/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240908.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, September 8, 2024, Vol. 28, No. 251 Headlines AIMCO CLO 2015-A: Moody's Assigns Ba3 Rating to $23.2MM E-R3 Notes ANCHORAGE CAPITAL 24: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ATLX 2024-RPL1: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Certs BAIN CAPITAL 2020-2: S&P Affirms BB- (sf) Rating on Class E-R Notes BAIN CAPITAL 2024-4: Fitch Assigns 'BB-sf' Rating on Class E Notes BANK5 2024-5Y9: Fitch Assigns 'B-sf' Final Rating on Two Tranches BARINGS CLO 2024-IV: Fitch Assigns BB- Final Rating on Cl. E Notes BARINGS MIDDLE 1: S&P Assigns BB- (sf) Rating on Class E Notes BARINGS MIDDLE 2: S&P Assigns BB- (sf) Rating on Class E Notes BATTALION CLO XXIII: S&P Assigns Prelim 'BB-' Rating on E-R Notes BBCMS MORTGAGE 2024-C28: Fitch Assigns 'B-sf' Rating on H-RR Certs BCP TRUST 2021-330N: Moody's Lowers Rating on Cl. F Certs to Caa3 BENCHMARK 2024-V9: Fitch Assigns 'B-sf' Rating on Class G-RR Certs BENEFIT STREET XVII: Fitch Assigns BB+(EXP)sf Rating on E-R2 Notes BENEFIT STREET XVII: Moody's Gives (P)B3 Rating to Cl. F-R2 Notes BIRCH GROVE 9: Fitch Assigns 'BB-sf' Rating on Class E Notes BLUEBERRY PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes BRAVO RESIDENTIAL 2024-NQM6: Fitch Assigns Bsf Rating on B-2 Notes BUSINESS JET 2024-2: S&P Assigns Prelim BB (sf) Rating on C Notes CARVAL CLO XI-C: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes CARVANA AUTO 2024-P3: S&P Assigns Prelim 'BB+' Rating on N Notes CIFC FUNDING 2014-II-R: Fitch Assigns B-sf Rating on Cl. F-R Notes CQS US 2022-2: Fitch Lowers Rating on Class E-2 Notes to 'B-sf' DEUTSCHE ALT-A 2007-OA4: Moody's Hikes Rating on 2 Tranches to Caa1 DRYDEN 47 SENIOR: Moody's Cuts Rating on $10.5MM F Notes to Caa2 DRYDEN 94 CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes ELARA HGV 2023-A: Fitch Affirms 'BBsf' Rating on Class D Notes ELMCL COMMERCIAL 2024-GTWY: Moody's Assigns B1 Rating to HRR Certs ELMWOOD CLO 33: S&P Assigns Prelim BB- (sf) Rating on E-R Notes GAGE PARK: Fitch Affirms 'BB-sf' Rating on Class E Notes GENERATE CLO 17: S&P Assigns BB- (sf) Rating on Class E Notes GS MORTGAGE 2024-PJ7: Moody's Assigns Ba1 Rating to Cl. B-4 Certs HALSEYPOINT CLO 3: S&P Assigns BB- (sf) Rating on Class E-R Notes HERA FINANCING 2024-1: S&P Assigns Prelim B-(sf) Rating on F Notes JP MORGAN 2024-8: Moody's Assigns B2 Rating to Class B-5 Certs KKR CLO 13: Moody's Affirms B1 Rating on $7MM Class F-R Notes KRR CLO 46: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MADISON PARK XXX: Fitch Assigns 'BB+sf' Rating on Class E-R Notes MADISON PARK XXX: Moody's Assigns B3 Rating to $250,000 F-R Notes MORGAN STANLEY 2014-C16: Fitch Lowers Rating on 2 Tranches to BB MORGAN STANLEY 2016-C29: DBRS Cuts Class X-E Certs Rating to B MORGAN STANLEY 2019-H7: Fitch Cuts Rating on G-RR Certs to CCCsf MSDB TRUST 2017-712F: S&P Lowers Class C Certs Rating to 'BB (sf)' OAKTREE CLO 2022-3: S&P Assigns Prelim BB-(sf) Rating on E-R Notes OCTAGON 65: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes OHA CREDIT XIII: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes OSD CLO 2021-23: Fitch Affirms 'BB+sf' Rating on Class E Notes PRESTIGE AUTO 2024-2: S&P Assigns Prelim 'BB' Rating on E Notes SEQUOIA MORTGAGE 2024-8: Fitch Assigns 'B+sf' Rating on B4 Certs SEQUOIA MORTGAGE 2024-9: Fitch Gives B(EXP) Rating on B5 Certs UBS COMMERCIAL 2017-C5: Fitch Lowers Rating on E-RR Certs to BB- VISIO 2021-1R: S&P Affirms B (sf) Rating on Class B-2 Notes VOYA CLO 2024-4: Fitch Assigns 'BB-sf' Rating on Class E Notes WARWICK CAPITAL 4: S&P Assigns BB- (sf) Rating on Class E Notes WELLS FARGO 2024-C63: Fitch Assigns 'B-sf' Rating on Cl. G-RR Certs WOODMONT 2022-9: S&P Assigns BB- (sf) Rating Class E-R Notes [*] Fitch Lowers 13 & Affirms 33 Classes on Five CMBS 2014 Deals [*] Fitch Lowers 15 & Affirms 46 Classes on 11 US CMBS Transactions [*] Fitch Takes Action Six AASET Aircraft ABS Transactions [*] Moody's Takes Action on $20MM of US RMBS Issued 1998-2006 [*] Moody's Takes Action on $38.5MM of US RMBS Issued 2003-2006 [*] Moody's Takes Action on $50MM of US RMBS Issued 1997-2005 ********* AIMCO CLO 2015-A: Moody's Assigns Ba3 Rating to $23.2MM E-R3 Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by AIMCO CLO, Series 2015-A (the "Issuer"). Moody's rating action is as follows: US$2,666,666 Class X-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$256,000,000 Class A-R3 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$42,200,000 Class B-R3 Senior Secured Floating Rate Note due 2034, Assigned Aa2 (sf) US$20,200,000 Class C-R3 Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$25,600,000 Class D-R3 Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$23,200,000 Class E-R3 Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Allstate Investment Management Company (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. In addition to the issuance of the Refinancing Notes, a couple of other changes to transaction features will occur in connection with the refinancing. They include extensions of non-call period and the updates to alternative benchmark replacement provisions. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $390,600,860 Diversity Score: 72 Weighted Average Rating Factor (WARF): 2921 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.27% Weighted Average Recovery Rate (WARR): 46.90% Weighted Average Life (WAL): 5.72 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ANCHORAGE CAPITAL 24: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 24, Ltd. (Reset Transaction). Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 24 X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2 03331GAC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 03331GAE8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 03331GAG3 LT PIFsf Paid In Full Asf C-1-R LT Asf New Rating C-2-R LT Asf New Rating D-1 03331GAJ7 LT PIFsf Paid In Full BBB+sf D-1a-R LT BBB-sf New Rating D-1b-R LT BBB-sf New Rating D-2 03331GAL2 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Anchorage Capital CLO 24, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. that originally closed in March 2022. The CLO's secured notes will be refinanced on Aug. 30, 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 $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. The weighted average rating factor (WARF) of the indicative portfolio is 26.14, versus a maximum covenant, in accordance with the initial expected matrix point of 29. 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 97.35% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.93% versus a minimum covenant, in accordance with the initial expected matrix point of 72%. Portfolio Composition (Positive): The largest three industries may comprise up to 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB-sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, '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, 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 24, 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. ATLX 2024-RPL1: Fitch Gives 'B(EXP)sf' Rating on Class B-2 Certs ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by ATLX 2024-RPL1 Trust (ATLX 2024-RPL1). Entity/Debt Rating ----------- ------ ATLX 2024-RPL1 Trust A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating M LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on Sept. 13, 2024. The notes are supported by 3,598 reperforming loans with a total balance of approximately $537 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 12.2% above a long-term sustainable level (vs. 11.5% on a national level as of 1Q24, up 0.4% 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 5.9% YoY nationally as of May 2024 despite modest regional declines, but are still being supported by limited inventory. RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs first lien loans. As of the cutoff date, the pool was 83.2% current. Approximately 49.8% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 90.6% of loans have a prior modification. The borrowers have a weak credit profile (655 FICO and 45% DTI) and low leverage (67% sustainable LTV ratio [sLTV]). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by various firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Loans with a missing modification agreement received a three-month liquidation timeline extension; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 125bps. ESG Considerations 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. BAIN CAPITAL 2020-2: S&P Affirms BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, and C-RR replacement debt from Bain Capital Credit CLO 2020-2 Ltd./Bain Capital Credit CLO 2020-2 LLC, a CLO managed by Bain Capital Credit U.S. CLO Manager LLC that was originally issued in January 2020 and underwent a second refinancing in July 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, and C-R debt following payment in full on the Sept. 5, 2024, refinancing date. We also affirmed our ratings on the class D-R and E-R 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 Sept. 5, 2024. -- No additional assets were purchased on the Sept. 5, 2024, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is October 2024. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt (which was not refinanced) than the rating action on the debt reflects. However, we affirmed our 'BB- (sf)' rating on the class E-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction is still reinvesting. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down." Replacement And July 2021 Debt Issuances Replacement debt -- Class A-RR, $248.00 million: Three-month CME term SOFR + 1.24% -- Class B-RR, $56.00 million: Three-month CME term SOFR + 1.65% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 1.95% July 2021 debt -- Class A-R, $248.00 million: Three-month CME term SOFR + 1.17% + CSA(i) -- Class B-R, $56.00 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.15% + 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 Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Class A-RR, $248.00 million: AAA (sf) Class B-RR, $56.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Ratings Withdrawn Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Class D-R: BBB- (sf) Class E-R: BB- (sf) Other Debt Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Subordinated notes, $33.30 million: NR NR--Not rated. BAIN CAPITAL 2024-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2024-4, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2024-4, Limited A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2024-4, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. 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 23.24 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 99.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.7% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. Portfolio Composition (Neutral): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-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, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions." ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2024-4, Limited. 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. BANK5 2024-5Y9: Fitch Assigns 'B-sf' Final Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2024-5YR9 commercial mortgage pass-through certificates series 2024-5YR9 as follows: - $9,500,000 class A-1 'AAAsf'; Outlook Stable; - $85,000,000 class A-2 'AAAsf'; Outlook Stable; - $0a class A-2-1 'AAAsf'; Outlook Stable; - $0ab class A-2-X1 'AAAsf'; Outlook Stable; - $0a class A-2-2 'AAAsf'; Outlook Stable; - $0ab class A-2-X2 'AAAsf'; Outlook Stable; - $510,793,000 class A-3 'AAAsf'; Outlook Stable; - $0a class A-3-1 'AAAsf'; Outlook Stable; - $0ab class A-3-X1 'AAAsf'; Outlook Stable; - $0a class A-3-2 'AAAsf'; Outlook Stable; - $0ab class A-3-X2 'AAAsf'; Outlook Stable; - $605,293,000b class X-A 'AAAsf'; Outlook Stable; - $86,470,000 class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $46,478,000 class B 'AA-sf'; Outlook Stable; - $0a class B-1 'AA-sf'; Outlook Stable; - $0ab class B-X1 'AA-sf'; Outlook Stable; - $0a class B-2 'AA-sf'; Outlook Stable; - $0ab class B-X2 'AA-sf'; Outlook Stable; - $32,426,000 class C 'A-sf'; Outlook Stable; - $0a class C-1 'A-sf'; Outlook Stable; - $0ab class C-X1 'A-sf'; Outlook Stable; - $0a class C-2 'A-sf'; Outlook Stable; - $0ab class C-X2 'A-sf'; Outlook Stable; - $165,374,000b class X-B 'A-sf'; Outlook Stable; - $19,456,000c class D 'BBBsf'; Outlook Stable; - $8,647,000c class E 'BBB-sf'; Outlook Stable; - $28,103,000bc class X-D 'BBB-sf'; Outlook Stable; - $19,456,000c class F 'BB-sf'; Outlook Stable; - $19,456,000bc class X-F 'BB-sf'; Outlook Stable; - $12,971,000c class G 'B-sf'; Outlook Stable. - $12,971,000bc class X-G 'B-sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $33,507,453c class J 'NR'. - $33,507,453bc class X-J 'NR'. - $33,491,261cd class RR Certificates 'NR'. - $12,091,500cd class RR Interest 'NR'. a) Exchangeable Certificates. The class A2, class A3, class AS, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged 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 A2 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 AS may be surrendered (or received) for the received (or surrendered) classes A-S -1, AS -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. b) Notional amount and interest only. c) Privately placed and pursuant to Rule 144A. d) Vertical-risk retention interest. Since Fitch published its expected ratings on Aug. 14, 2024, the following changes have occurred: the balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the $0-$250,000,000 range and the initial certificate balance of the A-3 class was expected to be in the $345,793,000-$595,793,000 range. The final class balances for classes A-2 and A-3 are $85,000,000 and $510,793,000, respectively. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 33 fixed-rate, commercial mortgage loans with an aggregate principal balance of $910,215,214 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 44 commercial properties. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC, and Wells Fargo Bank, National Association. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association. 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 performed cash flow analyses on 21 loans totaling 90.8% of the pool by balance. Fitch's resulting net cash flow (NCF) of $87.9 million represents a 14.4% decline from the issuer's underwritten NCF of $102.7 million. Higher Fitch Leverage: The transaction has higher Fitch leverage compared to recent five-year multiborrower transactions. The pool's Fitch weighted average (WA) trust loan-to-value ratio (LTV) of 95.1% is higher than the 2024 YTD and 2023 multiborrower five-year averages of 92.0% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.7% is weaker than both the 2024 YTD and 2023 averages of 10.7% and 10.6%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 20.7% of the pool balance received an investment grade credit opinion. BioMed 2024 Portfolio 2 (8.8% of pool) received a standalone credit opinion of 'BBB+sf*'. 640 5th Avenue (6.4%) received a standalone credit opinion of 'BBB+sf*'. Bronx Terminal Market (5.5%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 20.7% is above the YTD 2024 multiborrower five-year average of 13.4% and the 2023 multiborrower five-year average of 14.6%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 101.4% and 9.3%, respectively. Higher Office Concentration: In general, the pool has lower property type diversity compared to recent Fitch transactions; the pool's effective property type count of 3.4 is lower than the YTD 2024 and 2023 multiborrower five-year averages of 4.2 and 4.1, respectively. The largest property type concentration is office (36.6% of the pool), followed by retail (35.5%) and multifamily (17.4%). The pool's office loan concentration is higher than the YTD 2024 and 2023 office averages of 21.4% and 27.7%, respectively. In particular, the office concentration includes five of the largest 10 loans (33.7% of the pool). Pools that have a greater concentration by property type are at a greater risk of losses, all else equal. Therefore, Fitch raises the overall losses for pools with effective property type counts below five property types. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'Bsf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBBsf' / 'BB+sf' / 'B-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARINGS CLO 2024-IV: Fitch Assigns BB- Final Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Barings CLO Ltd. 2024-IV. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2024-IV A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-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 Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Barings CLO Ltd. 2024-IV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. The class D-1 notes were originally rated 'BBB(EXP)sf' but Fitch is now rating these notes 'BBB-sf' with a Stable Rating Outlook. Key changes since Fitch assigned expected ratings include the following: 1) The transaction covenants have now been sized for a 'BBB-' rating for D-1, relative to 'BBB' at the time expected ratings were assigned, 2) a new portfolio was provided, with slightly worse credit quality than the portfolio at the time expected ratings were assigned, and 3) the spread on the D-2 class increased slightly, while the spreads on the A-1, A-2, B, C and D-1 classes decreased relative to what they were at the time expected ratings were assigned. 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 22.46 versus a maximum covenant, in accordance with the initial expected matrix point of 23. 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 97.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.49% versus a minimum covenant, in accordance with the initial expected matrix point of 67.8%. Portfolio Composition (Neutral): 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-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, 'BBB+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 Barings CLO Ltd. 2024-IV. 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. BARINGS MIDDLE 1: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barings Middle Market Loan Partners 1/Barings Middle Market Loan Partners 1 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 Middle Market Loan Partners 1/ Barings Middle Market Loan Partners 1 LLC Class X(ii), $12.00 million: AAA (sf) Class A, $196.00 million: AAA (sf) Class B, $42.00 million: AA (sf) Class C (deferrable), $31.50 million: A (sf) Class D (deferrable), $14.00 million: BBB- (sf) Class E (deferrable)(iii), $24.50 million: BB- (sf) Subordinated notes, $21.52 million: Not rated BARINGS MIDDLE 2: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barings Middle Market Loan Partners 2/Barings Middle Market Loan Partners 2 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 Barings LLC, a subsidiary of MassMutual. 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 Barings Middle Market Loan Partners 2/ Barings Middle Market Loan Partners 2 LLC Class X(i), $13.00 million: AAA (sf) Class A, $203.00 million: AAA (sf) Class B, $35.00 million: AA (sf) Class C (deferrable), $28.00 million: A (sf) Class D (deferrable), $21.00 million: BBB- (sf) Class E (deferrable)(ii), $21.00 million: BB- (sf) Subordinated notes, $19.80 million: Not rated (i)The class X notes are expected to be paid down using interest proceeds staring on the second payment date in equal installments of $928,571.43. (ii)The class E notes can be paid down before other more senior classes of notes due to a turbo feature that allows for paydowns with excess spread that would otherwise flow out to the subordinated notes. The excess spread used to de-lever the class E notes is made available below the transaction's coverage tests, as well as uncapped subordinated expenses, in the payment waterfall. BATTALION CLO XXIII: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary 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 Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC, a CLO originally issued in June 2022 that is managed by Brigade Capital Management L.P. The preliminary ratings are based on information as of Aug. 30, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 6, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to October 2026. -- The reinvestment period will be extended to October 2029. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) will be extended to October 2037. -- No additional assets will be purchased on the Sept. 6, 2024 refinancing date, and the target initial par amount will remain at $400,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2024. -- Additional subordinated notes will be 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." Preliminary Ratings Assigned Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC Class A-1-R, $244.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $22.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Battalion CLO XXIII Ltd./Battalion CLO XXIII LLC Subordinated notes, $77.30 million: Not rated BBCMS MORTGAGE 2024-C28: Fitch Assigns 'B-sf' Rating on H-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2024-C28 commercial mortgage pass-through certificates series C28 as follows: - $8,444,000 class A-1 'AAAsf'; Outlook Stable; - $52,500,000 class A-3 'AAAsf'; Outlook Stable; - $80,000,000 class A-3-BP 'AAAsf'; Outlook Stable; - $145,000,000 class A-4 'AAAsf'; Outlook Stable; - $266,500,000 class A-5 'AAAsf'; Outlook Stable; - $11,000,000 class A-SB 'AAAsf'; Outlook Stable; - $563,444,000a class X-A 'AAAsf'; Outlook Stable; - $154,907,000ab class X-B 'A-sf'; Outlook Stable; - $96,590,000 class A-S 'AAAsf'; Outlook Stable; - $36,222,000 class B 'AA-sf'; Outlook Stable; - $22,095,000 class C 'A-sf'; Outlook Stable; - $8,049,000ab class X-D 'BBB+sf'; Outlook Stable; - $8,049,000b class D 'BBB+sf'; Outlook Stable; - $11,108,000bc class E-RR 'BBBsf'; Outlook Stable; - $9,055,000bc class F-RR 'BBB-sf'; Outlook Stable; - $17,105,000bc class G-RR 'BB-sf'; Outlooks Stable; - $12,074,000bc class H-RR 'B-sf'; Outlook Stable. Fitch did not rate the following class: - $29,178,408bc class J-RR. Notes: (a) Notional Amount and interest only. (b) Privately Placed and pursuant to Rule 144A. (c) Horizontal Risk Retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 41 commercial properties having an aggregate principal balance of $804,920,408 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Goldman Sachs Mortgage Company, German American Capital Corp., UBS AG New York Branch, Starwood Mortgage Capital, Wells Fargo Bank, N.A., Societe Generale Financial Corporation, Zions Bancorporation, N.A., BSPRT CMBS Finance, LLC and Ladder Capital Finance LLC. The master servicer is expected to be Wells Fargo Bank, N.A. and the special servicer is expected to be LNR Partners, LLC. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 27 loans totaling 91.5% of the pool by balance. Fitch's resulting net cash flow (NCF) of $205.4 million represents an 14.2% decline from the issuer's underwritten NCF of $239.3 million. Lower Fitch Leverage: The pool has lower leverage compared to recent U.S. Private Label Multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 85.3% is lower than the YTD 2024 and 2023 averages of 89.7% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 11.6% is higher than the YTD 2024 and 2023 averages of 11.2% and 10.9%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 28.3% of the pool received an investment-grade credit opinion. Bridge Point Rancho Cucamonga (9.9% of the pool) received a standalone credit opinion of 'BBB+sf*', St Johns Town Center (9.7% of the pool) received a standalone credit opinion of 'Asf*', and Arizona Grand Resort and Spa (8.7% of the pool) received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is higher than the YTD 2024 and 2023 averages of 14.0% and 17.8%, respectively. The pool's Fitch LTV and DY, excluding credit opinion loans, are 92.9% and 10.8%, respectively. High Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.5% of the pool, higher than the YTD 2024 and 2023 averages of 59.3% and 63.7%, respectively. The pool's effective loan count of 17.3 is below the YTD 2024 and 2023 average of 23.1 and 20.6, respectively. Higher Amortization: Based on the scheduled balances at maturity, the pool will pay down 2.5%, which is above the YTD 2024 and 2023 averages of 0.9% and 1.4%, respectively. The pool has 27 interest-only loans, or 80.6% of pool by balance, which is below the YTD 2024 average of 88.5% and higher than the 2023 average 84.5%. Property Type Concentration and Low Office Concentration: The pool has higher property type diversity compared to recent Fitch transactions. The pool's effective property type count of 4.8 is higher than the YTD 2024 and 2023 averages of 4.1 and 4.0, respectively. The largest property type concentration is retail (33.5% of the pool), which is slightly higher than the YTD 2024 and 2023 retail averages of 30.6% and 31.2%, respectively. However, the transaction has a low concentration of office properties. The pool's office concentration (6.5% of the pool) is lower than both the YTD 2024 and 2023 office concentration of 19.4% and 27.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BBsf' / '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' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young, LLP. The third-party due diligence described in Form 15E focused on 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. BCP TRUST 2021-330N: Moody's Lowers Rating on Cl. F Certs to Caa3 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on six classes in BCP Trust 2021-330N, Commercial Mortgage Pass-Through Certificates, Series 2021-330N as follows: Cl. A, Downgraded to A1 (sf); previously on Jul 1, 2021 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to Baa1 (sf); previously on Feb 9, 2022 Upgraded to Aa2 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Feb 9, 2022 Upgraded to A2 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Feb 9, 2022 Upgraded to Baa1 (sf) Cl. E, Downgraded to Caa1 (sf); previously on Feb 9, 2022 Upgraded to Ba2 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Feb 9, 2022 Upgraded to B2 (sf) RATINGS RATIONALE The ratings on six P&I classes were downgraded due to an increase in Moody's LTV driven by a decline in property performance, cash flow and occupancy trends since 2022 as well as uncertainty around the timing and extent of the property's cash flow recovery given Chicago office market fundamentals. Furthermore, the loan transferred to special servicing in August 2024 due to imminent monetary default. The borrower recently exercised the second of three extension options, extending the maturity date to June 2025, with one extension option remaining. The loan is secured by the fee interest in a Class A office building and the leasehold interest in a parking garage in the North Michigan Avenue submarket, adjacent to the River North submarket. The property's net cash flow (NCF) has declined since securitization as a result of decline in occupancy, lower revenue and increase in operating expenses, and is expected to decline further in 2024. Operating expenses have notably increased over underwritten levels and are expected to increase further due to the expiration of the real estate tax abatement. The NCF for year-end 2023 and trailing twelve months (TTM) ending March 2024 was approximately 17% and 25% lower, respectively, than the underwritten NCF. As a result of the decline in performance since 2022 and the significant increase in the floating interest rate in recent years, the uncapped NCF DSCR on the mortgage debt was below 1.00X as of year-end 2023. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. DEAL PERFORMANCE As of the August 15, 2024 distribution date, the transaction's certificate balance was $370.0 million, the same as at securitization. The interest only, floating rate loan passed its initial maturity in June 2023. The loan has three, one year extension options and the borrower has executed two of the three extension options with the next maturity date in June 2025 and the final option, if exercised, would extend maturity to June 2026. The loan is secured by the fee simple interest in floors 14-52 of a 52-story Class A office property located at 330 North Wabash Avenue, and the leasehold interest in a 904-space parking garage, located adjacent at 401 North State Street, in Chicago, Illinois. 330 North Wabash was originally built in 1972 as IBM's Chicago headquarters, designed by architect Ludwig Mies van der Rohe. The property was designated a Chicago landmark in 2008 and added to the National Register of Historic Places in 2010. From 2010 to 2020, the subject underwent a $155.2 million ($131 PSF) renovation that completely redeveloped the interior of the landmark structure. The repositioning included a top-to-bottom physical plant upgrade and best-in-class amenities, including a tenant lounge, conference center, fitness facility, bike room, riverfront plaza, and expansive lobby. At the same time, floors 2-13 (non-collateral) were converted into the separately owned, 5-star Langham Hotel. Most renovations were completed from 2012 to 2014 with additional enhancements including a brand-new amenity floor and studio fitness space finished from 2017 through 2020 under Beacon Capital Partners' ownership. The property is LEED Gold Certified with 32,000 SF to 36,000 SF column free floor plates. The property's NCF for the TTM period ending March 2024 was $21.6 million compared to $26.3 million in 2022 and $28.9 million underwritten at securitization. The largest tenant, American Medical Association (AMA) (261,389 SF, 22.0% of NRA), downsized from 298,154 SF at securitization. As of September 2023, AMA exercised their option to reduce their space to 261,389 SF and extended their lease to August 2035, with contraction options in September 2025 and September 2027, and a termination option in August 2032. As a result of AMA and other tenants downsizing, as well as several tenant departures between 2022 and 2024, occupancy has decreased to 80% as of June 2024 compared to 94% in June 2021. Additionally, while operating expenses have increased since securitization, they are expected to increase further due to the expiration of the real estate tax abatement, adding further pressure to the NCF. The Chicago North Michigan Avenue submarket fundamentals have continued to weaken since securitization and the coronavirus pandemic. According to CBRE Econometric Advisors the class A submarket vacancy rate was 15.3% as of Q2 2024, compared to 11.5% at securitization. The adjacent River North submarket vacancy rate has increased to 23.2% from 16.5% in 2021. The loan transferred to special servicing in August 2024 due to imminent monetary default. Cash management was implemented in July 2024 due to a debt yield trigger and the borrower stated that subsequent payments may not be made. The special servicer is working with the borrower towards a potential resolution. Moody's NCF is now $17.9 million compared to $24.9 million at securitization. Moody's LTV ratio for the first mortgage balance is 181.2% based on Moody's Value. The Adjusted Moody's LTV ratio for the first mortgage balance is 164.7% based on Moody's Value using a cap rate adjusted for the current interest rate environment compared to 109.3% at securitization. Moody's stressed debt service coverage ratio (DSCR) is 0.52X compared to 0.73X at securitization. There are no outstanding advances or interest shortfalls as of the current distribution date. BENCHMARK 2024-V9: Fitch Assigns 'B-sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2024-V9 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series V9 as follows: Transaction Summary - $1,595,000 class A-1 'AAAsf'; Outlook Stable; - $622,886,000 class A-3 'AAAsf'; Outlook Stable; - $98,133,000 class A-S 'AAAsf'; Outlook Stable; - $722,614,000a class X-A 'AAAsf'; Outlook Stable; - $43,490,000 class B 'AA-sf'; Outlook Stable; - $32,338,000 class C 'A-sf'; Outlook Stable; - $75,828,000a class X-B 'A-sf'; Outlook Stable; - $14,454,000 class D 'BBBsf'; Outlook Stable; - $14,454,000a class X-D 'BBBsf'; Outlook Stable; - $13,424,000b,c class E-RR 'BBB-sf'; Outlook Stable; - $17,844,000b,c class F-RR 'BB-sf'; Outlook Stable; - $10,037,000b,c class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $37,915,230b,c class J-RR. - N/A class R Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expected ratings on Aug. 8, 2024, the balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the expected class A-2 balance range was $0 to $250,000,000 and the expected class A-3 balance range was $372,886,000 to $622,886,000. Certificate balances for classes A-2 and A-3 reflect the lowest and highest respective value of each range. The final class balance for class A-2 is $0 and was not offered, hence the expected rating of 'AAA(EXP)sf' has been withdrawn. The final class balance for class A-3 is $622,886,000. The final ratings are based on information provided by the issuer as of Aug. 27, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 86.6% of the pool by balance, including the largest 19 loans and all office loans in the pool. Fitch's resulting net cash flow (NCF) of $87.4 million represents a 13.4% decline from the issuer's underwritten NCF of $100.9 million. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 98.1% is higher than recent similar private label multiborrower YTD 2024 transactions and 2023 averages of 89.7% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 9.8% is lower than the YTD 2024 and 2023 NCF DY averages of 11.2% and 10.9%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in analyzing the pool. Pool Concentration: The pool's concentration is in line with recently rated 2024 Fitch transactions. The top 10 loans in the pool make up 62.6% of the pool, in between the YTD 2024 average of 59.3% but below the 2023 average of 63.7%. The pool's effective loan count of 22.9, in line with the YTD 2024 average of 23.1 and higher than the 2023 average of 20.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Geographic Diversity: The pool has greater geographic diversity compared to recent multiborrower transactions Fitch has rated. The three largest MSA concentrations are New York-Newark-Jersey City, NY-NJ-PA (10.9% of pool), Dallas-Fort Worth-Arlington, TX (10.0%) and Washington-Arlington-Alexandria, DC-VA-MD-WV (6.4%). The pool's effective geographic count of 20.5 is well above the YTD 2024 and 2023 averages of 11.1 and 13.3, respectively. Pools with a greater concentration by geography are at a greater risk of losses, all else equal. Fitch therefore raises overall losses for pools with effective geographic counts below 15. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'A-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 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. BENEFIT STREET XVII: Fitch Assigns BB+(EXP)sf Rating on E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benefit Street Partners CLO XVII, Ltd. (RESET). Entity/Debt Rating ----------- ------ Benefit Street Partners CLO XVII, Ltd. A-1-R2 LT AAA(EXP)sf Expected Rating A-2-R2 LT AAA(EXP)sf Expected Rating B-R2 LT AA+(EXP)sf Expected Rating C-R2 LT A+(EXP)sf Expected Rating D-1-R2 LT BBB-(EXP)sf Expected Rating D-2-R2 LT BBB-(EXP)sf Expected Rating E-R2 LT BB+(EXP)sf Expected Rating F-R2 LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating X-R2 LT AAA(EXP)sf Expected Rating Transaction Summary Benefit Street Partners CLO XVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BSP CLO Management L.L.C.., that originally closed in October 2019. The first refinancing was in August 2021. This will be the second refinancing where the existing notes will be refinanced in whole on Oct. 15, 2024. The transaction will be upsized by $250 million. Net proceeds from the issuance of the secured and 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', 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 97.8% first-lien senior secured loans and has a weighted average recovery assumption of 76.2%. 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-R2, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'AA-sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'BB-sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 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-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Benefit Street Partners CLO 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. BENEFIT STREET XVII: Moody's Gives (P)B3 Rating to Cl. F-R2 Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Benefit Street Partners CLO XVII, Ltd. (the Issuer): US$461,250,000 Class A-1-R2 Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$250,000 Class F-R2 Secured Deferrable Floating Rate Notes due 2037, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Prior to satisfaction of the controlling class condition, at least 96% of the portfolio must consist of first lien senior secured loans and up to 4% of the portfolio may consist of second lien loans, unsecured loans and bonds. BSP CLO Management L.L.C. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $750,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 3300 Weighted Average Spread (WAS): 3.35% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BIRCH GROVE 9: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 9 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 9 Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Birch Grove CLO 9 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. 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 23.98 versus a maximum covenant, in accordance with the initial expected matrix point of 26.77. 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 95.12% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.07% versus a minimum covenant, in accordance with the initial expected matrix point of 71.6%. 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 6% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 Birch Grove 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. BLUEBERRY PARK: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Blueberry Park CLO Ltd./Blueberry Park CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC, an affiliate of Blackstone Inc. The preliminary ratings are based on information as of Sept. 5, 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 Blueberry Park CLO Ltd./Blueberry Park CLO LLC Class A, $320.00 million: Not rated 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), $12.50 million: BB- (sf) Subordinated notes, $52.54 million: Not rated BRAVO RESIDENTIAL 2024-NQM6: Fitch Assigns Bsf Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2024-NQM6 (BRAVO 2024-NQM6). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2024-NQM6 A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf 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 SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The BRAVO 2024-NQM6 notes are supported by 600 loans with a total balance of approximately $325.4 million as of the cutoff date. Approximately 73.2% of the loans in the pool were originated by Citadel (dba Acra Lending [Citadel]), 15.3% were originated by LoanStream Mortgage (dba OCMBS, Inc.), 11.4% were originated by Arc Home LLC and the remainder were by another originator, which originated 0.1% of the mortgage loans. Approximately 73.2% of the loans will be serviced by Citadel Servicing Corporation (Citadel), primarily subserviced by ServiceMac, along with 11.4% by Shellpoint Mortgage Servicing (Shellpoint), and the remaining 15.3% will be transferred to Shellpoint on or prior to Sept. 17, 2024. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values of this pool as 10% above a long-term sustainable level, versus 11.5% on a national level as of 1Q24, up 0.4% qoq. Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices have increased 5.9% yoy nationally as of May 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Mixed): The collateral consists of 600 loans totaling approximately $325 million and seasoned at approximately three months in aggregate, as calculated by Fitch (one month per the transaction documents). The borrowers have a moderate credit profile, a 727 model FICO, a 43% debt-to-income ratio (DTI), accounting for Fitch's approach of mapping debt service coverage ratio (DSCR) loans to DTI, and moderate leverage of 78% for a sustainable loan-to-value ratio (sLTV). Of the pool, 62.6% of loans are treated as owner-occupied, while 37.4% are treated as an investor property or second home, including loans to foreign nationals or loans where the residency status was not confirmed. Additionally, 3.4% of the loans were originated through a retail channel. Of the loans, 60.9% are nonqualified mortgages (non-QMs), 3.2% are Safe Harbor QM (SHQM) and 0.1% are higher priced QM (HPQM), while the Ability to Repay/Qualified Mortgage Rule (ATR) is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 90.3% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 54.7% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. Additionally, 22.9% of the loans are a DSCR product (including 2.7% no ratio), while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12-month or 24-month tax returns and verbal verification of employment products. Separately, 2.5% of the loans were originated to foreign nationals and 0.8% have unknown borrower residency status. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature whereby the fixed interest rate for classes A-1A, A-1B, A-2 and A-3 will increase by 100bps, subject to the net weighted average coupon (WAC), after four years. This reduces the modest excess spread available to repay losses. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for classes A-1A, A-1B, A-2 and A-3, prior to the payment of any current interest and interest carryover amounts due to the class B-3 notes on such payment date. The class B-3 notes will not be reimbursed for any amounts that were paid to the senior classes as cap carryover amounts. While Fitch has previously analyzed 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. On or after the September 2028 payment date, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the principal and interest (P&I) allocation for the senior classes as long as class B-3 is not written down and helps ensure payment of the 100bps step-up. No P&I Advancing (Mixed): There will be no servicer advancing of delinquent P&I. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement to pay timely interest to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 10% at the base case. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% Probability of Default (PD) credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 50bps as a result of the diligence review. ESG Considerations BRAVO 2024-NQM6 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, 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. BUSINESS JET 2024-2: S&P Assigns Prelim BB (sf) Rating on C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Business Jet Securities 2024-2 LLC's fixed-rate notes. The note issuance is an ABS securitization backed by loans and leases related to 29 aircraft with an initial aggregate asset value of $763.28 million as of the cut-off date, the corresponding security or ownership interests in the underlying aircraft, and shares and beneficial interests in entities that directly and indirectly receive aircraft portfolio cash flows, among others. The preliminary ratings are based on information as of Sept. 4, 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 likelihood of timely interest on the class A notes (excluding the post-anticipated repayment date [post-ARD] additional interest or deferred post-ARD additional interest) on each payment date; the timely interest on the class B notes (excluding the post-ARD additional interest or deferred post-ARD additional interest) when the class A notes are no longer outstanding on each payment date; and the ultimate payment of interest and principal on the class A, B, and C notes on or before the legal final maturity at the respective rating stress levels ('A', 'BBB+', and 'BB', respectively). -- The approximately 64.25% loan-to-value (LTV) ratio (based on the aggregate asset value) on the class A notes, the 74.65% LTV ratio on the class B notes, and the 80.85% LTV ratio on the class C notes. -- A fairly diversified portfolio of business jets that are either on loan, finance lease, or operating lease to corporates or high net worth individuals. -- The scheduled amortization profile, which is a straight line over 12 years for the class A and B notes and six years for the class C notes. However, the amortization of all classes will switch to full turbo after year six. -- The transaction's debt service coverage ratios, net loss trigger, and utilization trigger, which if failed will result in sequential turbo amortization of the notes. -- The transaction's LTV test (class A notes balance divided by aggregate asset value) which, if failed, will result in turbo amortization of the class A notes until the test is brought back to compliance. -- The subordination of class C notes' interest and principal to the class A and B notes' interest and principal. -- The sequential partial sweep payments, whereby, starting on the 49th payment date and continuing until and including the 72nd payment date, 25.00% of available funds remaining after all prior payments will be used to sequentially redeem the class A and B notes. -- A liquidity facility, which is available to cover senior expenses and interest on the class A and B notes. The amount available will equal nine months of interest on the class A and B notes. The initial liquidity facility provider is Natixis S.A., acting through its New York branch (A+/Stable/A-1). -- The class C interest reserve account, which will not be funded initially but will be funded in the payment priority subject to available amounts in an amount equal to 12 months of interest on the C notes. Preliminary Ratings Assigned Business Jet Securities 2024-2 LLC Class A, $490.40 million: A (sf) Class B, $79.38 million: BBB+ (sf) Class C, $47.32 million: BB (sf) CARVAL CLO XI-C: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CarVal CLO XI-C Ltd./CarVal CLO XI-C 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 CarVal CLO Management LLC. The preliminary ratings are based on information as of Sept. 4, 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 CarVal CLO XI-C Ltd./CarVal CLO XI-C LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $25.00 million: Not rated Class B, $55.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $50.00 million: Not rated CARVANA AUTO 2024-P3: S&P Assigns Prelim 'BB+' Rating on N Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2024-P3's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of Sept. 4, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of 15.89%, 13.72%, 10.60%, 6.75%, and 8.14% credit support (hard credit enhancement and haircut to excess spread) for the class A (class A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.33x, 2.33x, and 1.73x coverage of its expected cumulative net loss of 2.35% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB+ (sf)', and 'BB+ (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within our credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which we believe are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Carvana Auto Receivables Trust 2024-P3(i) Class A-1, $70.890 million: A-1+ (sf) Class A-2, $181.200 million: AAA (sf) Class A-3, $221.200 million: AAA (sf) Class A-4, $117.500 million: AAA (sf) Class B, $16.600 million: AA+ (sf) Class C, $20.440 million: A+ (sf) Class D, $10.864 million: BBB+ (sf) Class N(ii), $22.75 million: BB+ (sf) (i)Class XS notes will be issued, which are unrated and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CIFC FUNDING 2014-II-R: Fitch Assigns B-sf Rating on Cl. F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to CIFC Funding 2014-II-R, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2014-II-R, Ltd. A-1 12548RAB0 LT PIFsf Paid In Full AAAsf A-R LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBBsf New Rating D-2A-R LT BBB-sf New Rating D-2B-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating X-R LT NRsf New Rating Transaction Summary CIFC Funding 2014-II-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. The CLO originally closed in 2018, and its secured notes were refinanced on Sept. 3, 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 24.37, versus a maximum covenant, in accordance with the initial expected matrix point of 26.04. 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 95.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.63% versus a minimum covenant, in accordance with the initial expected matrix point of 73.60%. 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. When modeling the indicative portfolio, there was some shortfall for class E-R and F-R notes that stem from the fixed rated assets maturities having a much longer maturity horizon compared to the floating rate assets, which Fitch considers an unrealistic scenario for a managed transaction with a 5.1-year reinvestment period. MIRs are determined by Fitch Stressed Portfolio per the CLOs and Corporate CDOs Rating Criteria. The model-implied rating for class E-R and F-R notes is passing the 'BB-sf' and 'B-' Portfolio Credit Model hurdle rate in all Fitch Stressed scenarios, which is in line with its assigned rating. 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-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, between less than 'B-sf' and 'B+sf' for class E-R, and between 'B-sf' and less than 'B-sf' for class F-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, '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-R, and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2014-II-R, 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CQS US 2022-2: Fitch Lowers Rating on Class E-2 Notes to 'B-sf' --------------------------------------------------------------- Fitch Ratings has downgraded the CQS US CLO 2022-2, Ltd. (CQS 2022-2) class D, E-1 and E-2 notes and affirmed the class A-1-R, A-2-R, B-1-R, B-F-R and C notes. The Rating Outlooks for class D, E-1 and E-2 are Negative following the downgrades. The Outlooks remain Stable on the other rated classes. Entity/Debt Rating Prior ----------- ------ ----- CQS US CLO 2022-2, Ltd. A-1-R 12664BAN7 LT AAAsf Affirmed AAAsf A-2-R 12664BAQ0 LT AAAsf Affirmed AAAsf B-1-R 12664BAS6 LT AA+sf Affirmed AA+sf B-F-R 12664BAU1 LT AA+sf Affirmed AA+sf C 12664BAJ6 LT A+sf Affirmed A+sf D 12664BAL1 LT BBB-sf Downgrade BBB+sf E-1 12664CAA3 LT B+sf Downgrade BB+sf E-2 12664CAC9 LT B-sf Downgrade BB-sf Transaction Summary CQS 2022-2 is a broadly syndicated collateralized loan obligation (CLO) managed by CQS (US), LLC. It is a static CLO that originally closed in September 2022 and was partially refinanced in September 2023. The CLO is secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Par Loss and Updated Cash Flow Analysis The downgrades on the class D, E-1 and E-2 notes are driven by the par loss since refinancing in September 2023. As of August 2024 reporting, the portfolio was 4.1% below the target par amount, adjusted for amortization, as a result of credit risk sales and haircuts to defaulted assets. One asset, comprising 1.0% of the portfolio, defaulted subsequent to the August report. Fitch conducted a cash flow analysis based on the current portfolio. The rating actions for the notes are in line with their model implied ratings (MIRs), as defined in Fitch's CLO criteria. Asset Credit Quality Fitch WARF remains unchanged, at 27.7 (B/B-) since September 2023 refinancing. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 22.3% and 13.1%, respectively. The class D, E-1 and E-2 notes are more sensitive to further credit quality deterioration and the potential tail risks in the deleveraging portfolio, which is reflected in the Negative Outlook on these tranches. The Outlooks remain Stable on all other classes of notes, reflecting Fitch's expectation that the benefit of continuing deleveraging should offset potential further deterioration in the portfolio quality or par losses. Asset Security, Portfolio Management and Portfolio Composition The class A-1-R notes have paid down by approximately 25.1% of its outstanding balance from the last review in September 2023, resulting in the increased credit enhancement (CE) levels for the class A-1-R, A-2-R, B-1-R and B-F-R notes. The portfolio consists of 160 obligors, with the largest 10 obligors comprising 11.8% of the portfolio (excluding cash). First lien loans, cash and eligible investments comprised 99.8% of the portfolio, and Fitch's weighted average recovery rate (WARR) of the portfolio is 75.4%, compared to 75.8% at refinancing. The Weighted Average Life test is not in compliance, which reflects several loan maturity amendments since refinancing. 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 (CE) do not compensate for the higher loss expectation than initially anticipated. - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to six rating notches, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating notches, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. DEUTSCHE ALT-A 2007-OA4: Moody's Hikes Rating on 2 Tranches to Caa1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds from two US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4 Cl. A-4, Upgraded to Baa1 (sf); previously on Apr 4, 2014 Upgraded to Baa3 (sf) Cl. I-A-1A, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf) Cl. I-A-1B, Upgraded to Caa1 (sf); previously on Dec 3, 2010 Downgraded to Caa2 (sf) Cl. II-A-1, Upgraded to Baa1 (sf); previously on Jun 21, 2019 Upgraded to Baa3 (sf) Cl. III-A-1, Upgraded to Baa1 (sf); previously on Jun 21, 2019 Upgraded to Baa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH2 Cl. M3, Upgraded to Baa1 (sf); previously on Feb 3, 2023 Upgraded to Ba2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. The size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The 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. DRYDEN 47 SENIOR: Moody's Cuts Rating on $10.5MM F Notes to Caa2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 47 Senior Loan Fund: US$51,100,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on February 13, 2024 Upgraded to Aa1 (sf) US$43,400,000 Class D Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Upgraded to A3 (sf); previously on February 13, 2024 Upgraded to Baa1 (sf) Moody's have also downgraded the rating on the following notes: US$10,500,000 Class F Senior Secured Deferrable Floating Rate Notes due 2028 (current outstanding balance of $10,838,145.35) (the "Class F Notes"), Downgraded to Caa2 (sf); previously on February 13, 2024 Downgraded to Caa1 (sf) Dryden 47 Senior Loan Fund, originally issued in April 2017 and partially refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2022. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2024. The Class A-1-R notes have been paid down by approximately 56.46% or $115.9 million since February 2024. Based on Moody's calculation, the OC ratios for the Class C-R and Class D notes are currently 142.56% and 119.40%, respectively, versus February levels of 130.71% and 115.90%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F notes is 102.84% versus February 2024 level of 104.28%. Moody's analysis also considers the risk posed by the deal's holdings of collateral that mature after the notes do. Based on Moody's calculation, securities that mature after the April 15, 2028 note maturity date currently make up approximately 1.40% of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. No actions were taken on the Class A-1-R, Class A-2-R, Class B-R and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $314,922,542 Defaulted par: $9,089,967 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2837 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.06% Weighted Average Recovery Rate (WARR): 47.53% Weighted Average Life (WAL): 2.62 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DRYDEN 94 CLO: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R loans, B-R, C-R, D-1-R, D-2-R and E-R replacement debt from Dryden 94 CLO Ltd./Dryden 94 CLO LLC, a CLO originally issued in June 2022 that is managed by PGIM Inc. and its affiliates. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Sept. 5, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R notes were issued at floating spreads, replacing the current floating spread. -- The stated maturity was extended to October 2037. -- The reinvestment period was extended to October 2029. -- The non-call period was extended to September 2026. 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." Ratings Assigned Dryden 94 CLO Ltd./Dryden 94 CLO LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $23.75 million: BBB (sf) Class D-2-R (deferrable), $11.25 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Subordinated notes, $72.90 million: Not rated Ratings Withdrawn Dryden 94 CLO Ltd./Dryden 94 CLO LLC Class A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A(sf)' Class D to not rated from 'BBB-(sf)' Class E to not rated from 'BB-(sf)' ELARA HGV 2023-A: Fitch Affirms 'BBsf' Rating on Class D Notes -------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Elara HGV Timeshare Issuer (Elara) 2019-A, 2021-A and 2023-A notes. The Rating Outlooks for the notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Elara HGV Timeshare Issuer, 2019-A LLC A 28416TAA3 LT AAAsf Affirmed AAAsf B 28416TAB1 LT Asf Affirmed Asf C 28416TAC9 LT BBBsf Affirmed BBBsf Elara HGV Timeshare Issuer, 2021-A LLC Class A 28416LAA0 LT AAAsf Affirmed AAAsf Class B 28416LAB8 LT Asf Affirmed Asf Class C 28416LAC6 LT BBBsf Affirmed BBBsf Class D 28416LAD4 LT BBsf Affirmed BBsf Elara HGV Timeshare Issuer 2023-A, LLC A 28415AAA5 LT AAAsf Affirmed AAAsf B 28415AAB3 LT A-sf Affirmed A-sf C 28415AAC1 LT BBB-sf Affirmed BBB-sf D 28415AAD9 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects loss coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. To date, Elara 2019-A and 2023-A are tracking outside or above Fitch's initial expectations, but all transactions have seen relatively stable performance over the past year. As of the July 2024 collection period, the 61+ day delinquency rates for Elara 2019-A, 2021-A and 2023-A are 1.90%, 2.46% and 1.00%, respectively. Cumulative gross defaults (CGD) are currently 18.31%, 13.67% and 5.69% for Elara 2019-A, 2021-A and 2023-A, respectively. When adjusting for cumulative substitutions (for defaults, upgrades and ineligible loans), CGDs for Elara 2019-A, 2021-A and 2023-A are 15.42%, 10.79% and 5.01%, respectively. Elara 2019-A and 2023-A are tracking above their initial base cases of 14.40% and 17.00% respectively. Elara 2021-A is tracking below their initial base case of 17.50%. Due to optional repurchases and substitutions made by the seller, none of the transactions have experienced net losses to date. Hard credit enhancement (CE) for each transaction has built to its target from close. To account for recent performance, Fitch maintained the lifetime CGD proxy at 18.50% and 16.50% for Elara 2019-A and 2021-A, respectively, given the stabilizing performance trends for these transactions. The CGD proxy of 17.00% for Elara 2023-A was also maintained due to low seasoning of the pool. Under Fitch's stressed cash flow assumptions, loss coverage for 2019-A class A, B, and C notes is below the 3.50x, 2.50x, and 1.75x multiples for 'AAAsf', 'Asf', and 'BBBsf', respectively, but is within the one category tolerance permitted by Fitch's criteria. For 2021-A, loss coverage for the class A and B notes is slightly below the 3.50x and 2.50x recommended multiples for 'AAAsf' and 'Asf', respectively, while the class C and D notes are in excess of the 1.75x and 1.25x recommended multiples for 'BBBsf' and 'BBsf', respectively. For 2023-A, loss coverage for the class A, B, C, and D notes are able to support multiples in excess of 3.50x, 2.25x, 1.58x, and 1.25x. The shortfalls are considered nominal and are within the range of the multiples for the current ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect the ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the base case loss expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to three rating categories. 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. Fitch applied an up sensitivity, by reducing the base case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. 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. ELMCL COMMERCIAL 2024-GTWY: Moody's Assigns B1 Rating to HRR Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by ELMCL Commercial Mortgage Trust 2024-GTWY, Commercial Mortgage Pass-Through Certificates, Series 2024-GTWY. Cl. A Definitive Rating Assigned Aaa (sf) Cl. B Definitive Rating Assigned Aa3 (sf) Cl. C Definitive Rating Assigned A3 (sf) Cl. D Definitive Rating Assigned Baa3 (sf) Cl. E Definitive Rating Assigned Ba2 (sf) Cl. HRR Definitive Rating Assigned B1 (sf) RATINGS RATIONALE This transaction is collateralized by the borrower's fee simple and leasehold interests in 19 industrial properties (17 fee simple and 2 leasehold) and 15 office properties (14 fee simple and 1 leasehold) encompassing approximately 5.1 million square feet ("SF") in 17 states and 27 markets (collectively, the "Portfolio"). Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 0.82x and Moody's first mortgage stressed DSCR is 0.85x. Moody's DSCR is based on Moody's stabilized net cash flow. The first mortgage balance of $480.0 million represents a Moody's LTV ratio of 109.3% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 99.4% based on Moody's Value using a cap rate adjusted for the current interest rate environment. With respect to property level diversity, the pool's property level Herfindahl score is 19.3. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's property quality grade is 1.74. Notable strengths of the transaction include: i. asset type and geographic diversity; ii. asset quality; iii. good industrial facility functionality; iv. strong occupancy and tenant profile; v. multiple property pooling; and vi. strong sponsorship. Notable concerns of the transaction include: i. office concentration; ii. small share of industrial facilities in global gateway markets; iii. small share of industrial facilities in infill locations; iv. floating-rate, interest-only profile; and v. credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. ELMWOOD CLO 33: S&P Assigns Prelim BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 33 Ltd./Elmwood CLO 33 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 Oaktree CLO Management Co. LLC. The preliminary ratings are based on information as of Aug. 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 Elmwood CLO 33 Ltd./Elmwood CLO 33 LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $30.00 million: BBB- (sf) Class D-2R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $17.00 million: BB- (sf) Subordinated notes, $42.00 million: Not rated GAGE PARK: Fitch Affirms 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A, B, C, D and E notes of Gage Park LLC (Gage Park). The Rating Outlooks on all rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Gage Park LLC A 36266UAS5 LT AAAsf Affirmed AAAsf B 36266UAW6 LT AAsf Affirmed AAsf C 36266UAY2 LT Asf Affirmed Asf D 36266UBA3 LT BBB-sf Affirmed BBB-sf E 36266UBC9 LT BB-sf Affirmed BB-sf Transaction Summary Gage Park is an arbitrage cash flow collateralized loan obligation (CLO) managed by Panagram Structured Asset Management, LLC. The transaction closed in September 2023 and will exit its reinvestment period in October 2028. The CLO is secured primarily by first lien senior secured leveraged loans. KEY RATING DRIVERS Stable Portfolio Performance The affirmations are driven by the portfolio's stable performance and sufficient credit enhancement (CE) levels since closing. As of July 2024 reporting, the Fitch weighted average rating factor was 30.2 (B/B-), compared to 29.4 of the closing portfolio. There are no defaulted assets and the portfolio consists of 44 obligors, down from 53, and the largest 10 obligors represent 28.3% of the portfolio. Assets with a Fitch Issuer Default Rating in the 'CCC' category increased to 15.3% of the current portfolio from 11.9% and issuers with a Negative Outlook on the driving rating currently comprise 13.8% of the portfolio. The Fitch weighted average recovery rate increased to 72.4% from 71.8% at closing. The transaction is in compliance with all coverage tests, collateral quality tests (CQTs), and concentration limitations, except for the limits for Fitch's CCC assets. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis based on newly run Fitch Stressed Portfolio (FSP) since the transaction is still in its reinvestment period. The FSP analysis stressed the current portfolio to account for permissible concentration limits and CQTs represented by the selected Fitch Test Matrix point. The FSP analysis also stressed the weighted average life to 8.5 years, in accordance with Fitch's CLOs and Corporate CDOs Rating Criteria. Due to the concentration of this portfolio being atypical when compared to other CLOs and the Fitch's obligor concentration uplift stress being applied to four obligors, the standard rating recovery rate assumptions interpolated from the Fitch weighted average recovery rate test value in Fitch's criteria was also adjusted by a multiplier of 97.1%. The rating actions are in line with their respective model-implied rating (MIR), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The Stable Outlooks also reflect Fitch's expectation that the notes have sufficient cushions to withstand potential deterioration in the credit quality of the portfolio under the relevant rating stresses. 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' CE 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 downgrades of one notch for the class A, D and E notes, and two notches for the class B and C notes, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrade of two notches for the class B notes, four notches for the class C notes, five notches for the class D notes, and six notches for the class E notes, based on the MIRs. Upgrade scenarios are not applicable for the class A notes as the notes are already at the highest rating level. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Gage Park 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. GENERATE CLO 17: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 17 Ltd./Generate CLO 17 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Generate Advisors LLC. The 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 Generate CLO 17 Ltd./Generate CLO 17 LLC Class A-1, $341.00 million: AAA (sf) Class A-2, $16.50 million: AAA (sf) Class B, $60.50 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D-1 (deferrable), $33.00 million: BBB- (sf) Class D-2 (deferrable), $5.50 million: BBB- (sf) Class E (deferrable), $16.50 million: BB- (sf) Subordinated notes, $55.00 million: Not rated GS MORTGAGE 2024-PJ7: Moody's Assigns Ba1 Rating to Cl. B-4 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 67 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2024-PJ7, and sponsored by Goldman Sachs Mortgage Company, L.P. The securities are backed by a pool of prime jumbo (81.7% by balance) and GSE-eligible (18.3% by balance) residential mortgages aggregated by Maxex Clearing LLC (MAXEX, 2.9% by balance), originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ7 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1-X*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3A, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4A, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-9-X*, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-15-X*, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-17-X*, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-19-X*, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-21-X*, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23-X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24-X*, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-25-X*, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-27-X*, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-28-X*, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-30, Definitive Rating Assigned Aaa (sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-33, Definitive Rating Assigned Aaa (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-34-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-3-A, Definitive Rating Assigned Baa3 (sf) Cl. B-3-X*, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned Ba3 (sf) Cl. B, Definitive Rating Assigned A1 (sf) Cl. B-X*, Definitive Rating Assigned A2 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-3L, Class A-4L, Class A-16L, and Class A-22L loans, assigned on August 8, 2024, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.37%, in a baseline scenario-median is 0.17% and reaches 5.07% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. HALSEYPOINT CLO 3: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from HalseyPoint CLO 3 Ltd./HalseyPoint CLO 3 LLC, a CLO originally issued in November 2020 that is managed by HalseyPoint Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A-1A, A-1B, A-2, B-1, B-2, C, D-1, D-2, and E debt following payment in full on the Aug. 30, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt. -- The reinvestment period was extended to July 30, 2029. -- A non-call period will be implemented and will be in effect through Aug. 30, 2026. -- The stated maturity of the secured notes was extended to July 30, 2037. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned HalseyPoint CLO 3 Ltd./HalseyPoint CLO 3 LLC Class A-1R, $300.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $25.00 million: BBB (sf) Class D-2R (deferrable), $8.75 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn HalseyPoint CLO 3 Ltd./HalseyPoint CLO 3 LLC Class A-1A to NR from 'AAA (sf)' Class A-1B 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-1 to NR from 'BBB+ (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt HalseyPoint CLO 3 Ltd./HalseyPoint CLO 3 LLC Class A-2R, $20.00 million: Not rated Subordinated notes, $48.12 million: Not rated NR--Not rated. HERA FINANCING 2024-1: S&P Assigns Prelim B-(sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings has assigned preliminary credit ratings to Hera Financing 2024-1 DAC's class A, B, C, D, E, and F notes. The transaction will be backed by GBP220.0 million of a GBP520.0 million senior ranking loan. The senior loan will be advanced to the borrowers under the facilities agreement (the facility A loans). The issuer will advance the GBP220.0 million facility A2 loan, which represents 42.3% of the total facility A loan using part of the proceeds of the issuance of the notes, with other lenders advancing the remaining portion of the facility A loan (such other portions of the facility A loan being the facility A1 loan and the nonsecuritized loans). In addition, the issuer will advance a GBP11.58 million facility R loan using part of the proceeds of the issuance of the notes, which will be junior ranking and rank behind the facility A loans. The facility R loan and the facility A2 loan are, collectively, referred to as the securitized loans, and the securitized loans together with the nonsecuritized loans are referred to as the loans. After the closing date but before May 2025, under the terms of the facilities agreement and subject to certain conditions being satisfied, a new lender or existing lender (including the issuer) may advance the facility A3 loan under facility A to refinance the Chancery House property located in London. The initial composition of the portfolio is 19 flexible office assets located in the U.K. The appraisers valued the property portfolio assuming a corporate sale at GBP867.0 million, and the current senior loan-to-value (LTV) ratio is 60.0%. The three-year loan (with two one-year loan extensions) does not include amortization or default covenants prior to a permitted change in control. S&P said, "Our preliminary ratings address Hera Financing 2024-1 DAC's ability to meet timely interest payments and principal repayment no later than the legal final maturity in November 2034. Our preliminary ratings on the notes reflect our assessment of the underlying loan's credit, cash flow, and legal characteristics, and an analysis of the transaction's counterparty and operational risks." Preliminary ratings CLASS PRELIM RATING* PRELIMINARY AMOUNT (MIL. GBP) A AAA (sf) 89.80 B AA- (sf) 30.00 C A- (sf) 24.00 D BBB- (sf) 20.50 E BB- (sf) 23.80 F B- (sf) 31.90 R NR 11.58 *S&P's ratings address timely payment of interest and payment of principal not later than the legal final maturity. NR--Not rated JP MORGAN 2024-8: Moody's Assigns B2 Rating to Class B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 33 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2024-8, and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (83.0% by balance) and GSE-eligible (17.0% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 19.1% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-8 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-2-A, Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.38%, in a baseline scenario-median is 0.16% and reaches 6.62% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. KKR CLO 13: Moody's Affirms B1 Rating on $7MM Class F-R Notes ------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by KKR CLO 13 Ltd.: US$21M Class E-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Apr 22, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$20M (Current outstanding balance US$ 14,246,925) Class C-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 6, 2023 Upgraded to Aaa (sf) US$24M Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 22, 2024 Upgraded to Aaa (sf) US$7M Class F-R Senior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Apr 22, 2024 Upgraded to B1 (sf) KKR CLO 13 Ltd., originally issued in December 2015 and refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in January 2020. RATINGS RATIONALE The rating upgrade on the Class E-R notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in April 2024. The affirmations on the ratings on the Class C-R, D-R and F-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Since the last rating action in April 2024, the Class B-1-R has been repaid in full. Subsequently, the Class C-R notes have been amortising and have paid down by approximately USD5.8 million (28.8%). As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated July 2024 [1], the Class C, Class D and Class E OC ratios are reported at 549.57%, 204.72% and 132.15% compared to March 2024 [2] levels of 211.10%, 149.32% and 118.88%, respectively. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD81.51m Defaulted Securities: none Diversity Score: 25 Weighted Average Rating Factor (WARF): 3736 Weighted Average Life (WAL): 2.31 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.66% Weighted Average Recovery Rate (WARR): 46.91% Par haircut in OC tests and interest diversion test: 4.32% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of USD16.3m of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. KRR CLO 46: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 46 Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 46 Ltd. X LT NRsf New Rating A-R LT NRsf New Rating B 48255VAC6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 48255VAE2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 48255VAG7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 48255WAA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary KKR CLO 46 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC that originally closed in March 2023. This is the first refinancing in which the original notes will be refinanced in whole, on Aug. 29, 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.31 versus a maximum covenant, in accordance with the initial expected matrix point of 27. 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 96.63% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.73% versus a minimum covenant, in accordance with the initial expected matrix point of 72.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, 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, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG DISCLOSURES Fitch does not provide ESG relevance scores for KKR CLO 46 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. MADISON PARK XXX: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding XXX, Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XXX, Ltd X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-1-R LT A+sf New Rating C-2-R LT A+sf New Rating D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Madison Park Funding XXX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by UBS Asset Management (Americas) LLC that originally closed in December 2018. On Aug. 29, 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 $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.57% first-lien senior secured loans and has a weighted average recovery assumption of 77.4%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X notes, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'Asf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X 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 Madison Park Funding XXX, 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 MADISON PARK XXX: Moody's Assigns B3 Rating to $250,000 F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XXX, Ltd. (the Issuer): US$372,000,000 Class A-1-R Floating Rate Senior Notes due 2037, Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and eligible investment up to 10.0% of the portfolio may consist of non senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $ 600,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3110 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MORGAN STANLEY 2014-C16: Fitch Lowers Rating on 2 Tranches to BB ---------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed two classes of Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 (MSBAM 2014-C16). Fitch assigned Negative Outlooks to classes C and PS T following their downgrades and revised the Outlook to Negative from Stable for classes B and X-B. Fitch has affirmed the two remaining classes of Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14 (MSBAM 2014-C14) commercial mortgage pass-through certificates. The Outlooks remain Negative Outlooks for classes F and G. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 A-4 61763MAE0 LT PIFsf Paid In Full AAAsf A-5 61763MAF7 LT PIFsf Paid In Full AAAsf A-S 61763MAH3 LT PIFsf Paid In Full AAAsf A-SB 61763MAC4 LT PIFsf Paid In Full AAAsf B 61763MAJ9 LT Asf Affirmed Asf C 61763MAL4 LT BBsf Downgrade BBBsf D 61763MAR1 LT CCsf Downgrade CCCsf E 61763MAT7 LT Csf Downgrade CCsf PST 61763MAK6 LT BBsf Downgrade BBBsf X-A 61763MAG5 LT PIFsf Paid In Full AAAsf X-B 61763MAM2 LT Asf Affirmed Asf MSBAM 2014-C14 F 61690GAZ4 LT BBsf Affirmed BBsf G 61690GBC4 LT Bsf Affirmed Bsf KEY RATING DRIVERS Increased Loss Expectations: The MSBAM 2014-C16 transaction has 11 FLOCs (100%), including seven loans (85.8%) in special servicing. The MSBAM 2014-C14 transaction includes three loans (85% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), all three of which are in special servicing. Due to the concentrated nature of the pools, Fitch performed a paydown analysis that grouped the remaining loans based on their current status, collateral quality, and loss expectation. MSBAM 2014-C16: The downgrades reflect higher pool loss expectations since Fitch's prior rating action driven by performance deterioration of the FLOCs, including the State Farm Portfolio (39%), Outlets of Mississippi (11%), Hilton San Francisco Financial District (16.3%) and the Cascade Station I & II (8%). The Negative Outlooks reflect the elevated concentration of FLOCs and reliance on recoveries from loans in special servicing to repay the classes. MSBAM 2014-C14: The Negative Outlook reflects the elevated concentration of FLOCs and loans in special servicing within the pool, Hilton San Francisco Financial District (57%) Fairfield Inn Portfolio (15%) Walgreens - Roseville, MN (13%) with the potential for downgrades should prospect for recoveries on the specially serviced loans worsen. Largest Contributor to Loss: The largest contributor to loss in MSBAM 2014-C16 is the State Farm Portfolio loan (39%), which is secured by a portfolio of 14 suburban office properties located in 11 cities across 11 states. The loan transferred to special servicing in September 2023 at the borrower's request for a loan modification to include a partial release and paydown of the loan. State Farm occupies 100% of the portfolio through November 2028 but is expected to vacate all buildings in the portfolio. The NOI DSCR was 2.06x at YE 2023 compared with 2.08x at YE 2022. The loan had an ARD in April 2024, but did not repay. As a result, at the interest rate was reset and the final maturity date is April 2029. Fitch's expected loss of 48.8% includes a 10.5% cap rate and a 60% stress to the YE 2023 NOI due to State Farm's anticipated vacating of all buildings in the portfolio and factors in an increased probability of default due to the loan's transfer to special servicing. The next largest contributor to loss is the Outlets of Mississippi (11.2%), which is secured by a 300,156-sf traditional outlet mall located in Pearl, MS. The loan has been designated as a FLOC due to a low DSCR. The servicer-reported NOI DSCR was 0.80x at YE 2023 compared with -1.02x at YE 2022 and -0.57x at YE 2021. Occupancy was 91% as of March 2024, a slight decline from 94% at YE 2023. The loan was modified in 2020, and the $62 million balance was bifurcated into an A and B note with the maturity extended to June 2026. Fitch's expected loss of approximately 85% is based on a 100% loss on the B-Note and 65% loss on the A-Note. The loss expectation was derived from a 20% cap rate and a 20% stress to YE 2023 NOI. The largest contributor to losses in the MSBAM 2014-C14 transaction is the Hilton San Francisco Financial District asset (57%), which is secured by a 543-room full-service hotel located in downtown San Francisco. The loan transferred to special servicing in October 2023 due to imminent default as the borrower indicated they would not be able to repay the loan at its January 2024 maturity. The loan is currently being cash managed. According to servicer updates, discussions are ongoing with the borrower. The servicer reported TTM June 2023 NOI DSCR was 1.22x compared with 1.34x at YE 2022. Fitch's expected loss of 2.4% reflects a stress to the most recent appraisal value. Fitch also ran a sensitivity analysis assuming a 50% expected loss due to the deterioration of the San Francisco hotel market. These additional sensitivity losses did not impact the ratings or outlooks. Increased Credit Enhancement (CE): As of the August 2024 remittance report, the pool's aggregate balances have been reduced by 80% in MSBAM 2014-C16 and 96% in MSBAM 2014-C14. To date, both transactions have incurred realized losses: $3.7 million in MSBAM 2014-C16 (including $7.2 million in interest shortfalls affecting classes F, G, and H) and $29.2 million in MSBAM 2014-C14 (including $2.2 million in interest shortfalls affecting class H). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'Asf' category rated class could occur if deal-level losses increase significantly and with outsized losses on larger FLOCs which includes the State Farm Portfolio, Outlets of Mississippi, Hilton San Francisco Financial District and Cascade Station I & II Downgrades to 'BBsf' and 'Bsf' category classes are possible with higher expected losses from continued performance declines of the FLOCs and higher certainty of losses on the loan's in special servicing. Downgrades to distressed classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade to the 'Asf' category rated class is not likely but is possible with better than expected recoveries on specially serviced loans. Upgrades to the 'BBsf' and 'Bsf' category are not expected, but possible should performance stabilization of the FLOCs and special serviced loans dispose with better than expected recoveries. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected, but are 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 2016-C29: DBRS Cuts Class X-E Certs Rating to B -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C29 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 as follows: -- Class D to BB (low) (sf) from BBB (sf) -- Class X-D to BB (sf) from BBB (high) (sf) -- Class E to B (low) (sf) from BB (sf) -- Class X-E to B (sf) from BB (high) (sf) -- Class F to CCC (sf) from B (high) (sf) -- Class X-F to CCC (sf) from BB (low) (sf) -- Class G to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AAA (sf) -- Class C at A (high) (sf) Morningstar DBRS changed the trends on Classes B, C, D, E, X-B, X-D, and X-E to Negative from Stable. Classes A-3, A-4, A-SB, A-S, and X-A continue to carry Stable trends. There are no trends for Classes F, G, and X-F, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). The credit rating downgrades on Classes D, E, F, G, X-D, X-E, and X-F reflect Morningstar DBRS' increased loss projections for the loans in special servicing. Since the last credit rating action, Princeton Pike Corporate Center (Prospectus ID#16, 2.2% of the current pool balance) and 696 Centre (Prospectus ID#13, 2.1% of the current pool balance) transferred to special servicing, and there are currently three specially serviced loans, representing 5.6% of the pool balance. Morningstar DBRS' analysis included a liquidation scenario for all three specially serviced loans, resulting in implied losses of approximately $23.5 million, an increase from Morningstar DBRS' projected losses of $7.0 million at the time of the last credit rating action. The current implied losses are projected to fully erode the unrated Class H certificate and approximately 65.0% of the Class G certificate, further reducing credit enhancement to the junior bonds. The primary contributor to the increase in Morningstar DBRS' projected loss is the liquidation scenario for the recently transferred 696 Centre loan. The Negative trends on Classes D and E are tied to the potential for further value deterioration for the loans in special servicing. The Negative trends on Classes B, C, and X-B reflect Morningstar DBRS' concerns regarding loans not yet in special servicing. With this review, Morningstar DBRS' weighted-average (WA) expected loss (EL) for the pool increased by approximately 100 basis points over the WA EL at the last review, primarily attributable to the two largest loans in the pool: Grove City Premium Outlets (Prospectus ID#1, 8.35% of the current pool balance) and 300 Four Walls (Prospectus ID#2, 7.4% of the pool balance). Both loans have been exhibiting year-over-year declines in occupancy rates, though net cash flow (NCF) and debt service coverage ratios (DSCR) remain relatively in line with issuance expectations. Given that both loans are approaching their respective maturity dates in December 2025 and February 2026, the increasing vacancy could prove challenging as the borrower seeks refinancing. To account for the increased risk, Morningstar DBRS' analysis included stressed loan-to-value ratios and/or elevated probabilities of default for these loans. Should these loans' performance deteriorate further or additional defaults occur, those classes with Negative trends may be subject to further credit rating downgrades. The credit ratings for the remaining Classes A-3, A-4, A-SB, A-S, and X-A were confirmed at AAA (sf), reflective of the otherwise overall stable performance of the remaining loans in the pool and Morningstar DBRS' expectation that these classes are sufficiently insulated from losses and will be recovered from loans expected to pay at maturity, based on their most recent year-end WA DSCR above 2.10 times (x) and WA debt yield of approximately 13.5%. As of the July 2024 remittance, 61 of the original 69 loans remained in the trust, with an aggregate balance of $677.6 million, representing a collateral reduction of 16.3% since issuance. There are 21 fully defeased loans, representing 24.4% of the current pool balance. One previously specially serviced loan, Wabash Landing Retail (Prospectus ID#22), was liquidated from the trust in December 2023, resulting in a realized loss of $2.8 million to the trust, slightly above Morningstar DBRS' loss projections of $2.2 million at its last review in August 2023, thereby eroding approximately 15% of the nonrated Class H. Interest shortfalls have also increased to $1.4 million with this review from $1.0 million in August 2023. Excluding the defeased loans, the pool is most concentrated by retail and office properties, which represent 36.7% and 15.3% of the pool balance, respectively. Morningstar DBRS has a cautious outlook on the office sector given the anticipated upward pressure on vacancy rates in the broader office market, challenging landlords' efforts to backfill vacant space, and, in certain instances, contributing to value declines, particularly for assets in noncore markets and/or with disadvantages in location, building quality, or amenities offered. Outside of the loans in special servicing, Morningstar DBRS' analysis includes an additional stress for two office loans exhibiting weakened performance, which resulted in loan-level WA ELs that are more than double the pool's average EL. The primary contributor to the implied liquidation losses is 696 Centre, which is secured by a 204,552-square-foot (sf) suburban office building in Farmington Hills, Michigan, approximately 20 miles outside of Detroit. The loan transferred to the special servicer in February 2024 for imminent monetary default after the borrower failed to pay its January 2024 scheduled debt payment. As per the July 2024 remittance, the loan remains 90+ days delinquent. As per the special servicer's commentary, the borrower requested an extension and discussions remain ongoing. The loan was previously on the servicer's watchlist because of the departure of its largest tenant, Google (which formerly occupied 41.4% of the net rentable area (NRA)), at its lease expiry in November 2022. Another tenant, Botsford General Hospital (which formerly occupied 24.9% of the NRA), also vacated in March 2022, prior to its December 2024 lease expiry. As a result, occupancy at the subject plummeted to 32.9% as of YE2023. As per the servicer site inspection performed in April 2024, occupancy at the subject has declined further to 26.9%, with an additional 7.0% of the NRA scheduled to roll over prior to loan maturity in January 2026. The departure of the property's largest tenants triggered cash management, and the loan reported a total balance of $1.8 million across all reserve accounts in July 2024. The borrower is reportedly funding operating shortfalls as the property is not generating enough revenue to cover expenses. The property was reappraised in March 2024 at $6.1 million, which represents a 74.6% decline from the issuance appraised value of $24.0 million. As per Reis, similar-vintage office properties within the Farmington Hills submarket reported an average vacancy rate of 20.5%, with an average asking rent of $18.47 per sf (psf), which is in line with the subject's average rental rate of $18.57 psf as per the April 2024 rent roll. Despite ongoing discussions surrounding a plausible extension, given the softening submarket metrics, significant drop in occupancy, and value deterioration with the latest appraisal, it is likely this asset will ultimately incur a loss upon resolution. Morningstar DBRS analyzed this loan with a liquidation scenario based on a conservative haircut to the most recent value, suggesting a loss severity of approximately 80%. Another loan in special servicing is Princeton Pike Corporate Center, which is secured by an eight-building suburban office complex in the Trenton suburb of Lawrenceville, New Jersey. The loan is pari passu with the MSBAM 2016-C28 transaction, which is also rated by Morningstar DBRS. The loan transferred to special servicing in February 2024 for imminent monetary default after the borrower indicated its inability to cover debt service and operating expenses. However, as of the July 2024 reporting, the loan was reported current. Occupancy at the collateral has fallen significantly, reported at only 59.5% as per the February 2024 rent roll, a further decline from the already-low YE2022 occupancy figure of 73.6%. Moreover, leases totaling approximately 23.0% of the NRA are scheduled to roll over in the next 12 months. According to Reis, office properties within the Trenton submarket reported an average vacancy rate of 17.4% and an average asking rental rate of $26.60 psf as of Q1 2024. However, Morningstar DBRS expects that the availability rate within the submarket could be much higher than the reported vacancy rate given the shift in demand for office space, particularly within suburban markets. The annualized September 2023 NCF was $7.1 million (reflecting a DSCR of 1.16x), compared with the YE2022 figure of $9.2 million (a DSCR of 1.50x) and the Morningstar DBRS NCF of $10.8 million. The drop in cash flow was attributed to a drop in occupancy, although Morningstar DBRS notes that multiple tenants vacated their space throughout 2023, suggesting the full-year 2023 and 2024 cash flows could show even further declines. Given the current payment status, an updated appraisal has not been ordered. Morningstar DBRS' liquidation scenario was based on a haircut to the issuance appraised value to reflect the declines in occupancy and cash flow, resulting in a projected loss severity approaching 40%. The Penn Square Mall (Prospectus ID#3, 6.9% of the pool) loan was shadow-rated investment grade at issuance. With this review, Morningstar DBRS notes that the loan continues to exhibit investment-grade loan characteristics as demonstrated by the stable cash flow and occupancy rate. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2019-H7: Fitch Cuts Rating on G-RR Certs to CCCsf ---------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 13 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2019-H7 (MSC 2019-H7). Fitch has also affirmed the 2019 H7 III Trust horizontal risk retention pass-through certificate (MOA 2020-H7 E) but revised the Outlook to Negative from Stable. Fitch assigned Negative Outlooks to class F-RR following its downgrade and revised the Outlook to Negative from Stable for class E-RR. Entity/Debt Rating Prior ----------- ------ ----- MSC 2019-H7 A-1 61771MAS9 LT AAAsf Affirmed AAAsf A-2 61771MAT7 LT AAAsf Affirmed AAAsf A-3 61771MAV2 LT AAAsf Affirmed AAAsf A-4 61771MAW0 LT AAAsf Affirmed AAAsf A-S 61771MAZ3 LT AAAsf Affirmed AAAsf A-SB 61771MAU4 LT AAAsf Affirmed AAAsf B 61771MBA7 LT AA-sf Affirmed AA-sf C 61771MBB5 LT A-sf Affirmed A-sf D 61771MAC4 LT BBBsf Affirmed BBBsf E-RR 61771MAE0 LT BBB-sf Affirmed BBB-sf F-RR 61771MAG5 LT B-sf Downgrade BB-sf G-RR 61771MAJ9 LT CCCsf Downgrade B-sf X-A 61771MAX8 LT AAAsf Affirmed AAAsf X-B 61771MAY6 LT A-sf Affirmed A-sf X-D 61771MAA8 LT BBBsf Affirmed BBBsf MOA 2020-H7 E E-RR 90215MAA1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.8%. There are nine Fitch Loans of Concern (FLOCs; 16.5% of the pool), which includes two special serviced loans (2.0%), one of which is still performing (1.1%). The downgrades reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by the West Palm Beach Industrial, Greenwood Heights and 3 Independence Way loans. The Negative Outlooks reflect the potential for future downgrades should performance of the FLOCs continue to deteriorate and/or additional loans transfer to special servicing. Largest Increase in Loss Expectations: The largest increase in loss expectations since the prior rating action is West Palm Beach Industrial (2.9%), which is secured by a portfolio of industrial properties in Florida. The West Palm Beach properties contain 198,389 sf and the Diana Beach property contains 12,660- sf. The loan has been designated as a FLOC due to delinquent payments. According to servicer updates, there is an ongoing dispute about an increase to the insurance escrow due to force place insurance. Fitch will continue to monitor the situation and provide updates as received. Fitch's 'Bsf' rating case loss of 18.6% (prior to concentration add-ons) reflects a 9% cap rate and a 7.5% stress to the YE 2023 NOI. The second largest increase in loss expectations since the prior rating action is the Greenwood Heights asset (0.8%), which is a 16,500-sf warehouse property located in Brooklyn, NY. The asset became REO in July 2024. According to servicer updates, the workout strategy is to increase leasing and potentially take the subject to market for sale. Fitch's 'Bsf' rating case loss of 28.2% (prior to concentration add-ons) reflects a discount to the March 2024 appraisal value which reflects a value of $436 psf. The third largest contributor to loss is 3 Independence Way (2%), which is secured by a 114,004- sf suburban office in Princeton, NJ. Occupancy declined to 44% as of YE 2023 from 91% at issuance due to tenant departures and downsizing of Aetna. Aetna downsized from 19% of the NRA to 6.2% in the first quarter of 2023. The servicer reported NOI DSCR was 0.37x at YE 2023, compared with 0.92x at YE 2022 and 1.47x at YE 2021. Fitch's 'Bsf' rating case loss of 49.1% (prior to concentration add-ons) reflects a 10% cap rate to the YE 2023 NOI and increased probability of default due to upcoming rollover and term default risk. Credit Opinion Loans: Three loans representing 14.7% of the pool were assigned credit opinions at issuance and remain as credit opinion loans: Grand Canal Shoppes (10%), Tower 28 (3.5%) and 3 Columbus Circle (1.8%). Minimal Change in Credit Enhancement: As of the August 2024 distribution date, the pool's aggregate balance has been reduced by 6% to $702.7 million from $747.0 million at issuance. Cumulative interest shortfalls of $ 252,875 are currently affecting the non-rated H-RR class. Twenty-five loans (60.3%) are full-term IO and 15 loans (16.5%) were structured with a partial-term IO component at issuance all of which have expired and began to amortize. Loan maturities are concentrated in 2029 (95.9%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of classes rated in the 'AAAsf' category are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. Downgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories would occur if additional loans become FLOCs or with further performance deterioration of the loans flagged as FLOCs, including West Palm Beach Industrial loan, Greenwood Heights and 3 Independence Way. Classes F-RR and G-RR would be downgraded if loss expectations increase on the FLOCs, additional loans transfer to special servicing and/or with a greater certainty of losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration and with performance stabilization or improved recovery expectations on the FLOCs, particularly West Palm Beach Industrial loan, Greenwood Heights, 3 Independence Way. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades of classes F-RR and G-RR could occur if performance of the office/hotel FLOCs improves significantly and/or if there is a significant increase in CE, which would only occur if the non-rated class is not eroded and the senior classes pay-off. 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. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS MOA 2020-H7 E is the horizontal risk retention pass-through certificate. MSDB TRUST 2017-712F: S&P Lowers Class C Certs Rating to 'BB (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from MSDB Trust 2017-712F. This is a U.S. standalone (single-borrower) CMBS transaction that is backed by a $300.0 million, 3.39% per annum fixed-rate, interest-only mortgage loan secured by the borrower's fee-simple interest in a 52-story, 543,386 sq. ft. mixed-use (office and retail) building at 712 Fifth Avenue (on Fifth Avenue and between 55th and 56th Streets) in Midtown Manhattan's Plaza District office submarket. The base of the building, which was built in the early 20th century, contains approximately 84,000 sq. ft. of retail space on floors 1-4, the concourse, and lower levels 1 and 2. It was 100% leased to Henri Bendel until it closed its store in 2019. Currently, 21.3% of the retail net rentable area (NRA) is leased to Harry Winston Inc. until December 2037. The office portion of the property, built in 1990, includes boutique-size floor plates (9,000 sq. ft. to 13,000 sq. ft.) and has unobstructed views of Central Park on the upper floors. Rating Actions The downgrades on classes A, B, and C primarily reflect that: -- Occupancy, which was 71.4% as of the June 30, 2024, rent roll, has not materially improved since S&P's last review, in December 2023. While the property has had new leasing activity, it is offset by existing tenants vacating or downsizing. According to the June 30, 2024, rent roll, about 16.2% of the NRA, or 20.4% of in-place gross rent, as calculated by S&P Global Ratings, rolls in 2025, and the master servicer, Wells Fargo Bank N.A., indicated that tenants comprising about 10.7% of NRA will likely not renew their leases. CoStar noted that tenants comprising 7.1% of NRA are currently marketing their spaces for sublease. -- The sponsor has provided significant concessions and tenant improvement (TI) packages to retain and attract tenants at the property. According to the June 30, 2024, rent roll and Wells Fargo, the rent abatement period is generally between one and 18 months, and the TI allowance on a new 10-year lease is, on average, between $140 and $150 per sq. ft., while on renewal leases it varies depending on the unit's condition. -- S&P said, "Given these factors, as well as still weak albeit stabilizing office submarket fundamentals, we assessed that the property's performance will likely not significantly improve in the near term. Our expected-case valuation, while unchanged from our last review, is 19.0% lower than the value we derived at issuance." S&P said, "We will continue to monitor the tenancy and performance of the property and the loan. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis Updates S&P said, "In our December 2023 review, we noted that the property's overall occupancy was between 60.0% and 70.0% from 2019 to partial-year 2023. At that time, we assumed an overall in-place 28.8% vacancy rate, an S&P Global Ratings' gross rent of $116.24 per sq. ft. for the office space and $458.35 per sq. ft. for the retail space, and a 42.8% operating expense ratio to arrive at an S&P Global Ratings' long-term sustainable net cash flow (NCF) of $25.3 million. Using a 6.25% S&P Global Ratings' capitalization rate, we derived an S&P Global Ratings' expected-case value of $405.2 million, or $746 per sq. ft. Since that time, the property's occupancy and NCF have not materially improved. While the servicer reported a NCF for year-end 2023 of $23.6 million, which was 12.7% higher than year-end 2022's NCF, it was still 6.8% below our assumed NCF of $25.3 million. S&P said, "We attributed the lower reported 2023 NCF mainly to significant rent abatements that tenants received to sign new or renewal leases. Based on our review of the June 2024 rent roll, if occupancy remains the same, we anticipate that the NCF for 2024 will be lower than 2023 due primarily to substantial free rent periods. The servicer reported a NCF of $5.4 million for the three months ended March 31, 2024. While the sponsor was able to sign new leases at the property, this was offset by existing tenants vacating or downsizing. After adjusting the June 30, 2024, rent roll for known tenant movements, we arrived at a property occupancy of 71.5% (21.3% on the retail space and 81.2% on the office space), which is generally in line with our December 2023 review. This compares with CoStar's reported 14.0% vacancy rate and 14.9% availability rate for 4- and 5-star properties in the Plaza District office submarket as of year-to-date September 2024." CoStar projects office vacancy to rise to 16.1% and asking rent to increase to $98.38 per sq. ft. (from the current $96.59 per sq. ft.) by 2028. The property's gross rent was $115.88 per sq. ft. on the office space and $453.16 per sq. ft. on the retail space, as calculated by S&P Global Ratings using the June 30, 2024, rent roll. S&P said, "In our current analysis, given that we do not expect the reported occupancy and NCF to materially change, we maintained our NCF of $25.3 million derived from our last review, which is 18.9% lower than our issuance NCF of $31.2 million. Utilizing an S&P Global Ratings' capitalization rate of 6.25%, we derived an S&P Global Ratings' expected-case value of $405.2 million, or $746 per sq. ft., unchanged from our last review, 19.0% below our issuance value of $500.1 million, and 56.9% below the issuance appraised value of $940.0 million. This yielded an S&P Global Ratings' loan-to-value ratio of 74.0% on the trust balance." Ratings Lowered MSDB Trust 2017-712F Class A to 'AA- (sf)' from 'AAA (sf)' Class B to 'BBB (sf)' from 'A (sf)' Class C to 'BB (sf)' from 'BB+ (sf)' OAKTREE CLO 2022-3: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1L-R, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Oaktree CLO 2022-3 Ltd./Oaktree CLO 2022-3 LLC, a CLO originally issued in September 2022 that is managed by Oaktree Capital Management L.P. The preliminary ratings are based on information as of Aug. 30, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 10, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1L-R, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The replacement class A-1L-R, A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a floating-rate spread, replacing the current fixed- and floating-rate spreads. -- The stated maturity, reinvestment period, and non-call period will be extended a little over two years. Replacement And Original Debt Issuances Replacement debt -- Class A-1L-R loans, $50.00 million: Three-month CME term SOFR + 1.38% -- Class A-1-R, $206.00 million: Three-month CME term SOFR + 1.38% -- Class A-2-R, $16.00 million: Three-month CME term SOFR + 1.58% -- Class B-R, $32.00 million: Three-month CME term SOFR + 1.75% -- Class C-R, $24.00 million: Three-month CME term SOFR + 2.10% -- Class D-1-R, $24.00 million: Three-month CME term SOFR + 3.30% -- Class D-2-R, $4.00 million: Three-month CME term SOFR + 4.70% -- Class E-R, $12.00 million: Three-month CME term SOFR + 6.50% Original debt -- Class A-1, $95.0 million: Three-month CME term SOFR + 2.35% -- Class A-2, $71.00 million: Three-month CME term SOFR + 2.30% -- Class A-L loans, $82.00 million: Three-month CME term SOFR + 2.30% -- Class B-1, $48.25 million: Three-month CME term SOFR +3.10% -- Class B-2, $7.75 million: 5.5899% -- Class C, $21.0 million: Three-month CME term SOFR + 4.15% -- Class D, $22.00 million: Three-month CME term SOFR + 5.69% -- Class E, $13.00 million: Three-month CME term SOFR + 8.38% -- Subordinated notes, $41.50 million: Residual S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Oaktree CLO 2022-3 Ltd./Oaktree CLO 2022-3 LLC Class A-1L-R loans, $50.0 million: AAA (sf) Class A-1-R, $206.0 million: AAA (sf) Class A-2-R, $16.0 million: AAA (sf) Class B-R, $32.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1-R (deferrable), $24.0 million: BBB- (sf) Class D-2-R (deferrable), $4.0 million: BBB- (sf) Class E-R (deferrable), $12.0 million: BB- (sf) Other Outstanding Debt Oaktree CLO 2022-3 Ltd./Oaktree CLO 2022-3 LLC Subordinated notes, $41.5 million: Not rated OCTAGON 65: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Octagon 65, Ltd. Entity/Debt Rating ----------- ------ Octagon 65, 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 Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Octagon 65, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.85, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.35% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.73% versus a minimum covenant, in accordance with the initial expected matrix point of 68.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-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 Octagon 65, 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. OHA CREDIT XIII: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R2, A-1-R2, B-1-R2, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2 replacement debt from OHA Credit Partners XIII Ltd./OHA Credit Partners XIII LLC, a CLO managed by Oak Hill Advisors L.P., a subsidiary of T. Rowe Price, that was originally issued in December 2016 and underwent a refinancing in August 2021. S&P did not rate the replacement class A-2-R2 debt. The preliminary ratings are based on information as of Sept. 4, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 10, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the August 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the August 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the August 2021 debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Sept. 10, 2026. -- The reinvestment period will be extended to Oct. 21, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Oct. 21, 2037. -- The target initial par amount will remain at $450.0 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 21, 2024. -- The class X-R2 debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first four payment dates in equal installments of $0.65 million, beginning with the payment date in October 2024. -- No additional subordinated notes will be 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." Preliminary Ratings Assigned OHA Credit Partners XIII Ltd./OHA Credit Partners XIII LLC Class X-R2, $2.60 million: AAA (sf) Class A-1-R2, $276.75 million: AAA (sf) Class B-1-R2, $18.25 million: AA (sf) Class B-2-R2, $20.00 million: AA (sf) Class C-R2 (deferrable), $27.00 million: A (sf) Class D-1-R2 (deferrable), $27.00 million: BBB- (sf) Class D-2-R2 (deferrable), $3.375 million: BBB- (sf) Class E-R2 (deferrable), $14.625 million: BB- (sf) Other Debt OHA Credit Partners XIII Ltd./OHA Credit Partners XIII LLC Class A-2-R2, $27.00 million: Not rated Subordinated notes, $47.50 million: Not rated OSD CLO 2021-23: Fitch Affirms 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has upgraded and assigned a Stable Rating Outlook on the class B-R2 notes in OCP CLO 2015-10, Ltd. (OCP 2015-10). Fitch also affirmed the rating and revised the Outlook to Positive from Stable on the class B notes in OSD CLO 2021-23, Ltd. (OSD 2021-23). All other rated classes in both transactions were affirmed with Stable Outlooks in both transactions. Entity/Debt Rating Prior ----------- ------ ----- OCP CLO 2015-10, Ltd. B-R2 67092DAV1 LT AA+sf Upgrade AAsf C-R2 67092DAX7 LT A+sf Affirmed A+sf D-R2 67092DAZ2 LT BBB+sf Affirmed BBB+sf OSD CLO 2021-23, Ltd. A 671026AA0 LT AAAsf Affirmed AAAsf B 671026AC6 LT AA+sf Affirmed AA+sf C 671026AE2 LT A+sf Affirmed A+sf D 671026AG7 LT BBB+sf Affirmed BBB+sf E 671025AA2 LT BB+sf Affirmed BB+sf Transaction Summary OSD 2021-23 and OCP 2015-10 are broadly syndicated CLOs managed by Onex Credit Partners, LLC. OSD 2021-23 closed in December 2021 and exited its replenishment period in October 2022. OCP 2015-10 had originally closed in October 2015, last refinanced in whole in December 2021 and will exit its reinvestment period in January 2025. Both CLOs are securitized primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Expected Amortization to Improve Senior Note Performance The rating actions are driven by amortization, as well as the expectation that note amortization will continue after the reinvestment period. For OSD 2021-23, an additional 36% of the original class A note balance amortized since the last review in September 2023, resulting in an increase of credit enhancement and improved cash flow modeling results for the senior notes. As of the August 2024 trustee reporting, a total of 57.8% of the original note A balance remains outstanding. Likewise, the upgrade of the class B-R2 notes in OCP 2015-10 is driven by stable portfolio performance and improved modelling results from expected senior note amortization following the exit from its reinvestment period. Fitch anticipates increased credit enhancement levels as the notes begin to amortize, barring significant portfolio deterioration. Asset Refinancing and Maturity Amendments Extend Portfolio WAL The portfolio weighted average life (WAL) of OSD 2021-23 reportedly increased to 4.24 years as of August 2024 from 4.12 years at the last review due to the refinancing and maturity extensions of underlying assets. Although the OSD 2021-23 exited the replenishment period in October 2022, document provisions allow participation in maturity amendments, subject to certain conditions. Additionally, long dated asset exposure began increasing in July, now comprising 4.5% of the total portfolio. However, these assets are haircut at 70% of their principal balance for coverage test purposes. Similar provisions are also included in OCP 2015-10, which has a relatively unchanged WAL from the previous review. There is currently no long-dated asset exposure in OCP 2015-10. Updated Cash Flow Analysis The rating actions are in line with the model-implied ratings (MIRs) as defined in the criteria, except for the class B notes in OSD 2021-23. Fitch affirmed the class one notch below its MIR due to potential refinancing risk of the underlying collateral and increased exposure to long-dated assets. However, Fitch revised the Outlook to Positive due to the expectation that continued note amortization will improve its credit profile. The Stable Outlooks on all other notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. Since OSD 2021-23 has exited its replenishment period, Fitch's updated cash flow analysis used a stressed portfolio that incorporated a one-notch downgrade for assets with a Negative Outlook on the driving rating of the obligor. For OCP 2015-10 Fitch updated its cash flow analysis based on the newly run Fitch Stressed Portfolios (FSP) since the transaction is still in its reinvestment period. The FSP analysis stressed the current portfolios to account for permissible concentration and collateral quality tests (CQT). The FSP analysis also stressed the weighted average life to 5.35 years. Weighted average spread and weighted average coupon were also stressed to their covenanted levels. Stable Portfolio Performance As of the latest trustee reporting, portfolio credit quality was at the 'B' rating level for OSD 2021-23 and at 'B'/'B-' for OCP 2015-10. The average Fitch weighted average rating factor (WARF) for both portfolios slightly improved to 23.1 from 24.4 at last review. There is one defaulted asset in both portfolios, with an average exposure of 0.6%. OSD 2021-23 consists of 175 obligors, and the largest 10 obligors represent 10.9% of the portfolio. OCP 2015-10 has 323 obligors, with the largest 10 obligors comprising 7.1% of the portfolio. Exposure to issuers with a Negative Outlook and Fitch's watchlist is 11.1% and 3.4%, respectively, for OSD 2021-23 and 12.3% and 5.7%, respectively, for OCP 2015-10. First lien loans, cash and eligible investments comprise 99.6% of the portfolios on average. Fitch's weighted average recovery rate (WARR) of the portfolios averaged 75.5%, compared to an average of 76.0% at the last review. 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 does not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to three notches for OCP 2015-10 and six notches for OSD 2021-23, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to three notches for both transactions, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates PRESTIGE AUTO 2024-2: S&P Assigns Prelim 'BB' Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Prestige Auto Receivables Trust 2024-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 4, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 59.83%, 50.93%, 41.23%, 31.51%, and 26.55% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.05x, 2.60x, 2.10x, 1.60x, and 1.35x coverage of S&P's expected cumulative net loss (ECNL) of 19.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, S&P's preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within 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 preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A. (Citibank), which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. (Prestige) as servicer, and its view of the company's underwriting and the backup servicing arrangements with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Prestige Auto Receivables Trust 2024-2 Class A-1, $27.50 million: A-1+ (sf) Class A-2, $80.91 million: AAA (sf) Class B, $42.29 million: AA (sf) Class C, $34.94 million: A (sf) Class D, $37.43 million: BBB (sf) Class E, $13.97 million: BB (sf) SEQUOIA MORTGAGE 2024-8: Fitch Assigns 'B+sf' Rating on B4 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-8 (SEMT 2024-8). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2024-8 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT B+sf New Rating B+(EXP)sf B5 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 383 loans with a total balance of approximately $439.1 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated tape, which consisted of six loan drops and updated cutoff balances. In addition, Redwood also provided Fitch with an updated structure to reflect the new balances. There were no changes to the credit enhancement levels to the bonds. Fitch re-ran both its asset and cash flow analysis, and there were no changes to the loss feedback or expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 383 loans totaling approximately $439.1 million and seasoned at approximately three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 775 and 35.8% debt-to-income (DTI) ratio, and moderate leverage, with an 81.5% sustainable loan-to-value (sLTV) ratio and 72.1% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 94.4% in loans where the borrower maintains a primary residence, while 5.6% are of a second home; 66.1% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (vs. 11.5% on a national level as of 1Q24, remaining unchanged since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 5.9% YoY nationally as of May 2024 despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps to limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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'. CRITERIA VARIATION Per criteria, Fitch expects originators or aggregators that are new to Fitch and represent greater than 15% of a portfolio to be deemed 'Acceptable' following an abbreviated qualitative assessment. The variation is related to the 17.4% concentration of Ally Financial, which has not been reviewed by Fitch. Fitch is comfortable with the originator concentration given the 100% diligence performed, strong collateral attributes and Ally Financial standing as top 25 domestic bank and financially rated by Fitch. 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 Clayton. The third-party due diligence described in Form 15E focused on: credit, property valuation and compliance review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 17bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2024-8 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-8 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2024-9: Fitch Gives B(EXP) Rating on B5 Certs -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2024-9 (SEMT 2024-9). Entity/Debt Rating ----------- ------ SEMT 2024-9 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating 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 B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 408 loans with a total balance of approximately $456.6 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 408 loans, totaling $456.6 million, and seasoned approximately four months in aggregate. The borrowers have a strong credit profile (773 FICO and 36.0% debt-to-income) and a moderate leverage (79.6% sustainable loan-to-value). The pool consists of 94.6% of loans where the borrower maintains a primary residence, while 5.6% is second home. Additionally, 76.8% of the loans were originated through a retail channel, and 99.7% are designated as QM loan. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.7% above a long-term sustainable level (vs. 11.5% on a national level as of 1Q24, up 0.4% 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 5.9% YoY nationally as of May 2024 despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially to the senior classes, which is more beneficial for the super-senior classes (A-9, A-12 and A-18). Compared to 120-day stop advance framework in prior Redwood transactions, SEMT 2024-9 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent principal and interest (P&I) to the trust until deemed non-recoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. CE Floor (Positive): A CE or senior subordination floor of 1.00% 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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 41.9% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment: a 5% reduction in its loss analysis. This adjustment resulted in a 22bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2024-9 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-9 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UBS COMMERCIAL 2017-C5: Fitch Lowers Rating on E-RR Certs to BB- ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 12 classes of UBS Commercial Mortgage Trust 2017-C5 (UBSCM 2017-C5) commercial mortgage pass-through certificates. The Rating Outlook for classes B, X-B, C, D and D-RR has been revised to Negative from Stable, and class E-RR has been assigned a Negative Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C5 A-2 90276TAB0 LT AAAsf Affirmed AAAsf A-3 90276TAE4 LT AAAsf Affirmed AAAsf A-4 90276TAF1 LT AAAsf Affirmed AAAsf A-5 90276TAG9 LT AAAsf Affirmed AAAsf A-S 90276TAK0 LT AAAsf Affirmed AAAsf A-SB 90276TAC8 LT AAAsf Affirmed AAAsf B 90276TAL8 LT AA-sf Affirmed AA-sf C 90276TAM6 LT A-sf Affirmed A-sf D 90276TAN4 LT BBB+sf Affirmed BBB+sf D-RR 90276TAQ7 LT BBBsf Affirmed BBBsf E-RR 90276TAS3 LT BB-sf Downgrade BBB-sf F-RR 90276TAU8 LT CCCsf Downgrade BB-sf G-RR 90276TAW4 LT CCsf Downgrade B-sf X-A 90276TAH7 LT AAAsf Affirmed AAAsf X-B 90276TAJ3 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.6%. Fitch Loans of Concerns (FLOCs) comprise 11 loans (37.9%), including the largest loan in the pool (6.6%) and three specially serviced loans (11%). The downgrades reflect increased pool loss expectations since Fitch's last rating action. The increase was primarily driven by a significantly lower updated office appraisal value on Delshah NYC Portfolio (4.6%) and further performance deterioration of hotel loans DoubleTree Wilmington (3.6%) and DoubleTree Berkeley Marina (2.9%). The Negative Outlooks on classes B, X-B and C reflect the classes' exposure to FLOCs. The Negative Outlooks on classes D, D-RR and E-RR reflect possible downgrades without performance stabilization of the FLOCs or with extended workouts and additional value declines for the loans in special servicing. FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and second largest contributor to loss is Delshah NYC Portfolio, which transferred to the special servicer in July 2022 due to a maturity default. The loan is secured by two properties, 58-60 9th Avenue (retail/multifamily) and 69 Gansevoort Street (retail), both located in the meatpacking District of Lower Manhattan. Per the servicer, a forbearance/extension was approved, though it did not progress to closing. The special servicer is dual tracking foreclosure as workout discussions continue with the borrower. Fitch's 'Bsf' rating case loss of 22.9% (prior to concentration adjustments) is based on a 20% haircut to a recent appraised value. The second largest increase in loss since the prior rating action and largest contributor to loss is DoubleTree Wilmington, which is secured by a 244-room, seven-story full service hotel located in Wilmington, DE. The loan was previously transferred to the special servicer in July 2020 due to pandemic-related performance declines and returned to the master servicer in January 2022. The loan was flagged as a FLOC as performance continues to struggle. As of YE 2023, servicer reported NOI DSCR and occupancy were 0.50x and 52%, respectively. Fitch's 'Bsf' rating case loss of 34% (prior to concentration adjustments) is based on a 11.25% cap rate and YE 2023 NOI with no additional stress. The third largest increase in loss since the prior rating action is Murrieta Plaza (1.6%), which is secured by 141,122-sf retail property located in Murrieta, CA. The loan was flagged as a FLOC due to declining performance. As of YE 2023, servicer reported NOI DSCR was 0.60x. Occupancy is reportedly 42% due to Dick's Sporting Goods (42.5%) vacating at lease expiration in March 2022. Fitch's 'Bsf' rating case loss of 38.8% (prior to concentration adjustments) is based on a 10.5% cap rate and a 7.5% stress to YE 2023 NOI. Increased Credit Enhancement (CE): As of the August 2024 remittance report, the transaction has been reduced by 18.8% since issuance. Two loans (4.8%) are defeased. Interest shortfalls of about $659,000 are affecting the non-rated class NR-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not likely due to their position in the capital structure and expected continued amortization and loan repayments. However, downgrades could occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in 'AAsf', 'Asf' and 'BBBsf' categories, especially those which have Negative Outlooks, are likely with lack of performance stabilization of the FLOCs and/or prolonged workouts and valuation declines of the loans in special servicing. These FLOCs include Burbank Office Portfolio, Delshah NYC Portfolio, DoubleTree Wilmington, DoubleTree Berkeley Marina and Murrieta Plaza. Downgrades to class in the 'BBsf' rated category is likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office, mixed-use and hotel FLOCs with deteriorating performance and/or with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur with a greater certainty of losses and/or as losses are realized. 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 improved deal-level loss expectations and sustained performance improvement and stabilization on the FLOCs. These FLOCs include Delshah NYC Portfolio, DoubleTree Wilmington, DoubleTree Berkeley Marina and Murrieta Plaza. Upgrades to the 'BBBsf' category rated class 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', 'CCCsf' and 'CCsf' category rated classes are not likely, but would be possible in the later years in a transaction if the performance of the remaining pool is stable, recoveries and/or valuations 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. VISIO 2021-1R: S&P Affirms B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 56 classes from nine U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 21 upgrades and 35 affirmations. S&P said, "For each transaction, we performed a credit analysis using updated loan-level information, from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior credit event adjustment factors were based on the transactions' current pool compositions." The upgrades primarily reflect deleveraging, as the rated classes benefit from a growing percentage of credit support from regular principal payments, historical prepayments, and the degree of credit enhancement relative to delinquencies. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains relatively consistent with our prior projections. 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 or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- The priority of principal payments; -- The priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large balance loan exposure/tail risk. Ratings List RATING ISSUER NAME SERIES CLASS CUSIP TO FROM CSMC 2019-AFC1 Trust 2019-AFC1 A-1 12596XAA0 AAA (sf) AAA (sf) CSMC 2019-AFC1 Trust 2019-AFC1 A-2 12596XAB8 AA+ (sf) AA+ (sf) CSMC 2019-AFC1 Trust 2019-AFC1 A-3 12596XAC6 AA (sf) AA (sf) CSMC 2019-AFC1 Trust 2019-AFC1 M-1 12596XAD4 AA- (sf) AA- (sf) CSMC 2019-AFC1 Trust 2019-AFC1 B-1 12596XAE2 A- (sf) BBB+ (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2019-AFC1 Trust 2019-AFC1 B-2 12596XAF9 BB (sf) BB- (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM3 Trust 2021-NQM3 A-1 12660LAA7 AAA (sf) AAA (sf) CSMC 2021-NQM3 Trust 2021-NQM3 A-2 12660LAB5 AA+ (sf) AA+ (sf) CSMC 2021-NQM3 Trust 2021-NQM3 A-3 12660LAC3 AA (sf) AA (sf) CSMC 2021-NQM3 Trust 2021-NQM3 M-1 12660LAD1 A (sf) A (sf) CSMC 2021-NQM3 Trust 2021-NQM3 B-1 12660LAE9 BBB (sf) BBB- (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM3 Trust 2021-NQM3 B-2 12660LAF6 B (sf) B (sf) CSMC 2021-NQM5 Trust 2021-NQM5 A-1 22946DAA0 AAA (sf) AAA (sf) CSMC 2021-NQM5 Trust 2021-NQM5 A-2 22946DAB8 AA+ (sf) AA+ (sf) CSMC 2021-NQM5 Trust 2021-NQM5 A-3 22946DAC6 AA (sf) AA- (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM5 Trust 2021-NQM5 M-1 22946DAD4 A- (sf) A- (sf) CSMC 2021-NQM5 Trust 2021-NQM5 B-1 22946DAE2 BB+ (sf) BB+ (sf) CSMC 2021-NQM5 Trust 2021-NQM5 B-2 22946DAF9 B (sf) B (sf) CSMC 2021-NQM8 Trust 2021-NQM8 A-1 12659FAA3 AAA (sf) AAA (sf) CSMC 2021-NQM8 Trust 2021-NQM8 A-2 12659FAB1 AA+ (sf) AA (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM8 Trust 2021-NQM8 A-3 12659FAC9 A+ (sf) A (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM8 Trust 2021-NQM8 M-1 12659FAD7 BBB+ (sf) BBB (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM8 Trust 2021-NQM8 B-1 12659FAE5 BB+ (sf) BB (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2021-NQM8 Trust 2021-NQM8 B-2 12659FAF2 B (sf) B (sf) CSMC 2022-NQM2 Trust 2022-NQM2 A-1A 12664VAA1 AAA (sf) AAA (sf) CSMC 2022-NQM2 Trust 2022-NQM2 A-1B 12664VAB9 AAA (sf) AAA (sf) CSMC 2022-NQM2 Trust 2022-NQM2 A-1 12664VAC7 AAA (sf) AAA (sf) CSMC 2022-NQM2 Trust 2022-NQM2 A-2 12664VAD5 AA+ (sf) AA+ (sf) CSMC 2022-NQM2 Trust 2022-NQM2 A-3 12664VAE3 A+ (sf) A (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2022-NQM2 Trust 2022-NQM2 M-1 12664VAF0 BBB+ (sf) BBB (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2022-NQM2 Trust 2022-NQM2 B-1 12664VAG8 BB+ (sf) BB (sf) PRIMARY RATING DRIVER: Increased credit support. CSMC 2022-NQM2 Trust 2022-NQM2 B-2 12664VAH6 B- (sf) B- (sf) Visio 2019-2 Trust 2019-2 A-1 92837DAA5 AAA (sf) AAA (sf) Visio 2019-2 Trust 2019-2 A-2 92837DAB3 AA+ (sf) AA+ (sf) Visio 2019-2 Trust 2019-2 A-3 92837DAC1 AA (sf) AA (sf) Visio 2019-2 Trust 2019-2 M-1 92837DAD9 AA- (sf) A+ (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2019-2 Trust 2019-2 B-1 92837DAE7 BBB+ (sf) BBB- (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2019-2 Trust 2019-2 B-2 92837DAF4 B+ (sf) B (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2020-1 Trust 2020-1 A-1 92837KAA9 AAA (sf) AAA (sf) Visio 2020-1 Trust 2020-1 A-2 92837KAB7 AA+ (sf) AA+ (sf) Visio 2020-1 Trust 2020-1 A-3 92837KAC5 AA (sf) AA (sf) Visio 2020-1 Trust 2020-1 M-1 92837KAD3 AA- (sf) A+ (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2020-1 Trust 2020-1 B-1 92837KAE1 BBB+ (sf) BBB (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2020-1 Trust 2020-1 B-2 92837KAF8 BBB- (sf) BB+ (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2020-1R Trust 2020-1R A-1 92837MAA5 AAA (sf) AAA (sf) Visio 2020-1R Trust 2020-1R A-2 92837MAB3 AA+ (sf) AA+ (sf) Visio 2020-1R Trust 2020-1R A-3 92837MAC1 AA (sf) AA (sf) Visio 2020-1R Trust 2020-1R M-1 92837MAD9 AA- (sf) A (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2020-1R Trust 2020-1R B-1 92837MAE7 A- (sf) BBB- (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2020-1R Trust 2020-1R B-2 92837MAF4 BB (sf) B (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2021-1R Trust 2021-1R A-1 92837UAA7 AAA (sf) AAA (sf) Visio 2021-1R Trust 2021-1R A-2 92837UAB5 AA+ (sf) AA+ (sf) Visio 2021-1R Trust 2021-1R A-3 92837UAC3 AA (sf) AA- (sf) PRIMARY RATING DRIVER: Increased credit support. Visio 2021-1R Trust 2021-1R M-1 92837UAD1 A (sf) A (sf) Visio 2021-1R Trust 2021-1R B-1 92837UAE9 BB+ (sf) BB+ (sf) Visio 2021-1R Trust 2021-1R B-2 92837UAF6 B (sf) B (sf) VOYA CLO 2024-4: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2024-4, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2024-4, 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 Voya CLO 2024-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.24 versus a maximum covenant, in accordance with the initial expected matrix point of 24.24. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.72% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.23% 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WARWICK CAPITAL 4: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Warwick Capital CLO 4 Ltd./Warwick Capital CLO 4 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 Warwick Capital CLO Management LLC--Management Series. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Warwick Capital CLO 4 Ltd./Warwick Capital CLO 4 LLC Class A-1, $216.00 million: AAA (sf) Class A-1 loans, $40.00 million: AAA (sf) Class A-2, $6.00 million: AAA (sf) Class B, $42.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $35.00 million: Not rated WELLS FARGO 2024-C63: Fitch Assigns 'B-sf' Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2024-C63 commercial mortgage pass-through certificates series 2024-C63 as follows: - $9,518,000a class A-1 'AAAsf'; Outlook Stable; - $65,000,000a class A-3 'AAAsf'; Outlook Stable; - $15,597,000a class A-SB 'AAAsf'; Outlook Stable; - $100,986,000a class A-4 'AAAsf'; Outlook Stable; - $308,671,000a class A-5 'AAAsf'; Outlook Stable; - $499,772,000ab class X-A 'AAAsf'; Outlook Stable; - $101,739,000a class A-S 'AAAsf'; Outlook Stable; - $32,128,000a class B 'AA-sf'; Outlook Stable; - $18,742,000a class C 'A-sf'; Outlook Stable; - $152,609,000ab class X-B 'A-sf'; Outlook Stable; - $11,601,000ac class D 'BBBsf'; Outlook Stable; - $7,140,000ac class E 'BBB-sf'; Outlook Stable; - $18,741,000abc class X-D 'BBB-sf'; Outlook Stable; - $13,387,000ac class F 'BB-sf'; Outlook Stable; - $13,387,000abc class X-F 'BB-sf'; Outlook Stable; - $8,924,000acd class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $20,527,138acd class J-RR. Notes: (a) The certificate balances and notional amounts of these classes include the vertical risk retention interest, which totals 3.65% 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 pursuant to Rule 144A. (d) Class G-RR and J-RR certificates (other than the portions thereof comprising part of the vertical risk retention interest) comprise the transaction's horizontal risk retention interest. The ratings are based on information provided by the issuer as of Aug. 27, 2024. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 30 loans secured by 30 commercial properties having an aggregate principal balance of $713,960,139 as of the cutoff date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Argentic Real Estate Finance 2 LLC, Société Générale Financial Corporation, JPMorgan Chase Bank, National Association, National Cooperative Bank, N.A., and Wells Fargo Bank, National Association. The general master servicer is Wells Fargo Bank, National Association, and the general special servicer is Argentic Services Company LP. National Cooperative Bank, N.A. serves as the master servicer and special servicer for the loans that National Cooperative Bank, N.A. contributed to the trust. The trustee and certificate administrator is Computershare Trust Company, National Association. Deutsche Bank National Trust Company serves as the trustee for the loans that National Cooperative Bank, N.A. contributed to the trust. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 93.8% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $274.2 million represents a 14.1% decline from the issuer's aggregate underwritten NCF of $319.1 million. Lower Fitch Leverage: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 77.0% is better than both the 2024 YTD and 2023 averages of 89.47 and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 14.2% is better than both the 2024 YTD and 2023 averages of 11.2% and 10.9%, respectively. Investment Grade Credit Opinion Loans: Six loans representing 43.0% of the pool by balance received an investment grade credit opinion. Bridge Point Rancho Cucamonga (9.1%) received an investment grade credit opinion of 'BBB+sf*' on a standalone basis. Marriott Myrtle Beach Grande Dunes Resort (8.4%) received an investment grade credit opinion of 'BBBsf*' on a standalone basis. 610 Newport Center (7.7%) received an investment grade credit opinion of 'A-sf*' on a standalone basis. St. Johns Town Center (6.4%) received an investment grade credit opinion of 'Asf*' on a standalone basis. Mercer Square Owners Corp. (6.0%) received an investment grade credit opinion of 'AAAsf*' on a standalone basis. Arizona Grand Resort and Spa (5.3%) received an investment grade credit opinion of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is significantly greater than both the 2024 YTD average of 14.0% and the 2023 average of 17.8%. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 95.2% and 10.7%, respectively, compared to the equivalent conduit 2024 YTD LTV and DY averages of 94.1% and 10.6%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans make up 68.8% of the pool, which is worse than both the 2024 YTD average of 59.3% and 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 17.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The 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'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'. 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 list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'. 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 mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WOODMONT 2022-9: S&P Assigns BB- (sf) Rating Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1R, A-1LR, A-2R, B-R, C-R, D-R, and E-R replacement debt and the new class X debt from Woodmont 2022-9 Trust, a CLO originally issued in June 2022 that is managed by MidCap Financial Services Capital Management LLC. At the same time, S&P withdrew its ratings on the original class A-1A, A-1L, A-1B, A-2, B-1, B-2, C, D, and E debt following payment in full on the Sept. 5, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-1LR, A-2R, B-R, C-R, D-R, and E-R debt were issued at a lower spread over three-month SOFR than the original debt. -- The stated maturity, reinvestment period, and non-call period were extended slightly more than two years. -- The new class X debt was issued in connection with this refinancing. This debt will be paid down using interest proceeds during the first 11 payment dates, beginning with the January 2025 payment date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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 Woodmont 2022-9 Trust Class X, $6.25 million: AAA (sf) Class A-1R, $312.50 million: AAA (sf) Class A-1LR, $50.00 million: AAA (sf) Class A-2R, $25.00 million: AAA (sf) Class B-R, $37.50 million: AA (sf) Class C-R (deferrable), $50.00 million: A (sf) Class D-R (deferrable), $37.50 million: BBB- (sf) Class E-R (deferrable), $37.50 million: BB- (sf) Ratings Withdrawn Woodmont 2022-9 Trust Class A-1A to NR from 'AAA(sf)' Class A-1B to NR from 'AAA(sf)' Class A-1L1 to NR from 'AAA(sf)' Class A-1L2 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 Woodmont 2022-9 Trust Subordinated notes, $77.72 million: NR NR--Not rated. [*] Fitch Lowers 13 & Affirms 33 Classes on Five CMBS 2014 Deals ---------------------------------------------------------------- Fitch Ratings has downgraded 13 and affirmed 33 classes from five 2014 vintage US CMBS multiborrower transactions. The Rating Outlooks for two affirmed classes were revised to Negative from Stable, three affirmed classes were revised to Stable from Negative, and two affirmed classes were revised to Negative from Positive. Eleven classes were assigned Negative Outlooks following downgrades. The Outlooks remain Negative on two of the affirmed classes and Stable on six of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2014-C19 E 46641WAJ6 LT B-sf Affirmed B-sf F 46641WAL1 LT CCCsf Affirmed CCCsf JPMBB 2014-C22 A-S 46642NBH8 LT AA-sf Affirmed AA-sf B 46642NBJ4 LT BBB-sf Downgrade A-sf C 46642NBK1 LT Bsf Downgrade BBsf D 46642NAJ5 LT CCsf Affirmed CCsf E 46642NAL0 LT Csf Affirmed Csf EC 46642NBL9 LT Bsf Downgrade BBsf X-A 46642NBF2 LT AA-sf Affirmed AA-sf X-C 46642NAC0 LT Csf Affirmed Csf JPMBB 2014-C25 A-4A1 46643PBD1 LT AAAsf Affirmed AAAsf A-4A2 46643PAA8 LT AAAsf Affirmed AAAsf A-5 46643PBE9 LT AAAsf Affirmed AAAsf A-S 46643PBJ8 LT AAAsf Affirmed AAAsf B 46643PBK5 LT A-sf Downgrade AA-sf C 46643PBL3 LT BBB-sf Downgrade A-sf D 46643PAN0 LT CCCsf Downgrade B-sf E 46643PAQ3 LT CCsf Affirmed CCsf EC 46643PBM1 LT BBB-sf Downgrade A-sf F 46643PAS9 LT Csf Affirmed Csf X-A 46643PBG4 LT AAAsf Affirmed AAAsf X-B 46643PBH2 LT A-sf Downgrade AA-sf X-D 46643PAE0 LT CCCsf Downgrade B-sf X-E 46643PAG5 LT CCsf Affirmed CCsf X-F 46643PAJ9 LT Csf Affirmed Csf JPMBB 2014-C21 C 46642EBE5 LT BBBsf Affirmed BBBsf D 46642EAJ5 LT CCCsf Affirmed CCCsf E 46642EAL0 LT CCsf Affirmed CCsf EC 46642EBF2 LT BBBsf Affirmed BBBsf F 46642EAN6 LT Csf Affirmed Csf X-C 46642EAE6 LT CCsf Affirmed CCsf JPMBB 2014-C24 A-4A1 46643GAD2 LT AAAsf Affirmed AAAsf A-4A2 46643GAQ3 LT AAAsf Affirmed AAAsf A-5 46643GAE0 LT AAAsf Affirmed AAAsf A-S 46643GAJ9 LT AAAsf Affirmed AAAsf B 46643GAK6 LT BBBsf Downgrade Asf C 46643GAL4 LT BB-sf Downgrade BBB-sf D 46643GAY6 LT CCCsf Affirmed CCCsf E 46643GBA7 LT CCsf Affirmed CCsf EC 46643GAM2 LT BB-sf Downgrade BBB-sf F 46643GBC3 LT Csf Affirmed Csf X-A 46643GAG5 LT AAAsf Affirmed AAAsf X-B1 46643GBJ8 LT BBBsf Downgrade Asf X-B2 46643GAH3 LT CCCsf Affirmed CCCsf X-C 46643GAS9 LT CCsf Affirmed CCsf X-D 46643GAU4 LT Csf Affirmed Csf KEY RATING DRIVERS Pool Concentration; Adverse Selection: Three of the transactions are concentrated by the remaining number of loan with fewer than 10 loans remaining and/or the majority of the loans being Fitch Loans of Concerns (FLOCs) or in special servicing. The JPMBB 2014-C24 and JPMBB 2014-C25 transactions have 27 and 40 loans remaining, respectively; however, loan maturities for both transactions are imminent with 84.7% of loans in JPMBB 2014-C24 and 83.2% in JPMBB 2014-C25 maturing in the next three months. Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). In some cases, this analysis resulted in rating caps given the collateral quality of the remaining loans and issues with refinanceability or uncertainty of ultimate resolutions. The downgrades reflect higher pool loss expectations, driven by FLOCs, predominantly secured by office properties where performance has either not stabilized or has deteriorated further, loans that failed to refinance at maturity and specially serviced loans/assets in the transactions. Downgrades from already distressed rating to lower distressed ratings reflect greater certainty of losses on specially serviced loans. The Outlook revisions to Stable from Negative reflect stable-to-improved pool-level loss expectations and/or improved recovery expectations on the remaining loans since Fitch's last rating action. Negative Outlooks reflect elevated office concentration levels and reliance on proceeds from FLOCs and/or loans in special servicing to repay the classes. Without stabilization and/or improved prospects for recovery; downgrades are possible. Office exposure and loans in special servicing in these transactions include: JPMBB 2014-C19: office: 15.7% of the pool; special servicing: 26.5% of the pool; Tuttle Parke Apartments; Columbus Corners; JPMBB 2014-C21: office: 38.1%; special servicing: 96.6%; Miami International Mall; Westminster Mall; One Dallas Center; 200 West Monroe; Dakota Center; Blanco Junction; JPMBB 2014-C22: office: 77.6%; special servicing: 81.8%; Queens Atrium; One Met Center; 10333 Richmond; Laurel Park Place; 120 Mountain View Blvd; 244 Jackson Street; 630 Forest Avenue; JPMBB 2014-C24: office: 22.8%; special servicing: 27.9%; 635 Madison Avenue; 17 State Street; Hilton Houston Post Oak; Meriden Executive Park; Anchor Industrial Park; JPMBB 2014-C25: office: 42.3%; special servicing: 31.4%; CityPlace; Hilton Houston Post Oak; 9525 West Bryn Mawr Avenue; Southport Plaza; Park Place; Brettwood Village Shopping Center. Change to Credit Enhancement: As of the August 2024 distribution date, the aggregate pool balances of the five US CMBS conduit transactions have been reduced in excess of 42% (ranging from 42% to 96%). JPMBB 2014-C24 has seven defeased loans, representing 6.7% of the pool, while JPMBB 2014-C25 has 10 defeased loans, comprising 18.8% of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades stemming from issues with potential further declines in performance that could result in higher expected losses on the FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs; which include aforementioned FLOCs noted above. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better than expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Fitch Lowers 15 & Affirms 46 Classes on 11 US CMBS Transactions ------------------------------------------------------------------- Fitch Ratings has downgraded 15 and affirmed 46 classes from 11 US CMBS multiborrower transactions from the 2003 through 2012 vintages. All transactions are concentrated by the remaining number of loans. The Rating Outlooks were revised to Negative from Stable on four of the affirmed classes, and remain Negative on five of the affirmed classes. Negative Outlooks were assigned to eight classes following their downgrades. The Outlooks were revised to Stable from Negative on two of the affirmed classes, and remain Stable on three of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage Securities Trust 2012-GCJ9 D 36192PAK2 LT BB-sf Downgrade BBB-sf E 36192PAN6 LT CCCsf Downgrade Bsf F 36192PAR7 LT CCsf Downgrade CCCsf COMM 2012-CCRE4 A-3 12624QAR4 LT AAAsf Affirmed AAAsf A-M 12624QAT0 LT BB-sf Downgrade BBB-sf B 12624QBA0 LT Csf Affirmed Csf C 12624QAC7 LT Csf Affirmed Csf D 12624QAE3 LT Dsf Affirmed Dsf E 12624QAG8 LT Dsf Affirmed Dsf F 12624QAJ2 LT Dsf Affirmed Dsf X-A 12624QAS2 LT BB-sf Downgrade BBB-sf X-B 12624QAA1 LT Csf Affirmed Csf MSBAM 2012-C5 D 61761AAG3 LT BBBsf Affirmed BBBsf E 61761AAJ7 LT BBsf Affirmed BBsf F 61761AAL2 LT Bsf Affirmed Bsf G 61761AAN8 LT CCCsf Downgrade Bsf H 61761AAQ1 LT CCsf Downgrade CCCsf GSMS 2011-GC5 A-S 36191YAE8 LT AAAsf Affirmed AAAsf B 36191YAG3 LT BBsf Affirmed BBsf C 36191YAJ7 LT Csf Affirmed Csf D 36191YAL2 LT Csf Affirmed Csf E 36191YAN8 LT Csf Affirmed Csf F 36191YAQ1 LT Csf Affirmed Csf X-A 36191YAA6 LT AAAsf Affirmed AAAsf WFRBS Commercial Mortgage Trust 2011-C4 D 92936CAW9 LT BBsf Affirmed BBsf E 92936CAY5 LT CCsf Downgrade CCCsf F 92936CBA6 LT Csf Affirmed Csf G 92936CBC2 LT Csf Affirmed Csf General Electric Capital Assurance Company, GFCM 2003-1 F 36161RBA6 LT Asf Affirmed Asf G 36161RBB4 LT B-sf Affirmed B-sf H 36161RBC2 LT Dsf Affirmed Dsf J 36161RBD0 LT Dsf Affirmed Dsf J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6 D 46634SAJ4 LT A-sf Affirmed A-sf E 46634SAM7 LT CCCsf Affirmed CCCsf F 46634SAP0 LT CCsf Affirmed CCsf G 46634SAR6 LT Csf Affirmed Csf H 46634SAT2 LT Csf Affirmed Csf JPMCC 2011-C3 B 46635TAU6 LT BBBsf Downgrade Asf C 46635TAX0 LT BBsf Downgrade BBBsf D 46635TBA9 LT CCCsf Affirmed CCCsf E 46635TBD3 LT CCsf Affirmed CCsf G 46635TBK7 LT Csf Affirmed Csf H 46635TBN1 LT Csf Affirmed Csf J 46635TBR2 LT Csf Affirmed Csf MSBAM 2012-C6 C 61761DAH5 LT BBB-sf Downgrade Asf D 61761DAQ5 LT CCCsf Downgrade BBsf E 61761DAS1 LT CCsf Affirmed CCsf F 61761DAU6 LT Csf Downgrade CCsf G 61761DAW2 LT Csf Affirmed Csf H 61761DAY8 LT Csf Affirmed Csf PST 61761DAG7 LT BBB-sf Downgrade Asf X-B 61761DAL6 LT BBB-sf Downgrade Asf WFRBS 2012-C9 E 92930RAK8 LT BBsf Affirmed BBsf F 92930RAL6 LT B-sf Affirmed B-sf COMM 2012-CCRE3 A-M 12624PAJ4 LT PIFsf Paid In Full Asf B 12624PAL9 LT BBsf Affirmed BBsf C 12624PAQ8 LT CCCsf Affirmed CCCsf D 12624PAS4 LT Csf Affirmed Csf E 12624PAU9 LT Csf Affirmed Csf F 12624PAW5 LT Dsf Affirmed Dsf G 12624PAY1 LT Dsf Affirmed Dsf PEZ 12624PAN5 LT CCCsf Affirmed CCCsf X-A 12624PAF2 LT PIFsf Paid In Full Asf KEY RATING DRIVERS Pool Concentration; Adverse Selection: The transactions are concentrated with fewer than 10 loans remaining and/or the majority of the loans being Fitch Loans of Concerns (FLOCs). Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement. In some cases, this analysis resulted in rating caps given the collateral quality of the remaining loans and issues with refinanceability or ultimate resolutions. The downgrades reflect higher pool loss expectations, driven by FLOCs, secured mostly by retail and office properties where performance has either not stabilized or has deteriorated further, and specially serviced loans/assets in the transactions. Of the 15 downgraded classes: - Four were from an investment-grade to a lower investment-grade rating; - Four were from an investment-grade to a below investment-grade rating; - Three were from a below investment-grade to a lower below investment-grade or distressed rating (CCCsf or below); - Three were from an already distressed rating to a lower distressed rating due to greater certainty of losses. The Outlook revisions to Stable from Negative reflect stable-to-improved pool-level loss expectations and/or improved recovery expectations on the remaining loans since Fitch's last rating action; these classes include Class D in the MSBAM 2012-C5 transaction and Class B in the COMM 2012-CCRE3 transaction. The Negative Outlooks on classes in eight transactions reflect a high concentration of FLOCs and/or loans in special servicing to repay the classes. Without stabilization and/or improved prospects for recovery, downgrades are possible. Additionally, the Negative Outlooks on 'AAA' rated class A-S in GSMS 2011-GC5 and class A-3 in COMM 2012-CCRE4 reflect the potential to incur interest shortfalls due to increasing exposures for specially serviced loans. Notable FLOCs in these transactions include: - JPMCC 2011-C3: Holyoke Mall, Sangertown Square; - WFRBS 2011-C4: Fox River Mall, Park Place Student Housing; - GSMS 2011-GC5: Park Place Mall, 1551 Broadway, Parkdale Mall & Crossing, Ashland Town Center, Champlain Centre; - MSBAM 2012-C5: Legg Mason Tower, The Distrikt Hotel; - WFRBS 2012-C9: Chesterfield Town Center; - MSBAM 2012-C6: 1880 Broadway/15 Central Park West Retail, Palmdale Gateway; - COMM 2012-CCRE4: Eastview Mall and Commons, The Prince Building; - GSMS 2012-GCJ9: Jamaica Center, Gansevoort Park Avenue. Regional Mall Exposure: Seven of the 11 transactions have significant exposure to regional malls with deteriorated performance and/or outsized losses. The largest expected losses include Park Place Mall (36.9% of the pool) in GSMS 2011-GC5 with a 60.2% loss, Eastview Mall and Commons (49.0%) in COMM 2012-CCRE4 with a 48.6% loss and Holyoke Mall (76.5%) in JPMCC 2011-C3 reflecting a 34.4% loss. Park Place Mall, a regional mall located in Tucson AZ, became REO in October 2023 with reported occupancy of 76% as of March 2024. Eastview Mall and Commons comprises two retail properties in Victor, NY whose occupancy fell to 84% in March 2024, with a NOI DSCR of 1.50x for the same period. Holyoke Mall is a regional mall located in Holyoke, MA where March 2024 occupancy is down to 70% with YE 2023 NOI DSCR of 1.16x. Office Concentration: Of the transactions, MSBAM 2012-C5, COMM 2012-CCRE3 and COMM 2012-CCRE4 have a high concentration of office loans ranging between 43% and 76% of the pool. The largest loss contributor in the MSBAM 2012-C5 transaction is the Legg Mason Tower loan (75.7% of the pool), which is secured by a 612,613-sf office property that is part of a mixed-use development located in the Inner Harbor District at the southeastern end of downtown Baltimore, MD. The lease of the largest tenant, Legg Mason (45.4% of the NRA), expires in August 2024 and it is reportedly not occupying at least half of its space. Fitch's analysis on this loan incorporated a 10% cap rate and a 50% stress to the YE 2023 NOI, given the uncertainty with the Legg Mason rollover, weak market conditions and office sector concerns. Change to Credit Enhancement: As of the August 2024 distribution date, the aggregate pool balance of the 11 US CMBS conduit transactions has been reduced in excess of 76% (ranging from 76% to 99%). There are no defeased loans in these transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades stemming from issues with potential further declines in performance that could result in higher expected losses on the FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs; which include aforementioned FLOCs noted above. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better than expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Fitch Takes Action Six AASET Aircraft ABS Transactions ---------------------------------------------------------- Fitch Ratings, on Aug. 30, 2024, took various rating actions on the following Apollo Aviation Securitization Equity Trust (AASET) aircraft ABS transactions: - Apollo Aviation Securitization Equity Trust 2014-1 (AASET 2014-1) - AASET 2018-1 Trust (2018-1) - AASET 2018-2 Trust (2018-2) - AASET 2019-1 Trust (2019-1) - AASET 2019-2 Trust (2019-2) - AASET 2020-1 Trust (2020-1) The ratings reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structures to withstand rating-specific stresses under Fitch's criteria and related asset model. Rating considerations include lease terms, lessee credit quality and performance, updated aircraft values, and Fitch's assumptions and stresses, which inform Fitch's modeled cash flows and coverage levels. Entity/Debt Rating Prior ----------- ------ ----- AASET 2014-1, 2018 Refinance C 03766#AB0 LT Asf Upgrade CCCsf AASET 2018-1 Trust A 000367AA0 LT CCCsf Affirmed CCCsf B 000367AB8 LT CCsf Affirmed CCsf C 000367AC6 LT CCsf Affirmed CCsf AASET 2018-2 Trust A 04546KAA6 LT Asf Upgrade BB+sf B 04546KAB4 LT BBBsf Upgrade Bsf C 04546KAC2 LT Bsf Upgrade CCCsf AASET 2019-1 Trust Class A 00256DAA0 LT Asf Upgrade CCCsf Class B 00256DAB8 LT BBBsf Upgrade CCsf Class C 00256DAC6 LT Bsf Upgrade CCsf AASET 2019-2 Trust A 00038RAA4 LT Asf Affirmed Asf B 00038RAB2 LT BBBsf Affirmed BBBsf C 00038RAC0 LT BBsf Affirmed BBsf AASET 2020-1 Trust A 00255UAA3 LT A-sf Affirmed A-sf B 00255UAB1 LT BBB-sf Affirmed BBB-sf C 00255UAC9 LT Bsf Affirmed Bsf Transaction Summary 2014-1: Transaction performance remains stable with lease cash flows generally consistent with expectations. However, materially improved asset values lead to asset sales occurring sooner than anticipated, with sales proceeds paying off the class A and B notes, and materially improving the C note LTV. Additionally, the senior and junior maintenance reserves are fully funded with a balance of $12.6 million as of the August 2024 servicer report. 2018-1: Transaction performance remains challenged. Rent collections and cashflow to service debt came in below Fitch's expectations, the notes have fallen further behind schedule, and the LTV's have increased. The servicer continues to pursue insurance claims on three aircraft seized in Russia; while receipt of insurance proceeds could materially delever the transaction, quantifying the amount and timing remains speculative. 2018-2: Transaction has de-levered since its last review, primarily driven by sooner than expected asset sales, and higher than anticipated proceeds. The transaction received disposition proceeds of $123 million over the past twelve months. Other receipts include $20 million in EOL payments. The class A and B notes are ahead of scheduled principal by 15% and 34% respectively. 2019-1: Collections exceeded Fitch's expectations since the last review, primarily driven by strong asset sales, which generated $45 million in cash, and net positive maintenance cashflows. Additionally, the transaction has benefited from steady lease collections, and has seen improvement in utilization, which is currently 100% as of the August 2024 servicer report. The class A notes are ahead of schedule, and have received $92mm in principal payments since last review. Class B received approximately $4 million in principal and C notes have not received payments in two years, and continue to accrue interest. The servicer continues to pursue insurance claims on three aircraft seized in Russia; receipt of insurance proceeds could materially delever the transaction, though quantifying the amount and timing remains speculative. 2019-2: Lease cash flows remained broadly in line with Fitch's expectations. Although collections came in higher than expected due end-of-lease maintenance payments and sales proceeds. The A notes received $56 million in principal payments since August 2023; the B and C notes received no principal payments. All three notes remain behind schedule. The servicer continues to pursue insurance claims on four aircraft seized in Russia; while receipt of insurance proceeds could materially delever the transaction, quantifying the amount and timing remains speculative. 2020-1: The transaction performance has remained in line with Fitch's expectations. Class A note principal balance has caught up to schedule, while B and C notes are behind schedule with C accruing interest. Overall Market Recovery: Demand for air travel remains robust. Total passenger traffic is above 2019 levels with June revenue passenger kilometers (RPKs) up 9.1% compared to June 2023, per the International Air Transport Association (IATA). International traffic led the way with 12.3% yoy RPK growth while domestic traffic grew 4.3% yoy. Asia Pacific led overall growth in traffic. Aircraft Collateral and Asset Values: Aircraft ABS transaction servicers are reporting strong demand and increased lease rates for aircraft, particularly those with maintenance green time remaining. Demand for A320 CEOs and 737-800s, particularly for aircraft in good maintenance condition, has materially strengthened. Fitch is also seeing meaningful improvement in sale proceeds for aircraft approaching the end of leasable life. Appraiser market values are currently higher than base values for many aircraft types, which is something Fitch hasn't seen for several years. Macro Risks: While the commercial aviation market has recovered significantly over the past 12 months, it will continue to face potential risks, including workforce shortages, supply chain issues, geopolitical risks, and recessionary concerns that would impact passenger demand. Most of these events would lead to greater credit risk due to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cash flows needed to meet debt service. KEY RATING DRIVERS Asset Values: The aircraft in the AASET transactions are generally older with a weighted-average age (by value) of between 15 and 21 years depending on the transaction. Using mean maintenance-adjusted base value in order to make period to period comparisons, the loan-to-value (LTV) for each of the notes has changed since Fitch's last review (August 2023) as follows: - Asset 2014-1: C note 104% to 46%; - Asset 2018-1: A note 113% to 132%; B note 139% to 165%; C note 153% to 184%; - AASET 2018-2: A note 66% to 55%; B note 83% to 61%; C note 96% to 84%; - AASET 2019-1: A note 122% to 26%; B note 164% to 72%; C note 193% to 112%; - AASET 2019-2: A note 66% to 65%; B note 83% to 85%; C note 92% to 96%; - AASET 2020-1: A note 69% to 67%; B note 84% to 85%; C note 98% to 103%. In determining the Fitch Value of each pool, Fitch used January 2024 appraisals and adjusted for depreciation. Fitch employs a methodology whereby it varies the type of value based on the remaining leasable life: - Less than three years of leasable life: Maintenance-adjusted market value; - More than three years of leasable life, but more than 15 years old: Maintenance-adjusted base value; - Less than 15 years old: Half-life base value. Fitch then uses the lesser of mean and median of the given value. The Fitch Value for each of the transactions is as follows: - ASSET 2014-1: $57 million; - AASET 2018-1: $83 million; - AASET 2018-2: $235 million; - AASET 2019-1: $73 million; - AASET 2019-2: $326 million; - AASET 2020-1: $183 million. Fitch also applies a haircut to residual values that vary based on rating stress level beginning at 5% at 'Bsf' and increasing to 15% at 'Asf'. Tiered Collateral Quality: Fitch utilizes three tiers when assessing the desirability and therefore the liquidity of aircraft collateral with Tier 1 being the most liquid. As aircraft in the pool reach an age of 15 and then 20 years, pursuant to Fitch's criteria, the aircraft tier will migrate one level lower. Additional detail regarding Fitch's tiering methodology can be found here. The weighted average age and tier for each of the transactions is as follows: - AASET 2014-1: Age: 21 years; Tier: 3.0; - AASET 2018-1: Age: 17.9 years; Tier 2.7; - AASET 2018-2: Age: 18.2 years; Tier: 2.4; - AASET 2019-1: Age: 18.7 years; Tier: 2.6; - AASET 2019-2: Age: 15.4 years; Tier: 1.9; - AASET 2020-1: Age: 18.2 years; Tier: 2.3. Pool Concentration: The aircraft count and number of lessees by transaction are as follows: - AASET 2014-1: 5 aircraft and 4 engines; 6 lessees; - AASET 2018-1: 7 aircraft; 6 lessees; - AASET 2018-2: 16 aircraft and 2 engines; 13 lessees; - AASET 2019-1: 7 aircraft; 4 lessees; - AASET 2019-2: 20 aircraft and 1 engine; 14 lessees; - AASET 2020-1: 15 aircraft and 1 engine; 12 lessees. As pools age and aircraft are assumed to be are sold at the end of their leasable lives, pool concentrations are assumed to increase; we stress cash flows based on the effective aircraft count given the increased riskiness of the cashflows, particularly maintenance cashflows for smaller pools. Lessee Credit Risk: Fitch considers the credit risk posed by incumbent lessees to be moderate-to-high, although delinquencies have improved considerably since the prior review. The modeled credit rating Fitch assigns to the subject airlines may improve if they demonstrate a longer track record of timely payment performance, particularly for airlines that have recently been restructured; however, Fitch has generally maintained the credit ratings assigned in its prior review. The weighted-average lessee credit rating by transaction is as follows: - AASET 2014-1: 'CCsf'; - AASET 2018-1: 'CCCsf'; - AASET 2018-2: 'CCsf'; - AASET 2019-1: 'CCCsf'; - AAET 2019-2: 'CCCsf'; - AASET 2020-1: 'CCsf'. Operation and Servicing Risk: Fitch deems the servicer, Carlyle Aviation Partners, to be qualified based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase in delinquencies, lower lease rates, or sales of aircraft below Fitch's projections could lead to a downgrade. The aircraft ABS sector has a rating cap of 'Asf'. All subordinate tranches carry ratings lower than the senior tranche. Fitch ran various sensitives depending on the transaction and the source of cashflow that is particularly impactful and/or uncertain. For example, Fitch conducted a sensitivities in which residual values were reduced by 20% to simulate underperformance in sales beyond the haircuts, depreciation, and market value declines already incorporated into Fitch's model. Fitch also ran sensitivities regarding insurance proceeds from aircraft seized in Russia and end of lease maintenance cashflows. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios this may also lead to an upgrade. Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. 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. [*] Moody's Takes Action on $20MM of US RMBS Issued 1998-2006 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds and downgraded the ratings of two bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-2XS Cl. A-5, Upgraded to Aaa (sf); previously on Mar 26, 2019 Upgraded to Aa2 (sf) Cl. A-6, Upgraded to Aaa (sf); previously on Sep 20, 2018 Upgraded to Aa1 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Oct 26, 2023 Downgraded to B3 (sf) Issuer: HSI Asset Securitization Corporation Trust 2005-I1 Cl. I-A, Upgraded to Aaa (sf); previously on Jul 11, 2018 Upgraded to Baa3 (sf) Cl. II-A-4, Upgraded to Aaa (sf); previously on Jul 11, 2018 Upgraded to Baa2 (sf) Issuer: IMC Home Equity Loan Trust 1998-5 A-5, Upgraded to Aaa (sf); previously on Oct 26, 2023 Upgraded to A2 (sf) A-6, Upgraded to Aaa (sf); previously on Oct 26, 2023 Upgraded to A2 (sf) Issuer: RALI Series 2006-QS2 Trust Cl. I-A-13, Downgraded to Ca (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a deterioration in collateral performance and declining credit enhancement which has led to a loss of either interest or principal to the bond. The rating downgrade of Class M-1 issued by Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2003-2XS is due to outstanding interest shortfalls on the bond that are not expected to be recouped. This bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. The rating downgrade of class I-A-13 issued by RALI Series 2006-QS2 Trust reflects the principal loss incurred by the bond to date as well as Moody's expectation of further principal loss in the future. Each of the upgraded bonds continue to display increase in credit enhancement. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. Certain bonds in this review are currently impaired or expected to become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. These include interest risk from current or potential missed interest that remain unreimbursed. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $38.5MM of US RMBS Issued 2003-2006 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds and downgraded the ratings of two bonds from four RMBS transactions, backed by Subprime, Alt-A and Option ARM mortgages. 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: Chase Funding Trust, Series 2003-2 Ser. 2003-2 Cl. IA-5, Upgraded to A3 (sf); previously on May 23, 2018 Downgraded to Ba3 (sf) Ser. 2003-2 Cl. IIA-2, Upgraded to Aa1 (sf); previously on Apr 10, 2012 Downgraded to Aa2 (sf) Ser. 2003-2 Cl. IM-1, Upgraded to B1 (sf); previously on Apr 10, 2012 Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-32CB Cl. A-3, Downgraded to Ca (sf); previously on Sep 29, 2016 Confirmed at Caa3 (sf) Issuer: Renaissance Home Equity Loan Trust 2004-3 Cl. AV-2A, Upgraded to Aaa (sf); previously on May 9, 2014 Downgraded to Aa1 (sf) Cl. AV-2B, Upgraded to A2 (sf); previously on Feb 5, 2019 Upgraded to A3 (sf) Cl. AF-5, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Underlying Rating: Upgraded to A2 (sf); previously on Feb 5, 2019 Upgraded to Baa1 (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Cl. AF-6, Currently Rated A1 (sf); previously on Mar 21, 2022 Upgraded to A1 (sf) Underlying Rating: Upgraded to A1 (sf); previously on Feb 5, 2019 Upgraded to A2 (sf) Financial Guarantor: Assured Guaranty Inc. (Affirmed at A1, Outlook Stable on July 10, 2024) Issuer: Renaissance Home Equity Loan Trust 2006-3 Cl. AV-3, Downgraded to Ca (sf); previously on May 9, 2014 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of improved loss coverage levels as the pace of losses on the collateral has slowed for each transaction in recent years. In addition, the rating upgrades for Cl. IA-5 and Cl. IM-1 from Chase Funding Trust, Series 2003-2 are also driven by the projected availability and crossing of excess funds between two collateral pools in consideration of factors, such as the speed of paydown of bonds in structure, and loss timing. The downgrades reflect the current and expected future impairment level on the bonds, which has grown when compared to prior reviews. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. The rating upgrades reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. This includes non-credit nature of zero payments to interest only bonds. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $50MM of US RMBS Issued 1997-2005 ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds and downgraded the ratings of two bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: IMC Home Equity Loan Trust 1997-3 A-6, Upgraded to Aa1 (sf); previously on May 18, 2018 Upgraded to Baa1 (sf) M-1, Downgraded to Caa1 (sf); previously on Oct 26, 2023 Downgraded to B2 (sf) M-2, Downgraded to Caa1 (sf); previously on Oct 18, 2012 Downgraded to B2 (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC1 Cl. B-1, Upgraded to Ba3 (sf); previously on Aug 1, 2019 Upgraded to B1 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on Apr 23, 2004 Assigned Aa2 (sf) Cl. M-2, Upgraded to Aaa (sf); previously on May 10, 2019 Upgraded to A1 (sf) Cl. M-3, Upgraded to Aa1 (sf); previously on May 10, 2019 Upgraded to Baa1 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2005-4 Cl. M-2, Upgraded to Baa1 (sf); previously on Jun 3, 2019 Upgraded to B2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools or an increase in credit enhancement available to the bonds. The rating downgrades of Class M-1 and Class M-2 issued by IMC Home Equity Loan Trust 1997-3 are due to outstanding interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. Additionally, Moody's analysis considered the expected time of class A-6 from IMC Home Equity Loan Trust 1997-3 getting paid down, which Moody's expect in the next three months. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. 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. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. 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