB 12593PAU6 LT AAAsf Affirmed AAAsf B 12593PAZ5 LT AAsf Affirmed AAsf C 12593PBA9 LT A-sf Affirmed A-sf D 12593PBB7 LT BBsf Affirmed BBsf E 12593PAE2 LT CCCsf Affirmed CCCsf X-A 12593PAX0 LT AAAsf Affirmed AAAsf X-C 12593PAC6 LT BBsf Affirmed BBsf KEY RATING DRIVERS Elevated Loss Expectations: The Negative Outlooks for classes B, C, D and X-C reflect continued performance deterioration and refinance concerns of the Fitch Loans of Concern (FLOCs), namely Sheraton Raleigh, Pinnacle at Bristol Phase I, Paradise Esplanade, Spyglass Inn Pacifica, and Monarch 815 at East Tennessee State, which remains in special servicing. Fitch identified 22 loans (36.9% of the pool) as FLOCs, which includes one loan (3.2%) in special servicing. Fitch's current ratings incorporate a 'Bsf' ratings case loss of 7.8%. Due to the expected concentrated nature of the pool due to upcoming maturities (100% of the pool matures by August 2025), Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality, and ranked them by their perceived likelihood of repayment and/or loss expectation. Higher probabilities of default were assigned to hotel and retail FLOCs, including Spyglass Inn Pacifica (1.9% of the pool), Indian Trail (1.6%), Pelican Inn & Suites Pacifica (1.4%), Stewart Lamb Shopping Center (0.4%) and Eastern Promenade (0.2%), which contributed to the Negative Outlooks. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the second largest contributor to loss is the Sheraton Raleigh loan (3.6% of the pool), which is secured by a 353-room full-service hotel located in Raleigh, NC. The hotel has struggled to recover from the pandemic with TTM March 2024 NOI 52% below YE 2019 and 31% below the originator's underwritten NOI from issuance. As of TTM March 2024, occupancy and NOI DSCR was 69.8% and 1.25x, respectively, which compares with YE 2022 occupancy and NOI DSCR of 63% and 1.33x and pre-pandemic levels of 74% and 2.61x at YE 2019. Per the March 2024 STR Report, the hotel is underperforming its competitive set with occupancy, ADR and RevPAR penetration rates of 97.0%, 94.4%, and 91.6%, respectively. Fitch's 'Bsf' ratings case loss of 15.5% (prior to concentration adjustments) includes an 11.25% cap rate to the TTM March 2024 NOI and factors an increased probability of default to account for the hotel's heightened maturity default concerns. The second largest increase in loss expectations since the prior rating action and overall largest contributor to loss is the Monarch 815 at East Tennessee State (3.2%), which is a 576-bed student housing property built in 2014 and located in Johnson City, TN, approximately one mile from East Tennessee State University. The loan transferred to special servicing in June 2018 due to payment default and became REO in February 2019. According to the servicer, recent updates to the property include roof replacement, updated flooring and paint in the hallways, internet upgrades across all units, and new refrigerators and floors in select units. The servicer reported occupancy of 94% as of March 2024 with the most recent reported NOI DSCR of 0.51x as of YE 2022, which compares to 0.20x at YE 2021, 0.17x at YE 2020, and -0.30x at YE 2019. Fitch's 'Bsf' ratings case loss of 81.3% (prior to concentration adjustments) reflects a stress to a recent appraisal value, which represents a 43% decline from the appraisal value at issuance. The Pinnacle at Bristol loan (2.6% of the pool) is secured by a 349,845-sf retail property located in Bristol, TN, which includes a ground lease on an outparcel occupied by Belk. Major tenants include Dick's Sporting Goods (23.0% of the NRA), Bed Bath and Beyond (10.7%), Marshalls (10.6%), Michael's (9.8%) and Shoe Carnival (5.5%), all of which have lease expirations in 2025, near the loan's August 2025 maturity. While occupancy of 98.3% as of September 2023 remains relatively flat compared to 95% at issuance, the NOI DSCR remains lower around 1.23x for the YTD September 2023 reporting period compared to 1.36x at YE 2019, and 1.50x at issuance. Fitch's 'Bsf' ratings case loss of 27.5% (prior to concentration adjustments) reflects a 9.50% cap rate, 25% stress to the YE 2022 NOI reflecting tenant rollover concerns and factors an increased probability of default to account for the loan's heightened maturity default risk. Improvements to Credit Enhancement: As of the June 2024 distribution date, the pool's aggregate balance has been reduced by 20.9% to $891.9 million from $1.01 billion at issuance. Defeasance has increased to 22 loans, accounting for 21.1% of the pool in the current review, up from 19 loans comprising 18.2% of the pool at the prior review. All loans are scheduled to mature between April and August 2025. Realized losses of $16.0 million have impacted the non-rated class G. Interest shortfalls of $145,0782 and $8.82 million are currently impacting the rated class F and non-rated class G, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'AAAsf' are unlikely due to improving credit enhancement and defeasance, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. should performing loans expected to pay off at maturity default at or prior to maturity, exposing theses classes to the possibility of prolonged workouts and increased risk of interest shortfalls and/or reduced credit enhancement. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, may occur should performance of the FLOCs, which include Pearlridge Center, Village Square Shopping Center, Sheraton Raleigh, The Pinnacle at Bristol Phase I and Paradise Esplanade, deteriorate further or more loans than expected default at or prior to maturity. Downgrades to the 'BBsf'-rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings 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' categories 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. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to classes rated in the 'BBsf'-rated classes are not likely and would occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings 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. COMM 2015-PC1: DBRS Confirms BB Rating on Class X-D Certs --------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1 Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-D at BB (sf) -- Class E at BB (low) (sf) -- Class F at CCC (sf) Morningstar DBRS changed the trends on Classes D, E, X-C, and X-D to Negative from Stable. The credit rating assigned to Class F does not typically carry a trend in commercial mortgaged-backed securities (CMBS) ratings. All other trends are Stable. The Negative trends on Classes D, E, X-C, and X-D reflect the increased expected losses from the loans in special servicing in addition to Morningstar DBRS' concerns regarding increased default risk for a number of loans. Nearly all of the remaining loans in the transaction are scheduled to mature in the first half of 2025 and in a wind-down scenario, Morningstar DBRS expects that the majority of non-specially serviced loans will successfully repay at maturity. However, Morningstar DBRS has identified nine loans, representing 25.2% of the pool balance, that exhibit increased default risk because of weak credit metrics and/or upcoming rollover risk. Morningstar DBRS expects that some of these loans will default as they near their respective maturity dates. To account for the increased risk, Morningstar DBRS used stressed loan-to-value ratios (LTVs) and/or elevated probabilities of default for these loans to increase the expected loss (EL) as applicable. Those loans resulted in a weighted average (WA) EL that is nearly 40% higher than the WA EL for the rest of the pool. Should the performance of these loans deteriorate further or additional defaults occur, Morningstar DBRS may consider credit rating downgrades on the classes with Negative trends. Although there has been a notable uptick in the number of loans that Morningstar DBRS analyzed through a liquidation scenario, the current credit rating categories for the most junior classes are appropriately insulated. Morningstar DBRS liquidated all seven of the loans in special servicing (25.2% of the pool), resulting in a total implied loss approaching $38 million, which would erode the unrated Class G, leaving approximately $7.0 million remaining while Class F already has a credit rating that indicates very speculative credit quality, supporting the remaining credit rating confirmations. As of the June 2024 remittance, 66 of the original 80 loans, with an aggregate principal balance of $1.0 billion, remain in the pool, representing a collateral reduction of 31.0% since issuance as a result of loan repayment and scheduled amortization. To date, losses have totaled $1.0 million, eroding only 2% of the nonrated Class G. Twenty loans are on the servicer's watchlist, representing 28.6% of the pool; however, only six of these loans are being monitored for performance-related concerns. There has been a healthy amount of defeasance within the pool with 18 loans, representing 24.1% of the pool that have fully defeased, an uptick of 6.6% since the last credit rating action. Excluding defeased loans, the three largest property-type concentrations are office (35.1% of the pool), retail (16.5% of the pool), and lodging (16.1% of the pool). Morningstar DBRS has a cautious outlook on the office asset type given the anticipated upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space and, in certain instances, contributing to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Morningstar DBRS' analysis includes an additional stress for select office loans exhibiting weakened performance, which resulted in a WA EL that is more than 40% higher than the pool's average EL. The largest loan in special servicing, 760 & 800 Westchester Avenue (Prospectus ID#7, 3.0% of the pool), is secured by two Class A office properties in Rye Brook, New York. The loan is pari passu with the WFCM 2015-NXS1 (Morningstar DBRS rated) and COMM 2015-DC1 transactions. The loan was recently transferred to special servicing in April 2024 for imminent monetary default and according to the most recent servicer commentary, both the lender and the borrower have signed a pre-negotiation letter while discussions are underway. As of the March 2024 rent roll, the combined properties were 87.3% occupied compared with 86% in YE2022 and 90% at issuance. The 760 Westchester Avenue back office totals 64,584 square feet (sf) (11.5% of the net rentable area (NRA)) and is 100% occupied by Sonic Healthcare USA, Inc. (Sonic Healthcare) on a lease expiring in October 2031. After Sonic Healthcare, the rent roll is quite granular with no tenant in the 800 Westchester Avenue building comprising more than 4.5% of the NRA. Additionally, leases comprising 17.4% of the NRA are scheduled to expire in the next 12 months. According to a Q1 2024 report from Reis, the Harrison/Rye/East office submarket reported vacancy at 26.1%, which is expected to remain elevated in the near term. As of the YE2023 financials, the net cash flow (NCF) and debt service coverage ratio (DSCR) were reported at $6.6 million and 1.06 times (x), respectively, which is above the YE2022 figures of $5.8 million and 0.93x and well below the $8.4 million NCF at issuance. Given the loan's poor historical operating performance at a relatively stable occupancy, concerns regarding upcoming rollover in a soft submarket, as well as unfavorable lending conditions as the loan approaches scheduled maturity in November 2024, Morningstar DBRS liquidated the loan by applying a haircut to the $151.0 million issuance appraised value, resulting in an implied loss severity of over 30%. The fourth largest loan in special servicing and the largest contributor to Morningstar DBRS' liquidated loss is Gas Light Building (Prospectus ID#35, 1.3% of the pool) which is secured by a Class B office building totaling 131,727 sf in downtown Milwaukee. The loan transferred to the special servicer in November 2023 for imminent monetary default after the subject experienced significant declines in occupancy. In August 2023, the former largest tenant, U.S. Government USDA Forest (70% of the NRA, lease expired in August 2023), downsized considerably, only renewing for 8.2% of the NRA with a lease expiry in August 2026. Occupancy as of the YE2023 rent roll was reported at 39%, which is down considerably from 89% at YE2022. The special servicer is in the process of appointing a receiver while continuing to dual track. According to the most recent appraisal dated March 2024, the special servicer valued the property at $4.0 million, representing a significant 82.1% reduction in value from the $22.4 million valuation at issuance. Given the loan's considerable declines in performance and reduction in value, Morningstar DBRS analyzed this loan with a liquidation scenario, applying a haircut to the March 2024 appraisal and resulting in a loss severity approaching 85%. Morningstar DBRS has identified the largest loan in the pool, 9000 Sunset (Prospectus ID#1, 12.4% of the pool) for elevated refinance risk ahead of its April 2025 maturity date. The loan is secured by a 145,615-sf office property in the West Hollywood neighborhood of Los Angeles. The subject's performance since issuance has been stable, reporting 96% occupancy as of the March 2024 rent roll with a YE2023 DSCR of 2.24x, which remains relatively in line with historical figures. However, according to the March 2024 rent roll, leases comprising approximately 18.5% of the NRA are scheduled to expire prior to the loan's maturity, which will likely complicate refinancing efforts. In addition, according to a Reis report from Q1 2024, the vacancy for the West Hollywood submarket was elevated at 18.7% and is expected to increase to above 20% in the next five years. Given the upcoming rollover risk, the subject's location in a soft submarket, and general concerns regarding office assets, Morningstar DBRS stressed the loan's LTV over 100% in its analysis. Notes: All figures are in U.S. dollars unless otherwise noted. CONN'S RECEIVABLES 2024-A: Fitch Puts Class C Debt on Watch Neg. ---------------------------------------------------------------- Fitch Ratings has placed all outstanding notes of Conn's Receivables Funding Trusts, Series 2022-A, 2023-A, and 2024-A on Rating Watch Negative (RWN). Fitch has taken this action due to current uncertainty regarding Conn's, Inc.'s financial condition. There is increased risk of performance degradation for these portfolios if a servicing transfer follows a bankruptcy filing. Entity/Debt Rating Prior ----------- ------ ----- Conns Receivables Funding 2022-A, LLC C 20825YAD8 LT BBsf Rating Watch On BBsf Conn's Receivables Funding 2024-A Class A 20824DAA1 LT BBBsf Rating Watch On BBBsf Class B 20824DAB9 LT BBsf Rating Watch On BBsf Class C 20824DAC7 LT B+sf Rating Watch On B+sf Conn's Receivables Funding 2023-A, LLC Class B 20824CAB1 LT BBsf Rating Watch On BBsf Class C 20824CAC9 LT B+sf Rating Watch On B+sf TRANSACTION SUMMARY In early July 2024, after delaying their quarterly 10-Q filing and receiving a potential delisting notice from NASDAQ, public news reports have indicated that Conn's, Inc. is preparing for a bankruptcy filing in the coming weeks. KEY RATING DRIVERS Potential Bankruptcy Servicing Impact: The placement on RWN reflects the potential negative impact that a servicing disruption or servicing transfer could have on trust performance metrics beyond Fitch's stressed levels and outside of its derived base case default assumptions. The trusts contemplate a servicing transfer under several conditions, including if Conn's becomes bankrupt, fails to maintain required net worth, or faces unsatisfied judgments exceeding $7,500,000, a majority of investors would need to direct the trustee. Systems & Services Technologies, Inc. (SST), a subsidiary of Alorica, Inc, is the named back-up servicer for each transaction. While Fitch believes SST is an adequate servicer for these collateral pools, with previous experience with servicing transfers, servicing risk has increased. Growing Credit Enhancement: The transactions have built credit enhancement since closing, all transactions do not release cash until the bonds are repaid. For Conn's 2022-A, the current hard CE for the class C notes has grown to 45.81%. For Conn's 2023-A, the current hard CE totals 52.17% and 33.66% for class B, and C notes, respectively. For Conn's 2024-A, the current hard CE totals 84.19%, 46.20% and 35.45% for class A, B, and C notes, respectively up from 62.75%, 35.00% and 27.15% at closing. Conn's 2022-A and 2023-A have failed their cumulative net loss triggers of 26.32% and 16.05%, respectively and, as of the July 2024 payment date report, are approximately 27.0% and 17.0%, respectively. The increase in available hard CE is positive and has created some buffer in the ability of the transactions to absorb losses higher than Fitch's rating stress assumptions at current rating levels. However, a potential bankruptcy by Conn's that affects servicing, including triggering a servicing transfer, would increase transaction losses. Trust Performance: Trust performance metrics such as delinquencies and defaults are key risks Fitch is monitoring. The transactions have a high percentage of non-prime obligors, which require a higher touch servicing model. The Conn's 2022-A receivables pool had a weighted average (WA) FICO score of 616 at closing, and 8.9% of the loans had scores below 550 or no score. Conn's 2023-A had a WA FICO score of 619 at closing, and 10.2% of the loans had scores below 550 or no score. Conn's 2024-A had a WA FICO score of 621 at closing, and 8.6% of loans had scores below 550 or no score. The subprime nature of the pool increases the risk of performance consequences of a serving disruption or transfer, because these borrowers require comparatively high-touch servicing, especially in current economic conditions. Outside of any corporate event, delinquencies and defaults have increased based on economic conditions. Fitch revised its lifetime base case default assumptions for 2022-A and 2023-A at the time of its last review on June 14, 2024. The default assumptions were increased to 33.00% for, up from 31.00% for Conn's 2022-A and 28.00% for Conn's 2023-A at closing. These higher base case default assumptions account for the substantial increase in delinquency and defaults in 2022-A transaction, and early defaults and expected deterioration in performance for 2023-A; however, they do not factor in changes to servicing ability or a servicing transfer. Current weakness in the collateral pools could be exacerbated by a reduction in Conn's servicing ability, or a challenging servicing transfer. These are risks that are currently uncertain and are key factors driving the RWN placement for all of the rated notes. Fitch expects to resolve the Rating Watch within six months, once there is clarity into Conn's financial condition and the likelihood of a servicing transfer is determined. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A bankruptcy filing by Conn's, Inc. could lead to negative rating pressure, especially in a situation that necessitates a transfer of servicing to the back-up servicer. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Resumption by Conn's, Inc. of quarterly financial disclosures or a bankruptcy filing that ensures the continuity of robust servicing on the trusts' loans could result in a resolution of the Rating Watch and an affirmation of the notes. 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. CPS AUTO 2024-C: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of notes issued by CPS Auto Receivables Trust 2024-C (the Issuer) as follows: -- $197,340,000 Class A Notes at AAA (sf) -- $58,420,000 Class B Notes at AA (sf) -- $74,980,000 Class C Notes at A (sf) -- $44,390,000 Class D Notes at BBB (sf) -- $61,180,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The Series 2024-C does not include a CNL trigger. -- The Series 2024-C includes a prefunding feature. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 19.60% based on the Cutoff Date pool composition. -- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the Company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS's "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 58.10% of initial hard credit enhancement provided by the subordinated notes in the pool (51.95%), the reserve account (1.00%), and OC (5.15%). The ratings on the Class B, C, D, and E Notes reflect 45.40%, 29.10%, 19.45%, and 6.15% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any Noteholders' Interest Carryover Shortfall. 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. CRESTLINE DENALI XV: Moody's Cuts Rating on $6MM E-2 Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Crestline Denali CLO XV, Ltd.: US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Aa1 (sf); previously on June 28, 2023 Upgraded to A2 (sf) US$22,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to Baa3 (sf); previously on June 19, 2020 Downgraded to Ba1 (sf) Moody's have also downgraded the rating on the following notes: US$6,000,000 Class E-2 Secured Deferrable Floating Rate Notes due 2030 (the "Class E-2 Notes"), Downgraded to Caa2 (sf); previously on June 19, 2020 Downgraded to B3 (sf) Crestline Denali CLO XV, Ltd., originally issued in May 2017 and partially refinanced in July 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 April 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in over-collateralization (OC) coverage for the upgraded notes since June 2023. The Class A-R notes have been paid down by approximately 44.85% or $83.4 million since then. Based on Moody's calculation, the OC ratios for the Class C-R and Class D notes (before applying excess Caa haircuts) are currently 130.14% and 115.72%, respectively, versus June 2023 levels of 123.24% and 113.62%, respectively. The downgrade rating action on the Class E-2 notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class E-2 notes is at 104.17% versus the June 2023 level of 105.40%. No actions were taken on the Class A-R, Class B-R and Class E-1 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 Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's 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: $229,593,237 Defaulted par: $1,390,177 Diversity Score: 58 Weighted Average Rating Factor (WARF): 3240 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.37% Weighted Average Recovery Rate (WARR): 47.07% Weighted Average Life (WAL): 3.7 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. CSAIL 2016-C6: Fitch Lowers Rating on Class D Certs to 'B+sf' ------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 10 classes of Credit Suisse Commercial Mortgage Trust's CSAIL 2016-C6 Commercial Mortgage Trust Pass-Through Certificates. Following the downgrade to class D, the class was assigned a Negative Rating Outlook. Additionally, the Outlooks for classes A-S, B, C, X-A, and X-B have been revised to Negative from Stable. In addition, Fitch has affirmed 11 classes of DBJPM 2016-C3 Mortgage Trust, commercial mortgage pass-through certificates. The Outlooks for classes A-M, B, C, D, E, X-A, X-B, and X-C remain Negative. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2016-C3 A-4 23312VAE6 LT AAAsf Affirmed AAAsf A-5 23312VAF3 LT AAAsf Affirmed AAAsf A-M 23312VAH9 LT AA+sf Affirmed AA+sf A-SB 23312VAD8 LT AAAsf Affirmed AAAsf B 23312VAJ5 LT A+sf Affirmed A+sf C 23312VAK2 LT BBBsf Affirmed BBBsf D 23312VAS5 LT BB-sf Affirmed BB-sf E 23312VAU0 LT B-sf Affirmed B-sf X-A 23312VAG1 LT AA+sf Affirmed AA+sf X-B 23312VAL0 LT A+sf Affirmed A+sf X-C 23312VAN6 LT BB-sf Affirmed BB-sf CSAIL 2016-C6 A-4 12636MAD0 LT AAAsf Affirmed AAAsf A-5 12636MAE8 LT AAAsf Affirmed AAAsf A-S 12636MAJ7 LT AAAsf Affirmed AAAsf A-SB 12636MAF5 LT AAAsf Affirmed AAAsf B 12636MAK4 LT AA-sf Affirmed AA-sf C 12636MAL2 LT A-sf Affirmed A-sf D 12636MAV0 LT B+sf Downgrade BBsf E 12636MAX6 LT CCCsf Downgrade B-sf F 12636MAZ1 LT CCCsf Affirmed CCCsf X-A 12636MAG3 LT AAAsf Affirmed AAAsf X-B 12636MAH1 LT AA-sf Affirmed AA-sf X-E 12636MAP3 LT CCCsf Downgrade B-sf X-F 12636MAR9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 9.9% from 8.0% in CSAIL 2016-C6. The deal loss expectations have declined slightly to 6.4% from 7.1% in DBJPM 2016-C3. Fitch Loans of Concern (FLOCs) comprise 10 loans (39% of the pool) in CSAIL 2016-C6, including one specially serviced loan (8.3%) as of June 2024. There are five FLOCs (27.5%) in DBJPM 2016-C3 with one specially serviced loan (11.3%). The downgrades in CSAIL 2016-C6 reflect increased pool loss expectations since Fitch's prior rating action primarily driven by higher losses attributed to FLOCs, specifically the specially serviced Laurel Corporate Center (8.3% of the pool). The Negative Outlooks reflect the high overall office concentration (43.1%) as well as continued concerns with the refinanceability of the Quaker Bridge Mall (12.7%). The affirmations in DBJPM 2016-C3 reflect the relatively stable pool performance since the prior rating action. The Negative Outlooks reflects concerns with the concentration of retail mall properties including the specially serviced Westfield San Francisco Centre (11.3%), Opry Mills (8.7%), The Shops at Crystals (6.7%), and Williamsburg Premium Outlets (2.0%). The Negative Outlooks also incorporate a sensitivity scenario that factors a higher stressed loss on the Westfield San Francisco Centre of 50%. The largest contributor to expected loss in CSAIL 2016-C6 is the Quaker Bridge Mall loan, which is secured by a 357,221-sf regional mall located in Lawrenceville, NJ. The non-collateral anchor tenant Lord & Taylor closed in February 2021 and non-collateral anchor tenant Sears closed in 2018 leaving two remaining anchors, JCPenney and Macy's. As of March 2024, the collateral was 77.4% occupied compared to 78% as of December 2022 and December 2021, and 83% in December 2019. The four largest collateral tenants are Forever 21 (7.5% of NRA; lease expiration January 2026), Old Navy (4.9%; March 2025), H&M (4.9%; January 2028) and Victoria's Secret (3.4%; January 2025). The NOI debt service coverage ratio (DSCR) for the full-term interest only loan as of YE 2023 was 2.08x compared with 2.00x as of YE 2022 and 2.22x as of YE 2021. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 31% is based on an 13% cap rate and a 10% stress to the YE 2023 NOI to account for the upcoming rollover and factors a higher probability of default due to the loan's heightened maturity default concerns. The largest increase and second largest contributor to expected loss in CSAIL 2016-C6 is the Laurel Corporate Center, which is secured by five office buildings totaling 560,147 sf within the Laurel Corporate Center office park and the Bishops Gates Corporate Center. The loan transferred to the special servicer in April 2024 due to monetary default and remains over 90 days delinquent. As of December 2023, the property was 85.5% occupied compared to 89.8% at December 2022, and 92% at December 2021. The NOI DSCR for the amortizing loan as of YE 2023 was 2.45x compared with 2.24x as of YE 2022, 2.20x as of YE 2021 and 2.22x as of YE 2020. The property has upcoming tenant rollover of 19.7% in 2024 and 4.5% in 2025. Per servicer commentary, the borrower will need significant capital to re-tenant the leases that will be expiring in 2024 and is seeking an extension and modification of the loan. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 24% is based on a 10% cap rate and a 20% stress to the YE 2022 NOI. The largest contributor to expected loss in DBJPM 2016-C3 is the Westfield San Francisco Centre loan, which is secured by a 553,366-sf retail and a 241,155-sf office portion of a 1,445,449-sf super regional mall located in San Francisco Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions for a deed in lieu of foreclosure (DIL). A receiver was appointed in October 2023. The sponsors cited operating challenges in downtown San Francisco that led to deteriorating sales, reduced occupancy and decreasing foot traffic. The servicer noted that the receiver is working with city agencies to address life safety issues at the property and the neighborhood. Mall occupancy declined to 23% after anchor tenant, Nordstrom (21.5% of the mall NRA), vacated at their October 2023 lease expiration. The loan has maintained a NOI DSCR hovering around 1.00x since YE 2021. Fitch's 'Bsf' rating case loss of 37% (prior to concentration add-ons) is based on a recent appraisal value, which is approximately 76% below the issuance appraisal value. The second largest contributor to expected loss in DBJPM 2016-C3 is the Opry Mills loan, which is secured by a 1.2 million sf super-regional mall is located in Nashville, TN, approximately seven-miles from downtown Nashville. The property is located adjacent to the Gaylord Opryland Resort & Convention Center, the largest non-gaming hotel and convention facility. Upcoming rollover is as follows: 2024: 6% of NRA; 2025: 20% of NRA. 2025 rollover includes the anchor tenant Bass Pro Shops (11.9% NRA). The mall was 95.3% occupied in March 2024, and covered at 3.15x for YE 2023 compared to 2.87x at YE 2022. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-on) of 4% is based on a 12% cap rate and a 20% stress to the YE 2023 NOI due to upcoming rollover concerns. The largest decline in expected loss in DBJPM 2016-C3 is the Staybridge Suites Times Square (4.9%), which is secured by a 32-story 310-room extended stay hotel located in Times Square, on West 40th street between eighth and ninth avenue. The franchise agreement expired in April 2020 and the hotel was rebranded as the TBA Times Square. The hotel was again rebranded in 2023 as the Delta Hotels by Marriott New York Times Square and performance improved significantly with an NOI DSCR of 2.22x at YE 2023 compared to 1.14x at YE 2022, and -0.40x at YE 2021. Fitch's 'Bsf' ratings case loss (prior to concentration add-ons) of 3% reflects a 25% stress to YE 2023 NOI and a 11% cap rate. Fitch's 'Bsf' ratings case loss (prior to concentration add-ons) at the prior review was 14.6%. Changes in Credit Enhancement (CE): As of the June 2024 distribution date, the aggregate balances of the CSAIL 2016-C6 and DBJPM 2016-C3 transactions have been paid down by 31.7% and 16.8%, respectively, since issuance. The CSAIL 2016-C6 transaction includes 17 loans (21.6% of the pool) that have fully defeased. There are five loans (21.1%) that are defeased within the DBJPM 2016-C3 transaction. Cumulative interest shortfalls of approximately $125,000 are affecting the non-rated class NR in CSAIL 2016-C6 and approximately $930,500 are affecting the non-rated classes G and H in DBJPM 2016-C3. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to 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. The Negative Outlook on the 'AAAsf' rated class A-S in CSAIL 2016-C6 and class A-M in DBJPM 2016-C3 reflects the potential for downgrades if performance of the FLOCs deteriorate further and expected losses increase. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular retail mall and office loans with deteriorating performance or with greater certainty of losses on FLOCs. Loans of particular concern in the CSAIL 2016-C6 transaction include Quaker Bridge Mall and Laurel Corporate Center. Loans of particular concern in the DBJPM 2016-C3 transaction include Westfield San Francisco Centre and 260 Townsend. Downgrades to classes with distressed ratings would occur if 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' categories 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. 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 were 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 are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DBGS 2024-SBL: Fitch Assigns 'B(EXP)sf' Rating on Class HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to the DBGS 2024-SBL Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2024-SBL. - $191,900,000 class A 'AAAsf(EXP)'; Outlook Stable; - $21,700,000 class B 'AA-sf(EXP)'; Outlook Stable; - $23,300,000 class C 'A-sf(EXP)'; Outlook Stable; - $32,800,000 class D 'BBB-sf(EXP)'; Outlook Stable; - $50,200,000 class E 'BB-sf(EXP)'; Outlook Stable; - $7,340,000 class F 'B+sf(EXP)'; Outlook Stable; - $17,260,000a class HRR 'Bsf(EXP)'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust that will hold an approximately $344.5 million, two-year, floating-rate interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 19 industrial facilities, comprising approximately 4.1 million square feet (sf) located in seven states and 10 markets. Loan proceeds will be used to refinance approximately $307.0 million of existing debt, return approximately $20.9 million of equity, fund upfront lease sweep reserves totaling approximately $7.2 million and upfront earnout reserve of $4 million, fund outstanding landlord obligations of approximately $100,000, fund $81,875 immediate repairs reserve, fund $29,666 rent concession reserve and pay approximately $5.2 million in closing costs. The certificates will follow a pro rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The loan is expected to be originated by German American Capital Corporation and Goldman Sachs Bank USA. KeyBank National Association is expected to be the servicer, with Situs Holdings, LLC as a special servicer. Computershare Trust Company, NA is expected to act as the trustee and Deutsche Bank National Trust Company is expected to serve as the certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is scheduled to close on Aug. 7, 2024. KEY RATING DRIVERS Net Cash Flow: Fitch estimates stressed net cash flow (NCF) for the portfolio at $23.0 million. This is 3.8% lower than the issuer's NCF and 17.0% higher than YE 2023 NCF, due to the portfolio's lease-up period. Fitch applied a 7.25% cap rate to derive a Fitch value of $317.3 million. High Fitch Leverage: The $344.5.0 million whole loan equates to debt of approximately $83 per sf with a Fitch stressed debt service coverage ratio (DSCR) of 0.81x, loan-to-value ratio (LTV) of 108.6% and debt yield of 6.7%. The loan represents approximately 67.7% of the appraised value of $509.2 million. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch market LTV is 94.5%. Geographic and Tenant Diversity: The portfolio has strong geographic diversity with 19 industrial properties (4.1 million sf) located across seven states and 10 MSAs. The three largest state concentrations are Texas (1.9 million sf; seven properties), Washington (711,900 sf; three properties) and California (498.2,000 sf; two properties). The three largest MSAs are Dallas-Fort Worth, TX (38.7% of NRA; 33.4% of ALA), Seattle, WA (17.2% of NRA; 25.4% of ALA) and Stockton, CA (10.1% of NRA; 9.5% of ALA). The portfolio also exhibits significant tenant diversity as it features 27 distinct tenants, with no tenant occupying more than 14.0% of NRA. Institutional Sponsorship and Management: The loan is sponsored by a joint venture (JV) between The Goldman Sachs Group, Inc. (80%) and Dalfen Last Mile IV Co Investment General Partnership (20%). This JV was formed during a 2019 transaction and has $2.5 billion and approximately 20 million sf in assets under management Goldman Sachs Asset Management was established in 1991 and is a part of Goldman Sachs which has over $2.8 trillion in global assets under management as of Dec. 31, 2023. Dalfen Industrial specializes in the last mile industrial sector with a focus on industrial real estate development, acquisitions, asset management, property management, construction, legal and capital markets. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf' - 10% NCF Decline: 'AA-sf'/'BBB+sf '/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'/'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf '/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf' - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BBsf'/'BBsf'/'BB-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 LLC . The third-party due diligence described in Form 15E focused on comparison and re-computation of certain characteristics with respect to 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. DBWF 2015-LCM: DBRS Confirms BB(low) Rating on 2 Classes --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LCM issued by DBWF 2015-LCM Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (low) (sf) -- Class F at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the continued stable performance of the collateral mall, which benefits from a nontraditional anchor and major tenant mix that includes Target, Costco Wholesale (Costco), 24 Hour Fitness, and Round1 Bowling & Amusement, as well as Macy's and JCPenney, a mix that fits the mall's location within a well-trafficked commercial corridor and surrounded by other big-box development, including The Home Depot and Albertsons. Occupancy since the last credit rating action has increased to pre-pandemic levels and in-place cash flows remain healthy, aligning with recent historical figures. Overall, tenant sales for the entire mall continue to trend upward, with some declines for in-line tenants and major department stores. The collateral for the underlying loan consists of the fee-simple and leasehold interests in the 2.1 million-square-foot (sf) Lakewood Center mall in Lakewood, California, located approximately 10 miles north of Long Beach. At issuance, the whole loan of $410.0 million consisted of $240.0 million of senior debt and $170.0 million of junior debt. The subject transaction is backed by $120.0 million of the senior debt and the entirety of the junior debt. The remaining $120.0 million of senior debt is secured in the Morningstar DBRS-rated COMM 2015-CCRE24 Mortgage Trust transaction. The trust loan has an 11-year term and amortizes over a 30-year schedule, maturing in June 2026. As of the May 2024 remittance, the trust debt had amortized by 13.8% with a current trust balance of $250.2 million. The loan sponsor, Macerich Company, which acquired the 49.0% ownership interest in the mall in 2014 for around $1.8 billion, owns and operates the property. Per the March 2024 rent roll, the property was 95.0% occupied, an increase over the December 2022 figure of 91.2% and trending back toward the issuance figure of 97.8%. The largest tenants include Macy's (17.5% of the net rentable area (NRA), lease expires in June 2030), Costco (8.0% of the NRA, lease expires in February 2029), JCPenney (7.8% of the NRA, lease expires in June 2025), and Target (7.7% of the NRA, lease expires in January 2035). In 2021, Pacific Theatres closed as part of a chain-wide shut down as a result of the pandemic; however, the space appears to have been backfilled by Starlight Cinema (4.4% of the NRA, lease expires in May 2024). Near-term rollover risk is moderate over the next 12 months, with tenants representing about 21.1% of the NRA scheduled to roll, including JCPenney and Starlight Cinema. A leasing update was requested from the servicer. There has been some leasing momentum as two major tenants, Forever 21 and Best Buy, recently extended their leases in 2024, with Forever 21 extending for one year and Best Buy for four years. According to the tenant sales report for the trailing 12-month (T-12) period ended March 31, 2024, total mall sales were $433.01 per square foot (psf), an increase from the YE2022 sales of $395.18 psf; however, department store anchors and in-line tenants reported modest declines. Macy's and JCPenney reported sales of $95.60 psf and $100.45 psf, respectively, for the T-12 period ended March 31, 2024, compared with the YE2022 figures of $103.26 psf and $108.76 psf, respectively. In addition, in-line tenants reported sales of $535 psf for the same time period, a decline from the YE2022 figure of $581 psf. Starlight Cinemas reported total sales of approximately $850,000, equating to $53,100 per screen; however, the tenant only took occupancy toward the end of July 2023. Based on the financials for the trailing nine-month period ended September 30, 2023, the annualized net cash flow (NCF) was $27.9 million, relatively in line with the YE2022 and YE2021 figures of $28.7 million and $26.8 million, respectively. For those same time periods, the loan reported a debt service coverage ratio (DSCR) of 1.24 times (x), 1.31x, and 1.23x, respectively. Given the continued stable performance of the collateral, Morningstar DBRS maintained the value derived in 2023 in its analysis for this review. The Morningstar DBRS value of $362.9 million is based on the Morningstar DBRS NCF figure of $28.1 million and capitalization rate of 7.8%, which implies an as-is loan-to-value (LTV) ratio of 91.0%. Morningstar DBRS maintained a positive adjustment totaling 2.5% to the LTV sizing benchmarks to give credit to the ongoing amortization and the subject's desirable location within the Los Angeles market. Notes: All figures are in U.S. dollars unless otherwise noted. ELMWOOD CLO 17: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Elmwood CLO 17 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Elmwood CLO 17 Ltd. A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C 29001XAE5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 29001XAG0 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating TRANSACTION SUMMARY Elmwood CLO 17 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Elmwood Asset Management LLC that originally closed on June 22, 2022. This is the first full refinancing where the existing notes will be redeemed in full on July 17, 2024. Net proceeds from the issuance of the secured refinancing notes and the existing 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+'/'B', which is in line with that of recent CLOs. The WARF of the indicative portfolio is 23.25 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 95.46% first-lien senior secured loans. The WARR of the indicative portfolio is 75.99% versus a minimum covenant, in accordance with the initial expected matrix point of 71.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% 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 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-1R notes, between 'BBB+sf' and 'AA+sf' for class A-2R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1R notes, between less than 'B-sf' and 'BB+sf' for class D-2R notes, and between less than 'B-sf' and 'BB-sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and 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 notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1R notes, 'A-sf' for class D-2R notes and 'BBB+sf' for class E-R notes. Key Rating Drivers and Rating Sensitivities are further described in the new issue report, which is available at Key Rating Drivers and Rating Sensitivities are further described in the new issue report, which is available at www.fitchratings.com. 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 Elmwood CLO 17 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. GCAT TRUST 2023-INV1: Moody's Ups Rating on Cl. B-5 Certs to Ba3 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 13 bonds issued by GCAT 2023-INV1 Trust. The collateral backing this deal consists of prime jumbo and agency eligible mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=txRDak 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: GCAT 2023-INV1 Trust Cl. A-15, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-16, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 23, 2023 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 23, 2023 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 23, 2023 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 23, 2023 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 23, 2023 Definitive Rating Assigned B2 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Aug 23, 2023 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Aug 23, 2023 Definitive Rating Assigned A2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. The transaction continues to display strong collateral performance, with no cumulative losses and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown, as the pool amortized. The credit enhancement since closing has grown by 8.7% 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. 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 remaining rated classes in this deal because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. GENERATE CLO 4: S&P Assigns BB- (sf) Rating on Class E-RR Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt and the new class X-RR debt from Generate CLO 4 Ltd./Generate CLO 4 LLC, a CLO managed by Generate Advisors LLC that was originally issued in 2016 and was subsequently refinanced in March 2020. At the same time, S&P withdrew its ratings on the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt following payment in full on the July 22, 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 a slightly lower weighted average cost of debt than the previous debt. -- The replacement class D debt was split into the class D-1 and D-2 debt and is sequential in payment. -- The stated maturity as extended by approximately 5.25 years. -- The reinvestment period and non-call period were re-established to July 2029 and July 2026, respectively. -- The weighted average life test was updated to 9.50 years after the refinancing date. -- The required minimum overcollateralization (O/C) test for the replacement debt was updated along with the reinvestment O/C test. -- The required minimum interest coverage test was unchanged for the replacement class. -- The class X-RR notes was issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first eight payment dates beginning with the payment date in October 2024. -- Of the identified underlying collateral obligations, 99.71% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.54% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. Replacement And March 2020 Debt Issuances Replacement debt -- Class X-RR, $1.75 million: Three-month CME term SOFR + 1.000% -- Class A-RR, $248.00 million: Three-month CME term SOFR + 1.430% -- Class B-RR, $56.00 million: Three-month CME term SOFR + 1.750% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.200% -- Class D-1-RR (deferrable), $20.00 million: Three-month CME term SOFR + 3.250% -- Class D-2-RR (deferrable), $8.00 million: Three-month CME term SOFR + 4.800% -- Class E-RR (deferrable), $12.00 million: Three-month CME term SOFR + 6.900% -- Subordinated notes, $40.000 million: Not applicable March 2020 debt -- Class A-1-R, $213.406 million(i): Three-month CME term SOFR + 1.09% + CSA(ii) -- Class A-2-R, $11.800 million(i): Three-month CME term SOFR + 1.45% + CSA(ii) -- Class B-R, $43.800 million(i): Three-month CME term SOFR + 1.55% + CSA(ii) -- Class C-R (deferrable), $23.900 million(i): Three-month CME term SOFR + 2.15% + CSA(ii) -- Class D-R (deferrable), $21.800 million(i): Three-month CME term SOFR + 3.15% + CSA(ii) -- Class E-R (deferrable), $18.600 million(i): Three-month CME term SOFR + 6.75% + CSA(ii) -- Subordinated notes, $40.000 million(i): Not applicable (i)The balances reflected in the list above are the current outstanding balance of the tranche. (ii)Equals 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Generate CLO 4 Ltd./Generate CLO 4 LLC Class X-RR, $1.75 million: AAA (sf) Class A-RR, $248.00 million: AAA (sf) Class B-RR, $56.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Class D-1-RR (deferrable), $20.00 million: BBB (sf) Class D-2-RR (deferrable), $8.00 million: BBB- (sf) Class E-RR (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Generate CLO 4 Ltd./Generate CLO 4 LLC Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Generate CLO 4 Ltd./Generate CLO 4 LLC Subordinated notes, $40.00 million: Not rated NR--Not rated. GOLDENTREE LOAN 12: Fitch Assigns 'BB+(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to GoldenTree Loan Management US CLO 12, Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 12, Ltd. X-R LT NR(EXP)sf Expected Rating 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-R LT BBB+(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY GoldenTree Loan Management US CLO 12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by GLM II, LP that originally closed in May 2022 and is being reset in August 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 98.31% first-lien senior secured loans and has a weighted average recovery assumption of 75.69%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-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-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-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 12, 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. GOLDENTREE LOAN 12: Moody's Assigns (P)B3 Rating to $12MM F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by GoldenTree Loan Management US CLO 12, Ltd. (the Issuer): US$3,000,000 Class X-R Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$366,000,000 Class A-R Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$12,000,000 Class F-R Junior Deferrable Floating Rate Notes due 2037, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of DIP collateral obligations, second lien loans, unsecured loans, bonds or senior secured notes. GLM II, LP (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 the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: 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 Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $600,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3075 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 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. GOLUB CAPITAL 75(B): Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital Partners CLO 75(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 75(B), 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-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 75(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 $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Positive): 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 24.61, versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. 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 (Negative): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.87% versus a minimum covenant, in accordance with the initial expected matrix point of 75.9%. 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 level of diversity resulting from the industry concentration is higher than other recent CLOs but was accounted for in its stressed analysis. 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 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and '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, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 75(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. GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs -------------------------------------------------------------- DBRS Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage Securities Trust 2013-G1 as follows: -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class DM at BB (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction. Although the remaining underlying collateral has experienced cash flow fluctuations in recent years and the loan maturity was recently extended, the value of the collateral continues to support the credit ratings of the outstanding classes. The trust collateral originally consisted of three fixed-rate loans individually secured by two outlet malls and one regional mall: Great Lakes Crossing Outlets (Auburn Hills, Michigan), Katy Mills (Katy, Texas), and Deptford Mall (Deptford, New Jersey). The sole remaining loan is Deptford Mall, secured by 343,910 square feet (sf) of in-line space in the 1.0 million sf super regional mall. The original loan balance was $205 million, which was bifurcated into a $179.4 million senior pooled amount contributed to the pooled certificates and a $25.1 million subordinate non-pooled loan that backs the Class DM certificate. As of the May 2024 remittance, there is $126.0 million remaining in the senior pooled balance and $17.6 million in the subordinate note, representing a whole loan collateral reduction of 29.7% since issuance. The super-regional mall, owned and operated by Macerich, is located just outside of Philadelphia and is anchored by non-collateral tenants Boscov's, Macy's, and JCPenney. A dark Sears box has been partially back-filled by Dick's Sporting Goods. Bonesaw Brewing Company, though not listed on the December 2023 rent roll, is noted on the property's directory as having taken additional space in the former Sears box. As of the December 2023 rent roll, collateral occupancy was 94.1%, compared with 96.1% at YE2022 and 89.8% at YE2019. Other major tenants include H&M (6.5% of the net rentable area (NRA)), lease expiry in January 2026), Forever 21 (5.9% of the NRA, lease expiry in January 2027), and Victoria's Secret (3.2% of the pool, lease expiry in March 2024). Victoria's Secret had a lease expiration in March 2024, and while the rent roll does not list any extension options, the store still appears to be open according to the Deptford Mall website. The loan was previously in special servicing as the borrower had provided notice it would be unable to repay the loan at its original maturity date in April 2023. The loan was subsequently modified and the terms include an initial extension through April 2024, plus two additional one-year extension options subject to debt yield hurdles of 10.25% and 11%, respectively. The borrower recently executed its first extension option, pushing the current maturity to April 2025. As part of the loan modification, the borrower was also required to remit a $10 million principal curtailment, which was applied to pay down the balance of the certificates and pay all fees related to the modification. The loan is to remain in cash management for the remaining term. According to the May 2024 remittance, the loan has $5.9 million in reserves. The YE2023 net cash flow (NCF) was reported at $15.6 million, compared with $14.9 million at YE2022, $16.7 million at YE2021, and $20.3 million at YE2019. The reported YE2023 NCF reflects a debt service coverage ratio of 1.37 times, and a debt yield of 12.4% on the pooled balance and 10.9% on the whole loan balance. As of the December 2023 sales report, in-line tenants reported average sales of approximately $558 per square foot (psf) for the trailing 12-month period, down slightly from $578 psf for the same period ended December 2022. Although an updated appraisal was never provided as part of the modification, Morningstar DBRS believes the property has declined in value since issuance. Morningstar DBRS re-evaluated its cash flow and value approach in light of the updated performance metrics in 2023, and derived a value of $171.6 million, based on a standard stress to the YE2022 reported NCF and a cap rate of 8.5%. The Morningstar DBRS value represents a 50% haircut to the issuer's appraised value of $340.0 million. The subject loan is fixed-rate and has one more extension option, which would push the final maturity to April 2026. Macerich recently defaulted on its loan on Santa Monica Place, and in a Q1 2024 earnings call, indicated a deleveraging strategy that could include property sales or friendly foreclosures. Offsetting some of this concern is the loan's 2023 modification and recent cash flow growth. The borrower's $10 million principal payment and ongoing amortization suggest continued sponsor commitment to the property and have contributed to deleveraging the asset. Additionally, the property's historically high occupancy and strong sales, and the continued interest in the vacant Sears space indicate healthy leasing activity and good market positioning. Moreover, the extended loan term provides additional runway for cash flow to further improve and interest rates to stabilize. DBRS Morningstar believes the asset will continue to perform in line with expectations. At issuance, Morningstar DBRS shadow-rated the senior pooled portion of the subject loan as investment grade. With this review, Morningstar DBRS confirmed that the performance of the loan remains consistent with investment-grade loan characteristics. Notes: All figures are in U.S. Dollars unless otherwise noted. GS MORTGAGE 2021-ROSS: S&P Lowers Class D Certs Rating to 'B (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on seven classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2021-ROSS, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee-simple interest in seven office properties located in Rosslyn, Va., totaling 2.1 million sq. ft. Rating Actions The rating downgrades on classes A, B, C, and D primarily reflect the increase in the specially-serviced loan's total exposure to date, S&P's expectation of additional increases in the exposure due to a lack of meaningful updates surrounding a potential resolution of the defaulted loan, and the reduction of the reserve funds held by the servicer since its last review. As of the July 2024 servicer reporting, the $691.0 million loan has a reported total exposure of $724.3 million, reflecting exposure build of $33.3 million to date. The exposure build is comprised of $29.5 million of interest advanced, $3.3 million of other expenses advanced, and $563,000 of accrued unpaid interest on advances. S&P said, "In addition, following the loan's transfer to special servicing 14 months ago in May 2023, we have not observed any meaningful updates between the lenders and the borrower on a potential resolution strategy of the defaulted loan. As a result, we believe that exposure on the loan will increase as the master servicer advances potentially continue until a successful resolution is reached." As exposure build sits senior to the trust debt, it directly reduces the ultimate recoverable proceeds available to the bondholders upon the resolution of the defaulted loan. S&P said, "At the time of our last published review on Nov. 6, 2023, we updated the S&P Global Ratings value for the property portfolio to $525.7 million based on the increase in the portfolio's capitalization rate to 7.65% from 7.41%. We also noted at the time, that the mezzanine loan tied to the borrower's equity ownership was being marketed for sale and a protracted resolution period may lead to a lower recovery to the trust since advances are repaid ahead of the trust mortgage." Since then, GRE Debt I-ROP LLC purchased the mezzanine loan on Jan. 31, 2024. However, the intention of the mezzanine lender is unclear at this time. Our communication with the special servicer, Trimont Real Estate Advisors LLC, confirms GRE Debt I-ROP LLC has not yet foreclosed on the equity ownership, and the special servicer remains in discussions regarding a possible loan modification, although we were not provided with any proposed terms. As a result, we believe this development could prolong the loan's resolution timeframe, resulting in further increases in total exposure, and ultimately reducing the recoveries to the trust. S&P said, "Our S&P Global Ratings' net cash flow (NCF) calculation of $40.1 million indicates funds are available for partial debt service payments or a replenishment of funds into a reserve account for property-related expenses. However, since the loan transferred to special servicing in May 2023, the loan remains at a non-performing matured balloon status, with a paid-through date of January 2024. The servicer has advanced $29.5 million of interest payments over the past six months. Therefore, we estimate that the total exposure may increase an additional $60.0 million in our analysis if the servicer advances another 12 months of interest payments on the loan since there is currently no appraisal reduction amount implemented on the loan. "We will continue to monitor the loan resolution, including the anticipated timing and the trajectory of future exposure build, and will revise our analysis and take additional rating actions as we determine necessary." Classes A, A-Y, A-Z, and A-IO are, collectively, the CAST certificates. The CAST certificates can be exchanged for other classes of CAST certificates and vice versa. Therefore, the ratings on the classes A-Y, A-Z, and A-IO exchangeable certificate classes, which can be exchanged for class A certificates, reflect the rating of the certificates for which they can be exchanged. As a result, S&P downgraded its ratings on the class A-Y, A-Z, and A-IO certificates based on the rating on class A. Property-Level Analysis Updates Based on servicer-reported information for year-end 2023, the portfolio had an occupancy rate of 76.5%, net operating income (NOI) of $50.9 million, and NCF of $33.5 million. (The NOI and NCF differences reflect $3.0 million in leasing commissions, $10.4 million in tenant improvements, and $4.0 million in capital expenditures. Because these capital improvement expenses may reflect one-time property expenses, S&P relied more on the reported NOI as a proxy of property performance.) S&P said, "Since the reported year-end 2023 NOI is in line with our prior review assumptions, and a review of the rent roll does not indicate significant rollover concerns in the near-term, we maintained our long-term sustainable NOI of $50.6 million and NCF of $40.1 million from our prior review. We also maintained our 7.65% capitalization rate from our last review. This resulted in an S&P Global Ratings' calculated value of $525.7 million on the property portfolio. Accounting for the exposure build to date, as well as additional anticipated exposure build, our net recovery value is $432.4 million, or $203 per sq. ft., which is 61.3% lower than the issuance appraisal value of $1.12 billion. Given the mortgage loan balance of $691.0 million, we remain cautious of any proposed loan modifications between the special servicer, the mezzanine lender, and the borrower, since our value indicates no implicit equity remaining in both the mezzanine lender or the borrower." The special servicer has not released an updated appraisal value on the properties, citing the ongoing loan modification discussions and the potential for any valuation release to impact said negotiations. However, as part of our analysis, S&P also reviewed recent property sales within the Rosslyn submarket to determine the reasonableness of our value, such as the sale of 1201 Wilson Blvd at $588 per sq. ft., 1911 N. Fort Myer Drive and 1901 N. Fort Myer Drive that sold for $204 per sq. ft., and 1616 N. Fort Myer Drive that sold for $82 per sq. ft. Transaction Summary As of the July 15, 2024, trustee remittance report, the floating-rate IO mortgage loan has an original and current balance of $691.0 million with a total exposure of $724.3 million. The loan pays an interest rate of one-month SOFR plus 3.14%, and initially matured on June 9, 2023. The loan is currently unhedged, with the last debt service payment made in January 2024. The trust has not incurred any principal losses to date. Ratings Lowered GS Mortgage Securities Corp. Trust 2021-ROSS Class A to 'A+ (sf)' from 'AA+ (sf)' Class B to 'BBB- (sf)' from 'A+ (sf)' Class C to 'BB (sf)' from 'BBB+ (sf)' Class D to 'B (sf)' from 'B+ (sf)' Class A-Y to 'A+ (sf)' from 'AA+ (sf)' Class A-Z to 'A+ (sf)' from 'AA+ (sf)' Class A-IO to 'A+ (sf)' from 'AA+ (sf)' GS MORTGAGE 2024-RPL4: Fitch Gives 'Bsf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2024-RPL4 (GSMBS 2024-RPL4) as follows: Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2024-RPL4 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 X LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf RISKRETEN LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by 2,324 reperforming loans with a total balance of approximately $366 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, its views the home price values of this pool as 11.8% above a long-term sustainable level versus 11.1% on a national level as of 4Q23, which remains unchanged from the last quarter. Housing affordability is at its worst level in decades, driven by 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. RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs first lien loans. As of the cutoff date, the pool was 86.5% current. Approximately 47.6% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 94.9% of loans have a prior modification. The borrowers have a weak credit profile (640 FICO and 45% debt-to-income ratio [DTI]) and relatively low leverage (63% sustainable LTV ratio [sLTV]). Sequential-Pay 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. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.7% 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 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 various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Loans with a missing modification agreement received a three-month liquidation timeline extension; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 125bps. ESG CONSIDERATIONS GSMBS 2024-RPL4 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the Rep & Warranty framework without other operational mitigants, 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. GS MORTGAGE 2024-RPL4: Fitch Gives B(EXP)sf Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2024-RPL4 (GSMBS 2024-RPL4). Entity/Debt Rating ----------- ------ GSMBS 2024-RPL4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on July 19, 2024. The notes are supported by 2,324 reperforming loans with a total balance of approximately $366 million as of the cutoff 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 11.8% above a long-term sustainable level versus 11.1% on a national level as of 4Q23, which remains unchanged from the last quarter. Housing affordability is at its worst level in decades, driven by 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. RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs first lien loans. As of the cutoff date, the pool was 86.5% current. Approximately 47.6% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 94.9% of loans have a prior modification. The borrowers have a weak credit profile (640 FICO and 45% debt-to-income ratio [DTI]) and relatively low leverage (63% sustainable LTV ratio [sLTV]). Sequential-Pay 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. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.7% 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 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 various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Loans with a missing modification agreement received a three-month liquidation timeline extension; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 125bps. ESG CONSIDERATIONS GSMBS 2024-RPL4 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the adjustment for the Rep & Warranty framework without other operational mitigants, 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. HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2023-1 Cl. 1D Notes ------------------------------------------------------------------ Moody's Ratings assigned a definitive rating to the series 2023-1 class 1D re-offered notes issued by Hertz Vehicle Financing III LLC (HVFIII, or the issuer), which is Hertz's rental car ABS master trust facility. HVFIII is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative outlook). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). The complete rating action is as follows: Issuer: Hertz Vehicle Financing III LLC Series 2023-1 Rental Car Asset Backed Notes, Class 1D, Assigned Ba2 (sf) RATINGS RATIONALE The definitive rating of the notes is based on the consideration of amendments stipulated in the second supplemental offering circular, dated August 25, 2023, which in aggregate do not materially change the economic substance of the offered notes relative to the 'previously sold' class D notes, with the same factors considered in those ratings, including (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and as guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) the level of credit enhancement supporting the notes, which consists of subordination and over-collateralization, (5) the required minimum liquidity in the form of cash and/or a letter of credit, (6) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions, and (7) Moody's expectation that the rental car market continues to normalize, with seasonally strong travel demand continuing to underpin rental demand. The proposed liquidity enhancement amount is around 3.75% of the outstanding note balance for the series 2023-1 sized to cover six months of interest plus 50 basis points. Consistent with prior transactions, the series will be subject to a credit enhancement floor of 11.05% in the form of over-collateralization, regardless of fleet composition. As in prior issuances, the required credit enhancement for the series 2023-1 notes, sized as a percentage of the total assets, will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories as described below: -- 5.00% for eligible program vehicle and receivable amount from investment grade manufacturers (any manufacturer that has Moody's long-term rating or senior unsecured rating or long-term corporate family rating (together, relevant Moody's ratings) of at least Baa3 and any manufacturer that does not have a relevant Moody's rating and has a senior unsecured debt rating from Moody's of at least Ba1) -- 8.00% for eligible program vehicle amount from non-investment grade manufacturers -- 15.00% for eligible non-program vehicle amount from investment grade manufacturers -- 15.00% for eligible non-program vehicle amount from non-investment grade manufacturers -- 8.00% for eligible program receivable amount from non-investment grade (high) manufacturers (any manufacturer that (i) is not an investment grade manufacturer and (ii) has a relevant Moody's rating of at least Ba3) -- 100.00% for eligible program receivable amount from non-investment grade (low) manufacturers (any manufacturer that has a relevant Moody's rating of less than Ba3) -- 35.0% for medium-duty truck amount -- 0.00% for cash amount -- 100% for remainder Aaa amount Consequently, the actual required amount of credit enhancement will fluctuate based on the mix of vehicles and receivables in the securitized fleet. Furthermore, the total enhancement is required to include a minimum portion which is liquid (in cash and/or letter of credit), sized as a percentage of the aggregate class A / B / C / D principal amount, net of cash. The assumptions Moody's applied in the analysis of this transaction: Risk of sponsor default: Moody's assumed a 60% decrease in the probability of default (from Moody's idealized default probability tables) implied by the B2 rating of the sponsor. This reflects Moody's view that, in the event of a bankruptcy, Hertz would be more likely to reorganize under a Chapter 11 bankruptcy filing, as it would likely realize more value as an ongoing business concern than it would if it were to liquidate its assets under a Chapter 7 filing. Furthermore, given the sponsor's competitive position within the industry and the size of its securitized fleet relative to its overall fleet, the sponsor is likely to affirm its lease payment obligations in order to retain the use of the fleet and stay in business. Moody's arrive at the 60% decrease assuming a 80% probability Hertz would reorganize under a Chapter 11 bankruptcy and a 75% probability Hertz would affirm its lease payment obligations in the event of Chapter 11. Disposal value of the fleet: Moody's assumed the following haircuts to the net book value (NBV) of the vehicle fleet: Non-Program Haircut upon Sponsor Default (Car): Mean: 19% Non-Program Haircut upon Sponsor Default (Car): Standard Deviation: 6% Non-Program Haircut upon Sponsor Default (Truck): Mean: 35% Non-Program Haircut upon Sponsor Default (Truck): Standard Deviation: 8% Non-Program Haircut upon Sponsor Default (Tesla): Mean: 21% Non-Program Haircut upon Sponsor Default (Tesla): Standard Deviation: 10% Fixed Program Haircut upon Sponsor Default: 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Car): 10% Additional Fixed Non-Program Haircut upon Manufacturer Default (Truck): 20% Additional Fixed Non-Program Haircut upon Manufacturer Default (Tesla): 50% Fleet composition -- Moody's assumed the following fleet composition (based on NBV of vehicle fleet): Non-Program Vehicles (Car, Tesla & EVs): 92.6% Non-Program Vehicles (Trucks): 5% Program Vehicles (Car, Tesla & EVs): 2.4% Non-program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 20.0%, 2, A3 (Increased from 10% owing to recent OEM rating upgrades) Baa Profile: 60.0%, 3, Baa3 Ba/B Profile: 20.0%, 1, Ba3 Program Manufacturer Concentration (percentage, number of manufacturers, assumed rating): Aa/A Profile: 0.0%, 0, A3 Baa Profile: 50.0%, 1, Baa3 Ba/B Profile: 50.0%, 1, Ba3 Manufacturer Receivables: 10%; receivables distributed in the same proportion as the program fleet (Program Manufacturer Concentration and Manufacturer Receivables together should add up to 100%) Correlation: Moody's applied the following correlation assumptions: Correlation among the sponsor and the vehicle manufacturers: 10% Correlation among all vehicle manufacturers: 25% Default risk horizon -- Moody's assumed the following default risk horizon: Sponsor: 5 years Manufacturers: 1 year A fixed set of time horizon assumptions, regardless of the remaining term of the transaction, is used when considering sponsor and manufacturer default probabilities and the expected loss of the related liabilities, which simplifies Moody's modeling approach using a standard set of benchmark horizons. Detailed application of the assumptions is provided in the methodology. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the rating of the series 2023-1 re-offered class 1D notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the rating of the series 2023-1 re-offered class 1D notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HILDENE TRUPS P17BC: Moody's Assigns Ba3 Rating to $34.4MM B Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Hildene TruPS Resecuritization P17BC, LLC (the "Issuer"): Moody's rating action is as follows: US$25,000,000 Class A Notes due 2035 (the "Class A Notes"), Definitive Rating Assigned A3 (sf) US$34,400,000 Class B Notes due 2035 (the "Class B Notes"), Definitive Rating Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the portfolio of Preferred Term Securities XVII, Ltd. (the "Underlying TruPS CDO") and structure as described in Moody's methodology. The Rated Notes are secured by the following securities that were issued by the Underlying TruPS CDO on March 17, 2005: US$26,515,326 of the $51,429,950 Class B Mezzanine Notes due 2035 US$42,681,177 of the $58,643,708 Class C Mezzanine Notes due 2035 The Class B and Class C Notes are referred to herein, collectively as the "Underlying Securities". Hildene Structured Advisors, LLC will serve as collateral servicer for this transaction. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates par coverage tests which, if triggered, divert interest proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature from and after the July 2030 payment date, when 60% of the interest at a junior step in the priority of interest payments will be used to pay the principal on the Class A Notes until the Class A Notes' principal has been paid in full, then to the payment of principal of the Class B Notes. The portfolio of the Underlying TruPS CDO consists of mainly TruPS issued by US regional and community banks and insurance companies, the majority of which Moody's do not publicly rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM). Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q4-2023 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assume a fixed recovery rate of 10% for bank and insurance obligations. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in Moody's CDOEdge(TM) cash flow model. For modeling purposes, Moody's used the following base-case assumptions or the Underlying TruPS CDO's portfolio: Par amount: $227,080,000 Weighted Average Rating Factor (WARF): 874 Weighted Average Spread (WAS): 2.06% Weighted Average Recovery Rate (WARR): 10.00% Weighted Average Life (WAL): 8.2 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was " Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. IMSCI 2014-5: DBRS Confirms BB(low) Rating on G Certs ----------------------------------------------------- DBRS Limited confirmed its credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2014-5 issued by Institutional Mortgage Securities Canada Inc. (IMSCI) Series 2014-5 as follows: -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class X at AAA (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (low) (sf) All trends are Stable. The credit rating confirmations are reflective of the overall pool's stable performance, which remains in line with Morningstar DBRS' expectations. Since the last credit rating action, four loans have repaid successfully at their respective maturity dates, leaving three loans in the pool, per the June 2024 remittance. There has been a collateral reduction of 88.0% since issuance as a result of loan repayments and scheduled amortization. There have been no realized trust losses to date. The remaining pool is extremely concentrated by loan size, as the two largest loans account for approximately 92.7% of the entire deal balance. Morningstar DBRS expects that all three loans will continue to perform and are good candidates for refinance at or within a relatively short time following their scheduled maturity dates, given that these loans have performed well historically and benefit from a full recourse structure. The largest loan in the pool is Milton Crossroads West (49.0% of the current pool balance), which is secured by a retail development totaling 139,400 square feet across seven buildings in Milton, Ontario. As per the February 2023 rent roll, the property was fully occupied and anchor tenants included SportChek (19.4% of the net rentable area (NRA), lease expired in January 2024, tenant remains in occupancy per online search), Indigo (18.1% of the NRA, lease expires in July 2024), and Michaels (16.8% of the NRA, lease expires in February 2028). Morningstar DBRS has inquired about Indigo's status, but has not received a response as of this press release. Given the property's stable historical occupancy, Walmart shadow anchor, and location in a busy commercial corridor, Morningstar DBRS believes there is a strong likelihood Indigo will renew its lease. As per the most recent financial statements from YE2023, the loan reported a debt service coverage ratio (DSCR) of 1.76 times (x) compared with issuer's DSCR of 1.42x. The loan is sponsored by Calloway Real Estate Investment Trust (Calloway REIT; 50% ownership) and First Gulf Milton West Development Inc. (50% ownership), with full recourse to Calloway REIT's ownership interest. Les Galeries Richelieu (Prospectus ID#2; 43.7% of the current pool balance) is secured by a 231,545-sf anchored shopping center in Saint-Jean-sur-Richelieu, Québec. The loan was added to the servicer's watchlist in December 2023 for occupancy concerns. The largest tenant, Provincial Community Health Centre (CLSC; (30.0% of the NRA), had a lease expiry in November 2023 and the borrower did not notify the servicer regarding the renewal of its lease. However, online address listings indicate the tenant is still in occupancy at the subject property. CLSC is operated by the Québec government and operates as a social services clinic at the property. Morningstar DBRS has requested an updated rent roll to confirm CLSC's lease renewal, however, no response was received as of this press release. Given that CLSC is a government tenant and appears to still be located at the subject, Morningstar DBRS believes there is a high likelihood its lease has been renewed. As per the most recent financial statement from YE2022, the property was fully occupied and the loan reported a DSCR of 2.03x. In the event CLSC's lease has not been renewed and the space remains vacant, the loss of rental income could push the DSCR below breakeven. Morningstar DBRS notes mitigating factors such as the loan's low leverage at 46.2%, based on the issuance appraised value, and full recourse to an experienced sponsor, the publicly-traded BTB Real Estate Investment Trust (BTB REIT) and BTB Acquisition and Operating Trust. Given the concentration of these two loans, Morningstar DBRS' analysis included a recoverability scenario to determine the level of value deterioration required before any rated bonds would be exposed to a loss. Both Milton Crossroads West and Les Galeries Richelieu could withstand issuance appraised value haircuts of 45% to 55% before any loss would be realized by a Morningstar DBRS-rated bond. Based on the historically stable performance of these properties, recourse structures, and low leverage points, Morningstar DBRS believes the remaining pool is well positioned to continue performing through the remaining term. Notes: All figures are in Canadian dollars unless otherwise noted. JP MORGAN 2016-JP2: Fitch Lowers Rating on Class E Debt to CCCsf ---------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage pass-through certificates (JPMCC 2016-JP2). Fitch assigned Negative Outlooks to classes C, D and X-C following their downgrades and revised the Outlook to Negative from Stable for affirmed classes A-S, B, X-A and X-B. In addition, Fitch Ratings has downgraded three and affirmed 10 classes of JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 Commercial Mortgage Pass-Through Certificates (JPMCC 2017-JP7). Fitch assigned Negative Outlooks to classes E-RR and F-RR following their downgrades and revised the Outlook to Negative from Stable for affirmed classes A-S, B, C, D, X-A, and X-B. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP2 A-3 46590MAQ3 LT AAAsf Affirmed AAAsf A-4 46590MAR1 LT AAAsf Affirmed AAAsf A-S 46590MAV2 LT AAAsf Affirmed AAAsf A-SB 46590MAS9 LT AAAsf Affirmed AAAsf B 46590MAW0 LT AA-sf Affirmed AA-sf C 46590MAX8 LT BBB-sf Downgrade A-sf D 46590MAC4 LT Bsf Downgrade BBsf E 46590MAE0 LT CCCsf Downgrade B-sf X-A 46590MAT7 LT AAAsf Affirmed AAAsf X-B 46590MAU4 LT AA-sf Affirmed AA-sf X-C 46590MAA8 LT Bsf Downgrade BBsf JPMCC 2017-JP7 A-3 465968AC9 LT AAAsf Affirmed AAAsf A-4 465968AD7 LT AAAsf Affirmed AAAsf A-5 465968AE5 LT AAAsf Affirmed AAAsf A-S 465968AJ4 LT AAAsf Affirmed AAAsf A-SB 465968AF2 LT AAAsf Affirmed AAAsf B 465968AK1 LT AA-sf Affirmed AA-sf C 465968AL9 LT A-sf Affirmed A-sf D 465968AM7 LT BBBsf Affirmed BBBsf E-RR 465968AP0 LT BBsf Downgrade BBB-sf F-RR 465968AR6 LT Bsf Downgrade BBsf G-RR 465968AT2 LT CCCsf Downgrade Bsf X-A 465968AG0 LT AAAsf Affirmed AAAsf X-B 465968AH8 LT A-sf Affirmed A-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.04% in JPMCC 2016-JP2 and 7.39% in JPMCC 2017-JP7. Fitch Loans of Concern (FLOCs) comprise 11 loans (43.7% of the pool) in JPMCC 2016-JP2, including two loans in special servicing (6.2%) and nine loans (47.4%) in JPMCC 2017-JP7, including three loans in special servicing (17.7%). JPMCC 2016-JP2: The downgrades in the JPMCC 2016-JP2 transaction reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance deterioration and substantial updated valuation declines on office and retail outlet FLOCs, including 100 East Pratt (6.4%), Hagerstown Premium Outlets (3.6%) and 700 17th Street (2.5%). The Negative Outlooks in the JPMCC 2016-JP2 transaction reflect the high office concentration in the pool of 38.8% and the potential for downgrades should performance of the FLOCs, most notably Marriott Atlanta Buckhead, 100 East Pratt, Renaissance Center, Hagerstown Premium Outlets, 700 17th Street, RC Shoppes, Waltonwood at University, Decatur Crossing, 417-425 North Eighth Street, fail to stabilize, further decline and/or with prolonged specially serviced loan workouts. JPMCC 2017-JP7: The downgrades in the JPMCC 2017-JP7 transaction reflect higher pool loss expectations since Fitch's prior rating action, driven by the significant performance declines and updated valuation deterioration of the First Stamford Place (8.7%) and 211 Main Street (6.6%) office FLOCs. The Negative Outlooks in the JPMCC 2017-JP7 transaction reflect the high office concentration of 41.7% and the potential for downgrades with lack of performance stabilization of the office FLOCs, including First Stamford Place, 211 Main Street, Crystal Corporate Center, St. Luke's Office, Apex Fort Washington and Columbus Office Portfolio I. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and second largest contributor to overall losses in the JPMCC 2016-JP2 transaction is the 100 East Pratt (6.4%) loan, secured by a 28-story, 662,708 sf, landmarked Class A, LEED Silver certified office in downtown Baltimore, MD. YE 2023 occupancy was 91%, with a servicer-reported NOI DSCR of 2.25x. In July 2022, the largest tenant, T Rowe Price (67% of NRA), provided notice of lease termination, effective July 2024, which includes the intention to exercise contemplated holdover rights through January 2025. A cash trap was triggered with a collected reserve balance of $9.48 million as of June 2024. The second largest tenant, PwC, increased its footprint at the property to 5.7% of the NRA (from 4.8%) and renewed its lease through April 2030. Fitch's 'Bsf' rating case loss of 16.1% (prior to concentration add-ons) reflects a 10% cap rate, 10% haircut to the YE 2023 NOI and increased probability of default due to expected departure of largest tenant and decline in cashflow. The second largest increase in loss expectations since the prior rating action and largest contributor to loss in the JPMCC 2016-JP2 transaction is the Hagerstown Premium Outlets loan (3.6%), secured by a 484,994-sf outlet center located in Hagerstown, MD. The loan transferred to special servicing in September 2023 for payment default and the servicer is dual-tracking workout discussions with foreclosure/receivership. The sponsor, Simon Property Group, has submitted a loan modification request to convert the loan to an interest-only structure. While collateral occupancy improved to 53.5% in 2023 after Tim's Furniture Mart (13.1% of the NRA) backfilled the former vacant Wolf Furniture and Outlet space, it still remains below pre-pandemic occupancy levels of 78% at YE 2019. As of September 2023, NOI DSCR was 0.97x, remaining generally in line with reported DSCR metrics since 2021. Inline sales for tenants less than 10,000 sf have declined to $227 psf as TTM August 2023. Fitch's 'Bsf' rating loss of 62.7% (prior to concentration add-ons) reflects a discount to a recent appraisal value, which equates to a recovery of $52 psf. The third largest increase in loss expectations since the prior rating action is the 700 17th Street loan (2.5%), secured by a 182,505-sf office property located in the CBD of Denver, CO. The loan transferred to special servicing in March 2024 for payment default. Property-level cash flow is insufficient to cover debt service; the servicer-reported NOI DSCR was 0.20x as of YTD September 2023. The borrower had been funding shortfalls since 2020 when DSCR fell below 1.0x until the loan defaulted. Performance has continued to deteriorate since the pandemic, with occupancy reported at 53% in September 2023, down from 60% at YE 2021 and 72% as of YE 2020 as multiple tenants have vacated at or prior to lease expiration. Upcoming rollover includes 8.8% in 2024, 16.8% in 2025 and 3.8% in 2026. Fitch's base case loss of approximately 68.0% reflects a recovery of $33 psf. The largest increase in loss expectations since the prior rating action and the overall largest contributor to loss in the JPMCC 2017-JP7 transaction is the First Stamford Place loan (7.0%), secured by a three-building suburban office property totaling 810,471-sf located in Stamford, CT. The loan transferred to special servicing in December 2023 as the borrower indicated intentions to relinquish control of the asset. While occupancy improved to 79% as of March 2024 from 75% at YE 2023, it remains well-below issuance occupancy of 91%. Upcoming rollover includes 4% of the NRA in 2024 and 6.6% in 2025. Cash flow has deteriorated significantly, with YE 2023 NOI down 49.8% from the originator's underwritten NOI at issuance. As of March 2024, the servicer-reported NOI DSCR was 1.61x, compared with 1.91x as of YE 2022. Per Costar as of 1Q24, the Stamford office submarket reported a high vacancy and availability rate 23.9% and 25.2%, respectively. Fitch's 'Bsf' rating case loss of 35% (prior to concentration adjustments) reflects a discount to a recent appraisal value, reflecting a recovery value of $132 psf. The second largest increase in loss expectations since the prior rating action in the JPMCC 2017-JP7 transaction is the 211 Main Street loan (6.6%), secured by a 417,266-sf single-tenant office building in San Francisco, CA leased to Charles Schwab on a lease through April 2028. The loan transferred to special servicing in March 2024 prior to defaulting at maturity in April 2024. Charles Schwab has relocated its headquarters from San Francisco to Westlake, TX and has downsized to six floors from 17 floors within the building, which is approximately 38% of the NRA. A modification of the loan, which includes a four-year extension, amortization on a 30-year schedule and cash management, is in process. Fitch's 'Bsf' rating case loss of 14.4% (prior to concentration adjustments) is based on stressed value of $349 psf. Changes in Credit Enhancement (CE): As of the June 2024 distribution date, the aggregate pool balances of the JPMCC 2016-JP2 and JPMCC 2017-JP7 transactions have been paid down by 19.8% and 15.4%, respectively, since issuance. The JPMCC 2016-JP2 transaction has nine fully defeased loans (21.7% of the pool) and JPMCC 2017-JP7 has five (6.0%) fully defeased loans. Cumulative interest shortfalls of $1.3 million are affecting the non-rated class NR in JPMCC 2016-JP2, and $752,654 is affecting the non-rated class NR-RR in JPMCC 2017-JP7. 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, which have Negative Outlooks, may occur should performance of the FLOCs, which include Marriott Atlanta Buckhead, 100 East Pratt, Renaissance Center, Hagerstown Premium Outlets, 700 17th Street, RC Shoppes, Waltonwood at University, Decatur Crossing, 417-425 North Eighth Street in JPMCC 2016-JP2, and First Stamford Place, 211 Main Street, Crystal Corporate Center, St. Luke's Office, Apex Fort Washington, Columbus Office Portfolio I, Professional Centre at Gardens Mall in JPMCC 2017-JP7, deteriorate further or more loans than expected 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 loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings 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. 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 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. JP MORGAN 2024-5: DBRS Finalizes BB Rating on Class B-4 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-5 (the Certificates) issued by J.P. Morgan Mortgage Trust 2024-5 (JPMM 2024-5 or the Issuer): -- $574.6 million Class A-1 at AAA (sf) -- $574.6 million Class A-2 at AAA (sf) -- $431.0 million Class A-3 at AAA (sf) -- $323.2 million Class A-4 at AAA (sf) -- $107.7 million Class A-5 at AAA (sf) -- $258.6 million Class A-6 at AAA (sf) -- $172.4 million Class A-7 at AAA (sf) -- $64.6 million Class A-8 at AAA (sf) -- $57.5 million Class A-9 at AAA (sf) -- $57.5 million Class A-9-A at AAA (sf) -- $57.5 million Class A-9-X at AAA (sf) -- $143.7 million Class A-10 at AAA (sf) -- $143.7 million Class A-10-X at AAA (sf) -- $143.7 million Class A-11 at AAA (sf) -- $143.7 million Class A-11-X at AAA (sf) -- $143.7 million Class A-12 at AAA (sf) -- $632.1 million Class A-X-1 at AAA (sf) -- $16.6 million Class B-1 at AA (low) (sf) -- $16.6 million Class B-1-A at AA (low) (sf) -- $16.6 million Class B-1-X at AA (low) (sf) -- $11.2 million Class B-2 at A (low) (sf) -- $11.2 million Class B-2-A at A (low) (sf) -- $11.2 million Class B-2-X at A (low) (sf) -- $8.1 million Class B-3 at BBB (low) (sf) -- $3.0 million Class B-4 at BB (sf) -- $2.4 million Class B-5 at B (low) (sf) Classes A-9-X, A-10-X, A-11-X, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-7, A-9, A-10, A-10-X, A-12, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of base depositable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, and A-12 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-9 and Class A-9-A certificates) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.50% of credit enhancement provided by subordinated certificates. AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) ratings reflect 4.05%, 2.40%, 1.20%, 0.75%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 675 loans with a total principal balance of $676,029,722 as of the Cut-Off Date (June 1, 2024). Subsequent to the issuance of the related Presale Report, one loan was removed from the pool. The Notes are backed by 676 mortgage loans with a total principal balance of $677,413,299 in the Presale Report. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Presale Report balance. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of two months. Approximately 79.8% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 20.2% of the pool are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) originated 44.8% of the pool. Various other originators, each comprising less than 15%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by Shellpoint Mortgage Servicing (Shellpoint; 43.7%), UWM (43.3%), loanDepot.com, LLC (7.1%), PennyMac Loan Services, LLC (4.2%), and PennyMac Corp (PennyMac; 1.7%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2024). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US Dollars unless otherwise noted. JP MORGAN 2024-VIS2: S&P Assigns Prelim 'B-' Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2024-VIS2's mortgage pass-through certificates series 2024-VIS2. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans. The loans are secured by single-family residences, townhouses, planned-unit developments, two- to four-unit multifamily homes, and condominiums to both prime and nonprime borrowers. The mortgage pool consists of 1,109 business-purpose investment-property loans with a principal balance of approximately $303.62 million as of the cutoff date. The preliminary ratings are based on information as of July 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, mortgage aggregator and mortgage originators, and representation and warranty framework; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On Oct. 13, 2023, we updated our market outlook as it relates to the 'B' projected archetypal loss level, and therefore revised and lowered our 'B' foreclosure frequency to 2.50% from 3.25%, which reflects the level prior to April 2020, preceding the COVID-19 pandemic. The update reflects our benign view of the mortgage and housing markets as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting. Per our latest macroeconomic update, the U.S. economy has outperformed expectations following consecutive quarters of contraction in the first half of 2022." Preliminary Ratings(i) Assigned J.P. Morgan Mortgage Trust 2024-VIS2 Class A-1, $195,686,000: AAA (sf) Class A-2, $29,451,000: AA- (sf) Class A-3, $35,221,000: A- (sf) Class M-1, $17,154,000: BBB- (sf) Class B-1, $12,449,000: BB- (sf) Class B-2, $8,653,000: B- (sf) Class B-3, $5,010,714: NR Class A-IO-S, $133,724,054(ii): NR Class XS, $303,624,714(iii): NR Class A-R, not applicable: NR (i)The collateral and structural information in this report reflect the preliminary private placement memorandum dated July 19, 2024. The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance of the mortgage loans serviced by Shellpoint Mortgage Servicing as of the cutoff date. (iii)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. NR--Not rated. JUNIPER VALLEY: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement debt from Juniper Valley Park CLO Ltd./Juniper Valley Park CLO LLC, a CLO originally issued in June 2023 that is managed by Blackstone CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-L, A-2, B, C, D, and E notes and class A-L loans following payment in full on the July 22, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R notes were issued at a lower spread over three-month term SOFR than the original notes. -- The class A-L loans, and class A-L and A-2 notes were removed from the transaction. -- The stated maturity, reinvestment period, and non-call period were extended one year. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $384.00 million: Three-month CME term SOFR + 1.250% -- Class B-R, $72.00 million: Three-month CME term SOFR + 1.550% -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 1.850% -- Class D-R (deferrable), $36.00 million: Three-month CME term SOFR + 2.850% -- Class E-R (deferrable), $24.00 million: Three-month CME term SOFR + 5.500% -- Subordinated notes, $54.51 million: Residual Original debt -- Class A-1, $308.00 million: Three-month CME term SOFR + 1.850% -- Class A-L, $0.00 million: Three-month CME term SOFR + 1.850% -- Class A-L loans, $65.00 million: Three-month CME term SOFR + 1.850% -- Class A-2, $5.00 million: 5.128% -- Class B, $75.00 million: Three-month CME term SOFR + 2.550% -- Class C (deferrable), $36.00 million: Three-month CME term SOFR + 3.000% -- Class D (deferrable), $36.90 million: Three-month CME term SOFR + 4.700% -- Class E (deferrable), $18.90 million: Three-month CME term SOFR + 8.000% -- Subordinated notes, $54.51 million: Residual S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Juniper Valley Park CLO Ltd./Juniper Valley Park CLO LLC Class A-R, $384.00 million: NR Class B-R, $72.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable), $36.00 million: BBB- (sf) Class E-R (deferrable), $24.00 million: BB- (sf) Ratings Withdrawn Juniper Valley Park CLO Ltd./Juniper Valley Park CLO LLC -- Class B to NR from 'AA (sf)' -- Class C (deferrable) to NR from 'A (sf)' -- Class D (deferrable) to NR from 'BBB- (sf)' -- Class E (deferrable) to NR from 'BB- (sf)' Other Debt Juniper Valley Park CLO Ltd./Juniper Valley Park CLO LLC Subordinated notes, $54.51 million: NR NR—Not rated. LAKE SHORE II: Moody's Assigns Ba3 Rating to $18MM Cl. E-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to four classes of CLO refinancing notes (the "Refinancing Notes") issued by Lake Shore MM CLO II Ltd. (the "Issuer"). Moody's rating action is as follows: US$108,079,074 Class A-1RR Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$30,000,000 Class B-RR Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$24,000,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031, Assigned A1 (sf) US$18,000,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2031, Assigned Ba3 (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 middle market loans. First Eagle Alternative Credit EU, LLC (the "Manager") will continue to direct the selection, acquisition and 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. Other changes to transaction features in connection with the refinancing include extension of the non-call period. No actions were taken on the Class A-2R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's 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: $225,596,451.80 Defaulted par: $2,368,398 Diversity Score: 35 Weighted Average Rating Factor (WARF): 4155 Weighted Average Spread (WAS) (before accounting for reference rate floors): 5.54% Weighted Average Recovery Rate (WARR): 45.16% Weighted Average Life (WAL): 3.02 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 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. LCM 31: S&P Assigns B- (sf) Rating on $2.5MM Class F Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement debt and proposed new class X and F debt from LCM 31 Ltd./LCM 31 LLC, a CLO originally issued in February 2021 that is managed by LCM Asset Management LLC. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period will end July 20, 2025. -- The reinvestment period will end July 20, 2026. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2034. -- The required minimum overcollateralization coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- New class X and F debt was issued. -- The class X debt issued in connection with this refinancing is expected to be paid down using interest proceeds during the seven payment dates beginning with the payment date on Oct. 20, 2025. -- The transaction will not be able to invest in fixed-rate assets. 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 LCM 31 Ltd./LCM 31 LLC Class X, $1.60 million: AAA (sf) Class A-R, $229.20 million: AAA (sf) Class B-R, $56.60 million: AA (sf) Class C-R (deferrable), $22.60 million: A (sf) Class D-R (deferrable), $22.60 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Class F (deferrable), $2.50 million: B- (sf) Ratings Withdrawn LCM 31 Ltd./LCM 31 LLC Class A to NR from AAA (sf) Class B to NR from AA (sf) Class C (deferrable) to NR from A (sf) Class D (deferrable) to NR from BBB- (sf) Class E (deferrable) to NR from BB- (sf) Other Debt LCM 31 Ltd./LCM 31 LLC Subordinated notes(i), $39.20 million: Not rated (i)Existing class. The notional amount will stay the same in connection with this refinancing and extension. LEHMAN ABS 2001-B: S&P Raises Class M-1 Certs Rating to BB- (sf) ---------------------------------------------------------------- S&P Global Ratings completed its review of and raised its rating on the class M-1 certificates from Lehman ABS Manufactured Housing Contract Trust 2001-B. The transaction is backed by a pool of manufactured housing installment sale contracts and installment loan agreements that are currently serviced by Shellpoint Mortgage Servicing. The upgrade reflects the transaction's collateral performance to date, our views regarding future collateral performance, the transaction's structure, and the credit enhancement available. Table 1 Collateral performance (%) As of the July 2024 distribution date Prior Current 60+ day expected expected Current Current delinq. lifetime lifetime Mo. PF (%) CNL (%) (%)(i) CNL (%)(ii) CNL (%) Lehman 2001-B 273 3.25 21.37 5.74 22.25-23.25 22.00-23.00 (i)Aggregate 60-plus-day delinquencies as a percentage of the current pool balance. (ii)As of July 2023. PF--Pool factor. Lehman 2001-B--Lehman ABS Manufactured Housing Contract Trust 2001-B. The upgrade reflects S&P's view that the total credit support as a percentage of the amortizing pool balances, compared with its expected remaining cumulative net losses, is sufficient to support the rating. Table 2 Hard credit support (%) Prior total hard Current total hard credit support credit support Class (% of current)(i) (% of current)(ii) Lehman 2001-B M-1 43.72 52.45 (i)As of June 2023 distribution date. (ii)As of the July 2024 distribution date. Lehman 2001-B--Lehman ABS Manufactured Housing Contract Trust 2001-B. S&P will continue to monitor the performance of the transaction relative to its cumulative net loss expectation and the available credit enhancement, and will take further rating actions as we deem appropriate. RATING RAISED Lehman ABS Manufactured Housing Contract Trust 2001-B Series Class Rating To From 2001-B M-1 BB- (sf) B+ (sf) MADISON PARK LV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LV, Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LV, Ltd. A-1 55819FAA9 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 LT AAAsf New Rating A-2a 55819FAC5 LT PIFsf Paid In Full AAAsf A-2b 55819FAL5 LT PIFsf Paid In Full AAAsf B-1 55819FAE1 LT PIFsf Paid In Full AAsf B-2 55819FAN1 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 55819FAG6 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 55819FAJ0 LT PIFsf Paid In Full BBB-sf D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E 55818AAA1 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating TRANSACTION SUMMARY Madison Park Funding LV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by UBS Asset Management (Americas) LLC that originally closed in August 2022. On July 18, 2024, the secured notes were refinanced in full. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $599 million (excludes defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.44% first-lien senior secured loans and has a weighted average recovery assumption of 76.1%. 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 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2 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, 'Asf' for class D-2, 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, 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 Madison Park Funding LV. 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. MADISON PARK LV: Moody's Assigns B3 Rating to $250,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding LV, Ltd. (the Issuer): US$384,000,000 Class A-1-R Floating Rate Senior Notes due 2037, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2037, 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 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of loans that are not senior secured. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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, a variety of other changes to transaction features will occur in connection with the refinancing. These include: 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 Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3210 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.0 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. MADISON PARK XLIV: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Madison Park Funding XLIV, Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding XLIV, Ltd. (f/k/a Atrium XV) A-1 04965FAC5 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R 55820LAA3 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating AAA(EXP)sf B-1-R LT AA+sf New Rating AA(EXP)sf B-2-R LT AA+sf New Rating AA(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-1-R LT BBB+sf New Rating BBB(EXP)sf D-2-R LT BBBsf New Rating BBB-(EXP)sf D-3-R 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 The final ratings of 'AA+sf', 'AA+sf', 'BBB+sf' and 'BBBsf' for the class B-1-R, B-2-R, D-1-R and D-2-R notes, respectively, are above their respective expected ratings of 'AAsf', 'AAsf', 'BBBsf' and 'BBB-sf'. This is due to the expected note spreads being higher than the priced note spreads. The portfolio and other metrics remain largely the same as the data used to produce the expected ratings. TRANSACTION SUMMARY Madison Park Funding XLIV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC, that originally closed in November 2018 and was first refinanced in December 2020. The CLO's secured notes will be refinanced on July 11, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $900 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.5% first-lien senior secured loans and has a weighted average recovery assumption of 74.8%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and '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, between less than 'B-sf' and 'BB+sf' for class D-3-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-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, 'A+sf' for class D-3-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Madison Park Funding XLIV, Ltd. (f/k/a Atrium XV). In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. MARANON LOAN 2024-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Maranon Loan Funding 2024-1 Ltd./Maranon Loan Funding 2024-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Maranon Management LLC. The preliminary ratings are based on information as of July 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Maranon Loan Funding 2024-1 Ltd./Maranon Loan Funding 2024-1 LLC Class A, $182.50 million: AAA (sf) Class A-L loan(i), $107.50 million: AAA (sf) Class B, $50.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $30.00 million: BB- (sf) Variable dividend notes, $53.92 million: Not rated (i)All or a portion of the class A-L loans may be converted into class A notes, subject to a maximum conversion of $107.50 million under the terms outlined in the credit agreement. Upon a conversion, the balance on the class A notes may be increased, and the balance of the class A-L loans may be decreased in the same amount, to reflect the conversion. No portion of the class A notes may be converted into class A-L loans. MEACHAM PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Meacham Park CLO Ltd./Meacham Park CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The preliminary ratings are based on information as of July 23, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Meacham Park CLO Ltd./Meacham Park CLO LLC Class A-1, $246.00 million: AAA (sf) Class A-2, $26.00 million: Not rated Class B, $28.00 million: AA (sf) Class C (deferrable), $28.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated MERCHANTS FLEET 2024-1: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (together, the Notes) issued by Merchants Fleet Funding LLC, Series 2024-1 (the Transaction): -- $491,040,000 Class A Notes at AAA (sf) -- $23,664,000 Class B Notes at AA (sf) -- $34,740,000 Class C Notes at A (high) (sf) -- $31,596,000 Class D Notes at BBB (sf) -- $18,960,000 Class E Notes at BB (sf) The credit ratings on the Notes are based on Morningstar DBRS' review of the following considerations: -- Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement levels are sufficient to support Morningstar DBRS stressed loss assumptions under various scenarios. -- The yield supplement account is established to supplement the yield from any lease that does not meet a minimum yield requirement. -- The Transaction's ability to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. The credit ratings address the payment of timely interest on a monthly basis and principal by the Legal Final Maturity. -- Merchants Fleet Funding LLC's (Merchants) capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS continues to deem Merchants an acceptable originator and servicer of fleet leases. -- The high-credit-quality obligors given strong historical performance of the collateral. -- The leased vehicles are essential use vehicles for customers; therefore, such leases are likely to be affirmed by an obligor in a bankruptcy proceeding. -- These leases are hell-or-high water and triple net with no set-off language. The lessee is responsible to pay all taxes, title, and registration charges. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Class Monthly Interest and Class Invested Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the Class A Additional Interest, Class B Additional Interest, Class C Additional Interest, Class D Additional Interest, and Class E Additional Interest. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MF1 2024-FL15: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by MF1 2024-FL15 LLC (the Issuer). -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class F-E at BB (high) (sf) -- Class F-X at BB (high) (sf) -- Class G at BB (low) (sf) -- Class G-E at BB (low) (sf) -- Class G-X at BB (low) (sf) -- Class H at B (low) (sf) -- Class H-E at B (low) (sf) -- Class H-X at B (low) (sf) All trends are Stable. The initial collateral consists of 24 floating-rate mortgage loans (two loans are cross-collateralized as part of the Mandrake BTR Roll-Up and treated as one loan) secured by 31 transitional multifamily properties. The collateral is encumbered by $2.0 billion of debt, composed of $845.7 million going into the trust, $138.9 million in future funding, and $1.1 billion of funded pari passu debt. Five loans in the pool, representing 22.4% of the initial pool balance, are delayed-close mortgage assets, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer has 45 days after closing to acquire the delayed-close assets. The transaction is a managed vehicle, which includes a 24-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $54.3 million to a total target collateral principal balance of $900 million. All tables, charts, and metrics referenced in this presale report reflect the $900 million target pool balance, inclusive of $54.3 million of hypothetical ramp loans. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool WA loan expected losses. Reinvestment of principal proceeds during the reinvestment period is subject to Eligibility Criteria, which, among other criteria, includes a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion. If a delayed-close asset is not expected to close or fund prior to the purchase termination date, the Issuer may acquire any delayed-closed collateral interest at any time during the ramp-up acquisition period. The Eligibility Criteria indicates that only multifamily, manufactured housing, student housing, and senior housing properties can be brought into the pool during the stated ramp-up acquisition period. Additionally, the Eligibility Criteria establishes minimum DSCR, LTV, and Herfindahl requirements. Furthermore, certain events within the transaction require the Issuer to obtain RAC. Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current rating. The Issuer is required to obtain RAC for all acquisitions of companion participations. The loans are secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. In total, 14 loans, representing 60.7% of the pool, have remaining future funding participations totaling $138.9 million, which the Issuer may acquire in the future. Please see the chart below for the participations that the Issuer will be allowed to acquire. All of the loans in the pool have floating rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is NCF, all 23 loans had a Morningstar DBRS As-Is DSCR of 1.00x or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized NCF for 21 of the 23 loans, representing 92.8% of the initial pool balance, was below 1.00x, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related principal amounts, the interest distribution amounts, and the deferred interest amounts for the rated classes. Morningstar DBRS¿ credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Default Interest and Interest on Unpaid Interest. Morningstar DBRS¿ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. MFA TRUST 2024-RPL1: Fitch Gives 'B(EXP)sf' Rating on Cl.B2 Notes ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by MFA 2024-RPL1 Trust (MFA 2024-RPL1). Entity/Debt Rating ----------- ------ MFA 2024-RPL1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by MFA 2024-RPL1 Trust (MFA 2024-RPL1), as indicated above. The transaction is expected to close on July 23, 2024. The notes are supported by a collateral group consisting of 1,360 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $281.9 million, including $21.0 million, or 6.9%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff date. In its analysis, Fitch's calculations and statistics are based on the non-deferred unpaid principal balance (UPB) of the loans. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential-pay structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. 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 10.8% above a long-term sustainable level (vs. 11.1% on a national level as of 4Q23, which 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 increased 5.5% yoy nationally as of February 2024, despite modest regional declines, but are still being supported by limited inventory. Mixed Performance History (Mixed): The collateral pool consists primarily of peak-vintage SPLs, RPLs and Community Development Financial Institution (CDFI) loans. Based on the non-deferred UPB, 5.8% portion of the pool was 30 days' delinquent as of the cutoff date, and 36.1% of loans are current but have had delinquencies within the past 24 months. Roughly 68.2% of loans by unpaid principal balance (UPB) have been modified. Fitch increased its loss expectations to account for the delinquent loans and the high percentage of "dirty current" loans. See the Asset Analysis section for additional information. The remaining 58.1% of loans have had clean payment histories for at least the past two years, which Fitch views as a benefit to the transaction. Low Loan-to-Value Ratio (Positive): Despite the distressed performance history and elevated home price overvaluation, this pool benefits from a very low loan-to-value ratio (LTV). Based on updated property values and indexation by Fitch, the mark-to-market combined LTV is 52.2%; additionally, after haircutting values based on Fitch's views of overvaluation, Fitch's sustained LTV is 58.9%. The significant amount of equity is a considerable driver of Fitch's low expected loss rate relative to other RPL/SPL transactions. Despite the low LTVs, Fitch applies minimum loss severity (LS) floors for each given stress scenario, starting at 10% for the 'Bsf' rating stress and reaching 30% for the 'AAAsf' stress. Given the low LTVs, the majority of the pool has a 30% LS in a 'AAAsf' stress scenario. Sequential-Pay 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. The transaction uses excess spread to pay principal and turbo down the bonds. Fitch views the greater amortization as a positive. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.0%, at the 'AAAsf' level. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes when compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full rating 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 rated classes. More specifically, a 10% gain in home prices would result in a full category upgrade for rated classes (excluding those already assigned AAAsf ratings). USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Third-party due diligence was performed on 91.0% of the loans in the transaction by SitusAMC, Clayton and Consolidated Analytics; all entities are assessed as 'Acceptable' third-party review (TPR) firms by Fitch. The pool received a regulatory compliance review on 91.0% of loans to ensure the loans were originated in accordance with predatory lending regulations. For the remaining 9.0%, Fitch made adjustments based on the risk that the loans would not be in compliance with predatory lending regulations. A 16.3% portion of the pool received final compliance grades of 'C' or 'D'. Adjustments were applied to loans primarily due to missing or estimated final HUD-1 documents, and these loans are subject to testing for compliance with predatory lending regulations. These regulations are not subject to statute of limitations, contrary to most compliance findings, which ultimately exposes the trust to added assignee liability risk. Fitch adjusted its loss expectation at the 'AAAsf' rating category by 327 bps to account for these added risks presented in the diligence scope. 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. MIDOCEAN CREDIT VI: S&P Affirms 'B- (sf)' Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RRR, B-RRR, and C-RRR replacement debt from Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC, a CLO originally issued in April 2021 that is managed by MidOcean Credit Fund Management L.P. At the same time, S&P withdrew its ratings on the original class A-RR, B-RR, C-1R, C-2AR, and C-2BR debt following payment in full on the July 22, 2024, refinancing date. S&P also affirmed its ratings on the class D-1R, D-2AR, D-2BR, E-RR, and F debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 20, 2025. -- No additional assets were purchased on the July 22, 2024, refinancing date. The first payment date following the refinancing is Oct. 21, 2024. -- No additional subordinated notes were issued on the refinancing date. -- The class X note has seen full paydown since originally issued. -- The original C-1R, C-2AR, and C-2BR debt will be combined into the new class C-RRR debt. Replacement And Original Debt Issuances Replacement debt -- Class A-RRR, $222.13 million: Three-month CME term SOFR + 1.23% -- Class B-RRR, $48.00 million: Three-month CME term SOFR + 1.70% -- Class C-RRR (deferrable), $24.00 million: Three-month CME term SOFR + 2.20% Original debt -- Class A-RR, $256.00 million: Three-month CME term SOFR + 1.07% + CSA(i) -- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-1R (deferrable), $12.00 million: Three-month CME term SOFR + 2.42% + CSA(i) -- Class C-2AR (deferrable), $6.00 million: Three-month CME term SOFR + 2.00% + CSA(i) -- Class C-2BR (deferrable), $6.00 million: Three-month CME term SOFR + 2.84% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC Class A-RRR, $222.13 million: AAA (sf) Class B-RRR, $48.00 million: AA (sf) Class C-RRR (deferrable), $24.00 million: A (sf) Ratings Withdrawn Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-1R to NR from 'A (sf)' Class C-2AR to NR from 'AA- (sf)' Class C-2BR to NR from 'A (sf)' Ratings Affirmed Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC Class D-1R: 'BBB- (sf)' Class D-2AR: 'BBB (sf)' Class D-2BR: 'BBB- (sf)' Class E-RR: 'BB- (sf)' Class F: 'B- (sf)' Other Debt Midocean Credit CLO VI Ltd./Midocean Credit CLO VI LLC Subordinated notes, $34.70 million: NR NR--Not rated. MONROE CAPITAL XVI: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Monroe Capital MML CLO XVI Ltd./Monroe Capital MML CLO XVI LLC's floating-rate debt. The debt issuance is a CLO securitization backed by primarily middle market speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. 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 Monroe Capital MML CLO XVI Ltd./Monroe Capital MML CLO XVI LLC Class A notes, $210.80 million: AAA (sf) Class A loan, $100.00 million: AAA (sf) Class B, $70.00 million: AA (sf) Class C (deferrable), $44.80 million: A (sf) Class D (deferrable), $33.60 million: BBB- (sf) Class E(deferrable), $33.60 million: BB- (sf) Subordinated notes, $69.00 million: Not rated MORGAN STANLEY 2015-C27: DBRS Confirms C Rating on Class H Certs ---------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27 as follows: -- Class X-E to BB (sf) from BBB (sf) -- Class E to BB (low) (sf) from BBB (low) (sf) -- Class X-F to CCC (sf) from BB (low) (sf) -- Class F to CCC (sf) from B (high) (sf) -- Class G to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class H at C (sf) The Negative trends on Classes D, E, X-D, and X-E were maintained by Morningstar DBRS, as were the Stable trends on Classes A3, A4, ASB, AS, B, C, X-A, and X-B. Classes F, G, H, and X-F have credit ratings that do not typically carry trends in commercial mortgage backed securities (CMBS). The credit ratings downgrades reflect increased loss projections for the two loans in special servicing: Herald Center (Prospectus ID#6, 5.8% of the pool) and Granite 190 (Prospectus ID#5, 5.7% of the pool). Morningstar DBRS received updated appraisals for bothassets, indicating greater-than-expected declines in value. With this review, Morningstar DBRS considered a liquidation scenario for both loans, resulting in total implied losses of over $25.0 million, which would fully erode the nonrated Class J and C (sf) rated Class H certificate, and partially erode the C (sf) rated Class G certificate. The Negative trends on Classes D, E, X-D, and X-E reflect Morningstar DBRS' concerns with increased maturity default risk as the pool enters its maturity year. Nearly all the outstanding loans are scheduled to mature in the next 12-18 months. While Morningstar DBRS expects the majority of these loans will repay at maturity, five loans, representing 27.8% of the pool, have been identified as exhibiting increased maturity default risk given weak credit metrics and decreased tenant demand, which have likely eroded property values. Morningstar DBRS stressed these loans with an elevated probability of default (POD) penalty and/or loan-to-value ratio (LTV) to reflect the risk of maturity default, resulting in a weighted-average (WA) expected loss (EL) that was 35% higher than the pool average. As of the May 2024 remittance, 49 of the original 55 loans remain in the pool, with a trust balance of $660.7 million representing a collateral reduction of 19.7% from issuance. Ten loans representing 9.2% of the pool balance are fully defeased. Excluding defeased loans, the pool is well diversified by property type with mixed-use, retail, and multifamily properties comprising 20.1%, 20.0%, and 18.8% of the pool, respectively. There are only four loans representing 9.3% of the pool backed by office properties. As noted above, two loans, representing 11.5% of the pool, are specially serviced. The largest contributor to Morningstar DBRS' projected liquidated losses is Granite 190 (Prospectus ID#5, 5.7% of the pool), a suburban office property in the Dallas suburb of Richardson, Texas. The loan transferred to special servicing in February 2023, following two years of occupancy declines. In June 2023, the largest tenant, United Healthcare, renewed its lease for an additional three years conditional upon the return of approximately 123,000 square feet (sf) of space, effectively downsizing from 57.6% of the net rentable area (NRA) to 16.5%. In addition, the former second-largest tenant, Parson Services Corporation (14.6% of the NRA) vacated the property upon its lease expiry in March 2023. Both departures contributed to occupancy falling from 76% at YE2022 to 37.2% as of the March 2024 rent roll. The loan was ultimately foreclosed on and, in December 2023, the asset is now real estate owned (REO). An updated appraisal date June 2023 valued the property at $33.0 million, a 40% reduction from the issuance appraised value of $55.0 million. Morningstar DBRS' liquidation scenario for this loan is based on a haircut to the June 2023 appraised value given the continued occupancy decline, high submarket vacancy, and general lack of liquidity for this property type, resulting in an implied loss severity approaching 55.0%. Herald Center (Prospectus ID#6, 5.8% of the pool) is secured by a 249,063-sf mixed-use office/retail property in the Penn Station submarket of New York City. The loan transferred to the special servicer in January 2024 for maturity default after the borrower failed to pay off the loan at its scheduled maturity. According to the servicer, the borrower and lender have entered into a forbearance agreement that has extended the maturity date to January 2025. Morningstar DBRS has inquired as to the terms of this forbearance; however, no additional information has been provided at this time. In recent years, the property's occupancy has plummeted following the departure of its former largest tenant, ASA College (66.4% of the NRA), which vacated the property prior to its scheduled lease expiry in March 2028. The tenant's departure resulted in the property's occupancy dropping to 30% by YE2022. In the past year, the borrower has been able to execute one new lease for the Board of Electrical Engineers (22.8% of the NRA, lease expiry in 2043), which brought the property occupancy to 52.8% as of September 2023. Despite the property's low occupancy, revenue has been sufficient to cover debt service payments, largely attributable to the current largest tenant H&M (25.2% of the NRA, lease expiry in 2041), which occupies the majority of the building's retail component and represents 64.9% of the base rent. The debt service coverage ratio (DSCR) as of September 2023 was 1.32 times (x). An updated appraisal dated March 2024, valued the property at $276.0 million, a 51.7% decline from the issuance appraised value of $572.0 million. Given the decline in appraised value, and the low overall occupancy, Morningstar DBRS analyzed this loan with a liquidation scenario, based on a haircut to the March 2024 appraised value, resulting in a loss severity of over 15%. The largest loan on the servicer's watchlist is Crowne Plaza - Hollywood, FL (Prospectus ID#2, 7.7% of the pool), secured by a 311-key full-service hotel, located along Ocean Drive in Hallandale Beach, Florida. The asset currently operates under the Hilton flag as a DoubleTree. The loan is on the servicer's watchlist because of a low DSCR, with the trailing June 2023 DSCR reported at 1.08x compared with the YE2022 DSCR of 1.18x, YE2021 DSCR of 0.78x, and Issuer's DSCR of 1.56x. Consistent with the prior review, Morningstar DBRS remains concerned with declining cash flow and increasing expenses at the subject, specifically the Real Estate Taxes and Property Insurance expenses, which have risen by 59.2% and 38.2%, respectively, since issuance. In addition, the hotel has historically underperformed its competitive set, with the March 2024 STR report indicating a RevPAR penetration rate of only 59.8% for the trailing 12-month period. Given these concerns Morningstar DBRS' analysis includes an added POD stress, resulting in an EL more than twice the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2016-BNK2: Fitch Affirms CCC Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 13 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2016-BNK2 (MSC 2016-BNK2). Fitch has also assigned Negative Rating Outlooks to classes B and X-B following their downgrade. The Outlooks for classes A-S, C, D, E-1, E-2, E and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- MSC 2016-BNK2 A-3 61690YBT8 LT AAAsf Affirmed AAAsf A-4 61690YBU5 LT AAAsf Affirmed AAAsf A-S 61690YBX9 LT AAAsf Affirmed AAAsf A-SB 61690YBS0 LT AAAsf Affirmed AAAsf B 61690YBY7 LT Asf Downgrade AA-sf C 61690YBZ4 LT BBBsf Affirmed BBBsf D 61690YAC6 LT BBsf Affirmed BBsf E 61690YAL6 LT B-sf Affirmed B-sf E-1 61690YAE2 LT B+sf Affirmed B+sf E-2 61690YAG7 LT B-sf Affirmed B-sf EF 61690YAU6 LT CCCsf Affirmed CCCsf F 61690YAS1 LT CCCsf Affirmed CCCsf X-A 61690YBV3 LT AAAsf Affirmed AAAsf X-B 61690YBW1 LT Asf Downgrade AA-sf X-D 61690YAA0 LT BBsf Affirmed BBsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades of classes B and X-B reflect increased loss expectations since Fitch's prior rating action driven by continued underperformance and refinance concerns for Fitch Loans of Concern (FLOCs), namely the Harlem USA, International Square and Briarwood Mall loans. In addition, the pool is exposed to a high office concentration (32.1% of the pool is secured by office properties). Fitch's current ratings incorporate a 'Bsf' rating case loss of 7.3%, an increase from 6.7% at the prior rating action. Fitch identified five loans (27.7% of the pool) as FLOCs, including the specially serviced Marriott Albany (6.4%). The Negative Outlooks reflects the potential for downgrades of up to one category should performance of the FLOCs experience further performance declines and/or transfer to special servicing. The largest FLOC and contributor to expected losses is Harlem USA (11.8%). The property has experienced sustained performance declines with occupancy falling to 68% at YE 2023 from 74% at YE 2022 and YE 2021. Tenant vacancies include Modell's (previously 7.7% NRA) and Chuck E. Cheese (previously 7.9% NRA) in 2020, Buffalo Wild Wings (previously 4.3% NRA) in 2021 and Dollar Tree (previously 4.6%) in 2023. The servicer-reported NOI DSCR for this interest-only (IO) loan was reported to be 1.68x compared to 1.77x as of YE 2022, 1.65x at YE 2021 and 1.43x at YE 2020; the property NOI remains approximately 40% below issuance. The loan is secured by the leasehold interest in 245,849-sf, L-shaped anchored shopping center located along 125th Street in the Harlem neighborhood of Upper Manhattan. The property was built in 1998 and subsequently renovated in 2004. It is occupied by nine tenants including a nine-screen AMC Magic Johnson theater (27.7% of NRA; through June 2030), Old Navy (14.1%; renewed through January 2028), K&G Fashion Superstore (9.5%; September 2024) and TSI NY Holdings (8.9%; December 2030). Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 22.1% is based on a 9% cap rate and reflects a higher probability of default on this loan to account for refinancing concerns at its October 2026 maturity. The second largest contributor to expected losses is International Square (4.9%), which is secured by a 1,158,732-sf, three building office property located in the Golden Triangle district of the Washington, DC CBD. The loan is considered a FLOC due to occupancy and DSCR declines. Occupancy has gradually declined since issuance, reporting at 73% as of YE 2023, compared with 81% at YE 2019 and 94.2% at issuance. NOI DSCR has improved to 1.31x as of YE 2023 after declining to 0.99x at YE 2022; the NOI DSCR was 2.60x at issuance. The largest tenants are the U.S. Federal Reserve Board (Fitch rated 'AA+'; 27.5% of NRA; 17.6% expiring March 2029 and 9.9% in May 2033); Blank Rome LLP (13.8%; July 2029) and Daniel J. Edelman, Inc. (5.2%; July2030). Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 14.5% is based on an 8% cap rate and a 10% stress to the YE 2023 NOI. In addition, a higher probability of default was applied to this loan to account for refinancing concerns given the performance declines and office sector headwinds. The third largest contributor to expected losses is Briarwood Mall (4.8%), which is secured by a 369,916-sf portion of a 978,034-sf super regional mall in Ann Arbor, MI. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and increasing refinance risk. The servicer-reported NOI DSCR for this IO loan was 1.94x at YE 2023, down slightly from the 2.04x reported at YE 2022 and 2.06x at YE 2021, but down from more significantly from 2.54x at YE 2020, 3.03x at YE 2019 and 3.51x at issuance. The YE 2023 NOI is approximately 35% below YE 2019 levels. The NOI declines are primarily due to tenant departures, with collateral occupancy declining to 71% as of YE 2023 from 76% at YE 2020, 87% at YE 2019 and 95% at issuance. The non-collateral anchors are Macy's, JCPenney, and Von Maur. Sears closed in the fourth quarter of 2018, but the site was recently approved for a mixed-use project that includes 350 multi-family units and 150,000sf of retail space. In-line sales had declined to $482 psf ($387 psf excluding Apple) for the TTM ended March 2022 compared with $543 psf ($358) for TTM ended July 2020. Fitch's 'Bsf' ratings case loss (prior to concentration add-on) of 41.6% is based on a 15% cap rate and a 7.5% haircut to the YE 2023 NOI and reflects a higher probability of default to account for the declining performance and concerns with refinancing. Pool Concentration: The top 10 loans comprise 63% of the pool. All of the loans in the pool mature in 2026. The largest property type concentrations are retail at 37.5%, office at 32.1% and hotel at 15.1%. Increasing Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance has been reduced by 15.6% to $612.5 million from $725.6 million at issuance. Seven loans (35.9%) are full-term, IO. Nine loans (25%) had a partial-term, IO component; however, all nine are now in their amortization periods. Three loans (1.8%) are fully defeased. Cumulative interest shortfalls are currently affecting the non-rated classes H-2 and RRI. 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 Asf' category, which have Negative Outlooks, may occur should performance of the FLOCs, which include Hudson USA, International Square and Briarwood Mall, deteriorate further or more loans than expected 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 loans with deteriorating performance and/or with greater certainty of losses on the specially serviced Marriott Albany. Downgrades to distressed ratings 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 '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. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. 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 are not expected, but possible with better than expected recoveries on the specially serviced loan 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. MORGAN STANLEY 2019-PLND: Moody's Cuts Rating on D Certs to 'Caa3' ------------------------------------------------------------------ Moody's Ratings has downgraded ratings on four classes of Morgan Stanley Capital I Trust 2019-PLND, Commercial Mortgage Pass-Through Certificates, Series 2019-PLND as follows: Cl. A, Downgraded to B1 (sf); previously on May 24, 2024 Downgraded to Baa1 (sf) Cl. B, Downgraded to B3 (sf); previously on May 24, 2024 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa1 (sf); previously on May 24, 2024 Downgraded to B1 (sf) Cl. D, Downgraded to Caa3 (sf); previously on May 24, 2024 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating action is driven primarily by a correction in Moody's treatment of loan advances made by the servicer. In the prior rating action on May 24th, Moody's considered the impact of these servicer advances in a liquidation analysis at various levels of stressed property market values, but did not include them as an adjustment to Moody's Moody's LTV ratio. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries, which may result in lower recovery to the total trust balance. Due to the transaction's extended period of loan delinquency, significant amount of loan advances and low debt service coverage ratio (DSCR), in the action Moody's have included the advances as additional leverage in relation to Moody's Moody's LTV targets. While Moody's LTV on the first mortgage balance of $240 million remains unchanged at 202%, due to the level of advances ($46.1 million or 19% of loan balance) Moody's downgrades reflect the impact of this amount as additional leverage to Moody's LTV, which results in a significantly higher LTV ratio. Inclusive of the servicer advances, cumulative accrued unpaid advance interest and other expenses, the total loan exposure is now $286 million. Based on Moody's liquidation analysis, the principal and interest (P&I) classes Moody's rate, particularly Cl. A and Cl. B, could still withstand further declines in market value prior to a risk of principal loss due to their credit support in the form of subordinate mortgage debt balance. Moody's rating action also takes into account that as of the July 2024 remittance statement all outstanding classes now have at least three months of interest shortfalls due to the non-recoverability determination made by the master servicer in May 2024. Additionally, Moody's expect interest shortfalls are likely to continue until the ultimate resolution of the loan and the rating action also factored in the uncertainty around future cash flow recovery and the ultimate resolution timing of the real estate owned (REO) collateral. The portfolio's performance continues to marginally improve year over year but is not currently generating enough net cash flow(NCF) to cover its floating rate debt service and the portfolio's most recent NCF remained well below its NCF in 2019. Furthermore, the most recent reported appraised value was $204.5 million which represented a 20% decline from the prior 2023 value and 40% decline from securitization. The most recent appraisal value is now below the outstanding loan balance of $240 million and well below the total loan exposure of $286 million when accounting for the total outstanding advances and accrued unpaid advance interest amounts In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect how various levels of stress in property values could impact loan proceeds at each rating level. 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 a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan, an increase in realized and expected losses or increased interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. DEAL PERFORMANCE As of the July 15, 2024 distribution date, the transaction's aggregate certificate balance remains unchanged at $240 million from securitization. The 5-year (including three one-year extensions), interest only, floating rate loan is secured by the borrowers' fee simple interests in two, full-service hotels totaling 782-guestroom known as The Hilton Portland Downtown (455 guestrooms) and The Duniway (327 guestrooms), located in Portland, Oregon. The two properties are adjacently located and hotel guests benefit from access to the amenities at both of the hotels. The loan has been in special servicing since June 2020 due to monetary default triggered by the coronavirus outbreak. While property performance has since improved, the recovery has slowed in recent years. Furthermore, despite signs of improvement in recent years, the Downtown Portland hotel market has been unable to return to its pre-pandemic levels. According to CBRE EA, Downtown Portland's Revenue per Available Room (RevPAR) reached $89.63 in 2023, a 6.3% increase compared to 2022. However, that was still 31.5% lower than its RevPAR of $130.84 in 2019. The trust was the high bidder at the January 2023 foreclosure sale and the collateral became REO as of that date. The portfolio's NCF for 2019 was approximately $16.9 million in line with the historical NCF that have ranged between $13.3 in 2014 and $19.4 million in 2018. The portfolio did not generate positive NCF till 2022 at $6.8 million. While the 2023 NCF remained in line with 2022, due to the loan's floating interest rate in excess of 8%, the DSCR remains below 0.40X. As of the current distribution date, there are outstanding total advances totaling approximately $46.1 million. Moody's stabilized NCF is $12.4 million and the first mortgage balance represents a Moody's LTV of 202%, unchanged from Moody's last review. There are outstanding interest shortfalls totaling $7.8 million affecting all of the outstanding classes and there are no cumulative losses as of the current distribution date. Interest shortfalls are expected to continue and impact all outstanding classes due the non-recoverable determination by the master servicer. MORGAN STANLEY 2021-230P: S&P Lowers D Notes Rating to 'B+ (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2021-230P, a U.S. CMBS transaction. This is a U.S. standalone (single-borrower) CMBS transaction that is backed by a floating-rate, currently unhedged, interest-only (IO) mortgage loan secured by the borrower's fee-simple interest in 230 Park Avenue, a 1.39 million sq. ft., 1929-built, 34-story class B+ office tower, also known as the Helmsley Building, in the Grand Central office submarket of midtown Manhattan, Rating Actions The downgrades on classes A, B, C, and D reflect the following: -- S&P's revised expected-case valuation, which is 13.4% lower than the value it derived in its February 2024 review, primarily due to declines in occupancy at the collateral property and an increase in loan exposure totaling $14.9 million to date as of the July 2024 servicer reporting package. -- S&P's view that the continued increase in loan exposure, due primarily to servicer advances for loan debt service, real estate taxes, and insurance, may further reduce liquidity and recovery of the $670.0 million loan, which has a reported nonperforming matured balloon payment status. According to the transaction's payment waterfall, debt service, real estate taxes, and insurance are repaid to the servicer before any distributions to the bondholders. Since February 2024, the reported loan exposure increased $14.8 million to $684.9 million as of the July 2024 reporting period. -- The downgrade on the class X-EXT IO certificates reflects S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references class A. -- At the time of our Feb. 1, 2024, review, the loan had a reported nonperforming matured balloon payment status. However, the outstanding advances and accruals totaled only $83,028 at that time. The special servicer, Berkadia Commercial Mortgage LLC, stated that it was in discussions with the borrower to extend the forbearance period, which was through January 2024, and potentially begin to resolve the special servicing transfer. Since then, according to the July 15, 2024, trustee remittance report, the loan exposure increased $14.8 million to $684.9 million. The outstanding advances and accruals, totaling $14.9 million, included the following: -- Interest advances totaling $5.5 million, -- Real estate taxes and insurance advances totaling $8.9 million, -- Other expenses advances totaling $300,416, and -- Accrued unpaid interest totaling $260,805. However, S&P believes that the total exposure will decline in the subsequent months, because Berkadia has indicated there are funds held in a suspense account that will be applied toward outstanding advances. In addition, as of the July 2024 trustee remittance report, classes G and RR Interest (which are not rated by S&P Global Ratings) have experienced monthly interest shortfalls totaling $139,583 and had cumulative interest shortfalls outstanding totaling $1.2 million primarily due to special servicing fees. The special servicer indicated that it has extended the forbearance period to October 2024 to give the borrower time to explore and complete its due diligence on potentially converting a portion of the office building into complementary alternative use. Berkadia stated that it has ordered an updated appraisal report, but it will not be finalized until the borrower completes its due diligence. Further, any workout discussions will begin after the forbearance period. S&P said, "We will continue to monitor the tenancy and performance of the property, the ongoing negotiations between the borrower and the special servicer regarding a possible resolution strategy, and the total loan exposure outstanding. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." Updates To Property-Level Analysis As of the March 31, 2024, rent roll, the property was 84.5% leased, and had a reported net cash flow (NCF) of $38.4 million as of year-end 2023. S&P said, "In our current analysis, after considering potential tenant movements and the office submarket fundamentals, we revised and lowered our long-term sustainable NCF to $33.1 million from $36.9 million in our February 2024 review, assuming a 76.4% occupancy rate (down from 80.0% from the last review), a $72.60 per sq. ft. S&P Global Ratings gross rent, and a 51.8% operating expense ratio. Using an S&P Global Ratings capitalization rate of 7.0% (unchanged from the last review) and deducting $14.9 million for advances and accruals to date and adding $26.6 million for the Industrial and Commercial Abatement Program real estate tax savings and upfront tenant improvement and leasing commission reserves, we arrived at an S&P Global Ratings recovery value of $484.7 million or $347 per sq. ft., which is 13.4% below the February 2024 review's expected-case value and a 61.2% decline from the issuance appraised value of $1.25 billion." This yielded an S&P Global Ratings loan-to-value ratio of 138.2% on the trust balance. Ratings Lowered Morgan Stanley Capital I Trust 2021-230P Class A to 'AA- (sf)' from 'AAA (sf)' Class B to 'BBB (sf)' from 'AA- (sf)' Class C to 'BB (sf)' from 'A- (sf)' Class D to 'B+ (sf)' from 'BB (sf)' Class X-EXT to 'AA- (sf)' from 'AAA (sf)' NEUBERGER BERMAN 27: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 27, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 27, LTD. A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Neuberger Berman Loan Advisers CLO 27, Ltd. (the issuer) is an arbitrage cash flow 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 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 98.91% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.53% versus a minimum covenant, in accordance with the initial expected matrix point of 71.6%. 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 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 27, 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 2019-5: Moody's Hikes Rating on 5 Tranches to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 143 bonds issued by New Residential Mortgage Loan Trust between 2019 and 2020. 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 2019-1 Cl. B-2, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-2 Cl. B-2, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3B, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3C, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3D, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-4, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-4A, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-4B, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-4C, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-5A, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-5B, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-5C, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-5D, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-7, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to Baa1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-4 Cl. A-2, Upgraded to Aaa (sf); previously on Aug 13, 2019 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2D, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3A, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3B, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3C, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3D, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5A, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5B, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5C, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5D, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-7, Upgraded to Baa1 (sf); previously on Oct 2, 2023 Upgraded to Ba3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-5 Cl. B-2, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa2 (sf) Cl. B-2D, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3D, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa1 (sf); previously on Oct 2, 2023 Upgraded to Baa3 (sf) Cl. B-5A, Upgraded to Baa1 (sf); previously on Oct 2, 2023 Upgraded to Baa3 (sf) Cl. B-5B, Upgraded to Baa1 (sf); previously on Oct 2, 2023 Upgraded to Baa3 (sf) Cl. B-5C, Upgraded to Baa1 (sf); previously on Oct 2, 2023 Upgraded to Baa3 (sf) Cl. B-5D, Upgraded to Baa1 (sf); previously on Oct 2, 2023 Upgraded to Baa3 (sf) Cl. B-6, Upgraded to Ba1 (sf); previously on Oct 2, 2023 Upgraded to B2 (sf) Cl. B-6A, Upgraded to Ba1 (sf); previously on Oct 2, 2023 Upgraded to B2 (sf) Cl. B-6B, Upgraded to Ba1 (sf); previously on Oct 2, 2023 Upgraded to B2 (sf) Cl. B-6C, Upgraded to Ba1 (sf); previously on Oct 2, 2023 Upgraded to B2 (sf) Cl. B-8, Upgraded to Ba1 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-6 Cl. A-2, Upgraded to Aaa (sf); previously on Dec 3, 2019 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Dec 3, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Dec 3, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Dec 3, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Dec 3, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Dec 3, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Oct 2, 2023 Upgraded to A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Oct 2, 2023 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-4A, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-4B, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-4C, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5A, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5B, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5C, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-5D, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-7, Upgraded to Ba1 (sf); previously on Oct 2, 2023 Upgraded to B2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-RPL2 Cl. B-1, Upgraded to A1 (sf); previously on Oct 10, 2023 Upgraded to Ba1 (sf) Cl. B-2, Upgraded to A3 (sf); previously on Oct 10, 2023 Upgraded to B1 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on Oct 10, 2023 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Aa1 (sf); previously on Oct 10, 2023 Upgraded to A1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-RPL3 Cl. B-1, Upgraded to A2 (sf); previously on Oct 10, 2023 Upgraded to Ba1 (sf) Cl. B-2, Upgraded to Baa2 (sf); previously on Oct 10, 2023 Upgraded to B1 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on Oct 10, 2023 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Aa2 (sf); previously on Oct 10, 2023 Upgraded to A2 (sf) Issuer: New Residential Mortgage Loan Trust 2020-1 Cl. A-2, Upgraded to Aaa (sf); previously on Jan 14, 2020 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-2D, Upgraded to Aa1 (sf); previously on Oct 2, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa1 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa1 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa1 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa1 (sf) Cl. B-3D, Upgraded to A1 (sf); previously on Oct 2, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Ba1 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Ba1 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Ba1 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5A, Upgraded to Baa3 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5B, Upgraded to Baa3 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5C, Upgraded to Baa3 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-5D, Upgraded to Baa3 (sf); previously on Oct 2, 2023 Upgraded to B1 (sf) Cl. B-7, Upgraded to Baa2 (sf); previously on Oct 2, 2023 Upgraded to Ba3 (sf) Issuer: New Residential Mortgage Loan Trust 2020-RPL1 Cl. A-4, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. B-1, Upgraded to A3 (sf); previously on Oct 2, 2023 Upgraded to Ba3 (sf) Cl. B-2, Upgraded to Baa3 (sf); previously on Oct 2, 2023 Upgraded to B2 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on Oct 2, 2023 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Oct 2, 2023 Upgraded to A3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement of 6.8%, 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 4.5%, 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 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. Moody's analysis also considered the relationship of exchangeable bonds to the bonds they could be exchanged for. Principal Methodologies The methodologies used in these ratings 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. NORTHWOODS CAPITAL XI-B: S&P Assigns BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt and new class X-R debt from Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC, a CLO originally issued in April 2018 that is managed by Angelo, Gordon & Co. L.P., a privately held investment firm. At the same time, we withdrew our ratings on the original class A-1, B, C, D, and E debt following payment in full on the July 19, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, and B-R notes were issued at a lower spread over three-month SOFR than the original notes. -- The replacement class C-R, D-1R, and E-R notes were issued at a higher spread over three-month SOFR than the original notes. -- The replacement class D-2R notes were issued at a fixed coupon, replacing a portion of the current floating-spread class D notes. -- The stated maturity and reinvestment period were extended 6.25 years. -- The non-call period was extended to July 2026. -- The weighted average life test was extended to nine years from the refinancing date. -- New class X-R notes were issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 19 payment dates beginning with the payment date in January 2025. 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 Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC Class X-R, $3.00 million: AAA (sf) Class A-1-R, $276.00 million: AAA (sf) Class A-2-R, $13.80 million: AAA (sf) Class B-R, $55.20 million: AA (sf) Class C-R (deferrable), $32.20 million: A (sf) Class D-1R (deferrable) $23.00 million: BBB (sf) Class D-2R (deferrable) $6.90 million: BBB- (sf) Class E-R (deferrable), $16.10 million: BB- (sf) Subordinated notes, $115.16 million: Not rated Ratings Withdrawn Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC Class A-1 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' OCP CLO 2022-25: 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-1R, D-2R, and E-R replacement debt from OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC, a CLO originally issued in September 2022 that is managed by Onex Credit Partners LLC. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-1R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The replacement class B-2-R debt was issued at a fixed coupon, replacing the current floating spread. -- The stated maturity, reinvestment period, and non-call period were extended by two, three, and two years, respectively. 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 OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Class A-1R, $240.00 million: AAA (sf) Class A-2R, $10.00 million: AAA (sf) Class B-1R, $15.00 million: AA (sf) Class B-2R, $20.00 million: AA (sf) Class C-R (deferrable), $22.50 million: A (sf) Class D-1R (deferrable), $22.50 million: BBB- (sf) Class D-2R (deferrable), $3.75 million: BBB- (sf) Class E-R (deferrable), $11.25 million: BB- (sf) Ratings Withdrawn OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A+ (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E-1 to NR from 'BB+ (sf)' Class E-2 to NR from 'BB- (sf)' Class F-1 to NR from 'B+ (sf)' Class F-2 to NR from 'B- (sf)' Other Debt OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Preference shares, $35.50 million: NR NR--Not rated. OHA CREDIT 13: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, C-R, D-1-R, and E-R replacement debt and the new class B-2-R and D-2-R debt from OHA credit Funding 13 Ltd./OHA Credit Funding 13 LLC, a CLO originally issued in August 2022 that is managed by Oak Hill Advisors L.P. At the same time, S&P withdrew its ratings on the class B, C-1, C-2, D, and E debt following payment in full. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-1-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- New class B-2-R and D-2-R debt were issued in connection with this refinancing. -- The replacement class B-2-R debt was issued at a fixed coupon. -- The stated maturity, reinvestment period, and non-call period were extended by two, three, and two years, respectively. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OHA credit Funding 13 Ltd./OHA Credit Funding 13 LLC Class A-R, $315.00 million: AAA (sf) Class B-1-R, $43.00 million: AA (sf) Class B-2-R, $22.00 million: AA (sf) Class C-R (deferrable), $30 million: A (sf) Class D-1-R (deferrable), $30 million: BBB- (sf) Class D-2-R (deferrable), $5 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn OHA credit Funding 13 Ltd./OHA Credit Funding 13 LLC Class B to NR from 'AA (sf)' Class C-1 to NR from 'A+ (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt OHA credit Funding 13 Ltd./OHA Credit Funding 13 LLC Class A: NR Subordinated notes, $43 million: NR NR--Not rated. ONNI 2024-APT: DBRS Gives Prov. BB(low) Rating on HRR Certs ----------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-APT (the Certificates) to be issued by ONNI Commercial Mortgage Trust 2024-APT (the Trust): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The collateral for the Trust includes the borrower's fee-simple interest in eight Class A multifamily properties totaling 2,791 apartment units located in Chicago; Los Angeles; and Long Beach, California. Transaction proceeds of $875.0 million along with $125.0 million of mezzanine debt will be used to refinance $930.5 million of debt across the portfolio; fund various reserves including leasing, replacement, and tax reserves totaling $17.4 million; and cover $13.5 million in closing costs. The sponsor has developed all properties between 2015 and 2023 and the portfolio has an average vintage of 2020. Due to the recent delivery of several assets, the primary business plan is to successfully lease the commercial office and retail spaces throughout the portfolio and maintain performance of the multifamily units. Five assets, totaling 1,830 units, are located in Chicago with the remaining 961 units located in Los Angeles and Long Beach. The portfolio benefits from a unique product offering in the form of short-term rental units. Branded under the Levels name, these are furnished multifamily units that are leased out on a short-term rental basis but which can be signed to long-term leases on a case-by-case basis. The sponsor currently operates 565 of the 2,791 total units in such fashion. As of the May 2024 rent roll, and excluding the furnished units, the portfolio is approximately 97.1% occupied. All properties have exceptional amenities with modern condominium-quality unit finishes and represent some of the highest-quality rental units in their respective markets. Common-area amenities for properties in the portfolio include resort-style pools, several tenant lounges in each property, work-from-home spaces for tenants, professional chef's kitchens, gyms outfitted with commercial equipment, saunas, spas, massage rooms, cold plunges, a yoga room/Pilates studio, and a basketball court and/or a bowling alley. Interior unit finishes include hardwood flooring, floor-to-ceiling windows, imported custom countertops, custom wood cabinetry, and modern lighting finishes. All units have in-unit washers/dryers. The average unit size of the multifamily units across the portfolio is 797 square feet (sf) while the short-term rental units are slightly larger and average approximately 869 sf. The average in-place rent for the multifamily units is approximately $3,220 per unit ($4.18 per sf). In addition to the multifamily units, there is approximately 175,000 sf of commercial space that was 57.4% occupied as of the May 2024 rent roll. Several letters of intents are currently being negotiated across the portfolio, implying cash flow upside should they be executed as they were not accounted for in the Morningstar DBRS analysis. The sponsor intends to cover the projected tenant improvement allowances and leasing commissions associated with the commercial lease-up via a $8.4 million leasing reserve. Despite the recent delivery of several assets, the in-place multifamily occupancy rate of 97.1% showcases an impressive lease-up velocity that Morningstar DBRS views as a testament to the quality and expertise of the sponsor, which also serves as the property manager for each asset within the portfolio. The Morningstar DBRS portfolio average rent for the traditional market rate units is $3,313 per unit, notably higher than the Reis average portfolio rent of $3,023 per unit. Furthermore, the Morningstar DBRS physical occupancy rate of 92.2% results in a physical vacancy rate of 7.8%, in-line with the Reis weighted-average vacancy rate of 7.8%. For the five Chicago assets specifically, the current market multifamily vacancy rate of 5.5% per the issuer is lower than the national average of 7.8% and the Morningstar DBRS concluded physical occupancy rate of 92.2%. The above-average performance metrics observed in the portfolio contribute to Morningstar DBRS¿ opinion that each property in the portfolio is among the market leaders in its respective submarket, a view further cemented by the quick lease-up demonstrated by Onni Fulton Market (373 units) and Onni East Village (432 units), which were both delivered in 2023. As mentioned above, the sponsor operates a short-term rental operation known as Levels. Onni started the program in 2009 and currently manages approximately 1,300 units across Chicago, Long Beach, Los Angeles, Seattle, and Vancouver. Levels offers modern suites with upscale amenities to tenants for shorter lease periods and captures demand primarily for corporate relocations, corporate trainings, and temporary housing following a casualty involving their primary residence. Housekeeping and concierge services for short-term rental tenants are negligible, equivalent to a traditional multifamily apartment lease. Furthermore, Level is a full-floor offering that is distinctly separate from traditional multifamily units in order to not disrupt the traditional multifamily tenants occupying the building. Occupancy for the Levels units are elevated, exhibiting an occupancy of 83.4% in 2022 before the introduction of supply at Onni Fulton Market and SMB Hollywood which went online in 2022 and 2023, respectively. As demonstrated in the historical occupancy chart below, as of the March 2024 financials the assets continue to see success in leasing which Morningstar DBRS anticipates remaining stable if not increasing as the new deliveries in Onni Fulton Market and SMB Hollywood continue to capture market share as their popularity amongst their respective submarkets grow. Morningstar DBRS¿ credit rating on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS¿ 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. ONNI COMMERCIAL 2024-APT: Fitch Assigns BB Rating on Class E Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to ONNI Commercial Mortgage Trust 2024-APT, commercial mortgage pass-through certificates series 2024-APT (ONNI 2024-APT). - $521,600,000 class A 'AAAsf'; Outlook Stable - $82,900,000 class B 'AA-sf'; Outlook Stable - $65,100,000 class C 'A-sf'; Outlook Stable - $91,700,000 class D 'BBB-sf'; Outlook Stable - $69,950,000 class E 'BBsf'; Outlook Stable - $43,750,000a class HRR 'BB-sf'; Outlook Stable a. Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. TRANSACTION SUMMARY The certificates represent the beneficial interests in a trust that holds an $875 million, five-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of eight multifamily properties with a total of 2,791 units (including 565 furnished short-term rental units) and 174,963 sf of commercial space located in the Chicago and Los Angeles MSAs. The properties were constructed between 2015 and 2023. Loan proceeds, along with $125 million of mezzanine debt, will be used to refinance approximately $930.5 million in prior debt, pay closing-related costs of approximately $13.5 million, fund $17.4 million of upfront reserves and return $38.6 million of equity to the sponsor. The sponsor developed the portfolio at a total cost basis of $1.2 billion. The certificates will follow a sequential-pay structure. The loan is originated by Wells Fargo Bank, National Association (N.A.), Citi Real Estate Funding Inc. and Goldman Sachs Bank USA. Wells Fargo Bank, N.A. will also be the master servicer, with MF1 Loan Services LLC as the special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. KEY RATING DRIVERS Net Cash Flow: Fitch Ratings' net cash flow (NCF) for the property is estimated at $68.8 million; this is 13.2% lower than the issuer's NCF and 10.1% higher than TTM March 2024 NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of $887.9 million. High Fitch Leverage: The $875 million total trust debt has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield of 0.9x, 98.5% and 7.9%, respectively. Including the $125 million of subordinate mezzanine debt, the Fitch DSCR, LTV and debt yield are 0.8x, 112.6% and 6.9%, respectively. Fitch expects the Fitch market LTV for non-investment grade-rated tranches to not exceed 100%. For this transaction, the Fitch market LTV through class HRR, the lowest Fitch-rated tranche, is 84.1%. Quality Assets and Diverse Portfolio: The portfolio is secured by eight recently constructed multifamily properties located in Chicago and Los Angeles. These properties are cross-collateralized and cross-defaulted. The mid- to high-rise apartment buildings contain a total of 2,791 units and 174,963 sf of commercial space and are well amenitized; each property generally includes outdoor pools, theater rooms, outdoor sports courts, spas and private dining areas. Of the 2,791 units, 2,226 (or 80%) of the units are traditional multifamily units and the remaining 565 (or 20%) of the units are furnished short-term rental (STR) units. Fitch inspected four of the properties in the portfolio and assigned all inspected properties a property quality grade of "A". The portfolio is granular, with no property comprising more than 16.3% of all units or 17.1% of Fitch NCF. Experienced Sponsorship: The loan is sponsored by Onni Group. Onni currently owns and manages over 11,200 multifamily units. Since its inception, the company has constructed over 15,000 homes and more than 18.4 million sf of office, retail and industrial space with an additional 28 million sf in different phases of development. All leasing, operations and maintenance functions for the portfolio are managed by Onni's in-house property management team. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/'BBsf'/ 'BB-sf'; - 10% NCF Decline: 'AAsf'/ 'BBB+sf'/ 'BBB-sf'/'BBsf'/ 'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original rating: 'AAAsf'/ 'AA-sf'/ 'A-sf'/ 'BBB-sf'/'BBsf'/ 'BB-sf'; - 10% NCF Increase: 'AAAsf'/ 'AA+sf'/ 'A+sf'/ 'BBB+sf'/'BBB-sf'/ 'BB+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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PALMER SQUARE 2022-2: S&P Assigns 'BB- (sf)' Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC, a CLO originally issued in June 2022 that is managed by Palmer Square Capital Management LLC. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The stated maturity period was extended by three years. -- The reinvestment and non-call periods were extended by two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC Class A-R, $319.80 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $29.95 million: BBB- (sf) Class D-2-R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Palmer Square CLO 2022-2 Ltd./Palmer Square CLO 2022-2 LLC Subordinated notes, $34.66 million: NR NR--Not rated. PARK BLUE 2022-II: Moody's Assigns Ba3 Rating to $17MM E-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of refinancing notes (the Refinancing Notes) issued by Park Blue CLO 2022-II, Ltd. (the Issuer): US$2,000,000 Class X-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$248,000,000 Class A-1R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$17,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2037, Assigned Ba3 (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 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of first lien last out loans, second lien loans, unsecured loans and bonds. Centerbridge Credit Funding Advisors, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: 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; changes to benchmark rate replacement provisions; additions to the CLO's ability to hold workout and restructured assets; 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 Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2892 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.5% Weighted Average Life (WAL): 8.0 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. PARLIAMENT FUNDING IV: DBRS Gives Prov. BB(low) Rating on C Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Parliament Funding IV LLC pursuant to the Indenture dated as of June 28, 2024 (the Indenture), by and between Parliament Funding IV LLC, as Issuer and State Street Bank and Trust Company, as Trustee: -- Class A Notes: AAA (sf) -- Class B Notes: BBB (sf) -- Class C Notes: BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Owl Rock Diversified Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Owl Rock Diversified Advisors LLC an acceptable collateralized loan obligation (CLO) manager. The credit ratings reflect the following primary considerations: (1) The Indenture, dated as of June 28, 2024. (2) The integrity of the transaction's structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Owl Rock Diversified Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality test matrix (the CQM, as defined in Schedule 5 of the Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test, and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: (1) Class A Asset Coverage Test: minimum 170.00% (2) Class B Asset Coverage Test: minimum 120.00% (3) Class C Asset Coverage Test: minimum 111.15% (4) Maximum Average Morningstar DBRS Risk Score Test: Subject to CQM; maximum 41.37% (5) Minimum WAS Test: Subject to CQM; minimum 4.00% (6) Maximum Weighted Average Life Test: 6.50 years (7) Minimum DScore: Subject to CQM; minimum 8 (8) Minimum Weighted Average Coupon Test: 5.00% Some particular strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle-market loans; (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS modeled the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS "Global Methodology for Rating CLOs and Corporate CDOs." Model-based analysis produced satisfactory results, which supported the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Morningstar DBRS' provisional credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the interest (excluding the post-Event of Default interest rate of 2.00% per annum) and principal due on the Notes. Morningstar DBRS' provisional credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the provisional credit ratings do not address the post-Event of Default interest rate of 2.00% per annum or any indemnities and expenses payable to the Noteholders. 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. PPT ABS 2004-1: Moody's Cuts Class A Debt Rating to Ba1 ------------------------------------------------------- Moody's Ratings has upgraded the rating of one bond from one US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by PPT ABS LLC Asset-Backed Certificates, Series 2004-1. The complete rating action is as follows: Issuer: PPT ABS LLC Asset-Backed Certificates, Series 2004-1 Cl. A, Upgraded to Ba1 (sf); previously on Mar 22, 2016 Downgraded to B3 (sf) RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance and Moody's updated loss expectations on the underlying pool. PPT ABS LLC Asset-Backed Certificates, Series 2004-1 continues to display strong collateral performance. In addition, the credit enhancement has grown, on average, 11.5%, over the last 12 months for Class A. The increase in credit enhancement, along with the steady collateral performance, has led to large upgrades for this bond. Moody's analysis also considered the existence of interest shortfalls on the bond. The size and length of the shortfalls, as well as the potential of future impairment, were analyzed as part of the upgrade. The rating action also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Over the past few years, Moody's have worked closely with loan servicers to understand and analyze their 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 many of these borrower relief programs, in addition to robust home price appreciation, have contributed to collateral performance being stronger than Moody's past expectations, thus supporting the upgrade. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PREFERRED TERM XXIII: Moody's Hikes Rating on 3 Tranches From Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XXIII, Ltd.: US$141,000,000 Floating Rate Class A-2 Senior Notes Due December 22, 2036 (current balance of $116,496,187.85), Upgraded to Aaa (sf); previously on September 25, 2017 Upgraded to Aa1 (sf) US$321,000,000 Floating Rate Class A-FP Senior Notes Due December 22, 2036 (current balance of $6,081,420.19), Upgraded to Aaa (sf); previously on September 25, 2017 Upgraded to Aa1 (sf) US$67,400,000 Floating Rate Class B-1 Mezzanine Notes Due December 22, 2036 (current balance of $55,685,785.96), Upgraded to Aa2 (sf); previously on September 25, 2017 Upgraded to A1 (sf) US$31,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due December 22, 2036 (current balance of $25,610,484.86), Upgraded to Aa2 (sf); previously on September 25, 2017 Upgraded to A1 (sf) US$57,600,000 Floating Rate Class B-FP Mezzanine Notes Due December 22, 2036 (current balance of $2,212,738.71), Upgraded to Aa2 (sf); previously on September 25, 2017 Upgraded to A1 (sf) US$81,200,000 Floating Rate Class C-1 Mezzanine Notes Due December 22, 2036 (current balance of $69,346,936.36), Upgraded to Baa1 (sf); previously on September 25, 2017 Upgraded to Ba1 (sf) US$28,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due December 22, 2036 (current balance of $23,912,724.22), Upgraded to Baa1 (sf); previously on September 25, 2017 Upgraded to Ba1 (sf) US$52,800,000 Floating Rate Class C-FP Mezzanine Notes Due December 22, 2036 (current balance of $2,715,159.43), Upgraded to Baa1 (sf); previously on September 25, 2017 Upgraded to Ba1 (sf) Preferred Term Securities XXIII, Ltd. , issued in September 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank, insurance and REIT trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the transactions' notes, particularly the Class A-1 and A-FP notes, and the resulting increase in the transaction's over-collateralization (OC) ratios since a year ago. The Class A-1 and A-FP notes have paid down by approximately 20.7% or $42.5 million, and 13.6% or $1.0 million respectively, since a year ago, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on trustee report, the OC ratios for the Class A, B and C notes have improved to 197.45%, 152.73% and 121.18% [1], respectively, from June 2023 [2] levels of 179.59%, 142.94% and 115.79%, respectively. The Class A-1 and A-FP notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $563.1 million Defaulted/deferring par: $223.0 million Weighted average default probability: 8.95% (implying a WARF of 967) Weighted average recovery rate upon default of 10.0% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No action was taken on the Class A-1 Notes because its expected loss remain commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in March 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PRMI 2024-CMG1: DBRS Gives Prov. B Rating on Class B-2 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2023-CMG1 (the Notes) to be issued by PRMI Securitization Trust 2024-CMG1 (PRMI 2024-CMG1 or the Trust) as follows: -- $277.3 million Class A-1 at AAA (sf) -- $12.3 million Class A-2 at AA (sf) -- $9.2 million Class A-3 at A (sf) -- $6.8 million Class M-1 at BBB (sf) -- $4.9 million Class B-1 at BB (sf) -- $2.8 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 12.15% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 8.25%, 5.35%, 3.20%, 1.65%, and 0.75% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of newly originated and seasoned, performing, adjustable-rate, interest-only (IO), open-ended, revolving first-lien line of credit (LOC) loans funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 769 LOC loans with a total unpaid principal balance (UPB) of $315,627,372 and a total current credit limit of $416,627,930 as of the Cut-Off Date (May 31, 2024). The portfolio, on average, is seven months seasoned, though seasoning ranges from one to 34 months. Approximately 99.3% of the LOC loans have been performing since origination. All of the loans in the pool are first-lien LOCs evidenced by promissory notes secured by mortgages or deeds of trust or other instruments creating first liens on one- to four-family residential properties, planned unit development (PUDs), townhouses and condominiums. CMG Mortgage, Inc. (CMG) or CMG-qualified correspondents are the Originators of all LOC loans in the pool. CMG is a wholly owned subsidiary of CMG Financial Services, Inc., a privately held company that was founded in 1993 as CMG Mortgage, Inc. The company originates conventional, government, and jumbo mortgages. CMG also originates first-lien LOC loans to prime borrowers under the All-In-One loan program, which offers borrowers convenient cash management features and an opportunity to reduce the interest charges and accelerate principal repayment. The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a leveraged debt fund that specializes in real estate related assets, commenced operations in 2019. The transaction is the third securitization of first-lien HELOC loans by the Sponsor. The Fund's general partner is PRMIGP, LLC, and the investment manager is PR Mortgage Investment Management, LLC. B3 LLC, composed of three senior investment executives, holds a majority interest in the Fund's general partner and investment manager, and Merchants Bancorp, the holding company of Merchants Bank of Indiana (MBIN), holds a minority interest in the general partner and investment manager, and is also a limited partner in the Fund. MBIN is a publicly traded bank with approximately $16.5 billion in assets. In this transaction, all loans originated under the All-In-One program are open-LOCs, with a draw period of 25 or 30 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances . A 25 or 30-year draw period offers borrower flexibility to draw funds over the life of the loan. However, the total credit line amount (or credit limit) begins to decline (in period 121) after remaining constant for the first 10 years. Thereafter, the credit limit declines every payment period by a monthly amortization amount required to pay off the loan at maturity or 1/240th of the maximum capacity of the credit line (limit reduction amount). As such, even if a borrower redraws the amount to a limit at some point in the future, the limit is lowered to match the amount that could be repaid at maturity using the required monthly payments. All of the LOC loans in this transaction have 10-year IO terms (IO payment period), so borrowers are required to make IO payments within the IO payment period and both interest and principal payments during and repayment period. No loans require a balloon payment. Although LOC loans include a 10-year IO term, the borrowers are qualified for income using, among other measures, a debt-to-income ratio calculated with a fully indexed interest rate and assuming principal amortization over 360 periods (as if the borrower is required to make principal payments during the IO payment period). Relative to other types of HELOCs backing Morningstar DBRS-rated deals, the loans in the pool generally have high borrower credit scores, are all in a first-lien position, and do not include balloon payments. The relatively long IO period and income qualification based on the fully amortized payment amount help ensure the borrower has enough cushion to absorb increased payments after the IO term expires. Also, the lack of balloon payment allows borrowers to avoid the payment shock that typically occurs when a balloon payment is required. On or prior to the Closing Date, CMG will sell all of the Mortgage loans, including the servicing rights with respect thereto, to the Seller (PRMI Trust). Northpointe Bank (Northpointe), a Michigan-chartered bank, is the Servicer of all loans in the pool. The initial annual servicing fee is 0.25% per year. U.S. Bank National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will serve as the Custodian. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will serve as the Indenture Trustee, Paying Agent, and Note Registrar. U.S. Bank Trust National Association will serve as the Owner Trustee. In accordance with U.S. credit risk retention requirements, the PR Mortgage Holdings I LLC, a majority-owned affiliate of the Sponsor, will acquire and intends to retain an "eligible horizontal residual interest," representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. This transaction uses a structural mechanism similar to other comparable transactions to fund future draw requests. Assuming the funding of the subsequent draw is valid and required under the LOC agreement, the obligation to fund it falls originally on CMG as the lender under the LOC agreement. In addition, under the transaction documents, the Issuer will engage Northpointe, as the Servicer under the servicing agreement. Northpointe, as a servicer, will determine whether a borrower is entitled to the requested draw under the related LOC agreement and will fund any valid draw request. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws prior to any payments on the Notes from the principal collections. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is still obligated to fund draws even if principal collections and the reserve fund are insufficient in a given month for full reimbursement. In such cases, the Paying Agent will reimburse the Servicer first from amounts on deposit in the variable-funding account (VFA), and second, if the amounts available in the VFA are insufficient on the related payment date or future payment dates, then from the future principal collections. The VFA is expected to have an initial balance of $100,000. The VFA required amount for each payment date will be $100,000. If the amount on deposit in the VFA is less than such required amount on a payment date, the Paying Agent will use excess cash flow (i.e., remaining amounts after covering losses and paying Cap Carryover Amounts) to deposit in the VFA. To the extent the VFA is not funded up to its required amount from excess cash flow, the holder of the Trust Certificates on behalf of the Class R Note will be required to use its own funds to make any deposits to the VFA or to reimburse the Servicer for any Net Draws. The balance of Trust Certificates will be increased by an amount deposited to the VFA used to reimburse the Servicer for the Net Draws (residual principal balance). The Trust Certificates, on behalf of the Class R Note, will be entitled to receive principal and the net interest that accrues on the residual principal balance at the Net WAC Rate. The holder of the Trust Certificate is permitted to finance these funding obligations by using the financing secured by the Trust Certificate with a third-party lender. The Sponsor (PRMI Capital Markets LLC) or a majority-owned affiliate, as an expected holder of the Trust Certificates/Class R Note, will have ultimate responsibility to ensure draws are funded, as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or the Sponsor and relies solely on the issuer's assets' ability to generate sufficient cash flows to pay the transaction parties and bondholders. Please see the Cash Flow Analysis section of the related report for more details. The transaction, based on a static pool, employs a sequential-pay cash flow structure subject to a performance trigger (Credit Event) related to cumulative losses or delinquencies exceeding a specified threshold. Principal proceeds can be used to cover interest shortfalls on the most senior notes outstanding (IPIP). Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-3 Notes. The Trust Certificates have a pro rata principal distribution with the Class A-1 Notes while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates' principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any LOC loan. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder or holders of more than a 50% interest of the Class XS Notes; initially, the Depositor's affiliate). All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the LOC loans are not subject to the ATR/QM rules. On or after the earlier of the (i) payment date in July 2026, and (ii) the date on which the aggregate principal balance of the mortgage loans is less than or equal to 30% of the aggregate principal balance as of the cut-off date, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the loans and any real estate owned (REO) properties at an optional termination price described in the transaction documents. An Optional Termination will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Certificateholder may sell, transfer, convey, assign, or otherwise pledge the right to direct the Issuer to exercise the Optional Termination to a third party, in which case the right must be exercised by such third party, as described in the transaction documents. On any payment date on or after the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (a) the three-year anniversary of the Closing Date, and (b) the date on which the aggregate loans' principal balance is less than or equal to 30% of the Cut-Off Date balance, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the outstanding Notes and the Trust Certificates at the purchase price in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, The Sponsor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. Notes: All figures are in US Dollars unless otherwise noted. PROGRESS 2024-SFR4: DBRS Gives Prov. BB Rating on Class F1 Certs ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Progress Residential 2024-SFR4 Trust (PROG 2024-SFR4 or the Issuer): -- $318.7 million Class A at AAA (sf) -- $58.7 million Class B at AA (low) (sf) -- $46.0 million Class C at A (low) (sf) -- $64.8 million Class D at BBB (sf) -- $31.1 million Class E1 at BBB (sf) -- $20.3 million Class E2 at BBB (low) (sf) -- $51.8 million Class F1 at BB (sf) -- $26.1 million Class F2 at BB (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A certificates reflects 52.82% of credit enhancement provided by subordinate certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (sf), and BB (low) (sf) credit ratings reflect 44.13%, 37.32%, 23.11%, 20.11%, 12.44%, and 8.58% of credit enhancement, respectively. The Certificates are supported by the income streams and values from 2,070 rental properties. The properties are distributed across 10 states and 18 metropolitan statistical areas (MSAs) in the U.S. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion (BPO) value, 57.00% of the portfolio is concentrated in three states: Florida (26.22%), Arizona (18.08%), and North Carolina (12.69%). The average BPO value is $349,855. The average age of the properties is roughly 20 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $675.3 million. Morningstar DBRS assigned the provisional credit ratings for each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental (SFR) subordination analytical tool and is based on Morningstar DBRS' published criteria. Morningstar DBRS assigned the provisional credit ratings to each class based on the levels of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) derived by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio higher than 1.0 times. Furthermore, Morningstar DBRS reviewed the third-party participants in the transaction including servicer, and special servicer. Morningstar DBRS did not conduct an operational risk review of Progress' platform for this transaction. Morningstar DBRS also conducted a legal review and found no material credit rating concerns. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated certificates are the related Interest Distribution Amounts and the related Principal Distribution Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2024-NQM2: DBRS Finalizes B(low) Rating on Class B-2 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2024-NQM2 (the Certificates) to be issued by PRPM 2024-NQM2 Trust (the Issuer) as follows: -- $172.7 million Class A-1 at AAA (sf) -- $25.6 million Class A-2 at AA (high) (sf) -- $21.3 million Class A-3 at A (high) (sf) -- $12.7 million Class M-1 at BBB (high) (sf) -- $14.7 million Class B-1 at BB (low) (sf) -- $6.6 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1 certificates reflects 33.60% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 23.75%, 15.55%, 10.65%, 5.00%, and 2.45% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 468 mortgage loans with a total principal balance of $260,046,369 as of the Cut-Off Date (May 31, 2024). PRPM 2024-NQM2 represents the sixth securitization issued from the PRPM NQM shelf, which is backed by both non-qualified mortgages (non-QM) and business-purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP V AIV Holdings, L.P., a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. Greenbox Loans, Inc. (25.9%) and OCMBC, Inc. d/b/a LoanStream Mortgage ( 23.5%) are the largest originators of the mortgage loans. The remaining originators each comprise less than 10.0% of the mortgage loans. Fay Servicing, LLC (76.7%) & Shellpoint Mortgage Servicing (23.3%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association will act as Custodian. For 24.6% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. In addition, 11.1% of the pool comprises investment-property loans underwritten using debt-to-income ratios. Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and the TILA/RESPA Integrated Disclosure rule. For 62.6% of the pool, the mortgage loans were originated to satisfy the CFPB's ATR rules, but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (1.9%), and QM Rebuttable Presumption (1.3%) by unpaid principal balance (UPB). The Depositor, a majority-owned affiliate of the Sponsor, will retain the requisite portion of the Class B-3 and the Class XS Certificates, representing an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in July 2027 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on Class A-1 and then Class A-2 before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior classes are paid in full (IPIP). Monthly Excess Cashflow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Classes A-1, A-2, A-3 and M-1. For this transaction, the Class A-1, Class A-2, and Class A-3 fixed rates step up by 100 basis points on and after the payment date in August 2028. On or after August 2028, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2024-NQM2: DBRS Gives Prov. B(low) Rating on Class B2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2024-NQM2 (the Certificates) to be issued by PRPM 2024-NQM2 Trust (the Issuer) as follows: -- $172.7 million Class A-1 at AAA (sf) -- $25.6 million Class A-2 at AA (high) (sf) -- $21.3 million Class A-3 at A (high) (sf) -- $12.7 million Class M-1 at BBB (high) (sf) -- $14.7 million Class B-1 at BB (low) (sf) -- $6.6 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1 certificates reflects 33.60% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 23.75%, 15.55%, 10.65%, 5.00%, and 2.45% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 468 mortgage loans with a total principal balance of $260,046,369 as of the Cut-Off Date (May 31, 2024). PRPM 2024-NQM2 represents the sixth securitization issued from the PRPM NQM shelf, which is backed by both non-qualified mortgages (non-QM) and business-purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP V AIV Holdings, L.P., a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. Greenbox Loans, Inc. (25.9%) and OCMBC, Inc. d/b/a LoanStream Mortgage ( 23.5%) are the largest originators of the mortgage loans. The remaining originators each comprise less than 10.0% of the mortgage loans. Fay Servicing, LLC (76.7%) & Shellpoint Mortgage Servicing (23.3%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association will act as Custodian. For 24.6% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. In addition, 11.1% of the pool comprises investment-property loans underwritten using debt-to-income ratios. Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and the TILA/RESPA Integrated Disclosure rule. For 62.6% of the pool, the mortgage loans were originated to satisfy the CFPB's ATR rules, but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (1.9%), and QM Rebuttable Presumption (1.3%) by unpaid principal balance (UPB). The Depositor, a majority-owned affiliate of the Sponsor, will retain the requisite portion of the Class B-3 and the Class XS Certificates, representing an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in July 2027 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on Class A-1 and then Class A-2 before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior classes are paid in full (IPIP). Monthly Excess Cashflow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Classes A-1, A-2, A-3, M-1, and B-1 (if applicable). For this transaction, the Class A-1, Class A-2, and Class A-3 fixed rates step up by 100 basis points on and after the payment date in August 2028. On or after August 2028, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. RADIAN MORTGAGE 2024-J1: Fitch Gives 'B-(EXP)' Rating on B-5 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Radian Mortgage Capital Trust 2024-J1 (RMCT 2024-J1). Entity/Debt Rating ----------- ------ Radian Mortgage Capital Trust 2024-J1 A-1 LT AAA(EXP)sf Expected Rating A-1-X LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-10 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-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-23-X LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-24-X LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-25-X LT AAA(EXP)sf Expected Rating A-26 LT AAA(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-27-X LT AAA(EXP)sf Expected Rating A-28 LT AAA(EXP)sf Expected Rating A-28-X LT AAA(EXP)sf Expected Rating A-29 LT AAA(EXP)sf Expected Rating A-30 LT AAA(EXP)sf Expected Rating A-31 LT AAA(EXP)sf Expected Rating A-32 LT AAA(EXP)sf Expected Rating A-33 LT AAA(EXP)sf Expected Rating A-34 LT AAA(EXP)sf Expected Rating A-34-X LT AAA(EXP)sf Expected Rating A-X 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-3-A LT BBB-(EXP)sf Expected Rating B-3-X 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 B LT BBB-(EXP)sf Expected Rating B-X LT BBB-(EXP)sf Expected Rating TRANSACTION SUMMARY The RMCT 2024-J1 transaction is expected to close on July 31, 2024. The notes are supported by 359 prime loans with a total balance of approximately $348.8 million as of the cutoff 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 11.4% above a long-term sustainable level. This is lower than the projected overvaluation of 11.1% on a national level as of 4Q23 and remains 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. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage fully amortizing loans, seasoned at approximately six months in aggregate, which is calculated by Fitch as the difference between the cutoff date and origination date. The average loan balance is $971,614. The collateral comprises primarily of 88.7% prime-jumbo loans and 82 agency-conforming loans accounting for 11.3% of the unpaid principal balance. Borrowers in this pool have strong credit profiles (a 774 model FICO), slightly higher than Fitch observed for earlier vintage prime-jumbo securitizations but in line with comparable prime-jumbo securitizations. The sustainable loan to value ratio is 83.7%, and the mark-to-market combined loan to value ratio is 74.9%. Fitch treated approximately 100% of the loans as full documentation collateral, and 100% of the loans are qualified mortgages. Of the pool, 91.2% are loans for which the borrower maintains a primary residence, while 8.8% are for second homes. Additionally, 64.0% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 7.25%, similar to those of other comparable prime-jumbo shelves. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.65% of the original balance will be maintained for the senior notes and a subordination floor of 1.15% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area 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 42.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Canopy, Opus and Phoenix. 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, made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 33bps reduction to the 'AAA' expected loss. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2024-CES5: Fitch Gives B(EXP) Rating on 5 Tranches ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES5 (RCKT 2024-CES5). Entity/Debt Rating ----------- ------ RCKT 2024-CES5 A1-A LT AAA(EXP)sf Expected Rating A1-B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 5,909 closed-end second lien loans with a total balance of approximately $479 million as of the cutoff date. The pool consists of closed-end second-lien mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC). 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 (versus 11.1% on a national level as of 4Q23, remained unchanged since last quarter). 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 being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 5,909 loans totaling $479 million and seasoned at approximately four months in aggregate as calculated by Fitch (one month per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile consisting of a weighted average (WA) Fitch model FICO score of 738; a 38.7% debt-to-income ratio (DTI); and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 77.5%. Of the pool, 99.6% consists of loans where the borrower maintains a primary residence and 0.4% represents investor properties or second homes, while 93.4% of loans were originated through a retail channel. Additionally, 53.6% of loans are designated as safe harbor qualified mortgages (SHQM), 21.3% are higher-priced qualified mortgages (HPQM) and 25.1% are nonqualified mortgages (non-QM, or NQM). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM and non-QM loan status. Second-Lien Collateral (Negative): The entirety of the collateral pool comprises closed-end second-lien loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction features a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. While Fitch has previously analyzed CES transactions using an interest rate cut, this stress is not being applied for this transaction. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this re-emerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. 180-Day Chargeoff Feature (Positive): The Asset Manager has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects a meaningful recovery in any liquidation scenario, the Asset Manager noteholder may direct the servicer to continue to monitor the loan and not charge it off. The 180-day chargeoff feature will result in losses incurred sooner while there is a larger amount of excess interest to protect against losses. This compares favorably with a delayed liquidation scenario, where the loss occurs later in the life of the transaction and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area 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 42.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.1% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 18bps reduction to the 'AAAsf' expected loss. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2019-1: DBRS Places B Rating on G Certs Under Review ---------------------------------------------------------- DBRS Limited placed all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-1 (the Certificates) issued by Real Estate Asset Liquidity Trust (REALT) Series 2019-1 Under Review with Negative Implications as follows: -- Class A-1 rated AAA (sf) -- Class A-2 rated AAA (sf) -- Class B rated AA (sf) -- Class X rated A (high) (sf) -- Class C rated A (sf) -- Class D-1 rated BBB (sf) -- Class D-2 rated BBB (sf) -- Class E rated BBB (low) (sf) -- Class F rated BB (sf) -- Class G rated B (sf) There are no trends for these credit rating actions. These rating actions reflect the shorting of interest related to the largest loan in the pool, WSP Place (Prospectus ID#1; 13.1% of the pool), as well as the sharp value decline for the collateral property for the loan, which was transferred to special servicing ahead of its January 2024 loan maturity for payment default. According to servicer commentary, the borrower and special servicer have conceptually entered into a forbearance agreement, which is anticipated to be formalized by the end of June 2024. Terms of the forbearance are expected to include a maturity extension, the borrowers consent to receivership, and the pledge of additional collateral to offset recoverability and interest shortfalls. The loan is full recourse to the sponsor, wholly owned by GSRI Ltd., which invested over $40.0 million renovating and repositioning the property prior to securitization to elevate the property's competitive appeal. Given the trust's significant exposure to this loan and the high loss severity suggested by the most recent appraised value, Morningstar DBRS has placed the ratings of all classes Under Review with Negative Implications. Additional information is expected to become available regarding the execution of forbearance, remediation of interest shortfalls and enforcement of recourse provisions; all of which are pivotal to Morningstar DBRS' analysis to evaluate the potential for credit ratings downgrades. The loan is secured by a 184,707-square-foot (sf) office tower in Edmonton, which was re-appraised in February 2024 at a value of $14.6 million per the appraisal report, reflecting a 71.4% decline from the issuance value of $51.0 million, triggering an appraisal reduction. As of the June 2024 reporting, loan exposure totaled $37.2 million, implying a loan-to-value ratio (LTV) in excess of 250% and significant loss through the Morningstar DBRS investment-grade rated D-1 and D-2 pro-rated and pari passu certificates, based on a stressed scenario, should the loan be liquidated from the trust assuming no recovery from the recourse provisions. Interest to Classes D-1, D-2, E, and F has been shorted since March 2024, while Class G has been shorted interest since February 2024. Morningstar DBRS has limited tolerance for unpaid interest on investment-grade rated bonds, limited to three to four remittance periods for the BBB credit rating category. For the BB and B credit rating categories, Morningstar DBRS has a tolerance of six remittance periods. Should these certificates continue to accrue interest shortfalls, credit rating downgrades would be warranted. While the certificates senior to those mentioned above continue to receive timely interest payments, those classes are also being placed Under Review with Negative Implications given the propensity for future interest shortfalls and the potential for significant credit erosion if the loan were to be liquidated from the trust. During its previous review, Morningstar DBRS cited concerns over vacancy levels and soft market conditions ahead of the loan's transfer to special servicing. According to the February 2024 appraisal report, the subject property was 38.8% occupied, with one tenant, Zebra (currently 6.7% of the net rentable area (NRA) having a near-term lease expiration in August 2024. Over the last several years, the property has lost major tenants, including Alberta Health Services (formerly 23.6% of NRA) and Alberta Investment Management Corporation (formerly 8.5% of NRA), while the largest tenant, WSP Canada Inc. (currently 17.9% of NRA, lease expiry in July 2026), reduced its footprint by 50% in 2021, leading to the sustained decline performance. According to Colliers Q1 2024 reporting, office properties in the Downtown Edmonton submarket reported an average vacancy rate of 19.8% with an average asking rental rate of $17.25 per square foot (psf) as of Q1 2024, relatively in line with the average rental rate of $17.78 psf at the subject. Considering the significant headwinds to backfilling such large vacant spaces in a challenged submarket, as well as the low investor demand for this property type, Morningstar DBRS anticipates stabilization of the asset would take several years, require significant capital contributions from the sponsor and likely yield a lower property value than at initial contribution. Notes: All figures are in Canadian dollars unless otherwise noted. REGATTA XI: Fitch Assigns 'B-sf' Final Rating on Class F-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to Regatta XI Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta XI Funding Ltd. A 75887XAA5 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating X LT AAAsf New Rating TRANSACTION SUMMARY Regatta XI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Regatta Loan Management, LLC. The CLO originally closed in 2018, and its secured notes were refinanced on July 12, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $446.5 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.25, versus a maximum covenant, in accordance with the initial expected matrix point of 27.30. 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 97.64% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.08% versus a minimum covenant, in accordance with the initial expected matrix point of 75.00%. 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, between less than 'B-sf' and 'B+sf' for class E-R, and and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, 'BBB+sf' for class E-R, and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Regatta XI Funding Ltd. reset. 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. RIN LLC VIII: Moody's Assigns Ba3 Rating to $7.5MM Class E Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of notes issued and one class of loans incurred by RIN VIII LLC (the Issuer or RIN VIII): US$245,000,000 Class A-1 Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$75,000,000 Class A-1-L Loans maturing 2037, Assigned Aaa (sf) US$5,000,000 Class A-2 Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$55,000,000 Class B Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aa1 (sf) US$30,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2037, Definitive Rating Assigned A2 (sf) US$27,500,000 Class D Deferrable Floating Rate Mezzanine Notes due 2037, Definitive Rating Assigned Baa3 (sf) US$7,500,000 Class E Deferrable Floating Rate Mezzanine Notes due 2037, Definitive Rating Assigned Ba3 (sf) The notes and loans listed above are referred to herein, collectively, as the Rated Debt. Upon any business day, the Class A-1-L Loans may be converted in whole or in part to Class A-1 Notes, thereby decreasing the principal balance of the Class A-1-L Loans and increasing, by the corresponding amount, the principal balance of the Class A-1 Notes. Any conversion shall be irrevocable. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the project finance collateralized loan obligations' (PF CLO) portfolio and structure. RIN VIII is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted, merchant or power renewables sectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of second lien loans and permitted debt securities (i.e., senior secured bonds, senior secured notes, second priority senior secured note and high-yield bonds). The portfolio is approximately 68% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the "Portfolio Advisor") will 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 five year reinvestment period. Thereafter, subject to certain restrictions, the Portfolio Advisor may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's ratings of the Rated Debt also took into account the concentrated nature of the portfolio. The PF CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 35% of the portfolio's assets may be in the electricity (gas) contracted, merchant or power renewables sectors. The five largest sub-sectors could constitute up to 61% of the portfolio, with the largest sub-sector potentially being up to 45% of the portfolio. Additionally, the portfolio may have minimum of 50 obligors with the largest obligor potentially comprising up to 3.50% of the portfolio. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the PF CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction by applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs methodology" rating methodology published in February 2024 and by using a cash flow model which estimates expected loss on a CLO's tranche, as described in 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: $500,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1804 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2601 Weighted Average Spread (WAS): 2.80% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 64.70% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 42.10% Weighted Average Life (WAL): 8.0 years Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 50 Largest Obligor: 3.50% Largest 5 Obligors: 17.25% B2 Default Probability Rating Obligations: 17.25% B3 Default Probability Rating Obligations: 10.25% Project Finance Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 15.0% Power Infrastructure Obligors: 42.5% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Project Finance and Infrastructure Asset CLOs methodology" published in February 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 Portfolio Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Debt. ROCKFORD TOWER 2022-3: S&P Assigns BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC, a CLO originally issued in January 2023 that is managed by Rockford Tower Capital Management LLC. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 2026. -- The reinvestment period was extended to July 2029. -- The stated maturity was extended to July 2037. -- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R notes were issued at floating spreads, replacing the current fixed- and floating-rate debt. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $22.00 million: A (sf) Class D-1R (deferrable), $22.00 million: BBB (sf) Class D-2R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC Class A to NR from 'AAA (sf') Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC Subordinated notes, $35.50 million: NR NR--Not rated. RR 21 LTD: Fitch Assigns 'BB+sf' Final Rating on Class D-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to RR 21 LTD reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 21 LTD A-1a-R LT NRsf New Rating A-1b 78110TAC3 LT PIFsf Paid In Full AAAsf A-1b-R LT AAAsf New Rating A-2 78110TAE9 LT PIFsf Paid In Full AAsf A-2-R LT AA+sf New Rating B-1 78110TAG4 LT PIFsf Paid In Full Asf B-2a 78110TAL3 LT PIFsf Paid In Full A+sf B-2b 78110TAN9 LT PIFsf Paid In Full Asf B-R LT A+sf New Rating C 78110TAJ8 LT PIFsf Paid In Full BBB-sf C-1-R LT BBB+sf New Rating C-2-R LT BBBsf New Rating D 78090GAA9 LT PIFsf Paid In Full BBsf D-R LT BB+sf New Rating E-R LT NRsf New Rating TRANSACTION SUMMARY RR 21 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Redding Ridge Asset Management LLC that originally closed in July 2022. This is the first refinancing where existing notes will be refinanced in whole on July 15, 2024. Net proceeds from the issuance of the secured and additional 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'/'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 97.53% first-lien senior secured loans and has a weighted average recovery assumption of 74%. 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'AA-sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BBB-sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'BB-sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-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 A-2-R, 'AA+sf' for class B-R, 'A+sf' for class C-1-R, 'A+sf' for class C-2-R, and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 RR 21 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. SANTANDER BANK 2022-C: Moody's Ups Rating on Class F Notes from B2 ------------------------------------------------------------------ Moody's Ratings takes action on 30 classes of bonds issued from 14 auto loan securitizations. The bonds are backed by pools of retail automobile loan contracts originated and serviced by multiple parties. 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: Ally Auto Receivables Trust 2022-1 Class D Asset Backed Notes, Upgraded to Aa2 (sf); previously on Apr 18, 2024 Upgraded to Aa3 (sf) Issuer: Ally Auto Receivables Trust 2022-2 Class C Asset Backed Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class D Asset Backed Notes, Upgraded to Aa3 (sf); previously on Apr 18, 2024 Upgraded to A1 (sf) Issuer: Ally Auto Receivables Trust 2022-3 Class C Asset Backed Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class D Asset Backed Notes, Upgraded to A1 (sf); previously on Apr 18, 2024 Upgraded to A2 (sf) Issuer: Ally Auto Receivables Trust 2023-1 Class B Asset Backed Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class C Asset Backed Notes, Upgraded to Aa3 (sf); previously on Apr 18, 2024 Upgraded to A1 (sf) Class D Asset Backed Notes, Upgraded to Baa1 (sf); previously on Apr 18, 2024 Upgraded to Baa2 (sf) Issuer: Chase Auto Owner Trust 2022-A Class C Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A1 (sf); previously on Apr 18, 2024 Upgraded to A2 (sf) Issuer: LAD Auto Receivables Trust 2023-1 Class D Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa2 (sf) Issuer: LAD Auto Receivables Trust 2023-2 Class C Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa1 (sf); previously on Apr 18, 2024 Upgraded to Aa3 (sf) Issuer: LAD Auto Receivables Trust 2023-3 Class C Notes, Upgraded to Aa1 (sf); previously on Apr 18, 2024 Upgraded to Aa2 (sf) Class D Notes, Upgraded to A1 (sf); previously on Apr 18, 2024 Upgraded to A2 (sf) Issuer: LAD Auto Receivables Trust 2023-4 Class B Notes, Upgraded to Aaa (sf); previously on Apr 18, 2024 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A3 (sf); previously on Apr 18, 2024 Upgraded to Baa1 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2022-B Class D Notes, Upgraded to Aa1 (sf); previously on Apr 18, 2024 Upgraded to Aa3 (sf) Class E Notes, Upgraded to Aa2 (sf); previously on Apr 18, 2024 Upgraded to A1 (sf) Class F Notes, Upgraded to A2 (sf); previously on Apr 18, 2024 Upgraded to Baa2 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2022-C Class C Notes, Upgraded to Aa2 (sf); previously on Apr 18, 2024 Upgraded to Aa3 (sf) Class D Notes, Upgraded to A1 (sf); previously on Apr 18, 2024 Upgraded to A3 (sf) Class E Notes, Upgraded to A2 (sf); previously on Apr 18, 2024 Upgraded to Baa2 (sf) Class F Notes, Upgraded to Baa3 (sf); previously on Dec 19, 2022 Definitive Rating Assigned B2 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2023-A Class C Notes, Upgraded to A1 (sf); previously on Jun 15, 2023 Definitive Rating Assigned A2 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Jun 15, 2023 Definitive Rating Assigned Baa2 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Jun 15, 2023 Definitive Rating Assigned Ba2 (sf) Issuer: SFS Auto Receivables Securitization Trust 2023-1 Class C Notes, Upgraded to Aa3 (sf); previously on Apr 18, 2024 Upgraded to A1 (sf) Issuer: Veridian Auto Receivables Trust 2023-1 Class C Notes, Upgraded to Aaa (sf); previously on May 30, 2023 Definitive Rating Assigned Aa1 (sf) Class D Notes, Upgraded to A1 (sf); previously on May 30, 2023 Definitive Rating Assigned A3 (sf) RATINGS RATIONALE The upgrade actions are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. Ally Auto Receivables Trust 2022-1: 0.90% Ally Auto Receivables Trust 2022-2: 1.05% Ally Auto Receivables Trust 2022-3: 1.00% Ally Auto Receivables Trust 2023-1: 1.30% Chase Auto Owner Trust 2022-A: 1.20% LAD Auto Receivables Trust 2023-1: 6.25% LAD Auto Receivables Trust 2023-2: 5.50% LAD Auto Receivables Trust 2023-3: 5.75% LAD Auto Receivables Trust 2023-4: 6.00% Santander Bank Auto Credit-Linked Notes, Series 2022-B: 1.00% Santander Bank Auto Credit-Linked Notes, Series 2022-C: 1.25% Santander Bank Auto Credit-Linked Notes, Series 2023-A: 2.25% SFS Auto Receivables Securitization Trust 2023-1: 4.00% Veridian Auto Receivables Trust 2023-1: 1.75% No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. SCULPTOR CLO XXXIII: S&P Assigns BB- (sf) Rating Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class B, C, D-1A, D-1B, D-2, and E replacement debt from Sculptor CLO XXXIII Ltd./Sculptor CLO XXXIII LLC, a CLO originally issued in June 2023 that is managed by Sculptor CLO Advisors LLC. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1, A-2, B, C, D-1A, and E debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The reinvestment period was extended by three years to July 20, 2029. -- The stated maturity was extended by two years to July 20, 2037. -- The non-call period was extended by two years to July 20, 2026. Replacement And Original Debt Issuances Replacement debt -- Class A-1, $251.100 million: Three-month CME term SOFR + 1.450% -- Class A-2, $16.200 million: Three-month CME term SOFR + 1.650% -- Class B, $40.500 million: Three-month CME term SOFR + 1.800% -- Class C (deferrable), $24.300 million: Three-month CME term SOFR + 2.200% -- Class D-1A (deferrable), $18.250 million: Three-month CME term SOFR + 3.400% -- Class D-1B (deferrable), $2.000 million: 7.470% -- Class D-2 (deferrable), $4.050 million: 8.468% -- Class E (deferrable), $16.200 million: Three-month CME term SOFR + 6.65% Original debt -- Class A, $189.000 million: Three-month CME term SOFR + 2.270% -- Class B-1, $29.000 million: Three-month CME term SOFR + 2.800% -- Class B-2 $10.000 million: 6.33% -- Class C-1 (deferrable), $6.500 million: Three-month CME term SOFR + 3.75% -- Class C-2 (deferrable), $10.000 million: 7.000% -- Class D (deferrable), $0.000 million: Three-month CME term SOFR + 6.11% -- Class D loan (deferrable), $17.700 million: Three-month CME term SOFR + 6.11% -- Class E(deferrable), $0.000 million: Three-month CME term SOFR + 9.42% -- Class E loan (deferrable), $7.800 million: Three-month CME term SOFR + 9.42% -- Subordinated notes, $40.00 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sculptor CLO XXXIII Ltd./Sculptor CLO XXXIII LLC Class A-1, $251.100 million: NR Class A-2, $16.200 million: NR Class B, $40.500 million: AA (sf) Class C (deferrable), $24.300 million: A (sf) Class D-1A (deferrable), $18.250 million: BBB+ (sf) Class D-1B (deferrable), $2.000 million: BBB+ (sf) Class D-2 (deferrable), $4.050 million: BBB (sf) Class E (deferrable), $16.200 million: BB- (sf) Subordinated notes, $40.00 million: Not rated Ratings Withdrawn Sculptor CLO XXXIII Ltd./Sculptor CLO XXXIII LLC Class A to NR from AAA (sf) Class B-1 to NR from AA (sf) Class B-2 to NR from AA (sf) Class C-1 (deferrable) to NR from A (sf) Class C-2 (deferrable) to NR from A (sf) Class D (deferrable) to NR from BBB- (sf) Class D loan (deferrable) to NR from BBB- (sf) Class E(deferrable) to NR from BB- (sf) Class E loan (deferrable) to NR from BB- (sf) Other Debt Sculptor CLO XXXIII Ltd./Sculptor CLO XXXIII LLC Class A-1, $251.10 million: NR Class A-2, $16.20 million: NR Subordinated notes, $40.00 million: NR SCULPTOR CLO XXXIII: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class B, C, D-1A, D-1B, D-2, and E replacement debt from Sculptor CLO XXXIII Ltd./Sculptor CLO XXXIII LLC, a CLO originally issued in June 2023 that is managed by Sculptor CLO Advisors LLC. The preliminary ratings are based on information as of July 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 22, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1, A-2, B, C, D-1A, and E notes are expected to be issued at a lower spread over three-month CME term SOFR than the original notes. -- The reinvestment period will be extended by three years to July 20, 2029. -- The stated maturity will be extended by two years to July 20, 2037. -- The non-call period will be extended by two years to July 20, 2026. Replacement And Original Debt Issuances Replacement debt -- Class A-1, $251.100 million: Three-month CME term SOFR + 1.450% -- Class A-2, $16.200 million: Three-month CME term SOFR + 1.650% -- Class B, $40.500 million: Three-month CME term SOFR + 1.800% -- Class C (deferrable), $24.300 million: Three-month CME term SOFR + 2.200% -- Class D-1A (deferrable), $18.250 million: Three-month CME term SOFR + 3.400% -- Class D-1B (deferrable), $2.000 million: 7.470% -- Class D-2 (deferrable), $4.050 million: 8.468% -- Class E (deferrable), $16.200 million: Three-month CME term SOFR + 6.65% Original debt -- Class A, $189.000 million: Three-month CME term SOFR + 2.270% -- Class B-1, $29.000 million: Three-month CME term SOFR + 2.800% -- Class B-2 $10.000 million: 6.33% -- Class C-1 (deferrable), $6.500 million: Three-month CME term SOFR + 3.75% -- Class C-2 (deferrable), $10.000 million: 7.000% -- Class D (deferrable), $0.000 million: Three-month CME term SOFR + 6.11% -- Class D loan (deferrable), $17.700 million: Three-month CME term SOFR + 6.11% -- Class E(deferrable), $0.000 million: Three-month CME term SOFR + 9.42% -- Class E loan (deferrable), $7.800 million: Three-month CME term SOFR + 9.42% -- Subordinated notes, $40.00 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sculptor CLO XXXIII Ltd./Sculptor CLO XXXIII LLC Class A-1, $251.100 million: NR Class A-2, $16.200 million: NR Class B, $40.500 million: AA (sf) Class C (deferrable), $24.300 million: A (sf) Class D-1A (deferrable), $18.250 million: BBB+ (sf) Class D-1B (deferrable), $2.000 million: BBB+ (sf) Class D-2 (deferrable), $4.050 million: BBB (sf) Class E (deferrable), $16.200 million: BB- (sf) Subordinated notes, $40.00 million: Not rated SEQUOIA MORTGAGE 2024-7: Fitch Assigns B+sf Rating on Cl. B4 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-7 (SEMT 2024-7). Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- SEMT 2024-7 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT B+sf New Rating B+(EXP)sf B5 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 538 loans with a total balance of approximately $638.4 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. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated tape, which consisted of eight loan drops and updated cutoff balances. In addition, Redwood also provided Fitch with an updated structure to reflect the new balances. There were no changes to the credit enhancement levels to the bonds. Fitch re-ran both its asset and cash flow analysis, and there were no changes to the loss feedback or expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 538 loans totaling approximately $638.4 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 775 and 35.5% debt-to-income (DTI) ratio, and moderate leverage, with a 82.5% sustainable loan-to-value (sLTV) ratio and 73.2% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 94.7% in loans where the borrower maintains a primary residence, while 5.3% are of a second home; 64.5% of the loans were originated through a retail channel. Additionally, 99.6% of the loans are designated as qualified mortgage (QM) loans, while 0.4% are HPQM. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.7% above a long-term sustainable level (vs. 11.1% on a national level as of 4Q23, remaining 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. 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 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 analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, AMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 18bp reduction to the 'AAA' expected loss. ESG CONSIDERATIONS SEMT 2024-7 has an ESG Relevance Score of '4[+]' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-7 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. SG COMMERCIAL 2016-C5: Fitch Lowers Rating on 2 Tranches to CC -------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed nine classes of SG Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2016-C5 (SGCMS 2016-C5). The Rating Outlooks for classes A-M, B, C, X-A and X-B were revised to Negative from Stable. Following its rating downgrade, Class D was assigned a Negative Outlook. Entity/Debt Rating Prior ----------- ------ ----- SGCMS 2016-C5 A-2 78419CAB0 LT AAAsf Affirmed AAAsf A-3 78419CAC8 LT AAAsf Affirmed AAAsf A-4 78419CAD6 LT AAAsf Affirmed AAAsf A-M 78419CAF1 LT AAAsf Affirmed AAAsf A-SB 78419CAE4 LT AAAsf Affirmed AAAsf B 78419CAK0 LT AA-sf Affirmed AA-sf C 78419CAL8 LT A-sf Affirmed A-sf D 78419CAV6 LT BB-sf Downgrade BBB-sf E 78419CAX2 LT CCCsf Downgrade B-sf F 78419CAZ7 LT CCsf Downgrade CCCsf X-A 78419CAG9 LT AAAsf Affirmed AAAsf X-B 78419CAH7 LT AA-sf Affirmed AA-sf X-E 78419CAP9 LT CCCsf Downgrade B-sf X-F 78419CAR5 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance declines on Fitch Loans of Concern (FLOC), including East Lake Tower Corporate Center, TEK Park, South Pointe Apartments, The Mall at Rockingham Park and Lakepoint Office Park. The Negative Outlooks reflect the office concentration of 34.9% and the potential for downgrades should performance of the FLOCs, which include the aforementioned loans and Peachtree Mall, 3 Executive Campus, Regent Portfolio, and Shilo Inn Newport, fail to stabilize, and/or with additional declines in performance or prolonged workouts of the loans in special servicing. Fitch identified 16 loans (50.0% of the pool) as FLOCs, which includes three loans (6.6%) in special servicing. Fitch's current ratings reflect a deal-level 'Bsf' ratings case loss of 8.9%. Largest Contributors to Loss Expectations: The largest Increase in loss expectations since the prior rating action is The East Lake Tower Corporate Center (3.5% of the pool) loan, which is secured by a 180,995-sf medical office located in Glendale, WI. According to the servicer, the largest tenant, Columbia St. Mary's (73.4% of the NRA), which was incorporated under the Ascension Healthcare Group through a merger in 2016, began the process of vacating the space at that time. The tenant continued to pay its contractually obligated rent through lease expiration in June 2024; however, the tenant refused to allow property management to backfill the dark space with new tenants. With the departure of the largest tenant, occupancy is expected to decline to 24.9%. The servicer noted that there is limited leasing activity; however, there is some interest from investors interested in converting the use of the building. To account for the expected decline in cash flow, Fitch's loss expectations of 22.4% (prior to concentration adjustments) reflects a 10% cap rate, 30% stress to the YE 2023 NOI and factors an increased probability of default to account for the loans heightened term and maturity default concerns. The second largest increase in loss expectations since the prior rating action and the third largest contributor to loss is the TEK Park (3.5% of the pool) loan, which is secured by a nine-building office and technology park totaling 514,033-sf located in Breinigsville, PA. The loan transferred to special servicing in January 2022 due to imminent monetary default after major tenant Buckeye Partners (15% of the NRA), vacated at their October 2021 lease expiration. With the departure of Buckeye Partners, occupancy has declined to 60% as of YE 2023 from 79% at YE 2020. As a result, YE 2023 NOI DSCR has declined to 1.12x from 1.46x at YE 2021. The loan has remained current as of June 2024. Fitch's 'Bsf' Ratings Case loss of 28.7% (prior to concentration adjustments) reflects a 12% cap rate and a 20% stress to the YE 2021 NOI and also factors an increased probability of default to account for the loans heightened term and maturity default concerns. The third largest increase to loss expectations since the prior rating action and the third largest contributor to loss is the South Pointe Apartments (3.9%), which is secured by a 372-unit apartment complex located in Dallas, TX. Occupancy at the subject declined to 68% as of March 2024 from 80% at YE 2023. Additionally, cash flow has declined due to an increase in expenses. Compared to issuance, the YE 2023 OSAR reflected a 132% increase in real estate taxes, a 270% rise in property insurance, and an 89% increase in utilities. The loan maintained a DSCR of 0.84x as of Q1 2024 and 1.19x for YE 2023. Fitch's 'Bsf' ratings case loss of 22.1% (prior to concentration add-ons) reflects a 9.00% cap rate and a 20% stress to the YE 2023 NOI and factors an increased probability of default to account for the loans heightened term and maturity default concerns. The Lakepoint Office Park (2.2%) is secured by a 110,419-sf suburban office property located in Beachwood, OH. Occupancy has improved to 83.3% as of March 2024 from 74.8% at September 2023 primarily due to Ciano & Goldwasser LLP (6.0% of the NRA) executing a lease. Despite the improvement, occupancy remains lower than issuance levels of 95.3%. The loan maintained an NOI DSCR of 1.18x as of YE 2023 in line with 1.20x as of YE 2022. Additionally, there is upcoming rollover which includes 22.3% of the NRA in 2025 and 10.9% of the NRA in 2026, which coincides with loan maturity in June 2026. Due to the lower DSCR and upcoming rollover, Fitch's 'Bsf' ratings case loss of 23.1% (Prior to concentration adjustments) reflects a 10% cap rate on the YE 2023 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. Regional Mall Loans of Concern: The pool includes two FLOCs secured by regional malls with elevated loss expectations, which include the The Mall at Rockingham Park (6.8% of the pool) and the Peachtree Mall (3.2%). The Mall at Rockingham Park loan, is secured by a 540,867-sf portion of a one million-sf regional mall located in Salem, NH. The largest tenant, Lord and Taylor (29.3% of the NRA) vacated in December 2020 after filing for Chapter 11 bankruptcy, causing occupancy to decline to 54% as of YE 2021 from 90% at YE 2020. The loan has maintained an NOI DSCR of 1.69x as of YE 2023 which is lower than 2.11x as of YE 2019 and 2.31x from issuance. Fitch's 'Bsf' ratings case loss of 23% (prior to concentration adjustments) reflects a 15% cap rate and a 7.5% stress to the annualized September 2023 NOI. The Peachtree Mall loan (3.2% of the pool), secured by a 621,367-sf portion of an 822,443-sf regional mall in Columbus, GA, is anchored by Dillard's (non-collateral), and collateral tenants JCPenney, At Home and Macy's. Occupancy has remained relatively stable with occupancy greater than 90% since issuance. However, YE 2023 NOI is down 22.1% from the originator's underwritten NOI at issuance and NOI DSCR has declined to 1.54x as of YE 2023, down from 1.69x at YE 2019 and 1.92x at issuance. Fitch's 'Bsf' ratings case loss of 38.4% (prior to concentration adjustments) reflects a 20% cap rate, 15% stress to the YE 2022 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. Changes to Credit Enhancement: As of the June 2024 remittance report, the pool's aggregate balance has been reduced by 20.3% to $587.1 million from $736.8 million. There are four loans (11.8% of the pool) that are fully defeased. Loan maturities are concentrated in 2026 (29 loans for 73.6% of the NRA), with additional maturities in 2024 (two loans for 5.6% of the NRA) and 2025 (eight loans for 20.8% of the NRA). Eight loans (33.9% of the pool) within the pool are full-term interest-only and 31 loans (66.1% of the pool) are currently amortizing. There is $11.5 million of realized losses and $1.5 million of interest shortfalls impacting the non-rated class G. 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, which have Negative Outlooks, may occur should performance of the FLOCs, which include East Lake Tower Corporate Center, TEK Park, South Pointe Apartments, The Mall at Rockingham Park and Lakepoint Office Park, Peachtree Mall, 3 Executive Campus, Regent Portfolio, and Shilo Inn Newport, 85 Bluxome, 26 Astor Place, the Renaissance deteriorate further or more loans than expected 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 loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed rated classes would occur 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. 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 were 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 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. SIERRA TIMESHARE 2024-2: Fitch Assigns 'BB-(EXP)' Rating on D Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2024-2 Receivables Funding LLC (Sierra 2024-2). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L, formerly Wyndham Destinations, Inc.). This is T+L's 49th public Sierra transaction. Entity/Debt Rating ----------- ------ Sierra Timeshare 2024-2 Receivables Funding LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating KEY RATING DRIVERS Consistent Credit Quality: Approximately 67.6% of Sierra 2024-2 consists of WVRI-originated loans. The remainder of the pool is comprised of WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 737, which is generally consistent with the prior transaction. The collateral pool has nine months of seasoning and is 61.9% comprised of upgraded loans. Forward-Looking Approach on Rating Case CGD Proxy — Improving CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, more recent vintages, from 2014 through 2019, have shown increasing gross defaults, surpassing levels experienced in 2008; this is partially driven by increased paid product exits (PPEs). The 2020-2023 transactions are generally demonstrating improving default trends relative to prior transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 22.00%, consistent with 2024-1. Given the current economic environment, default vintages reflecting a recessionary period were utilized, along with more recent vintage performance, specifically of the 2007-2009 and 2016-2019 vintages. Structural Analysis — Lower CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 59.25%, 38.25%, 15.85% and 6.50%, respectively. CE is lower for all classes relative to 2024-1, mainly due to lower overcollateralization (OC) compared with the prior transaction. Hard CE comprises OC, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.91% per annum. Loss coverage for all notes is able to support rating case CGD multiples of 3.00x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf', respectively. Servicer Operational Review — Quality of Servicing: T+L has demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is shown by the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the expected ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes, the multiples would increase, resulting in potential upgrades of approximately one rating category for each of the subordinate classes. 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 155 sample loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's 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. SIERRA TIMESHARE 2024-2: S&P Assigns BB (sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Sierra Timeshare 2024-2 Receivables Funding LLC's timeshare loan-backed notes. The note issuance is an ABS securitization backed by vacation ownership interest (timeshare) loans. The ratings reflect S&P's view of: -- The credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. -- The transaction's ability on average to withstand breakeven default levels of 73.07%, 57.44%, 40.89%, and 33.76% for the class A, B, C, and D notes, respectively, based on S&P's various stressed cash flow scenarios. These levels are higher than the 3.21x, 2.44x, 1.79x, and 1.45x our expected cumulative gross defaults of 20.8% for the class A, B, C, and D notes, respectively. -- The transaction's ability to pay timely interest and ultimate principal by the notes' legal maturity under S&P's stressed cash flow assumptions, and performance under the credit stability and sensitivity scenarios at their respective rating levels. -- The collateral characteristics of the series' timeshare loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the timeshare sector. -- The series' bank accounts at U.S. Bank Trust Co. N.A. and the reserve account amount to be represented by a letter of credit to be provided by The Bank of Nova Scotia, which do not constrain the ratings. -- S&P's operational risk assessment of Wyndham Consumer Finance Inc. as servicer, and its views of the company's servicing ability and experience in the timeshare market. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors. -- The transaction's payment and legal structures. Ratings Assigned Sierra Timeshare 2024-2 Receivables Funding LLC Class A, $168.946 million: AAA (sf) Class B, $82.032 million: A (sf) Class C, $87.500 million: BBB (sf) Class D, $36.522 million: BB (sf) SIXTH STREET IX: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E debt and new class X and A debt from Sixth Street CLO IX Ltd./Sixth Street CLO IX LLC, which is managed by Sixth Street CLO IX Management LLC, a subsidiary of Sixth Street. The original class A, B, C, D, and E debt, which was not rated by S&P Global Ratings, was redeemed following payment in full on the July 22, 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 class A loans were issued in connection with this refinancing. All or a portion of the class A loans can be converted to class A-R notes up to a maximum of $75 million, with a corresponding decrease to the class A loans by the converted portion. There is also an option to convert class A loans into a class A conversion class. -- The original class D debt was split into senior D-1-R debt and junior D-2-R debt. -- Class X debt was issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 10 payment dates beginning with the payment date in January 2025. -- The transaction will be collateralized by at least 90% senior secured loans, cash, and eligible investments. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO IX Ltd./Sixth Street CLO IX LLC Class X, $4.00 million: AAA (sf) Class A-R, $175.00 million: AAA (sf) Class A loans, $75.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $26.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), 13.00 million: BB- (sf) Other Debt Sixth Street CLO IX Ltd./Sixth Street CLO IX LLC Subordinated notes, $58.45 million: Not rated SIXTH STREET IX: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and the proposed new class X notes and A loans from Sixth Street CLO IX Ltd./Sixth Street CLO IX LLC, which is managed by Sixth Street CLO IX Management LLC, a subsidiary of Sixth Street. This is a proposed refinancing of TICP CLO IX Ltd., a CLO originally issued in January 2018 and was not rated by S&P Global Ratings. The preliminary ratings are based on information as of July 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 22, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may 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 class A loans are expected to be issued in connection with this refinancing. All or a portion of the class A loans can be converted to class A-R notes up to a maximum of $75 million, with a corresponding decrease to the class A loans by the converted portion. There is also an option to convert class A loans into a class A conversion class. -- The original class D debt is expected to be split into senior D-1-R debt and junior D-2-R debt. -- Class X debt is expected to be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 10 payment dates beginning with the payment date in January 2025. -- The transaction will be collateralized by at least 90.00% senior secured loans, cash, and eligible investments. -- Of the identified underlying collateral obligations, all have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.58% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sixth Street CLO IX Ltd./Sixth Street CLO IX LLC Class X, $4.00 million: AAA (sf) Class A-R, $175.00 million: AAA (sf) Class A loans(i), $75.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $26.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), 13.00 million: BB- (sf) Other Debt Sixth Street CLO IX Ltd./Sixth Street CLO IX LLC Subordinated notes, $58.45 million: Not rated (i)All or a portion of the class A loans can be converted to class A-R notes up to a maximum of $75 million, with a corresponding decrease to the class A loans by the converted portion. There is also an option to convert class A loans into a class A conversion class. SMB PRIVATE 2024-D: DBRS Gives Prov. BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by SMB Private Education Loan Trust 2024-D (SMB 2024-D) as follows: -- $885,115,000 Fixed Rate Class A-1A Notes rated AAA (sf) -- $476,601,000 Floating Rate Class A-1B Notes rated AAA (sf) -- $201,577,000 Fixed Rate Class B Notes rated AA (sf) -- $15,508,000 Fixed Rate Class C Notes rated A (low) (sf) -- $98,675,000 Fixed Rate Class D Notes rated BBB (sf) -- 72,000,000 Fixed Rate Class E Notes rated BB (sf) The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update," published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization, note subordination, reserve account amounts, and excess spread create credit enhancement levels and liquidity that are commensurate with the proposed credit ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (low) (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the SMB 2024-D transaction documents. -- The quality and credit characteristics of the student loans and underlying borrowers. -- Sallie Mae Bank's (SMB) capabilities with regard to originations and underwriting. -- Morningstar DBRS has performed an operational review of SMB's origination platform and has determined the bank to be an acceptable student loan originator. -- The ability of the Servicer to perform collections on the collateral pool and other required activities. -- Morningstar DBRS has performed an operational review of SMB as the servicer and considers the entity an acceptable servicer of private student loans. -- The legal structure and expected legal opinions that will address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance." Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Interest Distribution Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. SWITCH ABS 2024-2: DBRS Finalizes BB(low) Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Term Notes, Series 2024-2 issued by Switch ABS Issuer, LLC (the Master Trust): -- Class A-2 at A (low) (sf) -- Class B at BBB (low) (sf) -- Subordinated Class C at BB (low) (sf) Additionally, DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the following classes of Term Notes, Series 2024-1 issued by Switch ABS Issuer, LLC (the Master Trust): -- Class A-1-L at A (sf) -- Class A-2 at A (low) (sf) -- Class B at BBB (low) (sf) All trends are Stable. Switch ABS Issuer, LLC is a securitization collateralized by the borrower's fee-simple and leasehold interest in six data center properties (seven buildings) in four states: Georgia, Michigan, Nevada, and Texas. Morningstar DBRS takes a generally positive view of the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, desirable efficiency metrics, and strong redundancy. As of the closing date, Switch Ltd. (Switch) held a portfolio of 19 operating data center properties in six different metropolitan areas, inclusive of the subject collateral. The transaction is structured as a master trust with the subject Series 2024-2 notes being the second issuance of notes from this master trust. The inaugural Series 2024-1 notes were securitized by four assets located in Michigan, Nevada, and Texas. As part of the subject issuance, two additional assets, located in Georgia and Nevada, will be contributed to the master trust. The debt and collateral associated with the first issuance from the master trust were considered during the analysis of the subject issuance. Morningstar DBRS' rating on the notes reflects the low leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect noteholders' interests. The rating also reflects the quality of service provided by the company, the access to key fiber nodes, and technology that can maintain the data centers' relevance into the future. The data centers backing this financing are generally well-built and benefit from the large national network provided by Switch. Switch is a leader in technology with more than 700 patents and patents pending for design and operations that maintain its high standards and reliability. Switch also uses a modular design that allows for infrastructure upgrades with minimal disruption. Finally, Switch has, over the last two decades, developed a large purchasing cooperative for its customers that allows for savings on both connectivity and power, both of which represent key inputs for users. Data centers, while having existed in one form or another for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information whereas co-location centers act as an on-ramp for users to gain access to the wider network or for information from the network to be routed back to users. Switch, Ltd. operates a large network using third-party and proprietary fiber to provide access to a large number of technology firms. From the standpoint of the physical plants, the data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with a strong critical infrastructure, including power and redundancy that is built to accommodate the technology needs of today and the future. Morningstar DBRS' credit rating on Switch ABS Issuer, LLC, Series 2024-2 addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution Amounts for Class A-2, Class B, and Subordinated Class C. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Post-ARD Additional Interest for Class A-2, Class B, and Subordinated Class C; Unpaid Accrued Note Interest for Class A-2, Class B, and Subordinated Class C; and Prepayment Consideration for Class A-2, Class B, and Subordinated Class C. 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. TIAA CLO IV: S&P Affirms 'BB- (sf)' Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1a-R, A-1b-R, A-2-R, B-R, and C-R replacement debt from TIAA CLO IV Ltd./TIAA CLO IV LLC, a CLO originally issued in December 2018 that is managed by Teachers Advisors LLC, a subsidiary of TIAA Global Asset Management. At the same time, S&P withdrew its ratings on the original class A-1a, A-2, B, and C debt following payment in full on the July 22, 2024, refinancing date (we did not rate the original class A-1b debt). S&P also affirmed its rating on the class D debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 21, 2025. -- The first payment date following the refinancing is Oct. 25, 2024. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1a-R, $216.03 million: Three-month CME term SOFR + 1.14% -- Class A-1b-R, $28.00 million: Three-month CME term SOFR + 1.35% -- Class A-2-R, $53.00 million: Three-month CME term SOFR + 1.75% -- Class B-R (deferrable), $26.50 million: Three-month CME term SOFR + 2.15% -- Class C-R (deferrable), $26.50 million: Three-month CME term SOFR + 3.15% Original debt -- Class A-1a, $246.84 million: Three-month CME term SOFR + 1.23% + CSA(i) -- Class A-1b, $28.00 million: Three-month CME term SOFR + 1.45% + CSA(i) -- Class A-2, $53.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class B (deferrable), $26.50 million: Three-month CME term SOFR + 2.15% + CSA(i) -- Class C (deferrable), $26.50 million: Three-month CME term SOFR + 3.05% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. The original class A-1a-R debt will amortize to $216.03 million on the July 22, 2024, payment date. 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." S&P will continue to review whether, in its 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 TIAA CLO IV Ltd./TIAA CLO IV LLC Class A-1a-R, $216.03 million: AAA (sf) Class A-1b-R, $28.00 million: AAA (sf) Class A-2-R, $53.00 million: AA (sf) Class B-R (deferrable), $26.50 million: A (sf) Class C-R (deferrable), $26.50 million: BBB- (sf) Ratings Withdrawn TIAA CLO IV Ltd./TIAA CLO IV LLC Class A-1a to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B to NR from 'A (sf)' Class C to NR from 'BBB- (sf)' Rating Affirmed TIAA CLO IV Ltd./TIAA CLO IV LLC Class D: 'BB- (sf)' Other Debt TIAA CLO IV Ltd./TIAA CLO IV LLC Subordinated notes, $48.10 million: NR NR--Not rated. TIKEHAU US VI: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Tikehau US CLO VI, Ltd. Entity/Debt Rating ----------- ------ Tikehau US CLO VI, Ltd. A-1 LT AAAsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Tikehau US CLO VI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Tikehau Structured Credit 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 WARF of the indicative portfolio is 23.37 versus a maximum covenant, in accordance with the initial expected matrix point of 23.5. 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 98.4% first-lien senior secured loans. The WARR of the indicative portfolio is 74.98% versus a minimum covenant, in accordance with the initial expected matrix point of 67.38%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B, between 'BB-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-J, 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-J 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-1, 'A-sf' for class D-J 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 Tikehau US CLO VI, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TOWD POINT 2019-HY3: Moody's Raises Rating on Cl. B2 Certs to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds issued by Towd Point Mortgage Trust 2019-HY3. The transaction is backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral is serviced by Select Portfolio Servicing, Inc. and Specialized Loan Servicing LLC. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=6Y1YRi 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: Towd Point Mortgage Trust 2019-HY3 Cl. B1, Upgraded to A1 (sf); previously on Oct 31, 2019 Definitive Rating Assigned Ba2 (sf) Cl. B2, Upgraded to Ba1 (sf); previously on Oct 31, 2019 Definitive Rating Assigned B2 (sf) Cl. M2, Upgraded to Aa3 (sf); previously on Oct 16, 2023 Upgraded to A2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pool. The rating upgrades are a result of the improving performance of the related pool, and a one-year increase in credit enhancement of 19.6% on average, for the bonds Moody's upgraded. The loans underlying the pool have fewer delinquencies and have prepaid at a faster rate than originally anticipated, resulting in an improvement of approximately 25.2%, in Moody's loss projection for the pool since Moody's last review (link above provides Moody's current estimates). Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some of the shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance. 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 this deal 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 methodologies used in these ratings 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. TOWD POINT 2024-3: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2024-3 (TPMT 2024-3). Entity/Debt Rating ----------- ------ Towd Point Mortgage Trust 2024-3 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The TPMT 2024-3 transaction is expected to close on July 30, 2024. The notes are supported by 1,224 primarily seasoned performing loans (SPL) and reperforming loans (RPL) with a total balance of approximately $501 million, as of the statistical calculation date. Distributions of principal and interest (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 servicers will advance delinquent (DQ) monthly payments of P&I for up to 150 days (under OTS method) or until deemed non-recoverable. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 8% 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 Prime Credit Quality (Positive): The collateral consists of 1,224 seasoned performing first lien loans, totaling $501 million, and seasoned approximately 89 months in aggregate (calculated as the difference between the origination date and the run date). The pool is 98.7% current and 1.3% 30-59 days DQ. Over the last two years 84.9% of loans have been clean current. Additionally, 9.5% of loans have a prior modification. The borrowers have a very strong credit profile (762 Fitch model FICO and 35% DTI) and low leverage (58% sLTV). The pool consists of 84.8% of loans where the borrower maintains a primary residence, while 15.2% are investment properties (including unknown occupancy) or second home. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan-to-value ratio (CLTV) of 68.5%. All loans received updated property values, translating to a WA current (mark-to-market) CLTV ratio of 52.9% after applicable haircuts based on valuation type and a sustainable LTV (sLTV) of 57.7% at the base case. This reflects low leverage borrowers and is stronger than in comparable seasoned transactions. Payment Shock (Negative): Approximately 67% of the pool is vulnerable to a future payment shock either as a result of underlying adjustable rate loans or loans that are currently in an interest only period (or both). Given the low rates when the adjustable rate loans were originated and the current rate environment, the reset could prove to be meaningful. The borrowers credit profile and very low leverage should mitigate potential defaults arising from a payment shock, but Fitch still increased defaults by 46% to account for this risk. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest. The limited advancing reduces loss severities as there is a lower amount 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 side as there is limited liquidity in the event of large and extended delinquencies. Sequential-Pay 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. The provision to re-allocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class in the absence of servicer advancing. Indemnification Clause (Mixed): Banc of California (BoC), the seller for 54% of the pool, will serve as backstop and indemnify any losses resulting from non-compliance with the Ability-to-Repay (ATR) standards for BoC-originated loans. Fitch deems the indemnification provision to be robust enough to cover any ATR-related risks or losses. The indemnification language states: "The Banc of California Remedy Provider will indemnify the Issuer and hold it harmless against any losses, damages, penalties, fines, forfeitures, legal fees (including, without limitation, legal fees incurred in connection with the enforcement of the Banc of California Remedy Provider's indemnification obligation) and related costs, judgments, and other costs and expenses resulting from any claim, demand, defense or assertion arising from or relating to (i) a breach or asserted breach of the ATR Reps or (ii) any act or omission on the part of the Banc of California Remedy Provider in originating, receiving, processing or funding any Banc of California Mortgage Loan, solely relating to (x) the ATR Reps, prior to the date such Banc of California Mortgage Loan was sold to an affiliate of the Transferring Trusts or (y) interim servicing of the Banc of California Mortgage Loans by the Banc of California Remedy Provider or its designee in strict compliance with the terms of the Banc of California MLPA prior to the related servicing transfer date." Additionally, approximately 87% (by UPB) of the BoC loans underwent a compliance review, and only 26 loans had potential ATR findings. All of these were likely caused by missing documentation as all of the loans are 100% clean pay. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Fitch's analysis incorporated two criteria variations from the "U.S. RMBS Rating Criteria" and the "U.S. RMBS Loan Loss Criteria." The first variation is that a due diligence compliance and data integrity review was not completed on 100% of RPLs and SPLs from multiple unknown originators. Approximately 74.4% by loan count (46.3% by UPB) of the pool was originally acquired by the transferring trusts and securitization trust seller from various unrelated third-party sellers. Of this, 30 loans or 3.3% by loan count (0.9% by UPB) did not receive a due diligence compliance and data integrity review. The number of loans that did not receive a due diligence compliance and data integrity review was considered immaterial relative to the overall pool; and thus, estimating full diligence review findings by extrapolating the impact of adjustments on the reviewed portion was deemed unnecessary. This variation had no rating impact. The second variation relates to the application of lower loss severity floors than those described in Fitch's criteria. This pool benefits from a material amount of equity buildup. Even after a 40% home price decline environment ('AAAsf' rating case), the stressed sLTV is only 88.7%. Additionally, the pool's sLTV of 57.7% is below the RPL Industry Average. Fitch believes that applying a 30% loss severity floor in this situation is highly punitive and that a 20% loss severity floor at 'AAAsf' provides additional downside protection in the event of idiosyncratic events while differentiating this pool from other pools with much higher sLTVs. This treatment resulted in ratings approximately one notch higher for each class. 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, Clayton and Westcor. A third-party due diligence was performed on approximately 93% (by loan count) of the pool by AMC and Clayton, both assessed as 'Acceptable' third-party review (TPR) firms by Fitch. While the review was substantially similar to Fitch criteria with respect to RPL transactions, the sample size yielded minor variations to the criteria. The scope primarily focused on a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. The results of the review indicated moderate operational risk with a 12% portion assigned final compliance grades of 'C' or 'D'. Fitch considered this information, along with the tax, title and lien review results from AMC and Westcor, in its analysis, which is reflected in the 'AAAsf' expected loss of 11.25%. 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. TRIMARAN CAVU 2021-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and the new class X-R debt from Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC, a CLO originally issued in March 2021 that is managed by Trimaran Advisors LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a floating spread, replacing the current floating spread. -- The stated maturity was extended to July 2037 and the reinvestment period was extended to July 2029. -- The non-call period was extended to July 2026. -- The new class X-R debt was issued in connection with this refinancing. The debt will be paid down using interest proceeds during the first 15 payment dates beginning with the payment date in October 2024. 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 Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC Class X-R, $2.000 million: AAA (sf) Class A-R, $283.500 million: AAA (sf) Class B-R, $58.500 million: AA (sf) Class C-R (deferrable), $27.000 million: A (sf) Class D-1-R (deferrable), $27.000 million: BBB- (sf) Class D-2-R (deferrable), $3.375 million: BBB- (sf) Class E-R (deferrable), $14.625 million: BB- (sf) Ratings Withdrawn Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC Subordinated notes, $51.200 million: NR NR--Not rated. TRIMARAN CAVU 2021-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and proposed new class X-R debt from Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC, a CLO originally issued in March 2021 that is managed by Trimaran Advisors LLC, an affiliate of LibreMax Capital. The preliminary ratings are based on information as of July 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "On the July 23, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity will be extended to July 2037 and the reinvestment period will be extended to July 2029. -- The non-call period will be extended to July 2026. -- The proposed new class X-R debt will be issued in connection with this refinancing. The debt is expected to be paid down using interest proceeds during the first 15 payment dates beginning with the payment date in October 2024. 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 Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC Class X-R, $2.000 million: AAA (sf) Class A-R, $283.500 million: AAA (sf) Class B-R, $58.500 million: AA (sf) Class C-R (deferrable), $27.000 million: A (sf) Class D-1-R (deferrable), $27.000 million: BBB- (sf) Class D-2-R (deferrable), $3.375 million: BBB- (sf) Class E-R (deferrable), $14.625 million: BB- (sf) Other Debt Trimaran Cavu 2021-1 Ltd./Trimaran Cavu 2021-1 LLC Subordinated notes, $51.200 million: Not rated UBSCM 2018-NYCH: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-NYCH issued by UBSCM 2018-NYCH Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-NCP at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying hotel portfolio, as evidenced by the year-over-year (YOY) growth in net cash flow (NCF) and revenue per available room (RevPAR). The underlying loan, which had an original balance of $300.0 million, is secured by the borrower's fee-simple interest in seven limited-service and extended-stay hotels in New York City, totaling 1,087 rooms. As of the June 2024 remittance, there has been $20.0 million of principal paydown, reducing the trust balance to $280.0 million. Additional debt held outside of the trust includes a subordinated mezzanine loan totaling $85.0 million. The interest-only (IO), floating-rate loan was structured with an initial three-year term and two one-year extension options (a fully extended maturity date in February 2023). Travel restrictions and limited end-user demand caused by the COVID-19 pandemic significantly affected operations across the collateral portfolio, which resulted in the transfer of the loan to the special servicer in April 2020. The borrower requested a forbearance and an extension of the loan's maturity date, and although the loan was structured with two conditional one-year extension options, the collateral did not meet the debt yield requirements to extend the maturity date. The mezzanine lender ultimately foreclosed on the portfolio in early 2021, brought the senior loan payments current, and received a modification in June 2021, extending the maturity date to February 2024. The modification required a principal paydown of $10.0 million and a partial payment of default interest. The loan was returned to the master servicer in September 2021 as a corrected mortgage loan; however, remained on the servicer's watchlist until November 2022 as operating performance across the portfolio continued to recover. The mezzanine lender has kept payments current since assuming the loan and executing the modification; however, in October 2023, requested the loan be transferred back to the special servicer because of a lack of refinance options at maturity. The loan was modified a second time in February 2024, terms of which included an additional $10.0 million principal paydown, a nine-month extension of the maturity date to November 9, 2024, further cash management provisions, additional guarantees, and the extension of an interest rate cap agreement. The loan returned to the master servicer in May 2024 and is no longer in special servicing. The loan documents allow the borrower to partially prepay the loan when releasing individual properties, subject to a debt yield test and a release price of 115.0% of the allocated loan amount. As of the June 2024 remittance, no properties have been released from the trust. The seven hotels are in Manhattan submarkets that typically have very active lodging demand: Times Square (three hotels), the Financial District (two hotels), and one hotel in each of the Chelsea and Herald Square submarkets. The midmarket hotels are flagged with well-known brands including Hampton Inn (three hotels), Holiday Inn Express (two hotels), Holiday Inn, and Candlewood Suites. At issuance, occupancy rates at the properties ranged from 90.0% to 95.0% with average daily rates (ADRs) ranging from $198 to $229 per room. The previous sponsor invested $15.2 million ($13,983 per room) to undergo a portfolio wide property improvement plan prior to issuance. As of the June 2024 reporting, approximately $11.6 million was held across capital improvement and other reserve accounts. Operating performance across the portfolio has stabilized with healthy YOY NCF growth, that has exceeded pre-pandemic levels. According to the year-end (YE) 2023 financials, the portfolio generated $25.5 million of NCF (a debt service coverage ratio (DSCR) of 1.1 times (x)), a considerable improvement from the YE2022 figure of $19.0 million (a DSCR of 1.4x) and the YE2019, pre-pandemic figure of $24.8 million (a DSCR of 1.6x). Given the floating-rate nature of the loan, debt service obligations have increased more than 70.0% between YE2022 and YE2023, placing downward pressure on the DSCR. The portfolio reported a YE2023 weighted-average (WA) occupancy rate of 80.8%, ADR of $226.0, and RevPAR of $183.0, respectively, compared with the YE2022 figures of 71.3%, $215.0, and $153.0. Although occupancy continues to trail the issuer's underwritten figure of 93.0%, the portfolio's most recently reported consolidated ADR is well above the issuance figure of $210.0. Morningstar DBRS' analysis for this review considered a NCF of $25.0 million, which was derived by applying a 2.0% haircut to the YE2023 NCF. An 8.5% cap rate was maintained, resulting in an updated Morningstar DBRS value of $293.6 million (an implied loan-to-value ratio of 95.4%). Morningstar DBRS maintained positive qualitative adjustments, totaling 0.5% to account for generally high cash flow volatility and healthy market fundamentals. The portfolio was last appraised in June 2021, at a value of $357.5 million, compared with the issuance value of $580.7 million. The updated Morningstar DBRS value represents a -17.9% variance from the June 2021 appraised value and a -49.4% variance from the issuance appraised value. Notes: All figures are in U.S. dollars unless otherwise noted. VERDELITE STATIC 2024-1: Fitch Assigns 'BB+sf' Rating on E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Verdelite Static CLO 2024-1, Ltd. Entity/Debt Rating ----------- ------ Verdelite Static CLO 2024-1, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB+sf New Rating E LT BB+sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Verdelite Static CLO 2024-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BCRED Verdelite JV LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.68% first-lien senior secured loans and has a weighted average recovery assumption of 75.38%. Portfolio Composition (Neutral): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. 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. 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 'BBB-sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A 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, 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 the data is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Verdelite Static CLO 2024-1, 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. WAMU MORTGAGE 2004-AR6: Moody's Cuts Rating on Cl. X Certs to Caa3 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating of Class X issued by WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust. The collateral backing this deal consists of Option ARM mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating action is as follows: Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust Cl. X*, Downgraded to Caa3 (sf); previously on Dec 20, 2017 Confirmed at B2 (sf) * Reflects Interest-Only Classes RATING RATIONALE The rating downgrade reflects the recent performance as well as Moody's updated loss expectations on the underlying pool. Class X is an IO PO bond, which has both an interest-Only (IO) and a principal-only (PO) component. Moody's determine the rating of IO PO bonds using a weighted average of the ratings of the two components. The action was driven by the downward pressure on credit profile of the IO component referencing single pool, which is capped by the highest current tranche rating on the bonds that are outstanding backed by the reference pool. The rating of Class A, previously rated Ba2, was withdrawn on May 31st, 2024 as the bond was completely paid down. As a result, the highest rating of the outstanding tranches backed by the pool became Ca for Class B-1 as of June 2024, driving down the rating of Class X. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The methodologies used in this rating were "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. WELLS FARGO 2015-C28: DBRS Cuts Class F Certs Rating to C --------------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by Wells Fargo Commercial Mortgage Trust 2015-C28 as follows: -- Class D to BB (low) (sf) from BBB (low) (sf) -- Class X-E to CCC (sf) from B (high) (sf) -- Class E to CCC (sf) from B (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) sf -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) Morningstar DBRS changed the trends on Classes B, C, D, and PEX to Negative from Stable. Classes A-3, A-4, A-SB, A-S, and X-A continue to carry Stable trends. There are no trends for Classes E, F, and X-F, which are assigned credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades on Classes D, E, F, and X-E reflect Morningstar DBRS' increased loss projections for the loans in special servicing. Since the last credit rating action, 3 Beaver Valley Road (Prospectus ID#6, 4.2% of the pool balance), transferred to special servicing, and there are currently two specially serviced loans, representing 5.6% of the pool balance. Morningstar DBRS' analysis included a liquidation scenario for both specially serviced loans, resulting in implied losses of approximately $36.2 million, an increase from Morningstar DBRS' projected losses of $5.6 million from only one specially serviced loan, Washington Square (Prospectus ID#22, 1.4% of the pool balance), at the time of the last credit rating action. The current implied losses are projected to fully erode the unrated Class G certificate, and approximately 40.0% of the Class F certificate, further reducing credit enhancement to the junior bonds. The primary contributor to the increase in Morningstar DBRS' projected loss is the liquidation scenario for the recently transferred 3 Beaver Valley Road loan. The Negative trends on Classes B, C, and PEX are reflective of the increased pool expected losses in addition to Morningstar DBRS' concerns regarding increased default risk as the pool nears maturity. Nearly all of the remaining loans in the transaction are scheduled to mature by May 2025. In a wind-down scenario, Morningstar DBRS expects that the majority of the non-specially serviced loans will successfully repay at maturity. However, Morningstar DBRS has identified 11 loans, representing 26.0% of the pool balance, that exhibit increased default risk given weak credit metrics and/or upcoming rollover risk. Morningstar DBRS expects that some of these loans will default as they near their respective maturity dates. To account for the increased risk, Morningstar DBRS used stressed loan-to-value ratios (LTVs) and/or elevated probabilities of default (PODs) for these loans to increase the expected loss (EL) as applicable. The resulting weighted-average (WA) expected loss for the pool increased by approximately 100 basis points with this review. Should performance of these loans deteriorate further or additional defaults occur, those classes with Negative trends may be subject to further credit rating downgrades. The credit ratings for the remaining Classes A-3, A-4, A-SB, A-S, and X-A were confirmed at AAA (sf), reflective of the otherwise overall steady performance of the remaining loans in the pool and Morningstar DBRS' expectation that these classes are sufficiently insulated from losses and will be recovered from loans expected to pay at maturity, based on their most recent year-end WA debt service coverage ratio (DSCR) of 2.40 times (x) and WA debt yield above 15.0%. As of the June 2024 remittance, 83 of the original 99 loans remained in the trust, with an aggregate balance of $941.5 million, representing a collateral reduction of 19.2% since issuance. There are 18 fully defeased loans, representing 10.2% of the current pool balance. There are 16 loans on the servicer's watchlist, representing 16.2% of the pool balance, that are being monitored primarily for performance concerns, deferred maintenance items, and the occurrence of trigger events. To date, there has been $7.2 million of realized losses to the trust, which has eroded more than 20% of the nonrated Class G. Excluding the defeased loans, the pool is most concentrated by retail and office properties, which represent 36.1% and 27.3% of the pool balance, respectively. Morningstar DBRS has a cautious outlook on the office asset type given the anticipated upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Morningstar DBRS' analysis includes an additional stress for select office loans exhibiting weakened performance, which resulted in a WA EL that is approximately 2.0x the pool's average EL. The largest loan in special servicing is 3 Beaver Valley Road, which is secured by a 263,503 square foot (sf) office building in Wilmington, Delaware. The loan transferred to the special servicer in December 2023 after the sole tenant, Farmers Insurance Exchange (Farmers; occupies 60.0% of the net rentable area (NRA), lease expires in December 2024), withheld partial rental payments in response to a casualty event at the property that resulted in unusable space at the subject. The borrower advised they will not cover for any payment shortfalls and foreclosure was later filed; a receiver was appointed on May 3, 2024. At issuance, the property was 95% occupied by two tenants - Farmers and Solenis LLC (Solenis). Farmers exercised its contraction option effective January 2022 in exchange for a $1.4 million fee and Solenis, which formerly occupied 14.8% of the NRA, exercised its early termination option and vacated in March 2020 in exchange for $2.5 million in termination fees. There is currently a total of $6.0 million that has accumulated across tenant, replacement, and other reserves. The property is currently 40% vacant, compared to the Q1 2024 submarket vacancy of 20.7%, according to Reis. The DSCR has been reported below breakeven since Farmers' downsizing in 2022. As reported by CNN in August 2023, Farmers laid off 2,400 employees across the company, although specific impacts to the subject property are unclear. Online listings are marketing 60.0% of the property as available for leasing, indicative of potential further downsizing by Farmers. Given the company's recent efforts toward a reduction of operational expenses, Morningstar DBRS believes it is likely the tenant may depart altogether at its lease expiration, leaving the property fully vacant. While an updated appraisal has not yet been made available, Morningstar DBRS believes the property value has deteriorated significantly since issuance given the building's availability, single tenant exposure, suburban location within a softening submarket, and the currently challenged office landscape. Morningstar DBRS derived an updated dark value, based on the tenant's current rental rate, a stabilization period of two years, and a 10.0% stressed capitalization rate, which is on the higher end of the range used by Morningstar DBRS for office properties. The resulting dark value was approximately 40.0% lower than the issuer's dark value derived in 2015. Morningstar DBRS' analysis includes a liquidation scenario based on this dark value and suggests a loss severity of approximately 80.0%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-C31: Fitch Affirms 'B-sf' Rating on Class E Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of Wells Fargo Commercial Mortgage Trust 2015-C31 commercial mortgage pass-through certificates (WFCM 2015-C31). The Rating Outlooks for classes B and X-B were revised to Stable from Positive, and the Outlooks for classes C and PEX were revised to Negative from Stable. The Rating Outlooks remain Negative on classes D, X-D and E. Fitch has also affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2015-P2 (WFCM 2015-P2). In addition, the Rating Outlooks for class C were revised to Negative from Stable. The Rating Outlooks remain Negative on classes D, X-D and E. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-P2 A-3 95000AAT4 LT AAAsf Affirmed AAAsf A-4 95000AAU1 LT AAAsf Affirmed AAAsf A-S 95000AAW7 LT AAAsf Affirmed AAAsf A-SB 95000AAV9 LT AAAsf Affirmed AAAsf B 95000AAZ0 LT AA+sf Affirmed AA+sf C 95000ABA4 LT Asf Affirmed Asf D 95000AAC1 LT BBB-sf Affirmed BBB-sf E 95000AAE7 LT Bsf Affirmed Bsf F 95000AAG2 LT CCCsf Affirmed CCCsf WFCM 2015-P2 A-3 95000AAT4 LT AAAsf Affirmed AAAsf A-4 95000AAU1 LT AAAsf Affirmed AAAsf A-S 95000AAW7 LT AAAsf Affirmed AAAsf A-SB 95000AAV9 LT AAAsf Affirmed AAAsf B 95000AAZ0 LT AA+sf Affirmed AA+sf C 95000ABA4 LT Asf Affirmed Asf D 95000AAC1 LT BBB-sf Affirmed BBB-sf E 95000AAE7 LT Bsf Affirmed Bsf F 95000AAG2 LT CCCsf Affirmed CCCsf D 94989WBB2 LT BBB-sf Affirmed BBB-sf E 94989WAD9 LT B-sf Affirmed B-sf F 94989WAF4 LT CCCsf Affirmed CCCsf PEX 94989WBA4 LT A+sf Affirmed A+sf X-A 94989WAV9 LT AAAsf Affirmed AAAsf X-B 94989WAW7 LT AAsf Affirmed AAsf X-D 94989WAX5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: The affirmations for both WFCM 2015-P2 and WFCM 2015-C31 reflect generally stable pool loss expectations since Fitch's last rating action. Fitch's current ratings for WFCM 2015-C31 incorporate a 'Bsf' rating case loss of 7.4%. Sixteen loans (31.2% of the pool) have been designated as Fitch Loans of Concern (FLOCs), including three loans (15.1%) in special servicing. Fitch's current ratings for WFCM 2015-P2 incorporate a 'Bsf' rating case loss of 8.7%. Ten loans are considered FLOCs (28.8% of pool), including one specially serviced loan (2.2%). FLOCs; Regional Mall Exposure; Upcoming Loan Maturities: The Negative Outlooks for WFCM 2015-C31 and WFCM 2015-P2 reflect each transaction's increasing pool concentration and adverse selection concerns, including elevated level of FLOCs, regional mall exposure, specifically the specially serviced Patrick Henry Mall (2.7% in WFCM 2015-C31) and Empire Mall (9.5% in WFCM 2015-P2) and significant upcoming loan maturities. The Negative Outlooks in WFCM 2015-C31 also considered an additional sensitivity scenario which factored an outsized loss of 75% on the specially serviced CityPlace I office FLOC. For WFCM 2015-C31, 99.6% of the pool is scheduled to mature by YE 2025. All of the remaining loans in WFCM 2015-P2 mature by YE 2025. Largest Contributors to Loss: The largest contributor to pool loss expectations in WFCM 2015-C31 is the specially serviced Sheraton Lincoln Harbor Hotel loan (7.1%), which is secured by a 358-key full-service hotel in Weehawken, NJ about 1/2 mile south of the Lincoln Tunnel. The loan was transferred to special servicing in January 2021 for imminent default. The sponsor cooperated with a consensual foreclosure action in March 2021, and a receiver was appointed in April 2021. Recent servicer commentary indicated the property, which was previously taken off the market, would be listed for sale again in July 2024 as operating performance has improved. Per the March 2024 STR report, the property occupancy, ADR and RevPAR were 90%, $190 and $171, respectively, compared with 74%, $225 and $167 for its competitive set. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 35% reflects a discount to the most recent reported appraisal value, equating to a recovery value per key of approximately $144,000, and factors the increasing total loan exposure. The second largest contributor to expected losses in WFCM 2015-C31 is the specially serviced CityPlace I loan (5.4%), secured by an 884,366-sf office building in Hartford, CT. The property has experienced a decline in occupancy to 47% as of April 2024 following the previously largest tenant, United Healthcare, significantly reducing its space to 6.6% of the NRA from 45.2%. Bank of America and PwC also reduced their footprints to 5.7% and 2.7% of the NRA, respectively. As of July 2024, per Costar, the Hartford office submarket has a vacancy of 11.3% and an average annual market rent of $20.76 psf for similar class properties. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 46% reflects a 65% haircut to the YE 2022 NOI and incorporates a higher probability of default on this loan to account for the occupancy declines and challenge in re-leasing the large vacant spaces at the property. Additionally, Fitch considered a sensitivity scenario on this loan with an outsized loss of 75% given the possibility of a prolonged workout given the deteriorating office sector outlook and submarket leasing challenges; this contributed to the Negative Outlooks on classes C and PEX in WFCM 2015-C31. The third largest contributor to expected losses in WFCM 2015-C31 is the specially serviced Patrick Henry Mall loan (2.7%), which is secured by a 432,401-sf portion of a 716,558-sf regional mall located in Newport News, VA. The loan transferred to special servicing in January 2024 due to the bankruptcy of the guarantor, Pennsylvania Real Estate Investment Trust (PREIT). The largest tenant is JCPenney (19.7% total collateral, expiration May 2025); the tenant renewed in 2020 for five years and there are four renewal options remaining. Other major tenants include Dick's Sporting Goods (11.6% NRA, January 2027) and Forever 21 (4.9% NRA, January 2025). Macy's and Dillard's are non-collateral anchors. The mall's occupancy has remained steady and was reported at 96% occupancy as of YE 2023. Fitch calculated inline sales ( WELLS FARGO 2015-NXS1: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------------- DBRS Limited upgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS1 issued by Wells Fargo Commercial Mortgage Trust 2015-NXS1 as follows: -- Class X-B to A (high) (sf) from A (sf) The credit rating upgrade on Class X-B is reflective of the bond's interest stream stability given the position of its reference class in the waterfall, with the bond's lowest-rated reference class, Class C, rated A (sf). The credit rating upgrade is warranted based on the rationale as outlined in the "Rating North American CMBS Interest-Only Certificates" methodology, which notes that, for multiple-tranche interest-only certificates, Morningstar DBRS' credit rating will typically mirror the lowest-rated Applicable Reference Obligation, possibly adjusted upward by one notch. In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class PEX at A (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (high) (sf) -- Class F at B (sf) Morningstar DBRS changed the trends on Classes F and X-F to Negative from Stable. The trends on the remaining classes are Stable. The Negative trends reflect Morningstar DBRS' concerns with several loans that have exhibited increased risk of default as a result of performance declines, increased tenant rollover risk, and/or general market concerns as a majority of the remaining loans are scheduled to mature by Q2 2025. Morningstar DBRS identified nine loans, representing 21.8% of the pool, facing elevated refinance risk, including the third-largest loan in the pool, Eastgate Two Phases VIII-X (Prospectus ID#5, 5.9% of the pool). For these loans, Morningstar DBRS applied stressed loan-to-value ratios (LTVs) and/or elevated probability of defaults (PODs) to increase the expected loss at the loan level as applicable. These adjusted loans had a weighted-average (WA) expected loss (EL) that was approximately 50.0% higher than the pool's WA figure. Cumulative interest shortfalls total approximately $156,000, with Classes E and F being shorted as of the June 2024 remittance. The shortfalls incurred to Classes E and F were because of $135,000 of interest on advances that was reported following the liquidation of the 9990 Richmond Avenue loan (Prospectus ID#17, previously 2.7% of the pool) in June 2024. The loan was liquidated with a loss of $16.2 million (loss severity of 83.2%), which was in line with Morningstar DBRS' expectations at its last review. The loss was contained to the nonrated Class G Certificates, eroding approximately 35.2% of the class balance. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction since Morningstar DBRS' last review. The transaction has benefitted from significant principal paydown of 34.3% since issuance as well as an additional 12 loans, representing 14.1% of the pool, that are fully defeased. Based on the YE2023 financials, the remaining 42 non-defeased loans reported a healthy WA debt service coverage ratio (DSCR) of 1.89 times (x). Ten loans, representing 17.8% of the pool, are on the servicer's watchlist for various reasons including low DSCR, low occupancy, and outstanding deferred maintenance items, and three loans, representing 10.1% of the pool, are currently in special servicing. For this review, Morningstar DBRS analyzed the 760 & 800 Westchester Avenue (Prospectus ID#7, 5.2% of the pool) and Canyon Falls (Prospectus ID#29, 1.4% of the pool) loans with liquidation scenarios. Loss severities for both loans were in excess of 30.0%, which would result in losses contained to the nonrated Class G Certificate. By property type, the pool is most concentrated by loans secured by office properties (40.9% of the pool), followed by retail (23.3% of the pool), and lodging (8.7% of the pool). Although the office sector has been challenged given low investor appetite for the property type and increasing vacancy rates in the sector, the majority of office properties in the transaction maintained healthy credit metrics since Morningstar DBRS' last review as the WA DSCR increased year over year from 2.09x to 2.23x, per the YE2023 financials. The three largest loans in the pool are all secured by office properties that have reported cash flow growth since issuance and continue to remain 100% occupied. The largest loan in the pool, Stanford Research Park (Prospectus ID#3, 8.0% of the pool), is secured by a Class A office property in Palo Alto, California, which is 100% occupied by law firm Cooley LLP on a lease through January 2030. The second and third-largest loans, Eastgate One Phases I-VII & XII (Prospectus ID#2, 7.3% of the pool) and Eastgate Two Phases VIII-X (Prospectus ID#5, 5.9% of the pool), are both secured by portions of a Class B office complex in San Diego. While both properties continue to report 100% occupancy, rollover risk is the main concern as both loans are scheduled to mature in April 2025. According to the September 2023 rent roll, tenants representing 35.4% of NRA are scheduled to roll by YE2025 at the Eastgate One Phases I-VII & XII property, and, at the Eastgate Two Phases VIII-X property, all tenants are signed to leases set to expire by 2026, including the largest tenant, ServiceNow Inc. (83.7% of NRA, lease expires January 2026). As a result, for this review, Morningstar DBRS analyzed both loans with increased LTVs and elevated PODs, resulting in an expected loss approximately 90.0% greater than the pool's WA EL for Eastgate One Phases I-VII & XII and an expected loss over 200.0% greater than the pool's WA EL for Eastgate Two Phases VIII-X. The largest loan in special servicing, 760 & 800 Westchester Avenue, is secured by two Class A office properties in Rye Brook, New York. The loan is pari passu with the COMM 2015-PC1 (Morningstar DBRS rated) and COMM 2015-DC1 transactions. The loan was recently transferred to special servicing in April 2024 for imminent monetary default and, according to the most recent servicer commentary, both the lender and the borrower have signed a pre-negotiation letter while discussions are underway. As of the March 2024 rent roll, the combined properties were 87.3% occupied compared with 86.5% in YE2022 and 90.0% at issuance. The 760 Westchester Avenue office totals 64,584 sf (11.5% of the NRA) and is 100% occupied by Sonic Healthcare USA Inc. (Sonic Healthcare), on a lease expiring in October 2031. After Sonic Healthcare, the rent roll is granular with no tenant in the 800 Westchester Avenue building comprising more than 4.5% of the NRA. Additionally, leases comprising 17.4% of the NRA are scheduled to expire in the next 12 months. According to a Q1 2024 report from Reis, the Harrison/Rye/East office submarket reported vacancy at 26.1%, which is expected to remain elevated in the near term. As of the YE2023 financials, the loan reported an NCF and DSCR of $6.6 million and 1.06x, respectively, which represent increases from the YE2022 figures of $5.8 million and 0.93x, but below the Morningstar DBRS NCF of $7.0 million. Given the loan's poor historical operating performance at a relatively stable occupancy, concerns regarding upcoming rollover in a soft submarket, as well as unfavorable lending conditions as the loan approaches scheduled maturity in November 2024, Morningstar DBRS liquidated the loan by applying a haircut to the $151.0 million issuance appraised value, resulting in an implied loss severity of approximately 30%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2019-JWDR: Fitch Hikes Rating on Class F Debt to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has upgraded five classes and affirmed one class of Wells Fargo Commercial Mortgage Trust 2019-JWDR (WFCM 2019-JWDR). Fitch has also assigned Positive Outlooks to the five upgraded classes. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2019-JWDR A 95002NAA5 LT AAAsf Affirmed AAAsf B 95002NAG2 LT AAsf Upgrade AA-sf C 95002NAJ6 LT Asf Upgrade A-sf D 95002NAL1 LT BBBsf Upgrade BBB-sf E 95002NAN7 LT BBsf Upgrade BB-sf F 95002NAQ0 LT Bsf Upgrade B-sf KEY RATING DRIVERS Improved Performance and Cash Flow: The upgrades reflect the strong asset quality and sustained post-pandemic performance improvement of the property compared with issuance. The Positive Outlooks reflect possible further upgrades with continued performance improvement and expected property-level cash flow growth. While the collateral has experienced higher ADR and RevPAR in 2022, 2023 and for the TTM March 2024 period as compared with issuance, it has historically been heavily reliant on group business and demand that may be affected by a slowing macroeconomy and reduced consumer spending. The JW Marriott Phoenix Desert Ridge Resort & Spa is a 950-room, full-service, high-quality destination resort hotel situated on approximately 396 acres in the Sonoran Desert in Arizona. Property amenities include over 235,000 sf of indoor and outdoor meeting and event facilities; two 18-hole golf courses designed by Nick Faldo and Arnold Palmer; a 28,000-sf, full-service spa; fitness center; seven food and beverage (F&B) outlets; five pools, including a lazy river; as well as tennis courts, hiking/biking trails and pickle ball courts. Fitch assigned a property quality grade of 'A-' at issuance. The hotel was closed due to the pandemic between March and June of 2020. The servicer-reported TTM March 2024 property net cash flow (NCF) improved to $54.9 million from $54.3 million at YE 2023, $44.3 million at YE 2022 and $18.3 million at YE 2021. Fitch's updated sustainable NCF of $43.1 million, which is 18% above Fitch's NCF of $36.6 million at issuance, relied upon the most recent reporting as of TTM March 2024 for the analysis. The current Fitch NCF incorporates the TTM March 2024 occupancy of 63.8%, which remains below issuance occupancy of 69.5%, and a 10% stress to the TTM March 2024 ADR. In addition, Fitch normalized F&B and Other Income revenue items to be consistent with historical levels and inflated the TTM March 2024 insurance expense by 10%. According to the TTM March 2024 STR report, occupancy, ADR and RevPAR were 63.8%, $336.95 and $214.95, respectively, compared with 63.9%, $338, $216 as of TTM December 2023; 62.2%, $323.63 and $201.36 as of TTM March 2023; 45.4%, $293.50 and $133.15 as of TTM March 2022; and 69%, $253.03 and $174.60 as of TTM July 2019 at the time of issuance. The hotel reported TTM March 2024 respective occupancy, ADR and RevPAR penetration ratios of 102.9%, 88.3% and 90.9%. Fitch Leverage: The $403.0 million trust debt represents a Fitch-stressed DSCR and LTV of 1.07x and 98.1%, respectively, compared with 0.91x and 115.8% at issuance. Loan Maturity: The loan is a seven-year, fixed-rate loan that matures in September 2026. Sponsorship and Management: Sponsorship is a joint venture between Elliott Management Corporation and Trinity Real Estate Investments LLC. Marriott International, Inc. (Marriott) directly manages the property, which is not subject to a franchise agreement. A management agreement with Marriott is in place through December 2027, with five 10-year extension options. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior bonds are not likely due to the high level of recoverability based on the high quality the property as well as the low leverage at the higher rating categories. Downgrades to the junior bonds are possible if the cash flow recovery is not deemed to be sustained. Potential headwinds for the hotel sector, including high gas prices and airfares, reduced flights, increased labor costs and staffing shortages, could temper cash flow recovery and lead to potential Outlook revisions and/or downgrades. Downgrades are more likely if the loan defaults and value declines are determined to be prolonged or permanent. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Possible further upgrades to classes B through F will occur with sustained performance improvement and property-level cash flow growth. In considering upgrades, Fitch may also consider the amount of leverage at each rating category, including debt per key, relative to the loan's recovery, and refinanceability. 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. ZAIS CLO 15: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-RR, A-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR, and E-RR replacement debt from Zais CLO 15 Ltd./Zais CLO 15 LLC, a CLO issued in June 2020 that is managed by ZAIS Leveraged Loan Master Manager LLC, an affiliate of Zais Group and was not rated by S&P Global Ratings. The preliminary ratings are based on information as of July 24, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 29, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the June 2020 debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may 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 replacement class A-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR and E-RR notes are expected to be issued at a lower spread over three-month CME term SOFR than the original notes. -- The reinvestment period will be extended by five years to July 28, 2029. -- The stated maturity will be extended to July 20, 2037. -- The non-call period will be extended to July 20, 2026. -- The class X-RR notes will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first 20 payment dates beginning with the payment date in Oct. 28, 2024. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Zais CLO 15 Ltd./Zais CLO 15 LLC Class X-RR, $4.00 million: AAA (sf) Class A-1RR, $182.90 million: AAA (sf) Class A-2RR, $8.85 million: AAA (sf) Class B-RR, $32.45 million: AA (sf) Class C-RR (deferrable), $17.70 million: A (sf) Class D-1RR (deferrable), $14.75 million: BBB (sf) Class D-2RR (deferrable), $4.43 million: BBB- (sf) Class E-RR (deferrable), $8.85 million: BB- (sf) Subordinated notes, $25.70 million: Not rated [*] DBRS Reviews 103 Classes From 13 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 103 classes from 13 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 13 transactions reviewed, 12 are classified as legacy RMBS backed by Alt-A or subprime mortgages and one as a RMBS backed by reperforming mortgages. Of the 103 classes reviewed, Morningstar DBRS upgraded its credit ratings on three classes and confirmed its credit ratings on the remaining 100 classes. The Affected Ratings are available at https://bit.ly/4cBVNMc The Issuers are: MASTR Asset Backed Securities Trust 2005-WMC1 C-BASS 2007-SP1 Trust Terwin Mortgage Trust 2004-9HE Terwin Mortgage Trust 2004-7HE Terwin Mortgage Trust 2004-19HE Terwin Mortgage Trust 2004-15ALT Terwin Mortgage Trust 2004-13ALT C-BASS 2007-CB6 Trust C-BASS 2004-CB7 Trust PRPM 2021-RPL1, LLC ResMAE Mortgage Loan Trust 2006-1 Securitized Asset-Backed Receivables LLC Trust 2005-EC1 First Franklin Mortgage Loan Trust, Series 2005-FFH2 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 97 Classes From 18 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 97 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of Non-Qualified Mortgages. Of the 97 classes reviewed, Morningstar DBRS upgraded 29 credit ratings and confirmed 68 credit ratings. The Affected Ratings are available at https://bit.ly/4bK1iHp The Issuers are: CIM Trust 2023-I2 MFA 2022-INV2 Trust Arroyo Mortgage Trust 2022-2 CHNGE Mortgage Trust 2022-1 CHNGE Mortgage Trust 2022-3 CHNGE Mortgage Trust 2022-2 CHNGE Mortgage Trust 2022-4 Imperial Fund Mortgage Trust 2022-NQM1 Imperial Fund Mortgage Trust 2021-NQM4 Imperial Fund Mortgage Trust 2021-NQM3 Angel Oak Mortgage Trust 2019-4 Verus Securitization Trust 2023-5 Bunker Hill Loan Depositary Trust 2019-2 Deephaven Residential Mortgage Trust 2022-3 Verus Securitization Trust 2019-INV2 Imperial Fund Mortgage Trust 2021-NQM2 Imperial Fund Mortgage Trust 2022-NQM6 Bravo Residential Funding Trust 2021-NQM2 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Moody's Takes Action on $130.2MM of US RMBS Issued 2004-2006 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds and downgraded the ratings of four bonds from four US residential mortgage-backed transactions (RMBS), backed by Alt-A, Jumbo 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: Carrington Mortgage Loan Trust Series 2006-FRE1 Cl. A-3, Upgraded to Aa1 (sf); previously on Jun 1, 2022 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to A1 (sf); previously on Jun 1, 2022 Upgraded to Ba2 (sf) Issuer: Saxon Asset Securities Trust 2004-2 Cl. MF-1, Downgraded to Caa1 (sf); previously on Nov 7, 2016 Upgraded to B2 (sf) Cl. MF-2, Downgraded to Caa1 (sf); previously on Jun 5, 2018 Upgraded to B3 (sf) Issuer: Terwin Mortgage Trust, Series TMTS 2005-18ALT Cl. A-3, Downgraded to Ca (sf); previously on Jun 4, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR4 Trust Cl. A-6, Downgraded to B2 (sf); previously on Aug 19, 2015 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a decline in credit enhancement. Each of the upgraded bonds has seen growth in credit enhancement. The Class A-3 and Class A-4 from Carrington Mortgage Loan Trust Series 2006-FRE1 have seen their enhancement levels grow by 7% since the last rating action in June 2022, helped by the write-up of the M2 tranche by approximately $481,000 and build-up of overcollateralization by approximately $466,000 as of May 2024. The increase in credit enhancement, along with the steady collateral performance, has led to large upgrades for each of these bonds. Moody's analysis also considered the existence of historical interest shortfalls for these bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. Certain bonds subject to downgrade in rating action 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. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $26.4MM of US RMBS Issued 2003-2007 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds and downgraded the ratings of two bonds from four US residential mortgage-backed transactions (RMBS), backed by scratch and dent 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: Bayview Financial Mortgage Pass-Through Trust 2005-D Cl. A-PO, Upgraded to Aaa (sf); previously on Dec 7, 2022 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Aug 31, 2023 Upgraded to Ba2 (sf) Issuer: GSAMP Trust 2003-SEA2 Cl. A-1, Downgraded to Baa1 (sf); previously on Sep 19, 2013 Downgraded to A3 (sf) Underlying Rating: Downgraded to Baa1 (sf); previously on Sep 19, 2013 Downgraded to A3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. M-1, Downgraded to Caa1 (sf); previously on Sep 12, 2016 Downgraded to B2 (sf) Issuer: GSAMP Trust 2007-SEA1 Cl. A, Upgraded to Aaa (sf); previously on Jan 15, 2016 Upgraded to Ba1 (sf) Issuer: MASTR Specialized Loan Trust 2006-03 Cl. A, Upgraded to A2 (sf); previously on Aug 31, 2023 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. Each of the upgraded bonds has seen strong growth in credit enhancement since Moody's last review, which is the key driver for these upgrades. Moody's analysis of GSAMP Trust 2003-SEA2 considered the impact of passing performance triggers, which has resulted in shared principal payments between the senior and subordinate bonds. This has caused credit enhancement levels to remain flat for Class A-1. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While shortfalls for certain bonds have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the actions. 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. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Over the past few years, Moody's have worked closely with loan servicers to understand and analyze their 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 many of these borrower relief programs, in addition to robust home price appreciation, have contributed to collateral performance being stronger than Moody's past expectations, thus supporting upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Action on 57 Classes From 13 U.S. RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 57 ratings from 13 U.S. RMBS transactions issued between 2002 and 2005. The review yielded eight upgrades, four downgrades, 35 affirmations, and 10 withdrawals. A list of Affected Ratings can be viewed at: https://rb.gy/xxkcvk Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Small loan count; -- Available subordination and/or overcollateralization; and -- Reduced interest payments due to loan modifications. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We lowered our ratings on four classes from two transactions to reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "We also withdrew our ratings on 10 classes from three transactions due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***