/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240804.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, August 4, 2024, Vol. 28, No. 216 Headlines AIMCO CLO 17: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ALLEGRO CLO V-S: Fitch Assigns 'B+sf' Rating on Class F Notes ALLEGRO CLO XII: Fitch Assigns 'BB-sf' Rating on Class E-2-R Notes AMERICAN CREDIT 2024-3: S&P Assigns BB-(sf) Rating on Cl. E Notes ANCHORAGE CAPITAL 9: Fitch Assigns 'B-sf' Rating on Class F Notes APEX CREDIT 2024-II: S&P Assigns Prelim BB- (sf) Rating on E Notes APIDOS CLO XLIX: Fitch Assigns 'BB+(EXP)' Rating on Class E Notes ARES LXXIV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes BANK 2019-BNK17: Fitch Lowers Rating on Two Tranches to CCC BANK5 2024-5YR8: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs BARINGS CLO 2024-III: S&P Assigns BB- (sf) Rating on Class E Notes BBCMS MORTGAGE 2018-C2: Fitch Lowers Rating on Two Tranches to CCC BENCHMARK 2018-B6: Fitch Lowers Rating on Class J-Rr Debt to CCsf BLUEMOUNTAIN CLO XXIII: Fitch Assigns BB-sf Rating on Cl. E-R Notes BMO 2024-5C5: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs BX TRUST 2022-PSB: Fitch Affirms 'B-sf' Rating on Class HRR Certs CARLYLE US 2022-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CHASE HOME 2024-6: DBRS Finalizes B(low) Rating on Class B5 Certs CHASE HOME 2024-7: Fitch Assigns 'Bsf' Final Rating on Cl. B-5 Debt CHASE HOME 2024-RPL3: DBRS Finalizes B(high) Rating on B-2 Certs CIFC FUNDING 2018-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CIM TRUST 2024-R1: Fitch Assigns 'B(EXP)' Rating on Cl. B2 Notes CITIGROUP 2016-P3: Fitch Lowers Rating on Two Tranches to 'B-sf' CLOVER CLO 2020-1: Fitch Assigns 'BB+sf' Rating on Class E-RR Debt EXETER AUTOMOBILE 2024-4: S&P Assigns 'BB-' Rating on Cl. E Notes EXTENET ISSUER 2024-1: Fitch Assigns 'BB-sf' Rating on Cl. C Notes GOLDENTREE LOAN 14: Fitch Assigns 'B-sf' Rating on Class F-R Notes GOLUB CAPITAL 75(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GS MORTGAGE 2019-GC38: Fitch Affirms B-sf Rating on Cl. H-RR Certs GS MORTGAGE 2019-SL1: Fitch Assigns 'B-sf' Rating on Class B4 Notes HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2024-1 Cl. D Notes HOMES 2024-NQM1: S&P Assigns B-(sf) Rating on Class B2 Certs HPS LOAN 8-2016: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes IRWIN HOME 2006-3: Moody's Upgrades Rating on 2 Tranches to Ba1 JP MORGAN 2024-VIS2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs LODI PARK: S&P Assigns BB- (sf) Rating on $18MM Class E Notes MARANON LOAN 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes MARBLE POINT XVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MARINER 2024-A: S&P Assigns Prelim BB-(sf) Rating on Class E Notes MFA TRUST 2024-RPL1: Fitch Assigns 'Bsf' Rating on Class B2 Notes MORGAN STANLEY 2014-150E: S&P Cuts Cl. D Certs Rating to 'B-(sf)' MORGAN STANLEY 2015-C25: Fitch Lowers Rating on Cl. E Certs to Bsf MORGAN STANLEY 2024-3: Fitch Assigns B(EXP)sf Rating on Cl. B5 Debt NEUBERGER BERMAN 49: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes NEUBERGER BERMAN 50: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes OCTAGON INVESTMENT 38: Fitch Assigns 'BB-(EXP)' Rating on D-R Notes PALMER SQUARE 2024-3: S&P Assigns Prelim BB-(sf) Rating on E Notes PIKES PEAK 11: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RAD CLO 21: Fitch Affirms BB- Rating on Class E Notes RCKT MORTGAGE 2024-CES5: Fitch Assigns Bsf Rating on 5 Tranches SIERRA TIMESHARE 2024-2: Fitch Assigns BB-sf Rating on Cl. D Notes SIGNAL PEAK 12: S&P Assigns BB- (sf) Rating on Class E-R Notes SMB PRIVATE 2024-D: DBRS Finalizes BB Rating on Class E Notes TCI-SYMPHONY CLO 2017-1: Moody's Cuts $27.6MM E Notes Rating to B1 TCW CLO 2024-2: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes TRALEE CLO VI: S&P Affirms 'BB- (sf)' Rating on Class E Notes TSTAT 2022-1: Fitch Assigns 'BB-sf' Rating on F-R Refinancing Notes VERUS SECURITIZATION 2024-6: S&P Assigns B- (sf) on B-2 Notes WELLS FARGO 2024-5C1: Fitch Assigns 'B-sf' Rating on Cl. G-RR Certs WORLDWIDE PLAZA 2017-WWP: S&P Lowers Cl. C Certs Rating to 'B-(sf)' ZAIS CLO 15: S&P Assigns BB- (sf) Rating on Class E-RR Notes [*] S&P Takes Various Actions on 577 Ratings From 14 US RMBS Deals [*] S&P Takes Various Actions on 63 Classes From 11 US RMBS Deals ********* AIMCO CLO 17: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 17, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AIMCO CLO 17, Ltd. X-R LT AAAsf New Rating A 00889JAA2 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B 00889JAC8 LT PIFsf Paid In Full AAsf B-1-R LT AA+sf New Rating B-2-R LT AA+sf New Rating C 00889JAE4 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 00889JAG9 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E 00889KAA9 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary AIMCO CLO 17, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company which originally closed on June 30, 2022. The secured notes will be refinanced in whole on July 22, 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. 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 98.14% first-lien senior secured loans and has a weighted average recovery assumption of 76.68%. 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 'AAAsf' for class X-R, 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 '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, 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 X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and '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 AIMCO 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. ALLEGRO CLO V-S: Fitch Assigns 'B+sf' Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO V-S, Ltd. Entity/Debt Rating ----------- ------ Allegro CLO V-S, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B-1 LT AA+sf New Rating B-2 LT AAsf New Rating C-F LT Asf New Rating C-T LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT B+sf New Rating Subordinated-1 Notes LT NRsf New Rating Subordinated-2 Notes LT NRsf New Rating X LT AAAsf New Rating Transaction Summary Allegro CLO V-S, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AXA Investment Managers US Inc. 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 25.81, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.46% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.92% versus a minimum covenant, in accordance with the initial expected matrix point of 72.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1; between 'BBB+sf' and 'AA+sf' for class A-2; between 'BB+sf' and 'AA-sf' for class B-1; between 'BB+sf' and 'A+sf' for class B-2; between 'Bsf' 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; between less than 'B-sf' and 'B+sf' for class E; and between less than 'B-sf' and 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, 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-1, 'AAAsf' for class B-2, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, 'BBB+sf' for class E and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Allegro CLO V-S, 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. ALLEGRO CLO XII: Fitch Assigns 'BB-sf' Rating on Class E-2-R Notes ------------------------------------------------------------------ Fitch Rating has assigned ratings and Rating Outlooks to Allegro CLO XII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Allegro CLO XII, Ltd A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-1-R LT BBsf New Rating E-2-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Allegro CLO XII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers US Inc. that original closed in July 2021 and is being reset on July 22, 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/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.01, versus a maximum covenant, in accordance with the initial expected matrix point of 25.89. 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 98.33% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.25% versus a minimum covenant, in accordance with the initial expected matrix point of 71.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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, between less than 'B-sf' and 'B+sf' for class E-1-R, and between less than 'B-sf' and 'B+sf' for class E-2-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, 'BBB+sf' for class E-1-R, and 'BBB-sf' for class E-2-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 Allegro CLO XII, 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. AMERICAN CREDIT 2024-3: S&P Assigns BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2024-3's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 64.8%, 58.2%, 47.6%, 38.8%, and 34.1% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of our expected cumulative net loss of 27.25% for the class A, B, C, D, and E notes, respectively. The expectation that under a moderate ('BBB') stress scenario (1.37x our expected loss level), all else being equal, S&P's 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, our view of the collateral's credit risk, and S&P's updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2024-3 Class A, $238.14 million: AAA (sf) Class B, $53.55 million: AA (sf) Class C, $104.58 million: A (sf) Class D, $86.31 million: BBB (sf) Class E, $49.77 million: BB- (sf) ANCHORAGE CAPITAL 9: Fitch Assigns 'B-sf' Rating on Class F Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 9, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 9, Ltd. - 2024 A-L LT NRsf New Rating A-R3 LT NRsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating X-R2 LT NRsf New Rating Transaction Summary Anchorage Capital CLO 9, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Capital Group, LLC. that originally closed in July 2019 and refinanced in August 2021. The CLO's secured notes will be refinanced on July 24, 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 $499 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 26.06, versus a maximum covenant, in accordance with the initial expected matrix point of 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 98.96% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74% versus a minimum covenant, in accordance with the initial expected matrix point of 73.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 as severe as 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-R3, between less than 'B-sf' and 'Bsf' for class E-R3, and between less than 'B-sf' and 'B-sf' for class F-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'Asf' for class D-R3, 'BBBsf' for class E-R3, and 'BBB-sf' for class F-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 Anchorage Capital CLO 9, 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. APEX CREDIT 2024-II: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Apex Credit CLO 2024-II Ltd./Apex Credit CLO 2024-II LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Apex Credit Partners LLC. The preliminary ratings are based on information as of July 30, 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 Apex Credit CLO 2024-II Ltd./Apex Credit CLO 2024-II LLC Class A, $248.00 million: AAA (sf) Class B-1, $50.20 million: AA (sf) Class B-2, $5.80 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $16.00 million: BBB+ (sf) Class D-2 (deferrable), $9.00 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $38.35 million: Not rated APIDOS CLO XLIX: Fitch Assigns 'BB+(EXP)' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XLIX, Ltd. Entity/Debt Rating ----------- ------ Apidos CLO XLIX, Ltd A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Apidos CLO XLIX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, 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+/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 97.91% first-lien senior secured loans and has a weighted average recovery assumption of 73.42%. 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 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 required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Apidos CLO XLIX, 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. ARES LXXIV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXXIV CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXIV CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Ares LXXIV CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 weighted average rating factor (WARF) of the indicative portfolio is 24.84, versus a maximum covenant, in accordance with the initial expected matrix point of 25.84. 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 97.87% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.45% versus a minimum covenant, in accordance with the initial expected matrix point of 73.31%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes 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 it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXIV CLO 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. BANK 2019-BNK17: Fitch Lowers Rating on Two Tranches to CCC ----------------------------------------------------------- Fitch Ratings has downgraded six and affirmed 10 classes of BANK 2019-BNK16 Commercial Mortgage Pass-Through Certificates Series 2019-BNK16. Classes E and X-D were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes A-S, B, C, D and X-B were revised to Negative from Stable. Fitch has also downgraded four and affirmed 13 classes of BANK 2019-BNK17 commercial mortgage pass-through certificates, series 2019-BNK17. Classes F and X-F were assigned Negative Rating Outlooks following their downgrades. Fitch has revised the revised the Outlook to Negative from Stable on classes C and X-C. The Outlook on classes D, E, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK17 A-2 065403AZ0 LT AAAsf Affirmed AAAsf A-3 065403BB2 LT AAAsf Affirmed AAAsf A-4 065403BC0 LT AAAsf Affirmed AAAsf A-S 065403BF3 LT AAAsf Affirmed AAAsf A-SB 065403BA4 LT AAAsf Affirmed AAAsf B 065403BG1 LT AA-sf Affirmed AA-sf C 065403BH9 LT A-sf Affirmed A-sf D 065403AJ6 LT BBBsf Affirmed BBBsf E 065403AL1 LT BBB-sf Affirmed BBB-sf F 065403AN7 LT B-sf Downgrade BB-sf G 065403AQ0 LT CCCsf Downgrade B-sf X-A 065403BD8 LT AAAsf Affirmed AAAsf X-B 065403BE6 LT AA-sf Affirmed AA-sf X-C 065403BJ5 LT A-sf Affirmed A-sf X-D 065403AA5 LT BBB-sf Affirmed BBB-sf X-F 065403AC1 LT B-sf Downgrade BB-sf X-G 065403AE7 LT CCCsf Downgrade B-sf BANK 2019-BNK16 A-2 065405AB8 LT AAAsf Affirmed AAAsf A-3 065405AD4 LT AAAsf Affirmed AAAsf A-4 065405AE2 LT AAAsf Affirmed AAAsf A-S 065405AF9 LT AAAsf Affirmed AAAsf A-SB 065405AC6 LT AAAsf Affirmed AAAsf B 065405AG7 LT AA-sf Affirmed AA-sf C 065405AH5 LT A-sf Affirmed A-sf D 065405AL6 LT BBBsf Affirmed BBBsf E 065405AN2 LT BB-sf Downgrade BBB-sf F 065405AQ5 LT CCCsf Downgrade Bsf G 065405AS1 LT CCsf Downgrade CCCsf X-A 065405AJ1 LT AAAsf Affirmed AAAsf X-B 065405AK8 LT A-sf Affirmed A-sf X-D 065405AY8 LT BB-sf Downgrade BBB-sf X-F 065405BA9 LT CCCsf Downgrade Bsf X-G 065405BC5 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 5.6% for BANK 2019-BNK16 and 4.1% in BANK 2019-BNK17. The BANK 2019-BNK16 transaction includes four Fitch Loans of Concern (FLOCs; 14.8% of the pool), including two specially serviced loans (8.1%). The BANK 2019-BNK17 transaction has two FLOCs (13.8%) and no loans are currently specially serviced. BANK 2019-BNK16: The downgrades on classes E, F, G, X-D, X-F and X-G in BANK 2019-BNK16 reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by continued performance deterioration on the specially serviced Regions Tower (4.7%) and US Bank Centre (3.4%) office loans. The Negative Outlooks in BANK 2019-BNK16 reflect possible downgrades should performance and submarket fundamentals for these specially serviced office loans not stabilize and/or with prolonged workouts. In addition, the pool has an elevated office concentration of 32%. BANK 2019-BNK17: The downgrades on classes F, G, X-F and X-G in BANK 2019-BNK17 reflect slightly higher pool loss expectations since Fitch's prior rating action, driven by performance declines on the 350 Rhode Island South (7.8%) and Grand Oaks Business Park (6.0%) office FLOCs. The Negative Outlooks in BANK 2019-BNK17 reflect the potential for future downgrades should performance of these office FLOCs continue to decline. Additionally, the office concentration in the pool is 30.3%. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2019-BNK16 is the specially serviced Regions Tower loan (4.7%), which is secured by a 687,237-sf office building located in the CBD of Indianapolis, IN. The loan transferred to special servicing in August 2023 due to imminent monetary default and ahead of the loan's October 2023 scheduled maturity. According to the special servicer, a receiver has been appointed and is working to increase occupancy. A foreclosure complaint is pending. The property was 71.9% occupied as of the June 2024 rent roll, down from 76.9% one year prior in June 2023. Major tenants include Taft Stettinius & Hollister LLP (16.9% of NRA, leased through August 2036), Regions Bank (8.7%, December 2029), Krieg DeVault LLP (5.3%, November 2025) and Flaherty & Collins Constructions, Inc. (3.6%, December 2027). Per CoStar, the property lies within the Indianapolis CBD office submarket. As of 2Q24, submarket asking rents averaged $23.12 psf and the submarket vacancy rate was 11.5%. Fitch's 'Bsf' rating case loss of 54.5% (prior to a concentration adjustment) reflects a stressed value of approximately $50 psf. The second largest contributor to expected losses in BANK 2019-BNK16 is the Southeast Hotel Portfolio loan (5.7%) loan, which is secured by one full-service hotel and four limited-service hotels totaling 759-keys. The portfolio properties are located in Atlanta (two properties), Orlando (two) and Charlotte (one). Total average portfolio occupancy, ADR and RevPAR were 67.4%, $108.63 and $73.16, respectively, as of YE 2023, compared with 72.8%, $106.05 and $77.52 as of YE 2022, and $64.6%, $90.95 and $58.64 as of YE 2021. The performance of the hotel portfolio is still recovering since being impacted by the pandemic. Fitch's 'Bsf' rating case loss of 8.5% (prior to a concentration adjustment) is based on an 11.25% cap rate to the YE 2022 NOI. The third largest contributor to expected losses in BANK 2019-BNK16 is the specially serviced US Bank Centre loan (3.4%), which is secured by a 255,927-sf office building located in the CBD of Cleveland, OH. The loan recently transferred to special servicing in June 2024 due to imminent monetary default. Major tenants include Cohen & Company, Ltd. (14.5% of NRA, of which 6.9% is leased through July 2024 and 7.6% through July 2034), U.S. Bank (11.0%, July 2024), Transdigm (10.1%, July 2034), Barnes Wendling CPAs, Inc. (5.6%, September 2028) and Hightower Holding, LLC (5.3%, September 2024). Property occupancy was 74% as of the March 2024 rent roll, unchanged from YE 2023, but down from 89.4% at YE 2022 and 89.6% at YE 2021 due to larger tenants downsizing and several smaller tenants vacating upon lease expiry. Former major tenant, Housing & Urban Development (previously 13.4% of NRA) downsized its space to 1.5% of NRA in December 2021. GCA Services Group (previously 12.7% of NRA) vacated upon lease expiry in January 2024; however, a significant portion of the space was backfilled by Transdigm (10.1% of NRA; through July 2034). Near-term lease rollover includes 25.7% of the NRA in 2024 across seven leases and 1.5% in 2025. Fitch requested for an update on the status of the Cohen & Company and U.S. Bank leases from the servicer, but did not receive a response. Per CoStar, the property lies within the Cleveland CBD office submarket. As of 2Q24, submarket asking rents averaged $21.67 psf and the submarket vacancy rate was 11.8%. Fitch's 'Bsf' rating case loss of 12.1% (prior to a concentration adjustment) is based on a 10% cap rate and 10% stress to the YE 2023 NOI. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed a higher probability of default due to the significant upcoming lease rollover and transfer of the loan to special servicing. The largest contributor to expected losses in BANK 2019-BNK17 is the 350 Rhode Island South loan (7.8%), which is secured by a 138,393-sf office building located in San Francisco, CA. The property's major tenants include Samsara (60.1% of NRA, leased through July 2025), Service Employees International Union (18.1%, March 2027) and Sutter West Bay Medical (5.0%, October 2025). Samsara's space is largely dark. According to the servicer, Samsara has remained current on rent payments as of June 2024. While approximately 35,648-sf of the Samsara space (25.5% of NRA) has been subleased through July 2025, concurrent with Samsara lease expiration, the subtenant is expected to vacate upon lease expiry. The loan reported $2.6 million ($18.67 psf) in total reserves as of the June 2024. Per CoStar, the property lies within the Showplace Square office submarket of San Francisco, CA. As of 2Q24, submarket asking rents averaged $42.99 psf and the submarket vacancy rate was 25.8%. Fitch's 'Bsf' case loss of 24.1% (prior to a concentration adjustment) is based on a 9.50% cap rate and 35% haircut to the YE 2023 NOI, and factors an increased probability of default due to the significant upcoming lease rollover, weak submarket fundamentals and loan's heightened term default risk. The second largest contributor to expected losses in BANK 2019-BNK17 is the Grand Oaks Business Park loan (6.0%), which is secured by a 551,551-sf suburban office property located in Eagan, MN. The property's major tenants include Enclos Corp. (5.7% of NRA, leased through March 2025), American Cancer Society (4.1%, July 2025), Explore Information Services, LLC (3.9%, August 2024) and Sonex Health Inc (3.7%, November 2025). Occupancy and the servicer-reported NOI DSCR were 73.4% and 1.35x, respectively, as of March 2024. According to the servicer, Explore Information Services, LLC and Enclos Corporation will be vacating their spaces at the property at their upcoming scheduled lease expirations. Former major tenant, Farmers Insurance (previously 4.0% of NRA), vacated upon lease expiry in March 2024. Near-term lease rollover includes 9.7% of the NRA in 2024 across five leases, and 27.4% of NRA in 2025 across 15 leases. Per CoStar, the property lies within the Burnsville/Eagan/Apple Vy office submarket of Minneapolis, MN. As of 2Q24, submarket asking rents averaged $23.87 psf and the submarket vacancy rate was 10.6%. Fitch's 'Bsf' case loss of 13.8% (prior to a concentration adjustment) is based on a 10.25% cap rate and 25% haircut to the YE 2023 NOI, and factors in an increased probability of default due to the expected further declines in occupancy and upcoming lease rollover. Increase in Credit Enhancement (CE): As of the July 2024 distribution date, the aggregate pool balances of the BANK 2019-BNK16 and BANK 2019-BNK17 transactions have been reduced by 5.4% and 3.8%, respectively, since issuance. The BANK 2019-BNK16 transaction includes two loans (0.6% of the pool) that have fully defeased. Four loans (11.2%) are fully defeased in BANK 2019-BNK17. Interest shortfalls totaling $39,998 are impacting the non-rated class J and risk retention class RRI in the BANK 2019-BNK16 transaction, and interest shortfalls totaling $6,351 are impacting the non-rated class H and risk retention class RRI in the BANK 2019-BNK17 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 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 or interest shortfalls occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; in BANK 2019-BNK16, downgrades may occur if property performance and/or updated valuations for the specially serviced Regions Tower and US Bank Centre loans continue to deteriorate. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. This is most notable for the 350 Rhode Island South and Grand Oaks Business Park office FLOCs in BANK 2019-BNK17. Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOC. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes Regions Tower and US Bank Centre in BANK 2019-BNK16, and 350 Rhode Island South and Grand Oaks Business Park in BANK 2019-BNK17. 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 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2024-5YR8: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2024-5YR8 commercial mortgage pass-through certificates series 2024-5YR8 as follows: - $8,100,000 class A-1 'AAAsf'; Outlook Stable; - $100,000,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $375,236,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $483,336,000c class X-A 'AAAsf'; Outlook Stable; - $56,965,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $36,250,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $27,619,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $120,834,000c class X-B 'A-sf'; Outlook Stable; - $18,125,000d class D 'BBBsf'; Outlook Stable; - $7,333,000de class E 'BBB-sf'; Outlook Stable; - $25,458,000cde class X-D 'BBB-sf'; Outlook Stable; - $18,560,000def class F-RR 'BB-sf'; Outlook Stable; - $12,947,000df class G-RR 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $29,345,939df class J-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and are expected to be $475,236,000 in aggregate, subject to a 5% variance. The certificate balance will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $100,000,000, and the expected class A-3 balance range is $375,236,000 to $475,236,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the high end for A-2 and low end for A-3 of their respective ranges. In the event that the class A-3 is issued with an initial certificate balance of $475,236,000, class A-2 will not be issued. (b) Exchangeable Certificates. The class A-2, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanges for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-2 may be surrendered (or received) for the received (or surrendered) classes A-2-1, A-2-X1, A-2-2 and A-2-X2. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) The approximate initial certificate balances of the Class E and Class F-RR certificates (and correspondingly, the initial notional amount of the Class X-D certificates) are based in part on the estimated ranges of initial certificate balances and estimated fair values described in "Credit Risk Retention". The approximate initial certificate balances of the Class E and Class F-RR certificates are subject to change based on the final pricing of the certificates, with the ultimate initial certificate balances determined such that the aggregate fair value of the Class F-RR, Class G-RR and Class J-RR certificates will equal at least 5% of the fair value of all of the classes of certificates issued by the issuing entity. (f) Horizontal Risk Retention Interest classes. The expected ratings are based on information provided by the issuer as of July 23, 2024. Entity/Debt Rating ----------- ------ BANK5 2024-5YR8 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-1 LT AAA(EXP)sf Expected Rating A-2-2 LT AAA(EXP)sf Expected Rating A-2-X1 LT AAA(EXP)sf Expected Rating A-2-X2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-1 LT AAA(EXP)sf Expected Rating A-3-2 LT AAA(EXP)sf Expected Rating A-3-X1 LT AAA(EXP)sf Expected Rating A-3-X2 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-S-1 LT AAA(EXP)sf Expected Rating A-S-2 LT AAA(EXP)sf Expected Rating A-S-X1 LT AAA(EXP)sf Expected Rating A-S-X2 LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT AA-(EXP)sf Expected Rating B-X1 LT AA-(EXP)sf Expected Rating B-X2 LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating C-1 LT A-(EXP)sf Expected Rating C-2 LT A-(EXP)sf Expected Rating C-X1 LT A-(EXP)sf Expected Rating C-X2 LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F-RR LT BB-(EXP)sf Expected Rating G-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 fixed-rate, commercial mortgage loans with an aggregate principal balance of $690,480,940 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 33 commercial properties. The loans were contributed to the trust by Bank of America, National Association, Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings, LLC, Bank of America, National Association and JPMorgan Chase Bank, National Association. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Greystone Servicing Company LLC. The trustee and certificate administrator are expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 20 loans totaling 90.3% of the pool by balance. Fitch's resulting net cash flow (NCF) of $151.2 million represents a 17.1% decline from the issuer's underwritten NCF of $182.3 million. Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 97.0% is higher than both the 2024 YTD and 2023 averages of 89.1% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is worse than both the 2024 YTD and 2023 averages of 11.3% and 10.9%, respectively. Investment Grade Credit Opinion Loans: One loan representing 10.0% of the pool balance received an investment grade credit opinion. 640 5th Avenue received a standalone credit opinion of 'BBB+sf*'. The pool's total credit opinion percentage is below the YTD 2024 average of 14.3% and the 2023 average of 17.8%. Fitch NCF DY and LTV net of the credit opinion loan are 9.7% and 100.2%, respectively. Higher Loan Concentration: The largest 10 loans constitute 69.8% of the pool, which is higher than both the 2024 YTD and 2023 average of 59.1% and 63.7%, 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 16.9. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Lower Geographic Diversity: The transaction has a less geographic diversity compared to recent multiborrower transactions Fitch has rated. The top three MSA concentrations are New York-Newark-Jersey City, NY-NJ-PA (21.5%), Atlanta-Sandy Springs-Roswell, GA (11.2%) and Las Vegas-Henderson-Paradise, NV (10.0%). The pool's effective geographic count of 9.6 is below the YTD 2024 and 2023 averages of 11.3 and 13.3, respectively. Pools that have a greater concentration by geographic region are at greater risk of losses, all else being equal. Fitch therefore raises the overall losses for pools with effective geographic counts below 15 MSAs. 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 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'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'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 and Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARINGS CLO 2024-III: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 BBCMS MORTGAGE 2018-C2: Fitch Lowers Rating on Two Tranches to CCC ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed 13 classes of BBCMS Mortgage Trust 2018-C2, commercial mortgage pass-through certificates, series 2018-C2. The Rating Outlooks for affirmed classes B, C, D, E, X-B and X-D were revised to Negative from Stable. Fitch assigned Negative Outlooks to classes F, and X-F following their downgrade. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2018-C2 A-2 05491UAZ1 LT AAAsf AffirmeA AAsf A-3 05491UBB3 LT AAAsf Affirmed AAAsf A-4 05491UBC1 LT AAAsf Affirmed AAAsf A-5 05491UBD9 LT AAAsf Affirmed AAAsf A-S 05491UBG2 LT AAAsf Affirmed AAsf A-SB 05491UBA5 LT AAAsf Affirmed AAAsf B 05491UBH0 LT AA-sf Affirmed AA-sf C 05491UBJ6 LT A-sf Affirmed A-sf D 05491UAG3 LT BBBsf Affirmed BBBsf E 05491UAJ7 LT BBB-sf Affirmed BBB-sf F 05491UAL2 LT B-sf Downgrade BB-sf G 05491UAN8 LT CCCsf Downgrade B-sf X-A 05491UBE7 LT AAAsf Affirmed AAAsf X-B 05491UBF4 LT AA-sf Affirmed AA-sf X-D 05491UAA6 LT BBB-sf Affirmed BBB-sf X-F 05491UAC2 LT B-sf Downgrade BB-sf X-G 05491UAE8 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased to 4.7% from 4.0% at the prior rating action. The downgrades on classes F, G, X-F and X-G were driven primarily by further performance declines on Fitch Loans of Concern (FLOCs; 24.4% of pool), including three FLOCs secured by office properties (GNL Portfolio; 6.2%, Liberty Portfolio; 5.7% and The Home Depot Technology Center; 3.4%). The Negative Outlook on classes B, C, D, E, F, X-B, X-D, and X-F reflect the potential for downgrades of up to one category should performance of the FLOCs experience further performance declines and/or transfer to special servicing, most notably the office FLOCs. Office loans comprise 37.6% of the pool; the high concentration also contributed to the Negative Outlooks. Fitch Loans of Concern: The largest contributor to loss expectations is Liberty Portfolio (5.7%). The loan is secured by two office properties located in Tempe, AZ and Scottsdale, AZ and remains a FLOC due to occupancy declines and substantial space for sublease. As of YE 2023, the portfolio reflects a current occupancy of 95% and a NOI DSCR of 1.90x. However, the largest tenant, Centene (43.8% of the portfolio NRA), no longer fully occupies its space and cash management has been activated. Additionally, Carvana (16.8%) did not renew their lease, which expired in February 2024. Overall availability for the portfolio is approximately 60.3%; per CoStar as of 1Q 2024, the submarket reflects a weighted average vacancy rate of 22.9% and an availability rate of 25.0%. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 15.6% is based on a 10.0% cap rate and the TTM March 2024 NOI with a 40% stress. The second largest contributor to loss expectations is GNL Portfolio (6.2%) which is cross-collateralized by seven single tenant office/industrial properties totaling 647,713 sf and located across six states and seven distinct markets. The loan, which is sponsored by Global Net Lease, was designated FLOC due to occupancy declines. The Nimble Storage property (25% of portfolio NRA; San Jose, CA) is currently vacant after the sole tenant Nimble Storage vacated at lease expiration in October 2021. The borrower has a contract for the sale of the vacated Nimble Storage property, with an estimated closing date by the end of 2024. A partial release will be required. Fitch maintains a 10% cap rate for the office component, and net cash flow is based on the TTM March 2023 NOI with no additional stress. The loan continues to be flagged as a FLOC and the flag may be removed upon the settlement of the vacant property release and demonstration of performance improvement. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 13.8% reflects a 10.0% cap rate to TTM March 2023 NOI. The third largest FLOC and third largest contributor to expected loss is the Home Depot Technology Center (3.4%). The loan is secured by an office property in Marietta, GA. According to CoStar, the largest tenant, Home Depot, who leases 89.4% of the NRA, has vacated and their space is available for sublease. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 14.9% reflects a 10% cap rate, a 20% stress to YE 2023 NOI to reflect the increased vacancy, as well as a higher probability of default given the increased risk of default during the loan term. Increasing Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance has been paid down by 2.4% to $870.5 million from $891.9 million at issuance. Seventeen loans (47.7%) are full-term, interest-only (IO). Twenty-nine loans (47.8%) had a partial-term, IO component; 27 are now in their amortization periods. Three loans (4.5%) are fully defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of classes rated in the 'AAAsf' and category are not likely due to increasing CE and expected continued amortization, but could occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly beyond Fitch's expectations from outsized losses on larger FLOCs, most notably those secured by office, and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. These FLOCs include GNL Portfolio, Liberty Portfolio and The Home Depot Technology Center. Downgrades to classes 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. 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 FLOC, most notably GNL Portfolio, Liberty Portfolio and The Home Depot Technology Center. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2018-B6: Fitch Lowers Rating on Class J-Rr Debt to CCsf ----------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 11 classes of Benchmark 2018-B5 Mortgage Trust (BMARK 2018-B5). Negative Rating Outlooks were assigned to classes E-RR and F-RR following their downgrades. The Outlooks for affirmed classes A-S, X-A, B, X-B, C, D and X-D have been revised to Negative from Stable. Fitch has also downgraded six classes and affirmed eight classes of Benchmark 2018-B6 Mortgage Trust (BMARK 2018-B6). Classes D, E, X-D and F-RR were assigned Negative Outlooks following their downgrades. The Outlook for affirmed classes A-S, X-A, B and C have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B6 A-2 08162CAB6 LT AAAsf Affirmed AAAsf A-3 08162CAC4 LT AAAsf Affirmed AAAsf A-4 08162CAD2 LT AAAsf Affirmed AAAsf A-AB 08162CAE0 LT AAAsf Affirmed AAAsf A-S 08162CAF7 LT AAAsf Affirmed AAAsf B 08162CAG5 LT AA-sf Affirmed AA-sf C 08162CAH3 LT A-sf Affirmed A-sf D 08162CAL4 LT BB+sf Downgrade BBBsf E 08162CAN0 LT B+sf Downgrade BBsf F-RR 08162CAQ3 LT B-sf Downgrade BB-sf G-RR 08162CAS9 LT CCCsf Downgrade B-sf J-RR 08162CAU4 LT CCsf Downgrade CCCsf X-A 08162CAJ9 LT AAAsf Affirmed AAAsf X-D 08162CAY6 LT B+sf Downgrade BBsf Benchmark 2018-B5 A-2 08160BAD6 LT AAAsf Affirmed AAAsf A-3 08160BAC8 LT AAAsf Affirmed AAAsf A-4 08160BAB0 LT AAAsf Affirmed AAAsf A-S 08160BAH7 LT AAAsf Affirmed AAAsf A-SB 08160BAE4 LT AAAsf Affirmed AAAsf B 08160BAJ3 LT AA-sf Affirmed AA-sf C 08160BAK0 LT A-sf Affirmed A-sf D 08160BAL8 LT BBBsf Affirmed BBBsf E-RR 08160BAQ7 LT BBsf Downgrade BBB-sf F-RR 08160BAS3 LT Bsf Downgrade BB-sf G-RR 08160BAU8 LT CCCsf Downgrade B-sf X-A 08160BAF1 LT AAAsf Affirmed AAAsf X-B 08160BAG9 LT AA-sf Affirmed AA-sf X-D 08160BAN4 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 5.43% in BMARK 2018-B5 and 5.63% in BMARK 2018-B6. Fitch Loans of Concern (FLOCs) comprise 13 loans (36.9% of the pool) in BMARK 2018-B5 and 22 loans (38.4%) in the BMARK 2018-B6, including four loan in special servicing (7.2%). BMARK 2018-B5: The downgrades in the BMARK 2018-B5 transaction reflect higher overall pool losses since the prior rating action, driven by performance deterioration of office and hotel FLOCs, including 215 Lexington Avenue (2.7%), eBay North First Commons (5.3%), Holiday Inn Express & Suites Wheat Ridge (0.9%) Westbrook Corporate Center (1.8%) and Elite Hotel Management Georgia Portfolio (2.6%). The Negative Outlooks on classes A-S through F-RR in BMARK 2018-B5 reflect the concentration of office loans within the pool (31.0%) and the potential for downgrades should performance of the FLOCs, 215 Lexington Avenue (2.7%), Overland Park Xchange (2.6%), eBay North First Commons (5.3%), Holiday Inn Express & Suites Wheat Ridge (0.9%) and Westbrook Corporate Center (1.8%), fail to stabilize, and/or with additional declines in performance. BMARK 2018-B6: The downgrades in the BMARK 2018-B6 transaction reflect higher overall pool losses since the prior rating action, driven by performance deterioration of office and hotel FLOCs, including JAGR Hotel Portfolio (1.9%), Creekside Oaks (1.9%) and 445 Hutchinson (1.8%). The Negative Outlooks in BMARK 2018-B6 reflect the high office concentration of 43.9% and the potential for downgrades without performance stabilization of the FLOCs, One American Place (2.3%), JAGR Hotel Portfolio (1.9%), Creekside Oaks (1.9%), Overland Park Xchange (2.7%), 445 Hutchinson (1.8%), Carlton Plaza (2.1%), and Elgin Office Campus (1.3%). Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the largest contributor to overall pool loss expectations in the BMARK 2018-B5 transaction is the 215 Lexington Avenue loan (2.7%), secured by a 120,677-sf office condominium within a 21-story, 231,947-sf office building located in New York City, NY. Property performance has deteriorated since issuance with YE 2023 occupancy declining to 32% from 78% at issuance and NOI DSCR dropping to 0.80x from 2.86x at issuance. According to the servicer, the borrower is in final negotiations on a prospective lease for the 11th floor which would increase occupancy and NOI DSCR to 43% and 1.00x, respectively. Fitch's 'Bsf' rating case loss of 30.7% (prior to concentration adjustments) reflects an elevated 9.5% cap rate (100 bps higher than issuance) and factors a higher probability of default due to the performance decline and term default risk. The second largest increase in loss expectations since the prior rating action for BMARK 2018-B5 is the eBay North First Commons loan (5.3%), secured by a 250,056-sf office property located in San Jose, CA that is fully leased to eBay with a lease expiration in 2029. Costar reports that nearly 100% of the space is listed as available. eBay has a termination option in March 2026, and if exercised, the tenant will pay a $11.7 million termination fee. Due to the dark space, a cash flow sweep was activated with $14.2 million escrowed into the tenant reserve account as of June 2024. The loan is no longer considered an investment grade credit opinion loan. Fitch's 'Bsf' rating case loss of 6.5% (prior to concentration adjustments) reflects 30% stress to the YE 2023 NOI and factors a higher probability of default to account for the departure of the single tenant and refinance concerns. The reserves and termination fees were also considered in Fitch's analysis. The third largest increase in loss expectations since the prior rating action for BMARK 2018-B5 is the Holiday Inn Express & Suites Wheat Ridge loan (0.9%), secured by a 103-unit limited service hotel located in Wheat Ridge, CO. Hotel performance has not recovered from pandemic. As of TTM March 2024, NOI was $139,102 with a NOI DSCR of 0.22x, down from $1.3 million and 2.36x at YE 2019. Fitch's 'Bsf' rating case loss of 36.9% (prior to concentration adjustments) reflects the TTM March 2024 NOI and factors a higher probability of default to account for the low DSCR and continued underperformance. The largest increase in loss expectations since the prior rating action and the second largest contributor to overall pool loss expectations in the BMARK 2018-B6 transaction is the JAGR Hotel Portfolio loan (1.9%), secured by a portfolio of three full-service hotels totaling 721 rooms located in Jackson, MS, Annapolis, MD and Grand Rapids, MI. All three hotels carry the Hilton brand flag and are managed by Spire Hospitality, a wholly-owned subsidiary of the sponsors. The loan transferred to special servicing in March 2023 due to imminent monetary default. A receiver was appointed for the Grand Rapids asset in June 2024, while the appointment of a receiver is in process for the other two assets. The portfolio has exhibited a slow recovery from 2020, reporting an NOI DSCR of 0.59x as of the TTM June 2023 reporting period, below the YE 2022 NOI DSCR of 0.81x. As of TTM January 2024, the weighted-average occupancy, ADR, and RevPAR for the portfolio was 53.3%, $121, and $65, respectively, which compares with TTM December 2021 weighted-average occupancy, ADR, and RevPAR of 49.9%, $111, and $56, and issuance metrics of 63.6%, $124, and $79, respectively. The January 2024 STR report reflected RevPAR penetration rates for the three hotels of 81%, 71% and 102%, respectively. The 226-unit DoubleTree Grand Rapids was built in 1979 and renovated in 2015. As of TTM January 2024, STR reported occupancy, ADR, and RevPAR of 52.4%, $106, and $55, respectively. The 276-unit Hilton Jackson was built in 1984 and renovated in 2014. As of TTM January 2024, STR reported occupancy, ADR, and RevPAR of 47.2%, $117, and $55, respectively. The 219-unit Doubletree Annapolis was built in 1963 and renovated in 2014. As of TTM January 2024, STR reported occupancy, ADR, and RevPAR of 61.8%, $143, and $89, respectively. Fitch's 'Bsf' rating case loss of 30.1% (prior to concentration adjustments) reflects stresses to the most recently reported appraisal values equating to a weighted-average stressed value of $55,922 per key. The second largest increase in loss expectations since the prior rating action for BMARK 2018-B6 is the Creekside Oaks loan (1.9%), secured by a two-story, 178,694-sf office building located in Sacramento, CA. Property performance has continued to deteriorate. As of TTM March 2024, occupancy was 58% with a NOI DSCR of 1.02x, compared with 98% and 2.89x at issuance. A cash flow sweep was activated due to the largest tenant, Centene Management Company (23.7% of the NRA), vacating at lease expiration in 2021. Additionally, the South Natomas office submarket remains challenged, exhibiting a vacancy rate of 19.5%, as reported by CoStar as of 2Q24. Fitch's 'Bsf' rating case loss of 28.5% (prior to concentration adjustments) reflects an elevated cap rate of 11% and factors a higher probability of default to account for the distressed performance with low DSCR. The third largest increase in loss expectations since the prior rating action in the BMARK 2018-B6 transaction is the 445 Hutchinson loan (1.8%), secured by a 256,495-sf office building located in Columbus, OH. Property performance has struggled due to occupancy declines. As of TTM March 2024, occupancy was 73% with a NOI DSCR of 0.89x, compared to 90% and 1.78x at issuance. Fitch's 'Bsf' rating case loss of 22.4% (prior to concentration adjustments) reflects a cap rate of 10% and a higher probability of default to address the concerns with low occupancy and DSCR. Changes in Credit Enhancement (CE): As of the July 2024 distribution date, the aggregate balances of the BMARK 2018-B5 and BMARK 2018-B6 transactions have been paid down by 9.4% and 8.1%, respectively, since issuance. The BMARK 2018-B5 transaction includes two loans (0.8% of the pool) that have fully defeased; BMARK 2018-B6 has three loans (2.3%) that have fully defeased. Cumulative interest shortfalls of $71,594 are affecting the non-rated class NR-RR in BMARK 2018-B5 and $361,801 are affecting the non-rated class NR-RR in BMARK 2018-B6. 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 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 215 Lexington Avenue, eBay North First Commons, Holiday Inn Express & Suites Wheat Ridge and Westbrook Corporate Center in BMARK 2018-B5, and Creekside Oaks, 445 Hutchinson and JAGR Hotel Portfolio in BMARK 2018-B6, 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 215 Lexington Avenue, eBay North First Commons, Holiday Inn Express & Suites Wheat Ridge and Westbrook Corporate Center in BMARK 2018-B5, and Creekside Oaks, 445 Hutchinson and JAGR Hotel Portfolio in BMARK 2018-B6. 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. BLUEMOUNTAIN CLO XXIII: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BlueMountain CLO XXIII Ltd. Entity/Debt Rating ----------- ------ BlueMountain CLO XXIII Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-1R LT AAsf New Rating B-2R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Sub LT NRsf New Rating X LT NRsf New Rating Transaction Summary BlueMountain CLO XXIII Ltd. (the issuer) is a reset of an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point Capital Management, LP. The CLO originally closed in November 2018. Net proceeds from the issuance of the secured and subordinated notes for the reset will provide financing on a portfolio of approximately $474 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B' which is in line with that of recent CLOs. The WARF of the indicative portfolio is 24.32 versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.33% first-lien senior secured loans. The WARR of the indicative portfolio is 74.46% versus a minimum covenant, in accordance with the initial expected matrix point of 70.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 48.0% of the portfolio balance in aggregate while the top five obligors can represent up to 9.0% 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-2R, 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-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, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A-sf' for class D-2R, and 'BBBsf' 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. ESG Considerations Fitch does not provide ESG relevance scores for BlueMountain CLO XXIII 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. BMO 2024-5C5: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2024-5C5 Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2024-5C5 as follows: - $2,235,000 class A-1 'AAAsf'; Outlook Stable; - $350,000,000a class A-2 'AAAsf'; Outlook Stable; - $359,435,000a class A-3 'AAAsf'; Outlook Stable; - $711,670,000 class X-A 'AAAsf'; Outlook Stable; - $94,042,000 class A-S 'AAAsf'; Outlook Stable; - $52,104,000 class B 'AA-sf'; Outlook Stable; - $41,938,000 class C 'A-sf'; Outlook Stable; - $188,084,000bc class X-B 'A-sf'; Outlook Stable; - $22,875,000c class D 'BBBsf'; Outlook Stable; - $22,875,000bc class X-D 'BBBsf'; Outlook Stable; - $10,167,000cd class E-RR 'BBB-sf'; Outlook Stable; - $20,333,000cd class F-RR 'BB-sf'; Outlook Stable; - $13,979,000cd class G-RR 'B-sf'; Outlook Stable; Fitch does not rate the following classes: - $ 49,563,502cd class J-RR. Notes: (a) The initial certificate balances of classes A-2 and A-3 are not yet known but are expected to be $709,435,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0-$350,000, and the expected class A-3 balance range is $359,435,000-$709,435,000. The balances of classes A-2 and A-3 above represent the hypothetical balance for class A-2 if class A-3 were sized at the lower end of its range. In the event that the class A-3 certificate is issued with an initial certificate balance of $709,435,000, the class A-2 certificate will not be issued. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 36 fixed-rate, commercial mortgage loans with an aggregate principal balance of $1,016,671,503 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 65 commercial properties. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., Starwood Mortgage Capital LLC, German American Capital Corporation, UBS AG, Societe Generale Financial Corporation, Goldman Sachs Mortgage Company, Greystone Commercial Mortgage Capital LLC, Zions Bancorporation, N.A., BSPRT CMBS Finance, LLC, and LMF Commercial, LLC. The master servicer is Midland Loan Services and the special servicer is LNR Partners, LLC. Computershare Trust Company, N.A. is the trustee and certificate administrator. These certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 31 loans totaling 94.5% of the pool by balance. Fitch's cash flow sample included the largest 20 loans in the pool, as well as 11 loans outside the top 20. Fitch's resulting net cash flow (NCF) of $96.2 million represents a 13.5% decline from the issuer's underwritten NCF of $111.3 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) is 101.9%, higher than the YTD 2024 and 2023 multiborrower averages of 89.1% and 88.3% respectively. Additionally, the pool's Fitch debt yield (DY) of 9.5% is lower than the YTD 2024 and 2023 averages of 11.3% and 10.9% respectively. Office Concentration: In general, the pool's property type diversity is comparable to recent Fitch transactions; the pool's effective property type count of 4.1 is in-line with the YTD 2024 and 2023 averages of 4.1 and 4.0, respectively. However, the largest property type concentration is office (26.0% of the pool), which is higher than the YTD 2024 office average of 18.8% and marginally lower than the 2023 office average of 27.6%. In particular, the office concentration includes three of the largest 10 loans (15.6% of the pool). Shorter-Duration Loans: Loans with five-year terms comprise 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 its analysis of the pool. 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' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAsf' / 'A-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 in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / '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. BX TRUST 2022-PSB: Fitch Affirms 'B-sf' Rating on Class HRR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed seven classes of BX Trust 2022-PSB, commercial mortgage pass-through certificates, series 2022-PSB. The Rating Outlooks are Stable. Entity/Debt Rating Prior ----------- ------ ----- BX Trust 2022-PSB A 05606DAS7 LT AAAsf Affirmed AAAsf B 05606DAC2 LT AA-sf Affirmed AA-sf C 05606DAE8 LT A-sf Affirmed A-sf D 05606DAG3 LT BBB-sf Affirmed BBB-sf E 05606DAJ7 LT BB-sf Affirmed BB-sf F 05606DAL2 LT Bsf Affirmed Bsf HRR 05606DAN8 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance: The affirmations reflect the generally stable performance and collateral releases from the portfolio, which has resulted in principal paydown to the bonds since issuance. Collateral Releases: Since issuance, 28 properties were released, resulting in principal paydowns totaling $552 million (20.2% of the original loan balance) that have been applied to the bond certificates on a pro rata basis. The bond certificates will pay on a pro rata basis from paydown in connection with property releases for up to the first 30% of the loan so long as the mortgage is not in default. The release prices are subject to prepayment premiums, which are 105% of the allocated loan amount until the outstanding loan amount has been reduced to $1.91 billion and 110% thereafter. Upcoming Maturity: The floating-rate loan has an upcoming maturity in August 2024. According to the servicer, the borrower has provided written notice to exercise its first extension option through August 2025. The servicer has informed that the Interest Rate Cap Agreement is currently being reviewed with the maturity extension. The loan has two additional one-year extension options remaining. The final extended maturity is in August 2027. High Fitch Stressed Leverage: The $2.2 billion mortgage loan has a Fitch stressed debt service coverage ratio (DSCR) of 0.78x and loan-to-value (LTV) of 113.5%. The current total mortgage debt represents $162 psf. Additional mezzanine debt is permitted subject to debt yield and LTV thresholds. As of YE 2023, the servicer-reported net cash flow (NCF) DSCR was 0.71x, compared to 1.11x at YE 2022. YE 2023 occupancy was 89%, which remains in line with 90% at YE 2022. The decline in the YE 2023 NCF DSCR is primarily due to an increase in the total debt service, as the loan is floating-rate. Property and Tenant Diversity: The portfolio originally consisted of 138 properties totaling 16.4 million sf located across six states, including California, Florida, Virginia, Texas, Maryland and Washington. After the collateral releases, 110 properties remain in the portfolio totaling 13.5 million sf, with individual properties ranging in size from 6,943 sf to 814,144 sf. The tenancy is granular, with no tenant comprising more than 2.0% of the portfolio NRA and no individual property accounts for more than 6.0% of the portfolio's total NRA, or 5.3% of the allocated loan amount. Experienced Sponsorship: The loan is sponsored by Blackstone Real Estate Partners IX L.P., an affiliate of Blackstone Inc. It is the largest owner of commercial real estate globally, and its portfolio includes properties throughout the world with a mix of property types. Infill Locations and Flexible Uses: The properties are generally located in infill industrial areas with proximity to highways and airports in major markets, an advantage as e-commerce shoppers' expectations for delivery times have shortened. Although the primary property type is industrial, the portfolio includes office, retail and self-storage uses. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades are not expected, but may occur with a sustained decline in portfolio occupancy and/or Fitch's NCF. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades are possible with significant improvement in credit enhancement from continued property releases, stable-to-improved performance and/or an increase in Fitch's sustainable NCF. However, upgrades may be limited due to increasing concentration and adverse selection of the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARLYLE US 2022-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-4, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2022-4, Ltd. A-1 14317BAA2 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-1 14317BAE4 LT PIFsf Paid In Full AAsf B-2 14317BAL8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D 14317BAG9 LT PIFsf Paid In Full BBBsf D-1-R LT BBBsf New Rating BBB(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 14317EAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Carlyle US CLO 2022-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. that originally closed in July 2022. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $605 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.59, versus a maximum covenant, in accordance with the initial expected matrix point of 26.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.59% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.5% versus a minimum covenant, in accordance with the initial expected matrix point of 69.7%. Portfolio Composition (Negative): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-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 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, 'AAsf' 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, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2022-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CHASE HOME 2024-6: DBRS Finalizes B(low) Rating on Class B5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-6 (the Certificates) 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 related 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 US Dollars unless otherwise noted. CHASE HOME 2024-7: Fitch Assigns 'Bsf' Final Rating on Cl. B-5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-7 (Chase 2024-7). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-7 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated 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 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 Finalizes B(high) Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Certificates, Series 2024-RPL3 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-RPL3: -- $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 ratings on the Class A-1-A, A-1-B, and A-1 Certificates 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 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. Morningstar DBRS rates JPMCB's Long-Term Issuer Rating and Long-Term Senior Debt at AA and its Short-Term Instruments credit rating at 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 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 its 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 properties, and any unpaid expenses and reimbursement amounts (Optional Cleanup 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 U.S. dollars unless otherwise noted. CIFC FUNDING 2018-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2018-V, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2018-V, Ltd. A-1 12550GAA1 LT PIFsf Paid In Full AAAsf A-2 12550GAC7 LT PIFsf Paid In Full AA+sf A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D1-R LT BBB-sf New Rating D2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary CIFC Funding 2018-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed on Dec. 19, 2018. This is the first refinancing where the existing secured notes will be refinanced in whole on July 25, 2024. Net proceeds from the issuance of refinancing secured notes and additional subordinated notes will provide financing on a portfolio of approximately $500 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 25.12, 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 98.17% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.3% versus a minimum covenant, in accordance with the initial expected matrix point of 72.75%. 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 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 metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R 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 D1-R notes, between less than 'B-sf' and 'BB+sf' for class D2-R notes, and between less than 'B-sf' and 'B+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-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 notes, 'AAsf' for class C-R notes, 'Asf' for class D1-R notes, 'A-sf' for class D2-R notes, and 'BBB+sf' for class E-R 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 2018-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. CIM TRUST 2024-R1: Fitch Assigns 'B(EXP)' Rating on Cl. B2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to CIM Trust 2024-R1 (CIM 2024-R1). Entity/Debt Rating ----------- ------ CIM 2024-R1 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 B4 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating C LT NR(EXP)sf Expected Rating PRA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The CIM Trust 2024-R1 transaction is expected to close on or about July 30, 2024. The notes are supported by one collateral group that consists of 2,055 loans with a total balance of approximately $468.1 million, which includes $14.7 million, or 3.13%, of the aggregate pool balance in non-interest bearing deferred principal amounts as of the cutoff date. The pool generally consists of seasoned performing loans (SPLs) and reperforming loans (RPLs). Approximately 38.4% of the pool loans were seasoned at less than 24 months as of the cutoff date and therefore were considered to be new origination by Fitch. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.2% 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 despite modest regional declines, but are still being supported by limited inventory. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage loans, SPLs and RPLs. Of the pool, 8.4% of the loans were 30 days delinquent as of the cutoff date. Approximately 22.3% of the loans have been paying on time for at least the past 24 months (defined as clean current by Fitch); 33.3% are new originations that have been paying on time since origination; and 36.1% of the loans are current, but have missed one or more payments over the past 24 months (defined as dirty current by Fitch). Roughly 30.6% of the loans have been modified. Low Leverage (Positive): The pool consists of loans with a WA original combined loan-to-value ratio (CLTV) of 79.4%, as calculated by Fitch. All seasoned loans received an updated property valuation, and 78.6% of these loans received a broker price opinion (BPO) valuation. The remining 1.2% received form 2055, an HDI or an automated valuation model (AVM) value. AVMs were haircut based on the provider and confidence score thresholds, per Fitch criteria. This translates to a WA sustainable LTV (sLTV) of 72.4% in the base case. This indicates low-leverage borrowers and added strength compared to recently rated RPL transactions. No Servicer P&I Advancing (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces 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' class. 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. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those 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 market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.3% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and Clayton. A third-party regulatory compliance review was completed on 100% of the loans in the transaction pool and testing scope is consistent with Fitch criteria for RPL RMBS. Fitch considered 349 loans seasoned less than 24 months as new originations and those loans received a full new origination due diligence, which includes credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: increased the LS due to HUD-1 issues, increased liquidation timelines for loans missing modification agreements, increased LS due to outstanding delinquent property taxes or liens and material TRID exception. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 25bps. ESG Considerations CIM 2024-R1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to increased operational risk considering the non-investment-grade R&W provider and the Tier 3 framework treatment on newly originated loans, which represents 38.4% of the pool by UPB, as newly originated loans are subject to additional R&Ws, which were not included in the transaction framework. This 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. CITIGROUP 2016-P3: Fitch Lowers Rating on Two Tranches to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed eight classes of Citigroup Commercial Mortgage Trust 2016-P3 (CGCMT 2016-P3). The Rating Outlooks were revised to Negative from Stable for two of the affirmed classes. Fitch has also assigned a Negative Outlook to six classes following their downgrades. In addition, Fitch has downgraded two and affirmed 11 classes of Citigroup Commercial Mortgage Trust 2016-P4 (CGCMT 2016-P4). The Rating Outlooks were revised to Negative from Stable for five of the affirmed classes. Fitch has also assigned a Negative Outlook to two classes following their downgrades. Fitch has also affirmed 13 classes of GS Mortgage Securities Trust 2016-GS2 (GSMS 2016-GS2). The Rating Outlook was revised to Negative from Stable for two of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-P3 A-2 29429CAB1 LT AAAsf Affirmed AAAsf A-3 29429CAC9 LT AAAsf Affirmed AAAsf A-4 29429CAD7 LT AAAsf Affirmed AAAsf A-AB 29429CAE5 LT AAAsf Affirmed AAAsf A-S 29429CAF2 LT AAAsf Affirmed AAAsf B 29429CAG0 LT Asf Downgrade AA-sf C 29429CAH8 LT BBsf Downgrade BBBsf D 29429CAM7 LT B-sf Downgrade BB-sf E 29429CAP0 LT CCCsf Affirmed CCCsf EC 29429CAL9 LT BBsf Downgrade BBBsf F 29429CAR6 LT CCsf Affirmed CCsf X-A 29429CAJ4 LT AAAsf Affirmed AAAsf X-B 29429CAK1 LT Asf Downgrade AA-sf X-D 29429CAV7 LT B-sf Downgrade BB-sf CGCMT 2016-P4 A-2 29429EAB7 LT AAAsf Affirmed AAAsf A-3 29429EAC5 LT AAAsf Affirmed AAAsf A-4 29429EAD3 LT AAAsf Affirmed AAAsf A-AB 29429EAE1 LT AAAsf Affirmed AAAsf A-S 29429EAH4 LT AAAsf Affirmed AAAsf B 29429EAJ0 LT AA-sf Affirmed AA-sf C 29429EAK7 LT A-sf Affirmed A-sf D 29429EAL5 LT B-sf Downgrade BBB-sf E 29429EAN1 LT CCCsf Affirmed CCCsf F 29429EAQ4 LT CCsf Affirmed CCsf X-A 29429EAF8 LT AAAsf Affirmed AAAsf X-B 29429EAG6 LT AA-sf Affirmed AA-sf X-C 29429EAW1 LT B-sf Downgrade BBB-sf GSMS 2016-GS2 A-3 36252TAQ8 LT AAAsf Affirmed AAAsf A-4 36252TAR6 LT AAAsf Affirmed AAAsf A-AB 36252TAS4 LT AAAsf Affirmed AAAsf A-S 36252TAV7 LT AAAsf Affirmed AAAsf B 36252TAW5 LT AAsf Affirmed AAsf C 36252TAY1 LT Asf Affirmed Asf D 36252TAA3 LT BBB-sf Affirmed BBB-sf E 36252TAE5 LT BB-sf Affirmed BB-sf F 36252TAG0 LT Bsf Affirmed Bsf PEZ 36252TAX3 LT Asf Affirmed Asf X-A 36252TAT2 LT AAAsf Affirmed AAAsf X-B 36252TAU9 LT AAsf Affirmed AAsf X-D 36252TAC9 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 14.1% in CGCMT 2016-P3, 9.9% in CGCMT 2016-P4 and 3.7% in GSMS 2016-GS2. The CGCMT 2016-P3 transaction has nine Fitch Loans of Concern (FLOCs; 41.2% of the pool), including two loans (16.5%) in special servicing. The CGCMT 2016-P4 transaction has seven FLOCs (30.6%), including two loans (8.6%) in special servicing. The GSMS 2016-GS2 transaction has five FLOCs (21.9%), including one loan (1.6%) in special servicing. The downgrades in CGCMT 2016-P3 reflect higher pool loss expectations driven primarily by the transfer of the Nyack College NYC loan (7.9%) to special servicing and the significant decline in its updated appraisal value since Fitch's prior rating action. The downgrades also incorporate continued performance deterioration on the Marriot Midwest Portfolio (8.7%) and 79 Madison Avenue (7.1%) FLOCs. The Negative Outlooks reflect the elevated office concentration in the pool of 29.2% and possible further downgrades with additional property value erosion or a prolonged workout on the Nyack College NYC loan and/or lack of performance stabilization on the aforementioned FLOCs. The downgrades in CGCMT 2016-P4 reflect higher pool loss expectations since the prior rating action driven primarily by further performance deterioration on the Esplanade I (5.4%) and Marriot Midwest Portfolio (4.2%) loans, as well as continued prolonged workout and increased exposure on the specially serviced REO 401 South State Street asset (4.4%). The Negative Outlooks incorporates an additional sensitivity scenario on the Park Plaza (1.5%) office FLOC that considers a heightened probability of default. Downgrades to classes with Negative Outlooks are likely with continued occupancy and/or cashflow deterioration and lack of leasing momentum on the Esplanade I, 401 South State Street, Marriot Midwest Portfolio and Park Plaza loans/assets. The affirmations in GSMS 2016-GS2 reflect generally stable pool performance and loss expectations since the prior rating action. The Negative Outlook reflects an additional sensitivity scenario on the Panorama Corporate Center (12.8%) office FLOC that considers a heightened probability of default due to upcoming lease rollover concerns and anticipated refinance concerns. Largest Loss Contributors: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in CGCMT 2016-P3 is the Nyack College NYC loan, which is secured by the fee simple interest in a 166,385-sf office and retail condominium in New York, NY. The collateral includes the basement, a portion of the ground floor retail space and floors 17 to 22. The collateral was 100% leased by Nyack College, which was operating under a master lease scheduled to expire in January 2036. Nyack College lost accreditation due to financial insufficiency and was forced to discontinue operations at the property as of December 2023. The loan transferred to special servicing in September 2023 due to payment default. Foreclosure is being dual-tracked with the special servicer continuing to explore alternative workout strategies. As most of the non-collateral portions of the building was previously converted into residential apartments between 2019 and 2020, a possible residential conversion may be contemplated for the collateral. Fitch's 'Bsf' rating case loss of 48.0% (prior to concentration add-ons) reflects a stressed value of $179 psf, and represents a significant decline of 73% from the issuance appraisal value. The second and third largest increase in loss since the prior rating action in the CGCMT 2016-P3 and CGCMT 2016-P4 transactions is the Marriot Midwest Portfolio loan, which is secured by a portfolio of 10 hotels, totaling 1,103 rooms, located across the midwestern US. Seven of the hotels operate as SpringHill Suites and three operate as TownePlace Suites, both of which are affiliated with Marriott. Each of the hotels is entered in a 15-year franchise agreement with Marriott that expire in February 2031. The loan transferred to special servicing in June 2024 due to the upcoming maturity in November 2024 and the borrower is requesting a potential loan maturity extension. The servicer-reported YE 2023 NOI DSCR was 1.05x compared with 1.37x at YE 2022. The YE 2023 occupancy, ADR, and RevPAR were 66.1%, $106, and $70, respectively, compared with 69.4%, $79, and $55 as of YE 2022, respectively. YE 2023 NOI was down 21.4% from YE 2022 due to higher operating expenses. Fitch's 'Bsf' rating case loss of 27.3% (prior to concentration add-ons) reflects an 11.5% cap rate to the YE 2023 NOI and a 100% probability of default to account for the loan's transfer to special servicing. The third largest increase in loss since the prior rating action and the fourth largest contributor to losses in CGCMT 2016-P3 is the 79 Madison Avenue loan, secured by a 17 story, 274,084 sf office building with ground floor retail located on Madison Avenue in NYC. Major tenants at the property include WeWork (49% NRA; lease expiry in July 2032), Ted Moudis Associates Inc (13%; July 2024) and Blu Dot Design & Manufacturer (6.5%; September 2031). Occupancy declined to 68% at YE 2021 due to Allsteel (formerly 6% NRA) vacating at lease expiration in September 2021, along with WeWork reducing their space by 72,000 sf (26% NRA). As of YE 2023, the property was 68% occupied. The servicer-reported NOI DSCR was 1.26x at YE 2023, compared to 2.91x at YE 2022, 2.71x at YE 2021, 2.75x at YE 2020 and 2.64x at YE 2019. Fitch's 'Bsf' rating case loss of 28.1% (prior to concentration add-ons) reflects a 9% cap rate, 15% stress to the YE 2023 NOI, and factors an increased probability of default due to declining occupancy and anticipated refinance concerns. The largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations in CGCMT 2016-P4 is the Esplanade I loan, which is secured by a 609,251-sf suburban, office property located in Downers Grove, IL. The property is located approximately 20 miles west of Chicago. Major tenants include IRS (12.3% NRA; July 2026), DG Hotels LLC - Esplanade Conference Centre (5.1%; June 2024), Esplanade Fitness Center (4.4%, June 2024) and Syngenta corporation (3.8%; October 2024). Tenants representing 25.6% of the NRA (24.8% of base rents) have lease expirations in 2024. YE 2023 NOI was down 24.8% from YE 2022. The servicer-reported YE 2023 NOI DSCR was 0.93x compared with 1.24x at YE 2022. The YE 2023 occupancy has declined slightly to 70% from 72% at YE 2022. Fitch's 'Bsf' rating case loss of 30.7% (prior to concentration add-ons) reflects a 10% cap rate, 10% stress to the YE 2023 NOI, and a 100% probability of default to reflect the upcoming rollover concerns in 2024 and anticipated refinance concerns. The second largest increase in loss since the prior rating action and the largest contributor to losses in CGCMT 2016-P4 is the REO 401 South State Street asset, a 487,000-sf of office space located in the CBD of Chicago, IL. The collateral consists of the 401 South State Street building (479,522-sf) and the 418 South Wabash Avenue building (7,500-sf). The 401 South State Street loan transferred to the special servicer in June 2020 for payment default and the exposure is in excess of the outstanding loan balance. The properties are 100% vacant after the former single tenant, Robert Morris College (previously 75% of the NRA), vacated prior to its June 2024 lease expiration and stopped paying rent in April 2020. The loan transferred to the special servicer in June 2020 for payment default. A receiver was appointed in September 2020 and a foreclosure sale occurred in March 2023. The servicer noted they are continuing to work on determining the best disposition strategy. Fitch's 'Bsf' rating case loss of 117.0% (prior to concentration add-ons) reflects a 50% stress on the most recent appraisal value from June 2022, representing a stressed value psf of $41. A more recent appraisal has not been provided by the servicer due to ongoing litigation. Another FLOC in CGCMT 2016-P4 is the Park Place loan, which is secured by an office property in Chandler, AZ. This loan is designated as a FLOC due to the high upcoming rollover and declining occupancy since issuance. Three tenants, representing 31.1% of NRA, have lease expirations in 2024, including the largest tenant, Keap (37% of the NRA), where a portion of their space (19.2%) expires in December 2024 and the remaining 17.8% expires in December 2026. Keap has previously vacated part of its space in the building and there is a possibility Keap may further reduce its footprint at the property. The portion of Keap's space rolling in December 2024 represents approximately 18.9% of in-place base rent. The property was 81% occupied as of the December 2023 rent roll, compared with 84% at YE 2022, 83% at YE 2021, 91% at YE 2020, and 81% at YE 2019. Fitch's 'Bsf' rating case loss of 3.0% (prior to concentration add-ons) reflects a 9% cap rate and a 25% stress to the YE 2023 NOI. Additionally, Fitch also ran an additional sensitivity analysis to account for elevated refinance risk, where loan-level 'Bsf' sensitivity case loss increases to 23.5% (prior to concentration add-ons). The second largest loan in GSMS 2016-GS2 is Panorama Corporate Center, which is secured by a 780,648-sf suburban office complex located in Centennial, CO. The loan is interest only for the full loan term. Occupancy has remained stable at approximately 98% since issuance. This loan is designated a FLOC due to upcoming rollover risk in 2025, prior to the February 2026 loan maturity. Largest tenants include United Launch Alliance (59.2% NRA; through February 2027), Comcast (48.1% NRA; 36.9% through February 2029 and 11.3% through December 2025) and Travelport (15.5% NRA; through November 2025). The expiring leases for Comcast and Travelport collectively represent approximately 27% of the NRA. The servicer-reported March 2024 NOI DSCR and occupancy was 2.62x and 98%, respectively. Fitch's 'Bsf' rating case loss of 1.5% (prior to concentration add-ons) reflects a 9% cap rate and a 10% stress to the YE 2023 NOI. Additionally, Fitch also ran an additional sensitivity analysis to account for elevated refinance risk, where loan-level 'Bsf' sensitivity case loss increases to 18.4% (prior to concentration add-ons). Change in Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance for CGCMT 2016-P3 has been reduced by 17.9% to $632.9 million from $771.0 million at issuance. Eight loans (14.2% of pool) have been defeased. As of the June 2024 distribution date, the pool's aggregate balance for CGCMT 2016-P4 has been reduced by 12.9% to $628.3 million from $721.1 million at issuance. Six loans (11.1% of pool) have been defeased. As of the June 2024 distribution date, the pool's aggregate balance for GSMS 2016-GS2 has been reduced by 22.5% to $582.0 million from $750.6 million at issuance. Three loans (6.6%) have been defeased. 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 CE, or if interest shortfalls occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably Nyack College NYC, Marriot Midwest Portfolio and 79 Madison Avenue in CGCMT 2016-P3; Esplanade I, 401 South State Street, Marriot Midwest Portfolio and Park Place in CGCMT 2016-P4; and Panorama Corporate Center in GSMS 2016-GS2, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Nyack College NYC, Marriot Midwest Portfolio, and 79 Madison Avenue in CGCMT 2016-P3; Esplanade I, 401 South State Street, Marriot Midwest Portfolio and Park Place in CGCMT 2016-P4; and Panorama Corporate Center in GSMS 2016-GS2. - 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 '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 'CCCsf' and 'CCsf' 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. CLOVER CLO 2020-1: Fitch Assigns 'BB+sf' Rating on Class E-RR Debt ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Clover CLO 2020-1, LLC reset transaction. Entity/Debt Rating ----------- ------ Clover CLO 2020-1, LLC A-1-RR LT AAAsf New Rating A-2-RR LT AAAsf New Rating B-RR LT AA+sf New Rating C-RR LT A+sf New Rating D-RR LT BBBsf New Rating E-RR LT BB+sf New Rating F-RR LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Clover CLO 2020-1, LLC (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Clover Credit Management, LLC, formerly known as AIG CLO 2020-1, LLC that originally closed in May 2020, and then had its first refinancing in June 2021. This is the second refinancing for this transaction, whereby the existing notes will be refinanced in whole on July 24, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 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 96.25% first-lien senior secured loans and has a weighted average recovery assumption of 75.29%. 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-1-RR, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-RR, and between less than 'B-sf' and 'BB-sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-RR 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-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-RR and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that the data is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Clover CLO 2020-1, LLC. 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. EXETER AUTOMOBILE 2024-4: S&P Assigns 'BB-' Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2024-4'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 60.02%, 53.50%, 44.92%, 34.18%, and 26.73% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post pricing stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, and 1.20x coverage of its expected cumulative net loss (ECNL) of 22.00% for classes A, B, C, D, and E, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within our credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under our stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A. (Citibank), which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC (Exeter) as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. S&P's ECNL for EART 2024-4 is 22.00%, which is unchanged from EART 2024-3. It reflects: -- S&P's view that EART 2024-4's collateral characteristics are slightly stronger than those of EART 2024-3. In addition, Exeter's selection criteria limit the accounts that are included in the EART 2024-4 collateral pool to ones that have either made at least one payment or have a post-funding score greater than or equal to 220, which S&P views as a credit positive. -- EART's outstanding rated series' performances, which remain in line with or better than our initial or prior CNL expectations--except for EART 2022-1, 2022-2, 2022-3, 2022-4, and 2022-5, which are trending worse than our initial or prior CNLs. -- S&P forward-looking view of the auto finance sector, including its outlook for a shallower and more attenuated economic slowdown. Ratings Assigned Exeter Automobile Receivables Trust 2024-4 Class A-1, $79.000 million: A-1+ (sf) Class A-2, $205.173 million: AAA (sf) Class A-3, $110.477 million: AAA (sf) Class B, $108.260 million: AA (sf) Class C, $125.850 million: A (sf) Class D, $128.620 million: BBB (sf) Class E, $112.430 million: BB- (sf) EXTENET ISSUER 2024-1: Fitch Assigns 'BB-sf' Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2024-1 as follows: - $272,200,000 series 2024-1, class A-2, 'A-sf'; Outlook Stable; - $47,400,000 series 2024-1, class B, 'BBB-sf'; Outlook Stable; - $56,300,000 series 2024-1, class C, 'BB-sf'; Outlook Stable. The following class is not rated: - $19,800,000 series 2024-1, class R (horizontal credit risk retention interest with a balance representing 5% of the fair value of the notes at the time of closing). Transaction Summary This transaction is a securitization of contractual license payments derived from a national portfolio of 137 outdoor distributed antenna system (DAS) networks located in major metro areas across 26 states, guaranteed by the indirect parent of the borrower issuer. This guarantee is secured by a pledge and first-priority-security interest in 100% of the equity interest of the issuer. Collateral assets include small cell equipment, dark fiber conduits, pole attachments, headend electronics, access rights, customer license agreements and transaction accounts. At closing, note proceeds will be used to fund upfront reserves, refinance existing debt and fund general corporate purposes. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in small cell sites, not an assessment of the corporate default risk of the ultimate parent, ExteNet Systems, LLC (Extenet). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $31.7 million, implying an 9.8% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 11.9x, versus the debt/issuer NCF leverage of 10.7x. Based on the Fitch NCF and assumed annual revenue growth consistent with the weighted average (WA) escalator of the collateralized pool of distributed network system (DNS) licenses, and following the transaction's anticipated repayment date (ARD), the notes would be repaid 20.6 years from closing, and the investment-grade-rated notes would be repaid 16.2 years from closing. 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; high contract renewal rates; low market concentration; high barriers to entry; the creditworthiness of the customer base; the market position of the operator; the capability of the sponsor; limited operational requirements; and 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 do not achieve ratings 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, rendering obsolete the current transmission of wireless signals through small cell nodes or transmission of data through fiber optic cables, will be developed. Wireless service providers (WSPs) currently depend on small cells to transmit their signals in areas that cannot be feasibly reached by traditional macro wireless towers, and continue to invest in this technology. Verizon Rating Cap: Fitch performed a stress scenario in which revenues were reduced by 45.6% in year one, based on the revenue contribution of Verizon Communications, Inc. (Verizon, A-/Stable). Thereafter, the remaining revenues were allowed to increase based on the average contractual increase of remaining leases, when considering allowable migration given substitution provisions. Issuer assumptions for management fee, capital expenditures and expense margins were maintained. Fitch compared the total outstanding loan balance: if the series does not refinance at the respective ARDs and principal is paid down using excess cash flow; with the total outstanding loan balance; and if the revenue is stressed. In this scenario, classes B and C failed to pay-in-full by the transaction's legal maturity date in July 2054. Therefore, the ratings on classes B and C will be capped at Verizon's Long-Term Issuer Default Rating (IDR) of 'A-'/Stable. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher site expenses or license churn, and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Fitch's NCF was 9.8% 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 to 'BBB-sf' from 'A-sf'; class B to 'BBsf' from 'BBB-sf'; and class C to 'B-sf' from 'BB-sf'. The ratings for classes B and C are also sensitive to negative rating actions on Verizon's IDR due to excessive counterparty exposure and the ultimate repayment of these classes being reliant on obligations from Verizon. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from lower site expenses, contractual license escalators, new license agreements, or license agreements could lead to upgrades. However, upgrades are unlikely given the provision to issue additional debt. Upgrades may also be limited because the ratings are capped at 'Asf' due to the risk of technological obsolescence. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf'; class B to 'BBBsf' from 'BBB-sf' to 'BBBsf'; class F to 'BBsf' from '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 of certain characteristics with respect to the portfolio of wireless communication sites and related license agreements in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The ratings of classes B and C are capped at the IDR of Verizon, which is the transaction's largest contractual counterparty and comprises 45.6% of ARRR. A downgrade of Verizon's IDR below the assigned ratings for classes B and/or C would result in a downgrade of the notes to Verizon's IDR. ESG Considerations ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2024-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors including the issuer's ability to issue additional notes, 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. GOLDENTREE LOAN 14: Fitch Assigns 'B-sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 14, Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 14, Ltd. A-R LT AAAsf New Rating B-1 38136RAE7 LT PIFsf Paid In Full AAsf B-2 38136RAG2 LT PIFsf Paid In Full AAsf B1-R LT AAsf New Rating B2-R LT AAsf New Rating C 38136RAJ6 LT PIFsf Paid In Full A+sf C-J 38136RAL1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38136RAN7 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 38137VAA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F-R LT B-sf New Rating X-R LT AAAsf New Rating Transaction Summary GoldenTree Loan Management US CLO 14, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM II, LP. that originally closed in July, 2022. On July 22, 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 $492 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.02, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.37% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.97% versus a minimum covenant, in accordance with the initial expected matrix point of 65.9%. 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 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 'AAAsf' and '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 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, between less than 'B-sf' and 'BB-sf' for class E-R, and between less than 'B-sf' and '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, 'AAsf' for class C-R, 'Asf' for class D-R, 'BBB+sf' for class E-R, and between 'BB+sf' and 'B+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 GoldenTree Loan Management US CLO 14, 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. GOLUB CAPITAL 75(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 75(B), Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 75(B), Ltd. A-1 LT NRsf New Rating NR(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-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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 Fitch's 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, 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. GS MORTGAGE 2019-GC38: Fitch Affirms B-sf Rating on Cl. H-RR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 16 classes of GS Mortgage Securities Trust series 2019-GC38 commercial mortgage pass-through certificates (GSMS 2018-GC38). The Rating Outlook on class E-RR has been revised to Negative from Stable. The Outlooks remain Negative for classes F-RR, G-RR and H-RR. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2019-GC38 A-1 36252SAS6 LT AAAsf Affirmed AAAsf A-2 36252SAT4 LT AAAsf Affirmed AAAsf A-3 36252SAU1 LT AAAsf Affirmed AAAsf A-4 36252SAV9 LT AAAsf Affirmed AAAsf A-AB 36252SAW7 LT AAAsf Affirmed AAAsf A-S 36252SAZ0 LT AAAsf Affirmed AAAsf B 36252SBA4 LT AA-sf Affirmed AA-sf C 36252SBB2 LT A-sf Affirmed A-sf D 36252SAA5 LT BBBsf Affirmed BBBsf E-RR 36252SAE7 LT BBB-sf Affirmed BBB-sf F-RR 36252SAG2 LT BB+sf Affirmed BB+sf G-RR 36252SAJ6 LT BB-sf Affirmed BB-sf H-RR 36252SAL1 LT B-sf Affirmed B-sf X-A 36252SAX5 LT AAAsf Affirmed AAAsf X-B 36252SAY3 LT A-sf Affirmed A-sf X-D 36252SAC1 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS 'Bsf' Loss Expectations: The affirmations reflect the generally stable pool performance and loss expectations since Fitch's prior rating action. Fitch's current ratings incorporate a 'Bsf' rating case loss of 4.7%. Six loans are classified as Fitch Loans of Concern (FLOCs; 16.2% of the pool). No loans are currently in special servicing. The Negative Rating Outlooks on classes E-RR, F-RR, G-RR and H-RR reflect the elevated office concentration in the pool of 35.2% and performance concerns on office FLOCs, including 3 Park Avenue (5.1%), 5444 & 5430 Westheimer (2.1%), Fairbridge Office Portfolio (2.1%) and Mission Point Office (1.5%). Downgrades are possible without performance stabilization of these office FLOCs. Largest Loss Contributors: The largest increase in loss since the prior rating action is the 5444 & 5430 Westheimer loan (3.1%), which is secured by a 405,000-sf suburban office building located in Houston, TX. Per the March 2024 rent roll, occupancy further declined to 51% from 58% at YE 2023 and 78% at YE 2022. Tenants that have vacated at lease expiration include Alliant Insurance Services (9.6% NRA), AECOM Technology Corp (14.4% NRA), SESCO Cement Corp (3.1% NRA) and Apex Brokerage LLC (1.7% NRA). Near-term lease rollover consists of 5.6% of the NRA in 2024, 13.8% in 2025 and 9.6% in 2026. The Galleria/Uptown office submarket remains challenged, exhibiting a high vacancy rate of 29.6%, as reported by CoStar for 2Q24. The borrower is reportedly in leasing negotiations and has some leasing prospects. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 21.7% reflects a cap rate of 10.25% and 30% stress to the YE 2023 NOI to account for the occupancy declines and lease rollover concerns, coupled with weakening submarket conditions, inclusive of high availability. The largest contributor to overall loss expectations is the 3 Park Avenue loan, which is secured by 641,186-sf of office space on floors 14 through 41 and 26,260-sf of multi-level retail space located on Park Avenue and 34th Street in the Murray Hill office submarket of Manhattan. The top three tenants are Houghton Mifflin Harcourt (15.2%; December 2027), P. Kaufman (6.9%; December 2030) and Return Path, Inc. (3.5%; July 2025). Property occupancy declined to 54% at YE 2023, in line with 2022, but remains well below 86% at issuance, largely from the departure of TransPerfect Translations (13.7% NRA) in 2019, Icon Capital Corporation (3.4% NRA) in 2023 and several tenants that have downsized their spaces. The servicer-reported NOI DSCR was 0.91x at YE 2023, compared with 0.81x at YE 2022 and significantly below 2.08x based on the originator's underwritten NOI at issuance. The largest tenant, Houghton Mifflin Harcourt, has listed two floors totaling 45,444-sf for sublease; this square footage represents 45% of the Houghton Mifflin space and 6.8% of the total building space footage. Fitch's 'Bsf' rating case loss of 21.9% (prior to concentration adjustments) is based on an 8.50% cap rate to the Fitch sustainable NCF that is inline with Fitch's issuance NCF. Fitch's loss expectation also factors a higher probability of default due to the performance declines and low DSCR. The third largest increase in loss since the prior rating action is from the Fairbridge Office Portfolio loan (2.1%), which is secured by a two-property office portfolio located in Illinois and totaling 385,525-sf. Performance of the portfolio continues to deteriorate with YE 2023 occupancy and NOI DSCR falling to 59% and 1.01x, respectively, from 64% and 1.27x at YE 2022. The borrower is reportedly in discussion with several tenants on renewals and is in discussion with existing tenants InProduction (1.3% of portfolio NRA) and Sargen & Lundy (8.5%) on potential expansion of their spaces. As of the July 2024 remittance, the loan remains current. Fitch's 'Bsf' rating case loss of 16.4% (prior to concentration adjustments) reflects a 10% stress to the YE 2023 NOI with a cap rate of 10.5% and factors a higher probability of default given the deteriorating performance and weakness of the submarket. Another large contributor to overall loss expectations is the Mission Point loan, secured by a 91,232-sf office building in Dayton, OH, adjacent to the Wright-Patterson Air Force Base. This FLOC was flagged for upcoming rollover concerns, including the second largest tenant, and low DSCR. Major tenants at the property include DRS Intelligence & Avioni (29.9% of NRA through November 2028), General Atomics (18.3%; March 2025), Etegent Technologies (13.3%; December 2028) and Arctos Technology Solutions (10%; October 2027) Per the March 2024 rent roll, the property was 78.1% occupied, compared to 78% at YE 2023, 65% at YE 2022, 76% at YE 2021, and 100% at YE 2020. The servicer-reported NOI DSCR was 1.12x at YE 2023, compared to 1.01x at YE 2022, 2.17x at YE 2021, and 2.11x at YE 2020. Fitch's 'Bsf' rating case loss of 10.0% (prior to concentration adjustments) reflects a 20% stress to the TTM March 2024 NOI with a cap rate of 10%. Fitch also considered a sensitivity scenario which factors a higher probability of default given the deteriorating performance trends and upcoming rollover. Improved Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance for has been reduced by 11.7% to $667.9 million from $756.4 million at issuance. Three loans (3.0% of pool) have been defeased. Interest shortfalls are currently affecting the non-rated class I-RR. Of the remaining pool balance, 18 loans (71.7%) are full-term, interest-only and the remaining 28.3% of the pool is amortizing. Credit Opinion Loans: One loan, Albertsons Industrial-IL, representing 6.2% of the pool, had a credit opinion assigned at issuance and remains as a credit opinion loan. The 365 Bond loan was previously assigned a credit opinion and was repaid at its December 2023 maturity date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' classes are not likely due to their 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 the 'AAsf' and 'Asf' category 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 'BBBsf' category could occur if deal-level losses increase significantly from outsized losses on the office FLOCs, particularly 3 Park Avenue, 5444 & 5430 Westheimer, Fairbridge Office Portfolio and Mission Point Office, or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to the 'BBsf' and 'Bsf' rated category are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and/or with greater certainty of losses on other FLOCs. 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 performance on the FLOCs, including 3 Park Avenue, 5444 & 5430 Westheimer, Fairbridge Office Portfolio and Mission Point Office. 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. 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. GS MORTGAGE 2019-SL1: Fitch Assigns 'B-sf' Rating on Class B4 Notes ------------------------------------------------------------------- Fitch Ratings assigns ratings and Rating Outlooks to previously rated unrated subordinate B-3 and B-4 classes from GS Mortgage-Backed Securities Trust 2019-SL1 (GSMBS 2019-SL1). Entity/Debt Rating ----------- ------ GSMBS 2019-SL1 B3 36257EAL7 LT BBBsf New Rating B4 36257EAM5 LT B-sf New Rating Transaction Summary The B-3 and B-4 classes were unrated at deal close (August 2019), and are subordinate to more senior classes with existing ratings. GSMBS 2019-SL1 has performed well since issuance, all of the existing ratings are either 'AAAsf' or investment grade with a Positive Rating Outlook. KEY RATING DRIVERS Lower Expected Losses for Second Lien Collateral (Positive): GSMBS 2019-SL1 is backed entirely by seasoned and re-performing closed-end second lien mortgages. The loans are seasoned approximately 220 months in aggregate. Fitch assumes 100% loss severity (LS) for all second lien collateral. Expected losses are determined by the pool's probability of default (PD) as loss severity remains at 100%. The expected losses for GSMBS 2019-SL1 have decreased since issuance. Reduced loss expectations are driven by strong borrower performance and increased borrower home equity. Home price appreciation has supported the pool by increasing borrowers' equity, as measured by notable declines in loan-to-value (LTV) ratios. Fitch's sustainable LTV value has decreased 36.8% on average since issuance, and is currently 55.6%. Stable Performance (Positive): The pool's 30+ delinquency (DQ)% level is down 1.0% yoy, currently 5.0%, and approximately 3.3% below the Reperforming sector average. Serious delinquency levels are relatively high however, with 90+ DQ% at 3.0%. 83% of the pool is current and has been current for at least 24 months. Sequential Structure (Positive): The transaction utilizes a sequential pay structure. The B3 & B4 coupons are equal to the Net weighted average coupon. The credit enhancement (CE) consists of subordinated notes, the distributions of which will be subordinated to principal and interest payments due to senior noteholders. Unlike other RPL transactions, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes will not be used to turbo down the notes. Any excess cash flows can be deposited in a breach reserve account. The remaining monthly excess cashflow can then be paid to the class X notes. This transaction does not have a feature which applies the balance of a defaulted loan as a realized loss to the trust at 180 days delinquent as seen in other, more recent, second lien deals. In addition to strong borrower performance, the transaction has also benefited from significant paydowns. Current deal factor is 41% at a deal age of 58 months. The most senior class (A1) has completely paid off, and the A2 currently has a factor of 33% which has contributed to significant deleveraging. Since issuance, the B3 and B4 classes have seen a 16.5% and 9.4% increase in credit enhancement percentage, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative stress sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected decline at the base case. This analysis indicates that there is some potential rating migration with higher MVDs compared with the model projection. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf' as well as classes that are constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes. 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. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to U.S. RMBS Loss Metrics. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was provided at issuance, but not updated 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. HERTZ VEHICLE III: Moody's Gives Ba2 Rating to 2024-1 Cl. D Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the series 2024-1 and series 2024-2 rental car asset-backed notes issued by Hertz Vehicle Financing III LLC (HVFIII, or the issuer), which is Hertz's rental car ABS master trust facility. The series 2024-1 notes and the series 2024-2 notes have an expected final payment date in three and five years, respectively. 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 actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2024-1 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2024-1 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2024-1 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2024-1 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) Series 2024-2 Rental Car Asset Backed Notes, Class A, Definitive Rating Assigned Aaa (sf) Series 2024-2 Rental Car Asset Backed Notes, Class B, Definitive Rating Assigned A2 (sf) Series 2024-2 Rental Car Asset Backed Notes, Class C, Definitive Rating Assigned Baa3 (sf) Series 2024-2 Rental Car Asset Backed Notes, Class D, Definitive Rating Assigned Ba2 (sf) Moody's also announced that the issuance of the series 2024-1 and series 2024-2 notes, in and of themselves and at this time, will not result in a reduction, withdrawal, or placement under review for possible downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the Issuer. No actions were taken on the tranches from the other rated series within this master trust 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. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The definitive ratings of the notes are based on (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 series 2024-1 and series 2024-2 class A, class B, and class C notes benefit from subordination of 31.5%, 21.5%, and 8.0% of the outstanding balance of each series, respectively. The proposed liquidity enhancement amount is around 4.00% of the outstanding note balance for the series 2024-1 and series 2024-2, sized to cover six months of interest plus 50 basis points. Consistent with prior transactions, the series are 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 2024-1 and series 2024-2 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 these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2024-1 and 2024-2 subordinated 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 ratings of the series 2024-1 and 2024-2 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. HOMES 2024-NQM1: S&P Assigns B-(sf) Rating on Class B2 Certs ------------------------------------------------------------ S&P Global Ratings assigned ratings to HOMES 2024-NQM1 Trust's series 2024-NQM1 mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including some loans with interest-only features, secured by single-family residences including townhouses and a row house, planned unit developments, condominiums, condotels, two- to four-family homes, and manufactured housing properties to both prime and nonprime borrowers. The pool has 802 loans backed by 804 properties, which are primarily non-qualified mortgage loans and ability-to-repay exempt. S&P said, "After we assigned preliminary ratings on July 17, 2024, the sponsor removed three mortgage loans from the pool and reduced certificate amounts proportionally, keeping the credit enhancement unchanged from what it was at the time of our preliminary ratings. In addition, the class B-1A certificate rate was priced at a fixed coupon rate. After analyzing the final coupons and updated structure, we assigned ratings for all classes that are unchanged from the preliminary ratings we assigned." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The pool's geographic concentration; 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." Ratings(i) Assigned HOMES 2024-NQM1 Trust Class A-1, $228,038,000: AAA (sf) Class A-2, $29,597,000: AA (sf) Class A-3, $46,000,000: A (sf) Class M-1, $19,434,000: BBB (sf) Class B-1A, $3,745,000: BBB-(sf) Class B-1B, $13,728,000: BB-(sf) Class B-2, $9,985,000: B-(sf) Class B-3, $6,062,303: Not rated Class A-IO-S, notional(ii): Not rated Class X, notional(ii): Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. HPS LOAN 8-2016: S&P Affirms 'BB- (sf)' Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings raised its rating on the class B-R notes from HPS Loan Management 8-2016 Ltd. At the same time, affirmed S&P's ratings on the class A1-R, C-R, D-R, and E-R notes from the same transaction and removed the rating on the class E-R notes from CreditWatch, where S&P placed it with negative implications on May 31, 2024. The rating actions follow S&P's review of the transaction's performance using data from the June 2024 trustee report. The transaction has paid down $85.6 million to the class A1-R notes since its July 2018 rating actions. The reported overcollateralization (O/C) ratios have changed since the July 2018 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 134.31% from 131.58%. -- The class C O/C ratio declined to 121.89% from 121.95%. -- The class D O/C ratio declined to 111.57% from 113.64%. -- The class E O/C ratio declined to 105.97% from 108.99%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the junior O/C ratios declined due to a combination of par losses and increase in defaults following an increase in lower-quality assets. The upgraded rating reflects the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. S&P said, "Since our placement of the class E-R notes' rating on CreditWatch Negative on May 31, 2024, the class A1-R notes paid down by 36.70 million. Collateral obligations with ratings in the 'CCC' category have decreased since our CreditWatch placement, with $29.30 million reported as of the June 2024 trustee report, compared with $36.27 million reported as of the April 2024 trustee report. We affirmed our rating on the class E-R notes, as this class now passes our cash flow stresses at the current rating. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Raised HPS Loan Management 8-2016 Ltd. Class B-R to 'AA (sf)' from 'AA+ (sf)' Rating Affirmed And Removed From CreditWatch Negative HPS Loan Management 8-2016 Ltd. Class E-R to 'BB- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed HPS Loan Management 8-2016 Ltd. Class A1-R: AAA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) IRWIN HOME 2006-3: Moody's Upgrades Rating on 2 Tranches to Ba1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds from two US residential mortgage-backed transactions (RMBS), backed by second lien and HELOC mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Irwin Home Equity Loan Trust 2006-3 Cl. II-A-3, Upgraded to Ba1 (sf); previously on Jun 30, 2010 Confirmed at Ca (sf) Cl. II-A-4, Upgraded to Ba1 (sf); previously on Jun 30, 2010 Confirmed at Caa3 (sf) Issuer: Irwin Home Equity Loan Trust 2007-1 Cl. IIA-3, Upgraded to Baa3 (sf); previously on Jun 30, 2010 Downgraded to C (sf) Cl. IIA-4, Upgraded to Baa3 (sf); previously on Jun 30, 2010 Confirmed at Caa3 (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 benefits from a financial guaranty insurance policy. The bond insurer, who provides the financial guaranty insurance policy, is no longer rated by us. As such, each of the upgrades reflects Moody's forward looking view of the performance of the underlying assets in relation to the available credit enhancement, without giving credit to the financial guaranty insurance policy. Both transactions were under-collateralized in the past due to poor performance but have gradually built over-collateralization, contributing to the increase in credit enhancement on average, 29% since 12 months ago. The increase in credit enhancement, along with the steady collateral performance, has led to large upgrades for each of these bonds. 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 the upgrades. 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. JP MORGAN 2024-VIS2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its 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. S&P said, "After we assigned preliminary ratings on July 19, 2024, the pass-through rate on the class B-1 certificates was determined at pricing to be net weighted average coupon. After analyzing the final coupons, we assigned final ratings that are unchanged from the preliminary ratings we assigned for all classes." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, mortgage aggregator and mortgage originators, and representation and warranty framework; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "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." 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 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. LODI PARK: S&P Assigns BB- (sf) Rating on $18MM Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned ratings to Lodi Park CLO Ltd./Lodi Park CLO LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone CLO Liquid Credit Strategies LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Lodi Park CLO Ltd./Lodi Park CLO LLC Class A-1, $369.000 million: AAA (sf) Class A-2, $33.000 million: Not rated Class B-1, $45.000 million: AA (sf) Class B-2, $9.000 million: AA (sf) Class C (deferrable), $36.000 million: A (sf) Class D-1 (deferrable), $36.000 million: BBB- (sf) Class D-2 (deferrable), $6.000 million: BBB- (sf) Class E (deferrable), $18.000 million: BB- (sf) Subordinated notes, $56.647 million: Not rated MARANON LOAN 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned 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 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. 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. MARBLE POINT XVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Marble Point CLO XVII, Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Marble Point CLO XVII, Ltd. A 56606CAA1 LT PIFsf Paid In Full AAAsf X LT AAAsf New Rating A-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB+sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Marble Point CLO XVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) --which originally closed in March 2020 -- that will be managed by Marble Point CLO Management LLC. This is the first refinancing of the transaction, where existing notes will be refinanced in full on July 2024.Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.38, versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.54% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.37% versus a minimum covenant, in accordance with the initial expected matrix point of 73.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 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 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 do not impact the class X notes and are as severe as between 'BBB+sf' and 'AA+sf' for class A-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-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 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, '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 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 Marble Point CLO XVII, 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. MARINER 2024-A: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Mariner Finance Issuance Trust 2024-A's asset-backed notes. The note issuance is ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of July 26, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 54.48%, 46.24%, 41.16%, 35.41%, and 28.87% credit support for the class A, B, C, D, and E notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the preliminary ratings assigned to the notes based on S&P's stressed cash flow scenarios. -- S&P's worst-case, weighted average, base-case default assumption for this transaction of 18.45%. Its default assumption is a function of the transaction-specific reinvestment criteria and historical Mariner Finance LLC (Mariner) portfolio loan performance. -- Mariner's long performance history as originator and servicer. Mariner has been profitable every year since 2002. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be consistent with the credit stability section of "S&P Global Ratings Definitions," published June 9, 2023. -- The timely interest and full principal payments expected to be made by the final maturity date under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the three-year revolving period, which considers the worst-case pool according to the transaction's concentration limits. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Mariner Finance Issuance Trust 2024-A Class A, $191.06 million(i): AAA (sf) Class B, $36.87 million(i): AA- (sf) Class C, $20.11 million(i): A- (sf) Class D, $23.46 million(i): BBB- (sf) Class E, $28.50 million(i): BB- (sf) (i)The actual sizes and interest rates of the tranches will be determined on the pricing date. MFA TRUST 2024-RPL1: Fitch Assigns 'Bsf' Rating on Class B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by MFA 2024-RPL1 Trust (MFA 2024-RPL1). Entity/Debt Rating Prior ----------- ------ ----- MFA 2024-RPL1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(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 AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates 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 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. There have been no changes to the collateral or structure since the presale. 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 due to stress scenario, starting at 10% for the 'Bsf' rating stress and reaching 30% for the 'AAAsf' stress. Due to 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 market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.0%, 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. MORGAN STANLEY 2014-150E: S&P Cuts Cl. D Certs Rating to 'B-(sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on 10 classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2014-150E, a U.S. CMBS transaction. This is a U.S. standalone (single-borrower) CMBS transaction that is backed by a fixed-rate interest-only (IO) mortgage loan secured by the borrower's leasehold and sub-subleasehold interests in a class A- office building at 150 E. 42nd St. in Midtown Manhattan's Grand Central office submarket. Rating Actions The downgrades on classes A, A-S, B, C, D, E, F, and G primarily reflect that: -- While the property is currently about 89.2% leased, all the tenants except The Mount Sinai Hospital (26.3% of the net rentable area [NRA], 22.4% of S&P Global Ratings' gross rent) have leases that expire through 2028. The largest tenant, Wells Fargo Bank N.A. (27.0%; 32.2%), announced in late 2023 that it will depart upon its 2028 lease expiration. Further, three tenants (17.5%; 20.1%) have marketed either a portion or their entire space for sublease. It is unclear if the sponsors are able to backfill vacancies at the property in a timely manner without significant capital outlay to re-tenant vacant spaces. They have not signed a new lease since 2018, despite the property being 11.8% vacant. Our view is that unless the sponsor infuses additional capital to support the property and mitigates the significant rollover risk in 2028, the borrower may face challenges refinancing the loan upon its Sept. 5, 2024, maturity default. According to the master servicer, Berkadia Commercial Mortgage LLC, the borrower has not provided an update on its intent at loan maturity. S&P considered that if the loan transfers to special servicing and the resolution timing is protracted, it may result in reduced liquidity and recovery to the trust. -- S&P said, "We further revised our expected-case valuation, which is now 12.5% lower than the valuation we derived in our September 2023 review and 24.2% lower than the valuation we derived at issuance. We utilized higher vacancy rate, tenant improvement (TI) cost, and capitalization rate assumptions given the factors previously noted." -- The downgrades on classes E, F, and G to 'CCC (sf)' also reflect S&P's view that these classes are at heightened risk of default and losses and are susceptible to liquidity interruption, based on its analysis, current market conditions, and their positions in the payment waterfall. According to the July 11, 2024, trustee remittance report, class G had accumulated interest shortfalls outstanding totaling $1,349, which S&P deemed de minimis. S&P said, "We lowered our ratings on the class X-A and X-B IO certificates based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references classes A and A-S, and the notional amount of class X-B references class B. "We will continue to monitor the tenancy and performance of the property and the loan. If we receive information including a special servicing transfer and resolution strategies that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis The collateral property is a 42-story, 1.7-million-sq.-ft. class A- office tower at 150 E. 42nd St. in Midtown Manhattan's Grand Central office submarket. The building occupies an entire city block between Third and Lexington Avenues and East 41st and 42nd Streets and is diagonally opposite of the Grand Central Terminal, connected via its own underground entrance. The property has 1.5 million sq. ft. of office space on the mezzanine (second) through the 42nd floor, 49,633 sq. ft. of ground-floor retail space, and 115,857 sq. ft. of concourse and sub-concourse space. The office tower was constructed in 1954 and originally served as Mobil Oil Corp.'s global headquarters until 1987. It was last renovated in 1998. The collateral property was acquired by the current sponsor, a joint venture between 601W Cos. and Berkley Properties LLC in 2014, for a total cost of about $959.5 million ($560 per sq. ft.). The property is subject to a 99-year ground lease that commenced in 2014 with the Goelet family as the ground lessor and that expires Dec. 31, 2113. The ground rent payments are fixed for the first 15 years, starting at $20.0 million annually and escalating by $2.0 million every five years. Thereafter, the ground rent payments are based on the greater of a fixed amount and at least 20.0% of the average net operating income, as defined in the transaction documents. S&P said, "The ground rent expense was $22.0 million as of year-end 2023, and we expect it to step up to $24.0 million in 2024; however, in our property level analysis, we assumed the ground rent expense 10 years from the loan maturity date or $26.0 million (which is the fixed amount that is scheduled to occur in years 16 through 20)." The office tower has historically been well occupied, averaging 94.4% from 2003 to 2023. According to the March 31, 2024, rent roll, the office building was 89.2% leased, which is relatively the same as in our September 2023, review. At that time, we noted that the office submarket fundamentals had softened and, resultingly, assumed a 15.0% vacancy rate, $61.95-per-sq.-ft. S&P Global Ratings' gross rent, and higher TI costs to arrive at S&P's revised long-term sustainable net cash flow (NCF) of $28.3 million. According to the March 31, 2024, rent roll, the five largest tenants accounted for 77.3% of NRA: -- Wells Fargo Bank (27.0% of NRA, 32.2% of S&P Global Ratings' gross rent, December 2028). The tenant announced late 2023 that it will vacate the property and move to 20 Hudson Yards; -- The Mount Sinai Hospital (26.3%, 22.4%, March 2046); -- Dentsu International (12.1%, 14.5%, December 2028). According to various news articles, the tenant signed a 15-year lease for 320,000 sq. ft. at 341 Ninth Ave. in 2019 with plans to consolidate its New York City offices by 2023. However, according to CoStar, the tenant has since marketed its space at 341 Ninth Ave. for sublease. It has also marketed 54.5% of its leased NRA (or 6.6% of total NRA) at the subject property for sublease; -- Wilson Elser Moskowitz (7.4%, 7.6%, December 2028); and -- UniCredit GmbH (4.6%, 4.7%, December 2028). The property faces minimal rollover through 2027. However, 15 leases totaling 61.4% of NRA and 75.4% of gross rent, as calculated by S&P Global Ratings, roll in 2028. There has been no new tenant lease signed at the property since 2018. According to the July 2024 CRE Finance Council loan-level reserve report, there is $9.9 million in the replacement, repair, and tenant reserve accounts. S&P said, "In our current analysis, we utilized a 16.5% vacancy rate (in line with the current submarket fundamentals), $62.99 per sq. ft. S&P Global Ratings' gross rent, 63.0% operating expense ratio, and higher TI costs to arrive at our revised net cash flow of $26.9 million, 4.7% below our last review's NCF. Using a 6.75% S&P Global Ratings' capitalization rate (up 50 basis points from our last review, which reflects our view of the leasing uncertainty and property quality) and including $46.8 million for the present value of future rent steps for investment grade rated tenants and $8.8 million for the present value of the difference between our assumed and the actual ground rent expense, we derived an S&P Global Ratings' expected case-value of $454.9 million, or $266 per sq. ft. This yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 115.4% on the trust loan balance." According to CoStar, 3-star properties in the Grand Central office submarket, where the subject property is located, continued to experience elevated vacancy (12.7%) and availability (15.5%) levels and flat average asking rent ($55.69 per sq. ft.) as of year-to-date July 2024. CoStar projects vacancy to increase to 16.4% in 2028 and average asking rent to be relatively flat at $56.69 per sq. ft. for the same period. Table 1 Servicer-reported collateral performance 2023(I) 2022(I) 2021(I) Occupancy rate (%) 89.2 97.0 94.4 Net cash flow (mil. $) 42.0 40.2 41.6 Debt service coverage (x) 1.84 1.76 1.82 Appraisal value (mil. $) 900.0 900.0 900.0 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (JULY 2024)(I) (SEP 2023)(I) (SEP 2014)(I) Occupancy rate (%) 83.5 85.0 92.0 Net cash flow (mil. $) 26.9 28.3 29.7 Capitalization rate (%) 6.75 6.25 6.25 Value (mil. $) 454.9 519.9 599.9 Value per sq. ft. ($) 266 303 350 Loan-to-value ratio (%) 115.4 101.0 87.5 (i)Review period. Transaction Summary The IO mortgage loan had an initial and current balance of $525 million (as of the July 11, 2024, trustee remittance report), pays an annual fixed interest rate of 4.3%, and matures on Sept. 5, 2024. Berkadia reported a debt service coverage of 1.84x as of year-end 2023 on the trust loan. In addition to the mortgage loan, there is a IO mezzanine loan totaling $175 million. Including the mezzanine loan, the S&P Global Ratings LTV ratio increases to 153.9%. To date, the transaction has not experienced any principal losses. Ratings Lowered Morgan Stanley Capital I Trust 2014-150E Class A to 'A (sf)' from 'AAA (sf)' Class A-S to 'BBB (sf)' from 'AA (sf)' Class B to 'BBB- (sf)' from 'AA- (sf)' Class C to 'BB- (sf)' from 'A- (sf)' Class D to 'B- (sf)' from 'BBB- (sf)' Class E to 'CCC (sf)' from 'BB (sf)' Class F to 'CCC (sf)' from 'B+ (sf)' Class G to 'CCC (sf)' from 'B- (sf)' Class X-A to 'BBB (sf)' from 'AA (sf)' Class X-B to 'BBB- (sf)' from 'AA- (sf)' MORGAN STANLEY 2015-C25: Fitch Lowers Rating on Cl. E Certs to Bsf ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of Bank of America Merrill Lynch (BACM) Commercial Mortgage Trust 2015-UBS7. The Rating Outlook for class B has been revised to Negative from Stable. Fitch has affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Commercial Mortgage Pass-Through Certificates series 2015-C23. The Rating Outlooks for classes D, E and F have been revised to Negative from Stable. Fitch has downgraded four and affirmed nine classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C25 (MSBAM 2015-C25). Fitch assigned Negative Outlooks to classes D, E and X-D following their downgrades and revised the Outlook to Negative from Stable for classes B and C. Fitch has downgraded one class and affirmed 14 classes of Morgan Stanley Capital I Trust (MSCI) 2015-UBS8 Commercial Mortgage Pass-Through certificates. Fitch assigned Negative Outlooks to class C following its downgrade and revised the Outlook to Negative from Stable for classes A-S, B and X-B. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C25 A-3 61765TAD5 LT AAAsf Affirmed AAAsf A-4 61765TAE3 LT AAAsf Affirmed AAAsf A-5 61765TAF0 LT AAAsf Affirmed AAAsf A-S 61765TAK9 LT AAAsf Affirmed AAAsf A-SB 61765TAC7 LT AAAsf Affirmed AAAsf B 61765TAL7 LT AA-sf Affirmed AA-sf C 61765TAM5 LT A-sf Affirmed A-sf D 61765TAN3 LT BBsf Downgrade BBB-sf E 61765TAP8 LT Bsf Downgrade BB-sf F 61765TAR4 LT CCCsf Downgrade B-sf X-A 61765TAG8 LT AAAsf Affirmed AAAsf X-B 61765TAH6 LT AAAsf Affirmed AAAsf X-D 61765TAJ2 LT BBsf Downgrade BBB-sf MSCI 2015-UBS8 A-3 61691ABK8 LT AAAsf Affirmed AAAsf A-4 61691ABL6 LT AAAsf Affirmed AAAsf A-S 61691ABN2 LT AAsf Affirmed AAsf A-SB 61691ABJ1 LT AAAsf Affirmed AAAsf B 61691ABP7 LT A-sf Affirmed A-sf C 61691ABQ5 LT BB-sf Downgrade BBB-sf D 61691AAQ6 LT CCCsf Affirmed CCCsf E 61691AAS2 LT CCsf Affirmed CCsf F 61691AAU7 LT Csf Affirmed Csf G 61691AAW3 LT Csf Affirmed Csf X-A 61691ABM4 LT AAAsf Affirmed AAAsf X-B 61691AAA1 LT A-sf Affirmed A-sf X-D 61691AAC7 LT CCsf Affirmed CCsf X-F 61691AAG8 LT Csf Affirmed Csf X-G 61691AAJ2 LT Csf Affirmed Csf BACM Trust 2015-UBS7 A-3 06054AAW9 LT AAAsf Affirmed AAAsf A-4 06054AAX7 LT AAAsf Affirmed AAAsf A-S 06054ABB4 LT AAAsf Affirmed AAAsf A-SB 06054AAV1 LT AAAsf Affirmed AAAsf B 06054ABC2 LT A-sf Affirmed A-sf C 06054ABD0 LT BB+sf Affirmed BB+sf D 06054ABE8 LT CCCsf Affirmed CCCsf E 06054AAG4 LT CCsf Affirmed CCsf F 06054AAJ8 LT Csf Affirmed Csf X-A 06054AAY5 LT AAAsf Affirmed AAAsf X-B 06054AAZ2 LT AAAsf Affirmed AAAsf X-D 06054ABA6 LT CCCsf Affirmed CCCsf X-E 06054AAA7 LT CCsf Affirmed CCsf MSBAM 2015-C23 A-3 61690QAD1 LT AAAsf Affirmed AAAsf A-4 61690QAE9 LT AAAsf Affirmed AAAsf A-S 61690QAG4 LT AAAsf Affirmed AAAsf A-SB 61690QAC3 LT AAAsf Affirmed AAAsf B 61690QAH2 LT AA+sf Affirmed AA+sf C 61690QAK5 LT A+sf Affirmed A+sf D 61690QAS8 LT BBB-sf Affirmed BBB-sf E 61690QAU3 LT BB-sf Affirmed BB-sf F 61690QAW9 LT B-sf Affirmed B-sf PST 61690QAJ8 LT A+sf Affirmed A+sf X-A 61690QAF6 LT AAAsf Affirmed AAAsf X-B 61690QAL3 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.4% in BACM 2015-UBS7, 4.8% in MSBAM 2015-C23, 6.7% in MSBAM 2015-C25 and 11.4% in MSCI 2015-UBS8. Fitch Loans of Concerns (FLOCs) comprise nine loans (30.7% of the pool) in BACM 2015-UBS7, including one specially serviced loan (3.1%); seven loans (13.1%) in MSBAM 2015-C23; eight loans (30.8%) in MSBAM 2015-C25 including one performing specially serviced loans (11%); and 11 loans (33.9%) in MSCI 2015-UBS8, including four specially serviced loans (7%). MSBAM 2015-C25: The downgrades on classes D, E, F, and X-D reflect higher pool loss expectations since Fitch's prior rating action driven by further performance declines and upcoming refinance concerns on the FLOCs, primarily those secured by office properties, including 261 Fifth Avenue (11.0%), Bucks County Technology Park (2.6%) and Landmark Towers (1.5%). The Negative Outlook on classes B, C, D, E and X-D reflect the elevated concentrations of office (25%) and specially serviced loans (11%), and possible further downgrades should performance of the aforementioned office FLOCs continue to deteriorate and fail to refinance. MSCI 2015-UBS8: The downgrades on class C reflect higher pool loss expectations since Fitch's prior rating action driven by the FLOCs, primarily 525 Seventh Avenue (9.8%), Holiday Inn Express - SFO (3%), Lafayette Shopping Center (1.5%), Holiday Inn Express - Atlanta Airport (1.4%) and 2424 & 2500 Wilcrest Drive (1.2%). The Negative Outlooks on classes A-S, B, C and X-B reflect the significant refinance concerns within the pool and the potential for further downgrades should performance of the aforementioned FLOCs continue to deteriorate and/or these retail outlet FLOCs, including Grove City Premium Outlets and Gulfport Premium Outlets, do not stabilize further. BACM 2015-UBS7 and MSBAM 2015-C23: The affirmations in BACM 2015-UBS7 and MSBAM 2015-C23 reflect the generally stable pool performance and loss expectations since Fitch's last rating action. The Negative Outlooks on classes B and C in BACM 2015-UBS7 reflect the upcoming refinance concerns, elevated office concentration (28.5%) and the potential for future downgrades should performance of the FLOCs, primarily 261 5th Avenue (12.2%) and The Mall of New Hampshire (8.7%), continue to decline or fail to stabilize. The Negative Outlooks on classes D, E and F in MSBAM 2015-C23 reflect the elevated maturity default risk of the FLOCs, namely Fairfax Corner (6.2%), 599 Broadway (2.5%), Aviare Place Apartments (2.4%) and Hawthorne House Apartments (1.4%). Largest Contributor to Losses: The largest contributor to pool loss expectations in the MSBAM 2015-C25 and BACM 2015-UBS7 transactions is the 261 Fifth Avenue loan, which is secured by a 446,820-sf office building in the Midtown South submarket of Manhattan. The loan was flagged as a FLOC due to refinance concerns. Per the March 2024 rent roll, occupancy was 85%, compared with 82% at YE 2023, 85% at YE 2022 and 94% pre-pandemic at YE 2019. The largest tenants are Town and Country Holdings (8%; expires 2031), Dan Klores (7.4%, expires 2032) and Himatsingka (6.9%; expires 2030). Near-term rollover consists of 6% of the NRA in 2025. The servicer-reported NOI DSCR was 1.48x at YE 2023 compared with 1.36x at YE 2022. Fitch's 'Bsf' rating case loss of 28.1% (prior to concentration add-ons) reflects a 9.5% cap rate, 10% stress to the YE 2023 NOI and an increased probability of default due to anticipated refinance concerns. The loan matures in September 2025. The next largest contributor to pool loss expectations in MSBAM 2015-C25 is the Landmark Towers loan (1.5%), which is secured by a 275,441-sf office property located in Oklahoma, OK. The loan has been designated as a FLOC due to continued performance declines and low DSCR. The servicer-reported NOI DSCR was 0.56x at YE 2023 compared with 0.77x at YE 2022 and 1.09x at YE 2021. Occupancy declined further to 40% as of March 2024 from 45% at YE 2023, 49% at YE 2022 and 51% at YE 2021. Fitch's 'Bsf' rating case loss of 38.1% (prior to concentration add-ons) reflects a 10% cap rate to the YE 2023 NOI and factors an increased probability of default due to depressed performance and refinance concerns. The loan matures in August 2025. The third largest contributor to pool loss expectations in MSBAM 2015-C25 is the Bucks County Technology Park loan (2.6%), which is secured by a 364,000-sf suburban office property in Trevose, PA. As of March 2024, occupancy has declined to 66% from 88% at YE 2022 due to several tenants vacating at lease expiration, including CEI Group (12% NRA; 9.5% of GPR) in September 2023 and Jefferson Group (3% NRA; 2% GPR) in August 2023. The largest tenant is Advertising Specialty Institute (ASI) (52.8% NRA; expiry in May and September 2030), which is affiliated with the sponsor. Upcoming rollover at the property includes 1.8% of the NRA in 2024 and 3.3% in 2025. The servicer-reported YE 2023 NOI DSCR was 1.97x compared with 1.87x at YE 2022. Fitch's 'Bsf' rating case loss of 20.9% (prior to concentration add-ons) reflects a 10% cap rate, 20% stress to the YE 2023 NOI and factors an increased probability of default due to declining occupancy and expected refinance concerns. The second largest contributor to loss in BACM 2015-UBS7 is the New Hampshire Mall loan (8.7%), which is secured by a regional mall sponsored by Simon Property Group and located in Manchester, NH. The loan was flagged as FLOC due to declining sales and refinance concerns. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in May 2020 due to the pandemic and was subsequently returned to the master servicer in April 2021 and has remained on the servicer's watchlist due to ongoing cash management. As of YE 2023, the servicer reported occupancy and NOI DSCR were 84% and 1.87x, respectively, compared to 82% and 1.94x at YE 2022, 83% and 1.96x at YE 2021 and 87% and 2.11x at YE 2019. Tenant sales for stores less than 10,000 sf excluding Apple as of TTM December 2023 were $390 psf, which compares to $417 psf at YE 2021 and $358 psf at YE 2019. Including Apple, tenant sales were approximately $1,535 psf, compared with $1,294 psf at YE 2021 and $866 psf at YE 2019. As of TTM December 2023, Apple's sales were $237 million which equates to $34,700 psf. Apple's lease expires in January 2025. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is 34%, which reflects a 15% cap rate and a 10% stress to the YE 2023 NOI. Fitch's analysis factored an increased the probability of default to reflect the lower-tier regional mall property type and heightened maturity default risk. The loan matures in July 2025. The largest increase in loss expectations in MSCI 2015-UBS8 is the 525 Seventh Avenue loan (9.8%), which is secured by a 23-story office property containing 505,273-sf located in the Garment District of Manhattan. The loan has been designated as a FLOC due to significant lease rollover and upcoming refinance concerns. The loan matures in November 2025. The YE 2023 servicer-reported NOI DSCR was 1.31x compared with 1.23x at YE 2022 and 1.30x at YE 2021. Per the June 2024 rent roll, the property was 94% occupied, representing an increase from 87% at YE 2022. The increase was largely attributed to a new lease with a borrower-related entity, PR 525 7th Ave LLC, commencing in June 2023 through May 2033 for approximately 5% of the NRA. Upcoming rollover at the property includes 11.7% of the NRA in 2024, 16.1% in 2025 and 8.5% in 2026. Fitch's 'Bsf' rating case loss of 24.3% (prior to concentration add-ons) reflects an 9.5% cap rate, 10% stress to the YE 2023 NOI and increased probability of default due to upcoming rollover and expected refinance concerns. The second largest increase in loss expectations in MSCI 2015-UBS8 is the Lafayette Shopping Center loan (3%), which is secured by a 105,445-sf anchored retail center located in Marietta, OH. The loan transferred to special servicing in May 2024 due to cash flow problems stemming from performance declines. Occupancy had decline following two large tenant departures, including Odyssey (12% NRA) and Peebles Department Store (13.4% NRA) in 2020. The servicer-reported YE 2023 NOI DSCR was 0.81x compared with 1.09x at YE 2022 and 1.21x at YE 2021. Fitch's 'Bsf' rating case loss of 38.9% (prior to concentration add-ons) reflects a 10.5% cap rate to the YE 2023 NOI and factors an increased probability of default due to the loan's low DSCR and recent transfer to special servicing. The third largest increase in loss expectations is the Holiday Inn Express - SFO loan, which is secured by a 146-key limited-service hotel located in Burlingame, CA, approximately three miles southeast of San Francisco International Airport (SFO) and 15 miles south of the San Francisco CBD. The loan has been designated as a FLOC due to low DSCR and sustained performance declines. The servicer-reported YE 2023 NOI DSCR was 0.28x compared with 0.67x at YE 2022 and 0.17x at YE 2021. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is 44.2%, which reflects an 11.5% cap rate, 15% stress to the YE 2023 NOI and an increased the probability of default due to refinance concerns. The largest contributor to loss in the MSBAM 2015-C23 transaction is the Fairfax Corner loan (6.2%), which is secured by an 82,331-sf mixed-use retail/office property located in Fairfax, VA, approximately 20 miles west of downtown D.C. The loan has been designated as a FLOC due to rollover concerns and elevated maturity default risk. Occupancy was 92% as of March 2024. Major tenants include REI (13% of NRA, expires in September 2033), Arhaus Furniture (8%, September 2025) and Coastal Flats (5%, July 2034). Per the March 2024 rent roll, upcoming rollover at the property includes 8.6% of the NRA in 2024, 17.7% in 2025 and 13% in 2026. The servicer-reported NOI DSCR was 1.43x at YE 2022. Fitch requested a leasing update and more recent YE 2023 financials, but did not receive a response. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is 17.6%, which reflects a 9% cap rate, 20% stress to the YE 2022 NOI and an increased probability of default due to upcoming rollover and refinance concerns. Increased Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance for BACM 2015-UBS7 has been reduced by 24.2% to $573.9 million from $757.3 million at issuance. Seven loans (8.3% of pool) have been defeased. All 37 remaining loans are scheduled to mature between November 2024 and September 2025. The pool has incurred $19.4 million in realized losses to date and interest shortfalls of $2.5 million are currently affecting classes E, F, G and H. As of the June 2024 distribution date, the pool's aggregate balance for MSBAM 2015-C23 has been reduced by 22.1% to $835.2 million from $1.1 billion at issuance. Twenty-two loans (10.6% of pool) have been defeased. All 66 remaining loans are scheduled to mature between November 2024 and June 2025. The pool has incurred $9,413 in realized losses to date and interest shortfalls of $241,120 are currently affecting the non-rated class H. As of the June 2024 distribution date, the pool's aggregate balance for MSBAM 2015-C25 has been reduced by 15% to $1 billion from $1.2 billion at issuance. Nine loans (11.7% of pool) have been defeased. All 50 remaining loans are scheduled to mature between July 2024 and September 2025. The pool has incurred $1.9 million in realized losses and interest shortfalls of $155,950 are currently affecting the non-rated class G. As of the June 2024 distribution date, the pool's aggregate balance for BACM 2015-UBS8 has been reduced by 17% to $668.9 million from $805 million at issuance. Eleven loans (17.3% of pool) have been defeased. The pool has incurred $24.4 million in realized losses to date and interest shortfalls of $3.2 million are currently affecting classes G, H and J. All 50 remaining loans are scheduled to mature between April 2025 and December 2025. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior and junior '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 classes rated in the 'AAsf' and 'Asf' categories, especially those which have Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include 261 5th Avenue loan, The Mall of New Hampshire and Holiday Inn JFK in BACM 2015-UBS7; Fairfax Corner, Aviare Place Apartments, 599 Broadway and 6101 East Oltorf in MSBAM 2015-C23; 261 Fifth Avenue, Bucks County Technology Park, 1800 Route 34 and Landmark Towers in MSBAM 2015-C25; 525 Seventh Avenue, Grove City Premium Outlets, Gulfport Premium Outlets, Holiday Inn Express - SFO, Holiday Inn Express - Atlanta Airport and Mall de las Aguilas in BACM 2015-UBS8. Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs 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 and/or 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 but could occur 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. MORGAN STANLEY 2024-3: Fitch Assigns B(EXP)sf Rating on Cl. B5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-3 (MSRM 2024-3). Entity/Debt Rating ----------- ------ MSRM 2024-3 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5IO LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6IO LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8IO LT AAA(EXP)sf Expected Rating AF LT AAA(EXP)sf Expected Rating AX LT AAA(EXP)sf Expected Rating AXIO1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B3A LT BBB-(EXP)sf Expected Rating B3X LT BBB-(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary MSRM 2024-3 is the 20th post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust (MSRM) shelf. The first MSRM transaction was issued in 2014. This is also the 18th MSRM transaction to comprise loans from various sellers that were acquired by Morgan Stanley in its prime-jumbo aggregation process and their third prime transaction in 2024. The certificates are supported by 435 prime-quality loans with a total balance of approximately $386.48 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The largest originators are CrossCountry Mortgage at 21.7% and Guaranteed Rate at 12.7%. United Wholesale Mortgage either originated or purchased 12.4% of loans with all other originators making up less than 10% of the overall pool. The servicers for this transaction are Shellpoint servicing 91.7% of the loans, and PennyMac (which includes PennyMac Corp. and PennyMac Loan Services) servicing 8.3% of the loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 99.5% qualify as Safe Harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The remaining 0.5% are higher-priced QM (HPQM) APOR loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are (i) fixed rate and capped at the net weighted average coupon (WAC), (ii) floating rate based on the SOFR index or (ii) have a coupon based on the net WAC. As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. 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, down 0% 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 Prime Mortgage Pool (Positive): The collateral consists of 100% first-lien, prime-quality mortgage loans with terms of mainly 30 years. More specifically, the collateral consists of 15-, 20- or 30-year, fixed-rate fully amortizing loans seasoned at approximately 4.4 months in aggregate as determined by Fitch (two months per the transaction documents). Of the loans, 65.6% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 775 WA FICO, according to Fitch's analysis (FICO scores range from 660 to 839), and represent either owner-occupied homes or second homes. Of the pool, 93.8% of loans are collateralized by single-family homes, including single-family, planned unit development (PUD) and single-family attached homes, while condominiums make up 6.0% and manufactured housing make up 0.2%. There are no investor loans in the pool, which Fitch views favorably. The WA combined loan-to-value ratio (CLTV) is 71.8%, which translates into an 79.7% sustainable LTV (sLTV) as determined by Fitch. The 71.8% CLTV is driven by the large percentage of purchase loans (93.0%), which have a WA CLTV of 72.0%. A total of 158 loans are over $1.0 million, and the largest loan totals $3.0 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Six loans in the pool comprise a nonpermanent resident, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens; as a result, these loans did not receive additional adjustments in the loss analysis. Approximately 25% of the pool is concentrated in California with moderate MSA concentration for the pool as a whole. The largest MSA concentration is in the Seattle MSA (10.7%), followed by the San Francisco MSA (7.9%) and the Washington MSA (5.9%). The top three MSAs account for 24.6% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count for this pool (435 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 297. The loan count concentration for this pool results in a 1.005x penalty, which increases loss expectations by 3 basis points (bps) at the 'AAAsf' rating category. Shifting-Interest Structure and Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction. Although full principal and interest (P&I) advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicers look to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicers are unable to. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.15% 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 1.40% 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 were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 42.0% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, 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 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 modelling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis based on the findings. Due to the fact that there was 100% due diligence provided and there were no material findings, Fitch reduced the 'AAAsf' expected loss by 0.31%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans 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 of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations 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. NEUBERGER BERMAN 49: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Neuberger Berman Loan Advisers CLO 49, Ltd. refinancing transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 49, Ltd. AL-R LT NRsf New Rating AN-R LT NRsf New Rating B 64135JAC6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 64135JAE2 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D 64135JAG7 LT PIFsf Paid In Full BBBsf D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 49, LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC. The transaction originally closed on June 2022. The CLO's secured notes will be refinanced in whole on July 25, 2024 from the proceeds of new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $640 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.91, versus a maximum covenant, in accordance with the initial expected matrix point of 28. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.21% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.9% versus a minimum covenant, in accordance with the initial expected matrix point of 68.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a one-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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' 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 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, 'Asf' 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 Neuberger Berman Loan Advisers CLO 49, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NEUBERGER BERMAN 50: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. A-1 64134VAC0 LT PIFsf Paid In Full AAAsf A-2 64134VAE6 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-1 64134VAG1 LT PIFsf Paid In Full AAsf B-2 64134VAJ5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 64134VAL0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 64134VAN6 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC that originally closed in July 2022. This is the first reset where existing notes will be refinanced in whole on July 23, 2024. Net proceeds from the issuance of the secured, in conjunction with 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 weighted average rating factor (WARF) of the indicative portfolio is 24.9, 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 95.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.93% versus a minimum covenant, in accordance with the initial expected matrix point of 68.2%. 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 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-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-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-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, 'AAsf' 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 Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. OCTAGON INVESTMENT 38: Fitch Assigns 'BB-(EXP)' Rating on D-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Octagon Investment Partners 38, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Octagon Investment Partners 38, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating A-3-R LT AA(EXP)sf Expected Rating B-R LT A(EXP)sf Expected Rating C-1-R LT BBB-(EXP)sf Expected Rating C-2-R LT BBB-(EXP)sf Expected Rating D-R LT BB-(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Octagon Investment Partners 38, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Octagon Credit Investors, LLC. The transaction originally closed in August 2018 and refinanced in September 2020 (first refinancing date). On Sept. 6, 2024 (closing date), net proceeds from the refinancing of the secured notes and additional issuance of subordinated notes will provide financing on a portfolio of approximately $750 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.62, versus a maximum covenant, in accordance with the initial expected matrix point of 27.7. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.92% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.35% versus a minimum covenant, in accordance with the initial expected matrix point of 72.5%. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 A-3-R, between 'B-sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BB+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 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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 A-3-R, 'AA+sf' for class B-R, 'A+sf' for class C-1-R, 'Asf' for class C-2-R, and 'BBB+sf' for class D-R. Key Rating Drivers and Rating Sensitivities are further described in the presale 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 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 Octagon Investment Partners 38, 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. PALMER SQUARE 2024-3: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2024-3 Ltd./Palmer Square CLO 2024-3 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The preliminary ratings are based on information as of July 31, 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 Palmer Square CLO 2024-3 Ltd./Palmer Square CLO 2024-3 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-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, $46.30 million: Not rated PIKES PEAK 11: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 11 Ltd; Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 11 Ltd. A-R LT AAAsf New Rating B 72132KAE5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 72132KAG0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 72132KAJ4 LT PIFsf Paid In Full BBB-sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E 72132LAA1 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating X LT AAAsf New Rating Transaction Summary Pikes Peak CLO 11 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO LLC and that originally closed in June 2022. This is the first refinancing, and existing notes will be refinanced in whole on July 25, 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $398 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 25.37, versus a maximum covenant, in accordance with the initial expected matrix point of 26.35. 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% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.2% versus a minimum covenant, in accordance with the initial expected matrix point of 70.97%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 'AAAsf' for class X, as severe as between 'BBB+sf' and 'AA+sf' for class A-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-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 X and 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-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 11 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. RAD CLO 21: Fitch Affirms BB- Rating on Class E Notes ----------------------------------------------------- Fitch Ratings has affirmed all rated classes of notes in RAD CLO 21, Ltd. (RAD 21). Fitch has also revised the Rating Outlooks on the class B, C, D and E notes to Positive from Stable, while the Outlook for the class A notes remains Stable. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 21, Ltd. A 750099AA1 LT AAAsf Affirmed AAAsf B 750099AC7 LT AAsf Affirmed AAsf C 750099AE3 LT Asf Affirmed Asf D 750099AG8 LT BBB-sf Affirmed BBB-sf E 750097AA5 LT BB-sf Affirmed BB-sf Transaction Summary RAD 21 is a broadly syndicated collateralized loan obligation managed by Irradiant Partners, LP. RAD 21 closed in November 2023 and will exit its reinvestment period in January 2025. This CLO is secured primarily by first-lien senior secured leveraged loans. KEY RATING DRIVERS Stable Portfolio Performance and Approaching the End of Reinvestment Period: Fitch has revised the Rating Outlooks to Positive for all rated classes, except for the class A notes, which are rated 'AAAsf'. This change is due to the expected improved modeling results after the transaction exits its reinvestment period in January 2025, combined with the stable portfolio performance to date. Fitch anticipates increased credit enhancement levels as the notes begin to amortize which would support higher model implied ratings, barring significant portfolio deterioration. The Stable Outlook on the class A notes reflects sufficient credit protection as reflected in modeling results. Portfolio credit quality for the transactions has remained at the 'B'/'B-' rating level since closing, with the Fitch weighted average rating factor decreasing to 24.8 from 24.9. There are no defaulted assets in the portfolio. The obligor count for the portfolio is 261 and the largest 10 obligors represent 7.0% of the portfolio. The exposure to issuers with a Negative Outlook and Fitch's watchlist is 18.4% and 6.4%, respectively. First-lien loans, cash and eligible investments comprise 96.3% of the portfolios. Fitch's WARR of the portfolio is 75.6%, compared to 75.1% at closing. All collateral quality tests, concentration limitations and coverage tests are in compliance for this transaction. Updated Cash Flow Analysis: 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." Fitch conducted an updated cash flow analysis based on the current portfolio and a newly run Fitch Stressed Portfolio (FSP). The FSP analysis stressed the current portfolio to account for permissible concentration and CQT limits at all points of the current Fitch Test Matrix. Fitch performed the FSP analysis on Fitch Test Matrix 3, which the manager can switch to following the October 2024 payment date provided the adjusted collateral principal amount is at least at 99% of the target initial par amount. 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 two notches for the class B, C, and E notes and one notch for the class D 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 an upgrade of up to two notches for the class B note, four notches for the class C note, and five notches for the class D and E notes, based on the MIRs. Upgrade scenarios are not applicable for the class A note as the tranche is 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. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for RAD CLO 21, 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. RCKT MORTGAGE 2024-CES5: Fitch Assigns Bsf Rating on 5 Tranches --------------------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES5 (RCKT 2024-CES5). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2024-CES5 A1-A LT AAAsf New Rating AAA(EXP)sf A1-B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 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 A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 7,427 closed-end second lien loans with a total balance of approximately $599.97 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). The issuer upsized the pool after Fitch published its expected ratings; there was no impact to bond credit enhancement, expected losses or ratings. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. 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 7,427 loans totaling $599.97 million and seasoned at approximately four months in aggregate as calculated by Fitch (zero months 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 77.4%. Of the pool, 99.6% consists of loans where the borrower maintains a primary residence and 0.4% represent second homes, while 93.7% of loans were originated through a retail channel. Additionally, 53.4% of loans are designated as safe harbor qualified mortgages (SHQM), 21.7% are higher-priced qualified mortgages (HPQM) and 24.9% 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. A change from prior RCKT CES transactions is that excess interest is no longer used to turbo down the bonds and the senior classes now 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 25.0% of the pool by loan count in which diligence was conducted. This adjustment resulted in 21bps 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. SIERRA TIMESHARE 2024-2: Fitch Assigns BB-sf Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Sierra Timeshare 2024-2 Receivables Funding LLC (2024-2). Entity/Debt Rating ----------- ------ Sierra Timeshare 2024-2 Receivables Funding LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BB-sf New Rating BB-(EXP)sf 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 of 8.49% 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. 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 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 recomputation 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 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. SIGNAL PEAK 12: 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-1-R, D-2-R, and E-R replacement debt and the new class X debt from Signal Peak CLO 12 Ltd./Signal Peak CLO 12 LLC, a CLO originally issued in June 2022 that is managed by ORIX Advisers 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 31, 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 18, 2026. -- The reinvestment period was extended to July 18, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended by approximately three years to July 18, 2037. -- No additional assets were purchased on the July 31, 2024, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 18, 2024. -- The class X debt was issued on the refinancing date and is expected to be paid down using interest proceeds in equal installments of $275,000 beginning on the October 2026 payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- The concentration limitations of the collateral portfolio's investment guidelines 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 Signal Peak CLO 12 Ltd./Signal Peak CLO 12 LLC Class X, $3.30 million: AAA (sf) Class A-1-R, $248.00 million: AAA (sf) Class A-2-R, $8.00 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), $3.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Signal Peak CLO 12 Ltd./Signal Peak CLO 12 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 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Signal Peak CLO 12 Ltd./Signal Peak CLO 12 LLC Subordinated notes, $36.01 million: NR NR--Not rated. SMB PRIVATE 2024-D: DBRS Finalizes BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on 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 Principal Only 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 legal opinions that 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. TCI-SYMPHONY CLO 2017-1: Moody's Cuts $27.6MM E Notes Rating to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by TCI-Symphony CLO 2017-1 Ltd.: US$78,000,000 Class B-R Senior Secured Floating Rate Notes due 2030, Upgraded to Aaa (sf); previously on October 15, 2021 Assigned Aa2 (sf) US$32,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030, Upgraded to Aa3 (sf); previously on October 15, 2021 Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$27,600,000 Class E Senior Secured Deferrable Floating Rate Notes due 2030, Downgraded to B1 (sf); previously on September 23, 2020 Confirmed at Ba3 (sf) TCI-Symphony CLO 2017-1 Ltd., originally issued in August 2017 and partially refinanced in October 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 July 2022. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since July 2023. The Class A-R notes have been paid down by approximately 33.7% or $129.8 million since then. Based on the trustee's July 2024 report[1], the OC ratios for the Class A-R/B-R and Class C-R notes are reported at 132.24% and 122.01%, respectively, versus July 2023[2] levels of 128.88% and 120.57%, respectively. Moody's note that the July 2024 trustee-reported OC ratios do not reflect the July 2024 payment distribution, when $55.0 million of principal proceeds were used to pay down the Class A-R Notes. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's July 2024 report[3], the OC ratio for the Class E notes is reported at 104.28% versus July 2023[4] level of 105.58%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3257[5], compared to 3029 in July 2023[6]. No actions were taken on the Class A-R and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $457,610,846 Defaulted par: $1,062,089 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3213 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.44% Weighted Average Coupon (WAC): 10.0% Weighted Average Recovery Rate (WARR): 47.80% Weighted Average Life (WAL): 3.53 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. TCW CLO 2024-2: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2024-2 Ltd./TCW CLO 2024-2 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by TCW Asset Management Co. LLC, a subsidiary of The TW Group Inc. The preliminary ratings are based on information as of July 31, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P views of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned TCW CLO 2024-2 Ltd./TCW CLO 2024-2 LLC Class X, $4.0 million: AAA (sf) Class A-1, $148.0 million: AAA (sf) Class A-1L, $100.0 million: AAA (sf) Class A-J, $8.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-J (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $35.3 million: Not rated TRALEE CLO VI: S&P Affirms 'BB- (sf)' Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-RR, B-1-RR, B-J-RR, C-RR, and D-RR replacement debt from Tralee CLO VI Ltd./Tralee CLO VI LLC, a CLO managed by Blue Owl Liquid Credit Advisors LLC that was originally issued in September 2019 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the class A-1-R, B-1-R, B-J-R, C-R, and D-R debt following payment in full on the July 25, 2024, refinancing date. S&P also affirmed its ratings on the class A-J-R and E 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 July 25, 2025, for the class A-1-RR debt and Jan. 25, 2025, for the remaining replacement debt. -- The reinvestment period was not extended. -- The legal final maturity dates were not extended. -- The weighted average life test was not extended. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "We affirmed our ratings on the class A-J-R and E debt, which were not refinanced. The class A-J-R cash flow results are passing at their current rating level, and the notes have sufficient credit support commensurate with its current rating level. On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt. In addition, we note that the reinvestment diversion test is failing by 19 basis points as of the June 8, 2024, trustee report. As per the transaction documents, the trustee will divert up to 50% of the available interest proceeds to be reinvested until this reinvestment diversion test is cured. This test is no longer applicable once the transaction ends its reinvestment period in October 2024. "We affirmed our 'BB- (sf)' rating on the class E debt considering other qualitative factors such as the margin of failure, the transaction's exposure to 'CCC' and 'CCC-' rated assets, the transaction passing coverage tests, and a forward-looking analysis that indicated improved cash flows once paydowns commence when the CLO starts to amortize (after October 2024--once the reinvestment period ends). "While we acknowledge that future paydowns should improve the credit support available to all rated classes, we note that further deterioration in the collateral quality could offset this improvement and prompt negative rating action(s). However, there remains adequate cushion on the class E overcollateralization test, and the transaction has remained current on interest payments, indicating there is some stability." Replacement And October 2021 Debt Replacement debt -- Class A-1-RR, $212 million: Three-month CME term SOFR + 1.22% -- Class B-1-RR, $36.625 million: Three-month CME term SOFR + 1.93% -- Class B-J-RR, $3.625 million: Three-month CME term SOFR + 2.10% -- Class C-RR (deferrable), $22.75 million: Three-month CME term SOFR + 2.35% -- Class D-RR (deferrable), $17.5 million: Three-month CME term SOFR + 4.10% October 2021 debt -- Class A-1-R, $212 million: Three-month CME term SOFR + 1.17% + CSA(i) -- Class A-J-R, $15.5 million: Three-month CME term SOFR + 1.50%+ CSA(i) -- Class B-1-R, $36.625 million: Three-month CME term SOFR + 1.85% + CSA(i) -- Class B-J-R, $3.625 million: Three-month CME term SOFR + 2.05% + CSA(i) -- Class C-R (deferrable), $22.75 million: Three-month CME term SOFR + 2.85% + CSA(i) -- Class D-R (deferrable), $17.5 million: Three-month CME term SOFR + 4.00%+ CSA(i) -- Class E, $14 million: Three-month CME term SOFR +7.75%+ 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 Tralee CLO VI Ltd./Tralee CLO VI LLC Class A-1-RR, $212 million: AAA (sf) Class B-1-RR, $36.625 million: AA (sf) Class B-J-RR, $3.625 million: AA (sf) Class C-RR (deferrable), $22.75 million: A (sf) Class D-RR (deferrable), $17.5 million: BBB- (sf) Ratings Withdrawn Tralee CLO VI Ltd./Tralee CLO VI LLC Class A-1-R to NR from 'AAA (sf)' Class B-1-R to NR from 'AA (sf)' Class B-J-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Ratings Affirmed Tralee CLO VI Ltd./Tralee CLO VI LLC Class A-J-R: 'AAA (sf)' Class E: 'BB- (sf)' Other Debt Tralee CLO VI Ltd./Tralee CLO VI LLC Subordinated notes, $31.50 million: NR NR--Not rated. TSTAT 2022-1: Fitch Assigns 'BB-sf' Rating on F-R Refinancing Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TSTAT 2022-1, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- TSTAT 2022-1, Ltd. A-1-R 872899AN9 LT PIFsf Paid In Full AAAsf A-1-RR LT AAAsf New Rating A-2-R 872899AQ2 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-R 872899AS8 LT PIFsf Paid In Full AA+sf B-RR LT AA+sf New Rating C-R 872899AU3 LT PIFsf Paid In Full A+sf C-RR LT A+sf New Rating D-1-R 872899AW9 LT PIFsf Paid In Full BBB+sf D-1-RR LT BBB+sf New Rating D-2 872899AL3 LT PIFsf Paid In Full BBB+sf D-2-R LT BBB+sf New Rating E 87289RAA7 LT PIFsf Paid In Full BB+sf E-R LT BB+sf New Rating F 87289RAC3 LT PIFsf Paid In Full B+sf F-R LT BB-sf New Rating Transaction Summary TSTAT 2022-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Trinitas Capital Management, LLC which originally closed on August 10, 2022 and had its first partial refinancing on Dec. 6, 2023. The class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2, E and F notes (the refinanced notes) are expected to be refinanced on July 22, 2024 (the second refinancing date) with the proceeds from the issuance of the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-R, E-R and F-R notes (the second refinancing notes). The second refinancing notes and the existing subordinated notes will provide financing on a portfolio of approximately $296 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 (CE) and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.1% first-lien senior secured loans and has a weighted average recovery assumption of 74.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.4% of the portfolio balance in aggregate while the top five obligors can represent up to 5.8% 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. KEY PROVISION CHANGES The refinancing is being implemented via the refinancing supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The non-call period for the second refinancing notes will end in January 2025. - Both of the required overcollateralization ratios and the required interest coverage ratio will be amended and applicable on and after the second refinancing date. FITCH ANALYSIS TSTAT 2022-1, Ltd. is a static pool CLO. The issuer will not be permitted to purchase any loans after the closing date. As a result, there are no collateral quality tests or concentrations and Fitch's analysis is based on adjustments made to the latest portfolio provided by the arranger. The portfolio presented to Fitch includes 277 assets from 171 primarily high yield obligors. The portfolio balance was approximately $296 million. As per the June 2024 trustee report, the transaction passes all of its coverage tests. The weighted average rating factor of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 41.6% of the current portfolio par balance; ratings for 57.1% of the portfolio were derived from using Fitch's Issuer Default Rating (IDR) equivalency map. Assets without a public rating or a Fitch credit opinion represent 1.2% of the current portfolio par balance. In lieu of a traditional Fitch stressed portfolio (FSP), Fitch ran a maturity extension scenario on the latest portfolio to account for the issuer's ability to extend the weighted average life (WAL) of the portfolio to 4.58 years (it was 6.50 years at closing) as a result of maturity amendments. The scenario also considers a one-notch downgrade on the Fitch IDR Equivalency for assets with a Negative Outlook on the driving rating of the obligor, as described in Fitch's CLO and Corporate CDOs Rating Criteria. Fitch generated projected default and recovery statistics of the FSP using its portfolio credit model (PCM). The PCM default outputs for the FSP at the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating stresses, respectively, were 50.3%, 49.2%, 44.0%, 37.6% 31.7% and 28.6%, respectively. The PCM recovery rate outputs for the FSP at the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating stresses, respectively, were 39.2%, 48.0%, 57.7%, 67.0%, 72.2%, and 72.4%, respectively. In the analysis of the FSP, the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-R, E-R and F-R notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating thresholds in all nine cash flow scenarios with a minimum cushions of 16.3%, 5.5%, 4.0%, 7.2%, 7.2%, 4.1%, 8.7% and 2.3%, respectively. Projected default and recovery statistics for the current portfolio were also generated using Fitch's PCM. The PCM default outputs for the current portfolio at the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating stresses, respectively, were 46.7%, 45.7%, 40.7%, 34.3% 28.6% and 25.6%, respectively. The PCM recovery rate outputs for the current portfolio at the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating stresses, respectively, were 39.4%, 48.1%, 57.7%, 67.1%, 72.4%, and 72.3%, respectively. In the analysis of the current portfolio, the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-R, E-R and F-R notes passed the 'AAAsf', 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', 'BBB+sf', 'BB+sf' and 'BB-sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 20.4%, 8.1%, 6.0%, 8.9%, 9.3%, 6.2%, 10.3% and 4.8%, respectively. The Stable Outlook on the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-R, E-R and F-R notes reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. The class F-R notes are rated one notch below their model-implied rating (MIR). This reflects insufficient break-even default rate cushion of such class of notes on Fitch-stressed portfolio at the MIR. Additionally, the CE level of the class F-R notes is below average when compared with similar static transactions at same rating stress level. 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 'AAsf' and 'AAAsf' for class A-1-RR notes, between 'A-sf' and 'AAAsf' for class A-2-RR notes, between 'BBB-sf' and 'AAsf' for class B-RR notes, between 'BBsf' and 'A+sf' for class C-RR notes, between less than 'B-sf' and 'BBB+sf' for class D-1-RR notes, between less than 'B-sf' and 'BBBsf' for class D-2-R notes, between less than 'B-sf' and 'BB+sf' for class E-R notes, and between less than 'B-sf' and 'B+sf' for class F-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-RR 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-RR notes, 'AA+sf' for class C-RR notes, 'A+sf' for class D-1-RR notes, 'A+sf' for class D-2-R notes, 'BBB+sf' for class E-R notes, and 'BBB+sf' for class F-R 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. 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 TSTAT 2022-1, 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. VERUS SECURITIZATION 2024-6: S&P Assigns B- (sf) on B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned ratings to Verus Securitization Trust 2024-6's mortgage-backed notes. The note issuance is an RMBS transaction backed primarily by newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 921 loans backed by 925 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay-compliant, and ability-to-repay-exempt loans. Of the 921 loans, one loan is a cross-collateralized loan backed by five properties. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, prior credit events, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; 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 continues to outperform expectations following consecutive quarters of contraction in the first half of 2022." Ratings Assigned Verus Securitization Trust 2024-6(i) Class A-1, $319,517,000: AAA (sf) Class A-2, $37,107,000: AA (sf) Class A-3, $63,256,000: A (sf) Class M-1, $33,869,000: BBB- (sf) Class B-1, $16,686,000: BB- (sf) Class B-2, $17,184,000: B- (sf) Class B-3, $10,459,922: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the private placement memorandum dated July 17, 2024; the ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. WELLS FARGO 2024-5C1: Fitch Assigns 'B-sf' Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2024-5C1, Commercial Mortgage Pass-Through Certificates Series 2024-5C1 as follows: - $9,386,000a class A-1 'AAAsf'; Outlook Stable; - $66,497,000a class A-2 'AAAsf'; Outlook Stable; - $436,423,000a class A-3 'AAAsf'; Outlook Stable; - $512,306,000ab class X-A 'AAAsf'; Outlook Stable; - $68,612,000a class A-S 'AAAsf'; Outlook Stable; - $37,509,000a class B 'AA-sf'; Outlook Stable; - $28,359,000a class C 'A-sf'; Outlook Stable; - $134,480,000ab class X-B 'A-sf'; Outlook Stable; - $17,382,000ac class D 'BBBsf'; Outlook Stable; - $8,234,000ac class E 'BBB-sf'; Outlook Stable; - $25,616,000abc class X-D 'BBB-sf'; Outlook Stable; - $16,467,000ac class F 'BB-sf'; Outlook Stable; - $16,467,000abc class X-F 'BB-sf'; Outlook Stable; - $10,978,000acd class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $32,019,359acd class J-RR; Notes: (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 2.25% 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 G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 fixed-rate, commercial mortgage loans with an aggregate principal balance of $731,866,360, as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 48 commercial properties. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., LMF Commercial, LLC, Goldman Sachs Mortgage Company, UBS AG, BSPRT CMBS Finance, LLC. The master servicer is Wells Fargo Bank, National Association and the special servicer Argentic Services Company LP. The trustee and certificate administrator is Computershare Trust Company, National Association. These certificates follow a sequential paydown structure. Since Fitch published its expected ratings on July 8, 2024, changes have occurred. The balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-$225,000,000 (net of the vertical risk retention interest), and the initial aggregate certificate balance of the A-3 class was expected to be in the range of $277,920,000 -$502,920,000 (net of the vertical risk retention interest). The final class balances for classes A-2 and A-3 are $66,497,000 and $436,423,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans totaling 91.6% of the pool by balance. Fitch's resulting net cash flow (NCF) of $122.7 million represents a 17.8% decline from the issuer's underwritten NCF of $149.3 million. Higher Fitch Leverage: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.8% is higher than both the 2024 YTD and 2023 averages of 88.4% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 9.58% is worse than both the 2024 YTD and 2023 averages of 11.4% and 10.9%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 10.0% of the pool balance received an investment grade credit opinion. 640 5th Avenue (6.9% of the pool) received a standalone credit opinion of 'BBB+sf*'. Park Parthenia (3.1%) received a standalone credit opinion of 'Asf*'. The pool's total credit opinion percentage of 10.0% is below the YTD 2024 average of 14.1% and the 2023 average of 17.8%. High Pool Concentration: The largest 10 loans constitute 61.8% of the pool, which is in-line with the 2024 YTD of 60.0% and 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 20.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool has less property type diversity compared to recently rated Fitch transactions. The pool's effective property type count of 3.3 is worse than the YTD 2024 and 2023 averages of 4.1 and 4.0, respectively. The largest property type concentration is multifamily (45.5% of the pool), which is significantly higher than the YTD 2024 and 2023 averages of 17.0% and 9.3%, respectively. The second largest property type concentration is office (27.8% of the pool), which is higher than the YTD 2024 average of 18% and in line with the 2023 average of 27.6%. 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'/'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'/CCCsf Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf / 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 Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WORLDWIDE PLAZA 2017-WWP: S&P Lowers Cl. C Certs Rating to 'B-(sf)' ------------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from Worldwide Plaza Trust 2017-WWP, a U.S. CMBS transaction. This is a U.S. standalone (single-borrower) CMBS transaction that is backed by a portion of a $940.0 million fixed-rate interest-only (IO) loan secured by the borrower's fee-simple interest in One Worldwide Plaza, a class A office building, and a pledge of its membership interest on an adjacent amenity parcel in Midtown Manhattan's Times Square office submarket. Rating Actions The downgrades on classes A, B, C, and D primarily reflect the following: -- While the property is currently well-occupied and the loan has a low fixed-rate coupon with a healthy debt service coverage (DSC) that doesn't mature until late 2027, S&P believes of the second-largest tenant next month--Cravath, Swaine & Moore LLP (Cravath; 28.5% of net rentable area [NRA]; 46.5% of the reported year-end 2023 effective gross income). Cravath's departure has been known for some time, but there has been no material new leasing activity since it was announced in October 2019, and since its last review in June 2023. S&P assessed that the property's occupancy will fall to approximately 62.9% and the loan's DSC will be well below 1.0x in September 2024 after Cravath vacates next month. -- In addition to Cravath's departure and the lack of meaningful new leasing activity, the property's largest tenant, Nomura Holding America Inc. (34.3% of NRA), has already exercised one of its contraction options and has the option to completely terminate its remaining lease by January 2027 with 18 months' notice, the same year that the loan matures. While Nomura's plans are unclear currently, there are news reports suggesting that the tenant is exploring alternative options for their U.S. headquarters. -- Given these factors, S&P further revised its expected-case valuation for the property, which is now 23.3% lower than the valuation S&P derived in its June 2023 review and 35.2% lower than the valuation it derived at issuance. To arrive at this new value, S&P considered both an 'as-is' approach as well as an 'as-stabilized' approach, and also looked at recent sales comps. S&P said, "The downgrade on class D to 'CCC- (sf)' also reflects our view that this class is at heightened risk of default and loss and is susceptible to liquidity interruption, based on our analysis, the current market conditions and its position in the payment waterfall. "We lowered our rating on the class X-A IO certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A. "We will continue to monitor the tenancy and performance of the property, the submarket (including the liquidation outcomes of comparable properties), and the loan. If we receive information that differs materially from our expectations, we will revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis The collateral property is One Worldwide Plaza, a 49-story, 1.8 million-sq.-ft. class A office building located at 825 Eighth Avenue in Midtown Manhattan's Times Square office submarket, and a pledge of the borrower's membership interest on an adjacent amenity parcel comprising an approximately 242,322-sq.-ft. outdoor plaza, retail space, theater space, health club, and 475-space subterranean parking garage. The property occupies a full city block between Eighth and Ninth Avenues and 49th and 50th Streets and is directly accessible by multiple (A, C, D, E, and 1) subway lines. According to the March 31, 2024, rent roll, the office building was 90.5% leased and the property, including the amenity parcel, was 91.4% leased, unchanged from our June 2023 review. At that time, we noted that Cravath had planned to vacate the subject property and relocate its headquarters to Two Manhattan West, an office tower on the corner of Ninth Avenue and West 31st Street that was completed in January 2024. S&P utilized a 16.0% vacancy rate (in between the office submarket vacancy and availability rates at that time), a $77.19 per sq. ft. S&P Global Ratings gross rent, 48.5% operating expense ratio, and higher tenant improvement (TI) costs to arrive at a $57.6 million S&P Global Ratings long-term sustainable NCF and $868.5 million S&P Global Ratings expected-case value or $424 per sq. ft. (using a 6.73% S&P Global Ratings capitalization rate). Since then, no new tenants, other than those noted in the June 2023 review, have signed leases at the property. S&P said, "We expect occupancy to drop to about 62.9% after excluding Cravath from the March 2024 rent roll. An 'as is' analysis reflecting this occupancy, a 55.0% operating expense ratio, higher TI costs and a 6.75% S&P Global Ratings capitalization rate yielded an estimated value of $441.9 million or $216 per sq. ft. However, we considered other recent New York City office property sales, including a neighboring office building at 1740 Broadway, which liquidated at approximately $300 per sq. ft. Given this, as well as current submarket metrics (detailed below), we also derived a stabilized value of $665.8 million or $325 per sq. ft., to which we gave greater emphasis in our current analysis." S&P said, "Considering the submarket metrics, we assumed a stabilized NCF of $47.8 million, using an 80.0% stabilized occupancy, $70.49 per sq. ft. S&P Global Ratings gross rent (marking down the gross rent on Cravath's space from $112.59 per sq. ft. to $79.00 per sq. ft.), 50.0% operating expense ratio, and higher TI costs. Using a 6.75% S&P Global Ratings capitalization rate on the 'as is' NCF ($29.8 million) and 7.00% on the incremental NCF, and deducting $42.8 million for additional TI costs (after considering about $28.3 million in lender-controlled reserve accounts) and one-year downtime to lease up the property to our assumed stabilized occupancy rate, we arrived at a stabilized value of $665.8 million or $325 per sq. ft. This yielded an S&P Global Ratings loan-to-value (LTV) ratio of 141.2% on the whole loan balance." Based on the March 2024 rent roll, the property faces minimal (less than 10% of NRA) tenant rollover in each year through 2032. However, the largest tenant, Nomura Holding America Inc. (34.3% of NRA; 39.1% of S&P Global Ratings' gross rent; September 2033 lease expiration), paid $10.9 million to exercise a 10% contraction option back in October 2020, and has another 10% contraction option prior to Jan. 1, 2027. More concerningly, Nomura has a one-time right to terminate its entire lease, as of Jan. 1, 2027, upon giving 18 months' notice and paying a termination fee. The master servicer, Wells Fargo Bank N.A., has indicated that the tenant has not reached out regarding its contraction or termination options; however, various news outlets have reported that Nomura is exploring its options to potentially move out of the property. According to CoStar, 4- and 5-star properties in the Times Square office submarket, where the subject property is located, continued to experience elevated vacancy (11.2%) and availability (16.7%) levels and flat average asking rent ($84.07 per sq. ft.) as of year-to-date July 2024. CoStar projects vacancy to increase to 15.5% in 2027 and average asking rent to slightly decrease to $83.00 per sq. ft. for the same period. Table 1 Servicer-reported collateral performance 2023(I) 2022(I) 2021(I) Occupancy rate (%) 91.4 91.7 94.6 Net cash flow (mil. $) 73.5 73.8 83.8 Debt service coverage (x) 2.14 2.18 2.44 Appraisal value (mil. $) 1,740 1,740 1,740 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions CURRENT CURRENT LAST REVIEW ISSUANCE (JULY 2024—AS (JULY 2024-- (JUNE 2023) (NOVEMBER STABILIZED)(I) AS IS)(I) (I) 2017)(I) Occupancy rate (%) 80.0 62.9 84.0 92.0 Net cash flow (mil. $) 47.8 29.8 57.6 68.5 Capitalization rate (%) (ii) 6.75 6.73 6.73 Value (mil. $) 665.8(iii) 441.9 868.5 1,027.1 Value per sq. ft. ($) 325 216 424 501 Loan-to-value ratio 141.2 212.7 108.2 91.5 (%)(iv) (i)Review period. (ii)6.75% on 'as is' net cash flow and 7.00% on incremental net cash flow of $18.0 million. (iii)Deducted net lease up costs and downtime of $42.8 million. (iv)On the whole loan balance. Transaction Summary The IO mortgage whole loan had an initial and current balance of $940.0 million, pays an annual fixed interest rate of 3.60%, and matures on Nov. 6, 2027. The whole loan is split into eight senior A notes and two subordinate B notes. The trust balance totaling $705.0 million (as of the July 12, 2024, trustee remittance report) comprises two of the senior A notes totaling $381.3 million and the two subordinate B notes totaling $323.7 million. The remaining six senior A notes, totaling $235.0 million, are in four U.S. CMBS conduit transactions. The $616.3 million senior A notes are pari passu to each other and senior to the $323.7 million subordinate B notes. In addition to the mortgage whole loan, there are two IO mezzanine loans totaling $260.0 million. Including the mezzanine loans, the S&P Global Ratings LTV ratio increases to 180.2%. In addition, the borrower may incur mezzanine debt up to an additional $120.0 million provided that certain performance hurdles, such as an LTV ratio of 65.5% or less on the total debt and debt yield of no less than 7.45%, are met. To date, the transaction has not experienced any principal losses. Ratings Lowered Worldwide Plaza Trust 2017-WWP Class A to 'BBB- (sf) from 'AAA (sf)' Class B to 'BB- (sf)' from 'AA- (sf)' Class C to 'B- (sf)' from 'A- (sf)' Class D to 'CCC- (sf)' from 'BB+ (sf)' Class X-A to 'BBB- (sf)' from 'AAA (sf)' ZAIS CLO 15: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR, and E-RR replacement debt and the new class X-RR 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. 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-1RR, A-2RR, B-RR, C-RR, D-1RR, D-2RR, and E-RR debt was issued at a lower spread over three-month CME term SOFR than the original debt. -- The reinvestment period was extended by five years to July 28, 2029. -- The stated maturity was extended to July 28, 2037. -- The non-call period was extended to July 28, 2026. -- The class X-RR debt was issued in connection with this refinancing. The debt will 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." 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 [*] S&P Takes Various Actions on 577 Ratings From 14 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on 577 classes from 14 U.S. RMBS prime and INV transactions. The review yielded 29 upgrades and 548 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/zll7ns S&P said, "We considered changes in collateral performance, credit enhancement levels, payment mechanics, and other credit drivers. The upgrades primarily reflect a growing percentage of credit support, low delinquencies, and very low accumulative losses to date. "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. "For all transactions, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance." Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Loan modifications; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large-balance loan exposure/tail risk. [*] S&P Takes Various Actions on 63 Classes From 11 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 63 ratings from 11 U.S. RMBS transactions issued between 2002 and 2007. The review yielded one upgrade, nine downgrades, 27 withdrawals, and 26 affirmations. A list of Affected Ratings can be viewed at: https://rb.gy/7w5d6t 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; -- A small loan count; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 22 classes from six transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our principal-only criteria, "Methodology For Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009 Originations" published Oct. 11, 2016, which resulted in withdrawing three ratings from two transactions. We also applied our interest-only criteria, "Global Methodology For Rating Interest-Only Securities" published April 15, 2010, which resulted in withdrawing two ratings from two transactions." ********* 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. 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