/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240922.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 22, 2024, Vol. 28, No. 265 Headlines ABPCI DIRECT XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes AMERICREDIT AUTOMOBILE 2023-2: Fitch Affirms BB Rating on E Debt ANGEL OAK 2024-9: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Certs APIDOS CLO XLIX: Fitch Assigns 'BB+sf' Rating on Class E Notes ARES LXXIV: Fitch Assigns 'BB-sf' Rating on Class E Notes ATLX TRUST 2024-RPL1: Fitch Gives 'Bsf' Rating on Class B-2 Certs BAIN CAPITAL 2024-5: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes BANK 2019-BNK20: Fitch Lowers Rating on Class G Debt to CCsf BARINGS CLO 2022-III: Fitch Assigns 'BB-(EXP)' Rating on E-R Notes BBCMS MORTGAGE 2024-5C29: Fitch Gives B-(EXP) Rating on G-RR Certs BENCHMARK 2024-V10: Fitch Assigns 'B-(EXP)sf' Rating on G-RR Certs BENEFIT STREET XIV: S&P Assigns Prelim BB-(sf) Rating on E-R Notes BSPRT 2024-FL11: Fitch Assigns 'B-(EXP)sf' Rating on Class H Debt BUSINESS JET 2024-2: S&P Assigns BB (sf) Rating on Class C Notes CARLYLE US 2022-5: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARVAL CLO III: Moody's Cuts Rating on $10MM Class F Notes to Caa1 CARVANA AUTO 2024-P3: S&P Assigns BB+ (sf) Rating on Cl. N Notes CFMT 2024-HB15: DBRS Finalizes B Rating on Class M7 Notes CHASE HOME 2024-8: Fitch Assigns 'B(EXP)' Rating on Cl. B-5 Certs COLT 2024-5: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs COMM 2014-LC17: Fitch Affirms CCsf Rating on 2 Tranches COMM 2014-UBS6: Fitch Lowers Rating on Two Tranches to Csf COMM 2015-DC1: Fitch Lowers Rating on Class D Debt to 'B-sf' CSMC 2020-WEST: Fitch Lowers Rating on Class HRR Certs to 'BB-sf' ELEVATION CLO 2017-6: Moody's Lowers Rating on $9MM F Notes to Ca ELMWOOD CLO V: S&P Assigns BB- (sf) Rating on Class E-RR Notes FLATIRON CLO 21: Fitch Assigns 'BB-sf' Rating on Class E-R Notes GALLATIN IX 2018-1: Moody's Lowers Rating on $8.5MM F Notes to B3 GOLUB CAPITAL 76(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GSCG TRUST 2019-600C: S&P Lowers Class A Certs Rating to 'CCC(sf)' HARVEST US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes HOMES 2024-AFC1: S&P Assigns Prelim B (sf) Rating on B-2 Notes JP MORGAN 2016-JP3: Fitch Lowers Rating on Class F Debt to CCsf JP MORGAN 2024-8: DBRS Finalizes B(low) Rating on Class B5 Certs LEWEY PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MADISON PARK XX: Fitch Assigns BB+(EXP) Rating on Cl. E-RR Notes MADISON PARK XX: Moody's Assigns '(P)B3' Rating to Class F-RR Notes MADISON PARK XXXIV: Fitch Assigns 'BB+sf' Rating on Cl. E-RR Notes MADISON PARK XXXIV: Moody's Gives B3 Rating to $250,000 F-RR Notes MADISON PARK XXXIX: S&P Affirms 'BB- (sf)' Rating on Cl. E Notes MARANON LOAN 2021-3: S&P Assigns Prelim 'BB-' Rating on E-R Notes MARATHON CLO VI: S&P Lowers Class D-R2 Debt Rating to 'D (sf)' MFA TRUST 2024-NQM2: Fitch Gives 'Bsf' Rating on Class B2 Certs MORGAN STANLEY 2012-C5: Moody's Cuts Rating on 2 Tranches to Caa3 MORGAN STANLEY 2024-4: Fitch Assigns 'B-(EXP)sf' Rating on B-5 Debt OCP CLO 2024-35: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes OHA CREDIT XVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes PALMER SQUARE 2022-5: S&P Assigns Prelim 'BB-' Rating on E-R Notes POST CLO 2018-1: S&P Assigns B- (sf) Rating on Class F-R Notes PRESTIGE AUTO 2024-2: S&P Assigns BB (sf) Rating on Class E Notes RAD CLO 26: S&P Assigns BB- (sf) Rating on Class E Notes RCKT MORTGAGE 2022-3: Moody's Hikes Rating on Cl. B-5 Certs to B2 RCKT MORTGAGE 2024-CES7: Fitch Gives 'B(EXP)' Rating on 5 Tranches SAIF 2024-CES1: DBRS Finalizes B Rating on Class B-2 Notes STORM KING: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes SYMPHONY CLO 36: S&P Assigns Prelim BB- (sf) Rating on E-R Notes VERUS SECURITIZATION 2024-7: S&P Assigns B(sf) Rating on B-2 Notes WELLS FARGO 2014-C24: Fitch Lowers Rating on 2 Tranches to 'BB-sf' WELLS FARGO 2016-LC24: Fitch Lowers Rating on Two Tranches to CCsf WELLS FARGO 2019-C51: Fitch Lowers Rating on Cl. G-RR Notes to CCC WINDHILL CLO 2: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes [*] Moody's Cuts Ratings on 3 Bonds From 2 RMBS Transactions [*] Moody's Takes Rating Actions on 4 Bonds From 3 FHA-VA Deals [*] S&P Takes Various Actions on 53 Classes From Nine US RMBS Deals ********* ABPCI DIRECT XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ABPCI Direct Lending Fund CLO XIX L.P.'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 AB Private Credit Investors LLC, a wholly owned subsidiary of Alliance Bernstein. The preliminary ratings are based on information as of Sept. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned ABPCI Direct Lending Fund CLO XIX L.P. Class A-1, $285.00 million: AAA (sf) Class A-2, $25.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $30.00 million: BB- (sf) Subordinated notes, $61.50 million: Not rated AMERICREDIT AUTOMOBILE 2023-2: Fitch Affirms BB Rating on E Debt ---------------------------------------------------------------- Fitch Ratings has upgraded 10 classes of the outstanding notes issued by AmeriCredit Automobile Receivables Trusts (AMCAR) 2020-2, 2021-1, 2022-1 and 2023-2, affirmed the ratings of seven classes, and revised the Rating Outlook on one of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- AmeriCredit Automobile Receivables Trust 2020-2 C 03066EAF1 LT AAAsf Affirmed AAAsf D 03066EAG9 LT AAAsf Upgrade AAsf E 03066EAH7 LT AAsf Upgrade BBBsf AmeriCredit Automobile Receivables Trust 2021-1 C 03063FAE4 LT AAAsf Affirmed AAAsf D 03063FAF1 LT AAAsf Upgrade Asf E 03063FAG9 LT Asf Upgrade BBBsf AmeriCredit Automobile Receivables Trust 2022-1 A-3 03066TAC5 LT AAAsf Affirmed AAAsf B 03066TAD3 LT AAAsf Affirmed AAAsf C 03066TAE1 LT AAAsf Upgrade AAsf D 03066TAF8 LT AAsf Upgrade Asf E 03066TAG6 LT BBBsf Upgrade BBsf AmeriCredit Automobile Receivables Trust 2023-2 A-2-A 03065UAB5 LT AAAsf Affirmed AAAsf A-3 03065UAD1 LT AAAsf Affirmed AAAsf B 03065UAE9 LT AAAsf Upgrade AAsf C 03065UAF6 LT AAsf Upgrade Asf D 03065UAG4 LT Asf Upgrade BBBsf E 03065UAH2 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. Cumulative net losses (CNLs) are tracking inside the initial rating case proxies and hard CE levels have grown for all classes in each transaction since close. The Stable Outlooks on 'AAAsf'-rated notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. As of the August 2024 distribution date, 61+ day delinquencies were 3.33%, 2.80%, 2.43%, and 1.91% of the remaining collateral balance for 2020-2, 2021-1, 2022-1, and 2023-2, respectively. CNLs were 2.67%, 2.45%, 3.48%, and 1.98% tracking below Fitch's initial rating cases of 11.25%, 11.00%, 10.00% and 9.00%. Furthermore, hard CE has grown for all transactions since close. The revised lifetime CNL proxies consider the transactions' remaining pool factors, pool compositions, and performance to date. Furthermore, they consider current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case loss proxies, but reduced the rating case proxies from the prior rating action in acknowledgement of the strong performance to date. The rating case proxies were lowered to 3.00%, 3.00%, 6.00%, and 8.00% for 2020-2, 2021-1, 2022-1 and 2023-2, respectively. Given the performance to date, driven by strong recoveries from the used vehicle market, Fitch deemed it appropriately conservative to utilize these approaches for the transactions. For the outstanding transactions, modeled loss coverage multiples for the rated notes are consistent with or in excess of 3.25x for 'AAAsf', 2.75x for 'AAsf', 2.25x for 'Asf', 1.75x for 'BBBsf' and 1.50x for 'BBsf'. Conversely, Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis, is 2.80%, 2.80%, 5.00% and 6.50% for 2020-2, 2021-1, 2022-1, and 2023-2, respectively. 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 rating 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 impact CE levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation for each transaction. For outstanding transactions, this scenario suggests a possible downgrade of up to three categories for all classes of notes. However, this is based on a very conservative proxy. To date, the transactions have strong performance with losses within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be maintained or upgraded. 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. ANGEL OAK 2024-9: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2024-9 (AOMT 2024-9). Entity/Debt Rating ----------- ------ AOMT 2024-9 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the RMBS to be issued by Angel Oak Mortgage Trust 2024-9, Series 2024-9 (AOMT 2024-9), as indicated above. The certificates are supported by 711 loans with a balance of $345.90 million as of the cutoff date. This represents the 42nd Fitch-rated AOMT transaction and the ninth Fitch-rated AOMT transaction in 2024. The certificates are secured by mortgage loans mainly originated (62.4%) by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). The remaining 37.6% of loans were originated by various third-party originators (TPOs). Fitch considers AOMS and AOHL to be 'Acceptable' originators. The servicer of the loans is Select Portfolio Servicing, Inc. (RPS1-/Negative). Of the loans, 57.1% are designated as non-qualified mortgage (non-QM) loans and 42.9% are exempted mortgage loans that were not subject to the Ability-to-Repay (ATR) Rule. The pool includes seven ARM loans, none of which reference Libor. The certificates do not have Libor exposure. Class A-1, A-2 and A-3 certificates are fixed rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 certificate is based on the lower of a fixed rate and the net WAC rate for the related distribution date. The class B-1 coupon will be determined at the time of pricing: it will be a per annum rate equal to either (i) the lesser of (a) a fixed rate for such class to be determined at the time of pricing and (b) the net WAC or (ii) the net WAC. The B-2 and B-3 certificates are based on the net WAC rate for the related distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 11.2% above a long-term sustainable level (versus 11.5% on a national level as of 1Q24, up 0.4% from the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 5.9% YOY nationally as of May 2024, despite modest regional declines, but are still being supported by limited inventory. Non-QM Credit Quality (Mixed): The collateral consists of 711 loans totaling $345.90 million and seasoned at about six months in aggregate, according to Fitch, and four months, per the transaction documents. The borrowers have a relatively strong credit profile, with a 749 nonzero FICO and a 42.9% debt-to-income (DTI) ratio, as determined by Fitch. They have relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 69.7%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 78.4%. Its analysis of the pool loans shows that 56.9% represent those of a primary or secondary residence, while the remaining 43.1% comprise investor properties. Its analysis considers the 13 loans to foreign nationals to be investor occupied, which explains the discrepancy between the Fitch-determined figures and those in the transaction documents for investor and owner occupancy. Fitch determined that 12.4% of the loans were originated via a retail channel. Additionally, 57.1% of the pool loans are designated as non-QM, while the remaining 42.9% are exempt from QM status, as this comprises investor loans. The pool contains 61 loans over $1.00 million, with the largest amounting to $3.50 million. Loans on investor properties represent 43.1% of the pool, as determined by Fitch, including 10.6% underwritten to the borrower's credit profile and 32.5% investor cash flow loans. Furthermore, only 1.9% of the borrowers were viewed by Fitch as having a prior credit event within the past seven years. None of the loans have a junior lien in addition to the first lien mortgage. First lien mortgages comprise 100% of the pool (no second lien loans are in the pool). In Fitch's analysis, loans with deferred balances are considered to have subordinate financing. None of the loans in this transaction have a deferred balance. Therefore, Fitch views none of the loans in the pool as having subordinate financing; Fitch views no subordinate financing as a positive aspect of the transaction. Fitch determined that 13 loans in the pool are to foreign nationals. Fitch only considers a loan to be made to a foreign national if both the borrower and the co-borrower are foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as no documentation for employment and income documentation, and remove the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for such borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2023 and 2022, the pool's characteristics resemble those of nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): The largest concentration of loans is in Florida (33.4%), followed by California (13.7%) and New York (7.9%). The largest MSA is Miami (15.5%), followed by New York (11.3%) and Los Angeles (6.1%). The top three MSAs account for 32.9% of the pool. The pool received a 1.001x penalty for geographical concentration risk; this increased the AAAsf losses by 1bp. Loan Documentation (Negative): Fitch determined that 94.7% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and figures in the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 57.6% were underwritten to a 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the added risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 32.5% constitute a debt service coverage ratio (DSCR) product and 1.0% are an asset qualifier product. None of the loans in the pool are no-ratio DSCR loans. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. There is limited excess spread in the transaction available to reimburse for losses or interest shortfalls, should they occur. However, excess spread will be reduced on and after the distribution date in October 2028, since the class A certificates have a step-up coupon feature, whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. Additionally, on any distribution date occurring on or after the distribution date in October 2028 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1 certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 42.3% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clarifii, Clayton, Consolidated Analytics, Infinity, Inglet Blair, and Incenter. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the overall expected loss was reduced by 0.52%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Clarifii, Clayton, Consolidated Analytics, Infinity, Inglet Blair, and Incenter to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than the guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data to support the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. APIDOS CLO XLIX: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLIX, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLIX, Ltd 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 A+sf 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 F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Apidos CLO XLIX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. The final rating for class C 'A+sf' is higher than the expected rating 'A(EXP)sf'. This change was due to better-quality portfolio since the expected rating analysis. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.91% first-lien senior secured loans and has a weighted average recovery assumption of 73.75%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and '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 'BBsf' 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, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XLIX, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. ARES LXXIV: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXIV CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXXIV CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Ares LXXIV CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.66, versus a maximum covenant, in accordance with the initial expected matrix point of 25.84. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.05% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.08% versus a minimum covenant, in accordance with the initial expected matrix point of 71.20%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXIV CLO Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, 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. ATLX TRUST 2024-RPL1: Fitch Gives 'Bsf' Rating on Class B-2 Certs ----------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates issued by ATLX 2024-RPL1 Trust (ATLX 2024-RPL1) as follows: Entity/Debt Rating Prior ----------- ------ ----- ATLX 2024-RPL1 Trust A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf M LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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 2024-5: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Bain Capital Credit CLO 2024-5, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2024-5, Limited A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B-1 LT AA+(EXP)sf Expected Rating B-2 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 Bain Capital Credit CLO 2024-5, 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 $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 23.28 versus a maximum covenant, in accordance with the initial expected matrix point of 24.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.3% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.41% versus a minimum covenant, in accordance with the initial expected matrix point of 70.1%. 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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 'BBB-sf' and 'AA-sf' for class B-1, between 'BB+sf' and 'A+sf' for class B-2, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-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-1, 'AAAsf' for class B-2, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2024-5, 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BANK 2019-BNK20: Fitch Lowers Rating on Class G Debt to CCsf ------------------------------------------------------------ Fitch Ratings has downgraded five and affirmed eight classes of BANK 2019-BNK20 Commercial Mortgage Pass-Through Certificates Series 2019-BNK20. Following the downgrades to class D, E and X-D, the classes were assigned a Negative Rating Outlook. Additionally, the Outlooks for classes B, C, and X-B have been revised to Negative from Stable. Fitch has also affirmed 16 classes of BANK 2019-BNK23Commercial Mortgage Pass-Through Certificates. The Outlooks for affirmed classes E, F, G, X-E, X-F and X-G have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK23 A-1 06541RAY9 LT AAAsf Affirmed AAAsf A-2 06541RBA0 LT AAAsf Affirmed AAAsf A-3 06541RBB8 LT AAAsf Affirmed AAAsf A-S 06541RBE2 LT AAAsf Affirmed AAAsf A-SB 06541RAZ6 LT AAAsf Affirmed AAAsf B 06541RBF9 LT AA-sf Affirmed AA-sf C 06541RBG7 LT A-sf Affirmed A-sf D 06541RAJ2 LT BBBsf Affirmed BBBsf E 06541RAL7 LT BBB-sf Affirmed BBB-sf F 06541RAN3 LT BB-sf Affirmed BB-sf G 06541RAQ6 LT B-sf Affirmed B-sf X-A 06541RBC6 LT AAAsf Affirmed AAAsf X-B 06541RBD4 LT AA-sf Affirmed AA-sf X-D 06541RAA1 LT BBB-sf Affirmed BBB-sf X-F 06541RAC7 LT BB-sf Affirmed BB-sf X-G 06541RAE3 LT B-sf Affirmed B-sf BANK 2019-BNK20 A-2 06540AAC5 LT AAAsf Affirmed AAAsf A-3 06540AAD3 LT AAAsf Affirmed AAAsf A-S 06540AAG6 LT AAAsf Affirmed AAAsf A-SB 06540AAB7 LT AAAsf Affirmed AAAsf B 06540AAH4 LT AA-sf Affirmed AA-sf C 06540AAJ0 LT A-sf Affirmed A-sf D 06540AAM3 LT BBsf Downgrade BBBsf E 06540AAP6 LT Bsf Downgrade BBsf F 06540AAR2 LT CCCsf Downgrade B-sf G 06540AAT8 LT CCsf Downgrade CCCsf X-A 06540AAE1 LT AAAsf Affirmed AAAsf X-B 06540AAF8 LT A-sf Affirmed A-sf X-D 06540AAK7 LT Bsf Downgrade BBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Transaction-level 'Bsf' ratings case losses are 6.1% in BANK 2019-BNK20 and 3.8% in BANK 2019-BNK23.The BANK 2019-BNK20 transaction has three loans (16.8% of the pool) that have been identified as Fitch Loans of Concern (FLOCs). The BANK 2019-BNK23 transaction has three FLOCs (8%), including one loan (1%) in special servicing. Downgrades of classes D, E, F, G and X-D in the BANK 2019-BNK20 transaction reflect increased pool loss expectations, from 4.22% at the prior rating action, driven primarily by higher loss expectations for the 214-224 West 29th Street loan (6.5%).The Negative Outlooks on classes B, C, D, E, X-B and X-D reflect the potential for downgrades if there is a prolonged workout of the 214-224 West 29th Street loan leading to a value decline and/or higher than expected losses. The Negative Outlooks for classes E, F, G, X-D, X-F and X-G in the BANK 2019-BNK23 transaction reflect concerns with the elevated concentration of office loans (33.4%) and exposure to two delinquent loans, Woodland Falls (1.9%) and 1 Plaza La Prensa & Sena Plaza (1%). The largest contributor and largest increase to expected losses in BANK 2019-BNK20 is 214-224 West 29th Street (6.5%), which is secured by a 200,454-sf office property located in Manhattan's Chelsea neighborhood. The ground floor retail spaces (approximately 7.0% of NRA) remain vacant. One space was previously occupied by Duane Reade, which vacated upon lease expiration in August 2019. At issuance, WeWork occupied 51% of the NRA; however, the company filed for bankruptcy and has vacated. The sponsor (Walter & Samuels, Inc) filed a lawsuit in 2021 against WeWork for defaulting on the lease and allegedly attempting to move the tenants to different WeWork locations. According to media reports, WeWork is seeking permission from a bankruptcy court to reject of number of leases, including at the subject property. As of the August 2024 reporting, the loan is 30 days delinquent. The servicer reported NOI DSCR of 1.04x for YE 2023 with an NOI of $3.3 million, well below the Fitch issuance NOI of $7.0 million. Per the April 2024 rent roll, subject occupancy has declined to 12%. Fitch's 'Bsf' rating case loss (prior to concentration add-on) of 49.1% reflects a 25% stress to the YE 2023 NOI, a 10% cap rate and factors a 100% probability of default to account for the delinquency status and low occupancy. The second largest contributor to expected losses in BANK 2019-BNK20 is The Tower at Burbank (8.8%).The loan is secured by a 32-story office tower totaling 490,807-sf located in Burbank, CA. Major television and movie studios located near the subject include NBC Universal, Disney and Warner Bros and many of the property's tenants are media and film related, including Disney (27% of NRA), STX Filmworks (8%) and Picture Head, LLC (7.6%). WeWork occupied 15.2% of the NRA at issuance, but closed its space in late 2022. Occupancy has declined to 75% as of March 2024 from 97% at issuance. The debt service coverage ratio (DSCR) as of YE 2023 was reported to be 2.49x. Fitch's 'Bsf' rating case loss (prior to concentration add-on) of 6.5% reflects a 10% stress to the YE 2023 NOI and a 9.75% cap rate. The largest contributor to expected losses in BANK 2019-BNK23 is Norwalk Government Center (5.1%), which is secured by a 451,455-sf office property located in Norwalk, CA. The subject is proximate to a variety of government-related demand drivers, including the Los Angeles County Registrar headquarters building, the Norwalk Civic Center, LA County Sheriff's department and the state courthouse. Occupancy has declined to 70% from 83% at issuance; the drop in occupancy is due to tenant Accenture (13% of NRA) vacating upon its April 2024 lease expiration. Upcoming rollover includes County of LA Sheriff (22%; 10/2026) and County of LA DPSS (13%; 10/2026). Fitch's 'Bsf' rating case loss (prior to concentration add-on) of 16.3% reflects a 10% stress to the YE 2023 NOI and a 10% cap rate due to the decline in occupancy and upcoming rollover concerns. The second largest contributor to expected losses in BANK 2019-BNK23 is Woodland Falls (1.9%). The loan is secured by a 226,605-sf office building located in Cherry Hill, New Jersey. The largest tenants include PNC (12.9%), CorCentric (7.7%) and Weitz & Luxenberg P.C. (7.1%). As of the August reporting, the loan is 60 days delinquent and is being cash managed. Fitch's 'Bsf' rating case loss (prior to concentration add-on) of 34.5% reflects a 10% stress to the YE 2023 NOI, a 10.50% cap rate and factors a 100% probability of default to account for the delinquency status. Changes in Credit Enhancement (CE): As of the August 2024 distribution date, the aggregate balances of the BANK 2019-BNK20 and BANK 2019-BNK23 transactions have been paid down by 7.9% and 1.2%, respectively, since issuance. The BANK 2019-BNK20 transaction includes one loan (1.2% of the pool) that has fully defeased. There are two loans (4% of the pool) that are defeased within the BANK 2019-BNK23 transaction. Cumulative interest shortfalls of approximately $200,000 are affecting the non-rated class H- in BANK 2019-BNK20 and approximately $61,000 are affecting the non-rated class H in BANK 2019-BNK23. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated class A-S would be likely with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher than expected losses and/or continued underperformance of the FLOCs (namely 214-224 West 29th Street in BANK 2019-BNK20). Loans of particular concern in the BANK 2019-BNK20 transaction include 214-224 West 29th Street, The Tower at Burbank and Eleven Seventeen Perimeter. Loans of particular concern in the BANK 2019-BNK23 transaction include Norwalk Government Center, Woodland Falls and 1 Plaza La Prensa & Sena Plaza. Downgrades to classes with distressed ratings 'CCCsf' and 'CCsf' would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected, but possible with better than expected recoveries 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. BARINGS CLO 2022-III: Fitch Assigns 'BB-(EXP)' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Barings CLO Ltd. 2022-III Reset Transaction. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2022-III A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating X-R LT NR(EXP)sf Expected Rating Transaction Summary Barings CLO Ltd. 2022-III (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that originally closed in August 2022 and is managed by Barings LLC. The deal is refinancing all classes and net proceeds from the issuance of the new secured notes, and 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 23.34, versus a maximum covenant, in accordance with the initial expected matrix point of 26.09. 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 98.44% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.94% versus a minimum covenant, in accordance with the initial expected matrix point of 74.9%. 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB+sf' for class E-R Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-1R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and between 'BBB+sf' and 'BB+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 Authorityregistered 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 2022-III. 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. BBCMS MORTGAGE 2024-5C29: Fitch Gives B-(EXP) Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to and issued a presale report on BBCMS Mortgage Trust-5C29 commercial mortgage pass-through certificates, series 2024-5C29. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $5,185,000a class A-1 'AAAsf'; Outlook Stable; - $137,500,000ab class A-2 'AAAsf'; Outlook Stable; - $603,100,000ab class A-3 'AAAsf'; Outlook Stable; - $745,785,000acd class X-A 'AAAsf'; Outlook Stable; - $127,848,000a class A-S 'AAAsf'; Outlook Stable; - $50,607,000a class B 'AA-sf'; Outlook Stable; - $37,289,000a class C 'A-sf'; Outlook Stable; - $215,744,000ac class X-B 'A-sf'; Outlook Stable; - $18,645,000ad class D 'BBBsf'; Outlook Stable; - $10,654,000ad class E 'BBB-sf'; Outlook Stable; - $29,299,000acd class X-D 'BBB-sf'; Outlook Stable; - $19,977,000ad class F 'BB-sf'; Outlook Stable; - $19,977,000acd class X-F 'BB-sf'; Outlook Stable; - $10,654,000ade class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $43,948,151ade class H-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention (VRR) interest, which is expected to be approximately 2.83% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $740,600,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $275,000,000, and the expected class A-3 balance range is $465,600,000 to $740,600,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the midpoint of their respective ranges. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Class G-RR and H-RR certificates, excluding the portion included in the VRR interest, comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of Sept. 11, 2024. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 55 loans secured by 102 commercial properties having an aggregate principal balance of $1,065,407,151 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Argentic Real Estate Finance 2 LLC, Starwood Mortgage Capital LLC, KeyBank National Association, Societe Generale Financial Corporation, German American Capital Corporation, LMF Commercial, LLC, UBS AG, BSPRT CMBS Finance, LLC, Bank of Montreal and Citi Real Estate Funding Inc. The master servicer is expected to be KeyBank National Association and the special servicer is expected to be Argentic Services Company LP. The trustee is expected to be U.S. Bank Trust Company, National Association. The certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 32 loans totaling 84.6% of the pool by balance. Fitch's resulting net cash flow (NCF) of $102.0 million represents a 14.4% decline from the issuer's underwritten NCF of $119.2 million. Higher Fitch Leverage: The transaction has higher Fitch leverage compared to recent five-year multiborrower transactions rated by Fitch. The pool's Fitch weighted-average (WA) trust loan-to-value ratio (LTV) of 97.1% is higher than the 2024 YTD and 2023 averages of 93.2% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.6% is worse than both the 2024 YTD and 2023 averages of 10.5% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Four loans representing 13.3% of the pool balance received an investment grade credit opinion. 277 Park Avenue (6.6%) received a standalone credit opinion of 'Asf*'. BioMed 2024 Portfolio 2 (2.8% of the pool) received a standalone credit opinion of 'BBB+sf*'. Bronx Terminal Market (2.3% of the pool) received a standalone credit opinion of 'BBB-sf*'. GNL-Industrial Portfolio (1.6% of the pool) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 13.3% is above the YTD 2024 average of 12.8% and the 2023 average of 14.6%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 101.4% and 9.3%, respectively. Higher Multifamily Concentration: Multifamily properties represent the largest concentration at 41.4% of the pool, which is materially higher than the YTD 2024 and 2023 averages of 22.2% and 10.9%, respectively. The second and third largest concentrations are retail (18.3%) and office (15.4%). Multifamily properties have a lower average likelihood of default than retail and office, all else equal. The pool's effective property type count of 4.0 is slightly worse than the YTD 2024 and 2023 averages of 4.2 and 4.1. Pools with a greater concentration by property type are at a greater risk of losses, all else equal. Fitch therefore 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 A reduction in cash flow that decreases property value and capacity to meet its debt service obligations. The list 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'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCC+sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, an improvement in cash flow that increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Increase: 'AAAsf'/'AA+sf'/'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 Ernst & Young LLP. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2024-V10: Fitch Assigns 'B-(EXP)sf' Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2024-V10 Mortgage Trust Commercial Mortgage Pass-through Certificates series V10 as follows: Transaction Summary - $230,000 class A-1 'AAAsf'; Outlook Stable; - $200,000,000d class A-2 'AAAsf'; Outlook Stable; - $316,349,000d class A-3 'AAAsf'; Outlook Stable; - $71,952,000 class A-S 'AAAsf'; Outlook Stable; - $588,531,000a class X-A 'AAAsf'; Outlook Stable; - $41,510,000 class B 'AA-sf'; Outlook Stable; - $28,597,000 class C 'A-sf'; Outlook Stable; - $70,107,000a class X-B 'A-sf'; Outlook Stable; - $12,914,000 class D 'BBBsf'; Outlook Stable; - $12,914,000a class X-D 'BBBsf'; Outlook Stable; - $11,070,000b,c class E-RR 'BBB-sf'; Outlook Stable; - $14,759,000b,c class F-RR 'BB-sf'; Outlook Stable; - $11,070,000b,c class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $29,519,000b,c class J-RR. - $0b,c 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. (d) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $516,349,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $250,000,000, and the expected class A-3balance range is $291,329,000 to $516,349,000. Fitch's certificate balances for classes A-2 and A-3 reflect the highest and lowest respective value of each range. The expected ratings are based on information provided by the issuer as of Sept. 13, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 91.1% of the pool by balance, including the largest 20 loans and all of the office loans in the pool. Fitch's resulting net cash flow (NCF) of $190.9 million represents a 16.0% decline from the issuer's underwritten NCF of $227.4 million. Higher Fitch Leverage: The transaction has higher Fitch leverage than recent five-year multiborrower transactions. The pool's Fitch weighted average (WA) trust loan-to-value ratio (LTV) of 97.8% is higher than the 2024 YTD and 2023 multiborrower five-year averages of 90.4% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.5% is weaker than both the 2024 YTD and 2023 averages of 11.1% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Two loans totaling 18.1% of the pool received an investment-grade credit opinion on a standalone basis. BioMed 2024 Portfolio 2 (10.0% of pool) received a standalone credit opinion of 'BBB+sf*'. Bronx Terminal Market (8.1% of pool) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is above the YTD 2024 multiborrower five-year average of 12.0% and the 2023 multiborrower five-year average of 14.6%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 103.4% and 9.3%, respectively. Higher Office Concentration: The largest property type concentration is office (36.3% of the pool), followed by multifamily (27.2%) and hotel (13.3%). The pool's office loan concentration is higher than the YTD 2024 and 2023 office averages of 22.0% and 27.7%, respectively. In particular, the office concentration includes four of the largest 10 loans (30.8% of the pool). Pools that have a greater concentration by property type are at greater risk of losses, all else equal. Therefore, Fitch raises the overall losses for pools with effective property type counts below five property types. In general, the pool has an average property type diversity consistent with other recent Fitch-rated transactions; the pool's effective property type count is 4.1 comparable with the YTD 2024 and 2023 multiborrower five-year averages of 4.3 and 4.1, respectively. Pool Concentration: The top 10 loans in the pool make up 63.5% of the pool, which is higher than the YTD 2024 average of 59.2% but lower than the 2023 average of 65.3%. The pool's effective loan count is 20.7, compared to the YTD 2024 and 2023 averages of 23.0 and 23.6, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Subordinate Debt: The pool has a higher concentration of subordinate debt with three loans (27.0%) having secured subordinate debt in place. This higher than the YTD 2024 and 2023 average of 6.2% and 3.7%, respectively. 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-f'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. Thelist below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-f'/'BBBsf'/'BBB-sf'/'BB-sf'/B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'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 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 XIV: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from Benefit Street Partners CLO XIV Ltd./Benefit Street Partners CLO XIV LLC, a CLO originally issued in 2018 that is managed by Benefit Street Partners LLC. The preliminary ratings are based on information as of Sept. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 24, 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 September 2026. -- The reinvestment period will be extended to Oct. 20, 2029. -- The legal final maturity date (for the replacement debt and the existing subordinated notes) will be extended to Oct. 20, 2037. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- 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. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Benefit Street Partners CLO XIV Ltd./ Benefit Street Partners CLO XIV LLC Class A-R, $315.00 million: AAA (sf) Class B-R, $65.00 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), $3.75 million: BBB- (sf) Class E-R (deferrable), $16.25 million: BB- (sf) Other Debt Benefit Street Partners CLO XIV Ltd./ Benefit Street Partners CLO XIV LLC Subordinated notes, $130.321 million: Not rated BSPRT 2024-FL11: Fitch Assigns 'B-(EXP)sf' Rating on Class H Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BSPRT 2024-FL11 Issuer, LLC, series 2024-FL11, as follows: - $558,340,000a class A 'AAAsf'; Outlook Stable; - $147,270,000a class A-S 'AAAsf'; Outlook Stable; - $69,150,000a class B 'AA-sf'; Outlook Stable; - $55,070,000a class C 'A-sf'; Outlook Stable; - $38,418,000a class D 'BBBsf'; Outlook Stable; - $17,928,000a class E 'BBB-sf'; Outlook Stable; - $14,087,000b class F 'BB+sf'; Outlook Stable; - $24,332,000b class G 'BB-sf'; Outlook Stable; - $26,892,000b class H 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $72,995,003b class J. a) Privately Placed and pursuant to Rule 144A. b) Horizontal risk retention interest, estimated to be 13.5% of the certificates. Transaction Summary The primary assets of the trust are 23 loans secured by 36 commercial properties having an aggregate principal balance of $924,482,003 as of the cut-off date and $100.0 million held in cash to be used during the ramp period. The pool does not include $147.3 million of expected future funding. This excludes $17.5 million of performance based future funding. The loans were contributed to the trust by Benefit Street Partners Realty Operating Partnership, LP. The servicer is expected to be Situs Asset Management LLC and the special servicer is expected to be BSP Special Servicer, LLC. The trustee and note administrator are expected to be U.S. Bank Trust Company, National Association. The notes are expected to follow a sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 11 loans totaling 63.2% of the pool by balance. Fitch's resulting net cash flow (NCF) of $45.2 million represents an 17.0% decline from the issuer's underwritten NCF of $54.5 million, excluding loans for which Fitch conducted an alternate value analysis. Lower Fitch Leverage: The pool has lower leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 131.8% is better than the 2024 YTD and 2023 CRE CLO averages of 146.1% and 171.2%, respectively. The pool's Fitch NCF debt yield (DY) of 7.7% is better than the 2024 YTD and 2023 CRE CLO averages of 6.1% and 5.6%, respectively. High Pool Concentration: The top 10 loans make up 65.5% of the pool, which is lower than the 2024 YTD CRE CLO average of 74.4% and higher than the 2023 CRE CLO average of 62.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 16.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at the end of the fully extended loan term, the pool will pay down by 0.8%, which is better than the 2024 YTD CRE CLO average of 0.6% and worse than the 2023 CRE CLO average of 1.7%. The pool has 13 interest-only (IO) loans (61.7% of the pool), which is worse than the 2024 YTD and 2023 CRE CLO averages of 45.0% and 35.3%, respectively. 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 net cash flow (NCF): - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BBsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'BB-sf'/'B-sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement to the investment grade note holders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria". Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available credit enhancement in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BUSINESS JET 2024-2: S&P Assigns BB (sf) Rating on Class C Notes ---------------------------------------------------------------- S&P Global Ratings assigned 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 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. 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) CARLYLE US 2022-5: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-5, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2022-5, Ltd. A-1 14318LAA9 LT PIFsf Paid In Full AAAsf A-1-R 14318LAL5 LT AAAsf New Rating AAA(EXP)sf A-2-R 14318LAN1 LT AAAsf New Rating AAA(EXP)sf A-L LT PIFsf Paid In Full AAAsf B 14318LAC5 LT PIFsf Paid In Full AAsf B-R 14318LAQ4 LT AAsf New Rating AA(EXP)sf C 14318LAE1 LT PIFsf Paid In Full Asf C-R 14318LAS0 LT Asf New Rating A(EXP)sf D 14318LAG6 LT PIFsf Paid In Full BBB-sf D-1-R 14318LAU5 LT BBBsf New Rating BBB-(EXP)sf D-2-R 14318LAW1 LT BBB-sf New Rating BBB-(EXP)sf E 14318NAA5 LT PIFsf Paid In Full BB-sf E-R 14318NAG2 LT BB-sf New Rating BB-(EXP)sf Transaction Summary Carlyle US CLO 2022-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. that originally closed on Sept. 16, 2022. The existing secured notes are expected to be refinanced in full on the 2024 closing date. Net proceeds from the issuance of the secured refinancing notes and the existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. The final rating assigned for class D-1-R notes is 'BBBsf', which is higher than the expected rating of 'BBB-(EXP)sf' assigned on Aug. 23, 2024. This change was mainly due to the structural change and increased subordination to the tranche since the expected rating analysis. 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 24.12, versus a maximum covenant, in accordance with the initial expected matrix point of 26.52. 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 96.09% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.96% versus a minimum covenant, in accordance with the initial expected matrix point of 70.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 45.5% 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 weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R notes, between 'BBBsf' and 'AA+sf' for class A-2-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R notes, and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AAsf' for class C-R notes, 'A+sf' for class D-1-R notes, 'Asf' for class D-2-R notes, and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2022-5, 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. CARVAL CLO III: Moody's Cuts Rating on $10MM Class F Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by CarVal CLO III Ltd.: US$10,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on August 5, 2021 Assigned B3 (sf) CarVal CLO III Ltd., originally issued in July 2019 and partially refinanced in August 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE 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 over-collateralization ratio for the Class F notes is currently 104.65% compared to 105.93% in August 2023. No actions were taken on the Class A-R, Class B-R, Class C-R, Class D-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: $487,073,000 Defaulted par: $7,448,366 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2813 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.16% Weighted Average Recovery Rate (WARR): 47.46% Weighted Average Life (WAL): 4.41 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 this rating 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 Rating: 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. CARVANA AUTO 2024-P3: S&P Assigns BB+ (sf) Rating on Cl. N Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of 16.54%, 14.40%, 11.00%, 7.03%, and 8.94% 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 final post-pricing stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.67x, 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 'AAA (sf)', 'AA+ (sf)', 'AA- (sf)', 'BBB+ (sf)', and 'BB+ (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Carvana Auto Receivables Trust 2024-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: AA- (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. CFMT 2024-HB15: DBRS Finalizes B Rating on Class M7 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Notes, Series 2024-3 issued by CFMT 2024-HB15, LLC: -- $310.4 million Class A at AAA (sf) -- $51.3 million Class M1 at AA (low) (sf) -- $38.7 million Class M2 at A (low) (sf) -- $40.5 million Class M3 at BBB (low) (sf) -- $25.9 million Class M4 at BB (sf) -- $13.6 million Class M5 at BB (low) (sf) -- $12.2 million Class M6 at B (high) (sf) -- $12.3 million Class M7 at B (sf) The AAA (sf) rating reflects 36.8% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), BB (low) (sf), B (high) (sf), and B (sf) ratings reflect 26.4%, 18.5%, 10.3%, 5.0%, 2.2%, -0.2% and -2.7% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date (June 30, 2024), the collateral has approximately $491.4 million in unpaid principal balance (UPB) from 1,743 nonperforming home equity conversion mortgage (HECM) reverse mortgage loans and real estate-owned (REO) properties secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originated between 1997 and 2017. Of the total assets, 274 have a fixed interest rate (16.2% of the balance), with a 5.2% weighted-average coupon (WAC). The remaining 1,469 assets have floating-rate interest (83.8% of the balance) with a 7.0% WAC, bringing the entire collateral pool to a 6.7% WAC. All the mortgage assets in this transaction are nonperforming (i.e., inactive) assets. There are 878 mortgage assets in a foreclosure process (56.6% of balance), 397 are in default (16.5%), 89 are in bankruptcy (5.3%), 166 are called due (9.4%), and 213 are REO (12.1%). However, all these assets are insured by the U.S. Department of Housing and Urban Development (HUD), and this insurance mitigates losses vis-à-vis uninsured loans. See discussion in the Analysis section of the related presale report. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 53.4% for these assets. The WA LTV is calculated by dividing the UPB by the maximum claim amount plus the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, M5, M6, and M7 (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the Morningstar DBRS cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (August 2027) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M5, M6, and M7 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue additional accrued amounts. Morningstar DBRS does not rate these additional accrued amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Note Amounts. In addition, the associated financial obligations for the Class A, M1, M2, M3, and M4 Notes include the related Cap Carryover and Interest Payment Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2024-8: Fitch Assigns 'B(EXP)' Rating on Cl. B-5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-8 (Chase 2024-8). Entity/Debt Rating ----------- ------ Chase 2024-8 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2024-8 (Chase 2024-8), as indicated above. The certificates are supported by 501 loans with a total balance of approximately $623.38 million as of the cutoff date. The scheduled balance as of the cutoff date is $622.96 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100.0% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC; as a result, the certificates have no LIBOR exposure. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.9% 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. High Quality Prime Mortgage Pool (Positive): The pool consists of 501 high-quality, fixed-rate, fully amortizing loans with maturities of up to 30 years that total $622.96 million. In total 100.0% of the loans qualify as SHQM APOR. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of 5.1 months, according to Fitch. The pool has a WA FICO score of 767, as determined by Fitch, and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more, which is indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 73.4% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original WA combined loan-to-value (CLTV) ratio is 76.6% (76.6% per the transaction documents), which translates to a sustainable loan-to-value (sLTV) ratio of 84.3%. This represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Of the pool, 100.0% of the loans are designated as QM loans. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes and planned unit developments (PUDs) constitute 91.8% of the pool, condominiums make up 7.5%, co-ops make up 0.2% and 0.5% are multifamily properties. Fitch viewed the fact that there are no investor loans favorably. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (95.2%), cashout refinances (1.7%) and rate-term refinances (3.1%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 14.7% are concentrated in Texas, followed by California and Florida. The largest MSA concentration is in the Seattle MSA (7.2%), followed by the Dallas MSA (6.2%) and the New York MSA (5.8%). The top three MSAs account for 19.2% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent P&I until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. CE Floor (Positive): A CE or senior subordination floor of 1.25% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.14% at the 'AAAsf' stress due to 54.9% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 54.9% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC and Digital Risk were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2024-8 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk being well controlled in Chase 2024-8. Factors that contributed to well controlled operational risk include strong transaction due diligence, the entire pool is originated by an 'Above Average' originator, and all the pool loans are serviced by a servicer rated 'RPS1-'. These all have a positive impact on the credit profile, and are relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLT 2024-5: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by COLT 2024-5 Mortgage Loan Trust (COLT 2024-5). Entity/Debt Rating Prior ----------- ------ ----- COLT 2024-5 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates issued by COLT 2024-5 Mortgage Loan Trust as indicated above. The certificates are supported by 540 nonprime loans with a total balance of approximately $331.9 million as of the cutoff date. Loans in the pool were originated by multiple originators, including The Loan Store, Inc., Foundation Mortgage Corporation, Northpointe Bank (NPB) and various others. The loans were aggregated by Hudson Americas L.P., and are serviced by Fay Servicing LLC (Fay), Select Portfolio Servicing, Inc. (SPS) and NPB. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.8% above a long-term sustainable level (versus 11.5% on a national level as of 1Q24, up 0.4% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased by 5.9% yoy nationally as of May 2024 despite modest regional declines, but are still being supported by limited inventory. COLT 2024-5 has a combined original LTV (cLTV) of 76.0%, slightly higher than that of the previous Hudson transaction, COLT 2024-4 Mortgage Loan Trust. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 84.4%, compared with 82.1% for the previous transaction. Non-QM Credit Quality (Negative): The collateral consists of 540 loans totaling $331.9 million and seasoned at approximately three months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile, consisting of a 745.8 model FICO, and moderate leverage with an 84.4% sLTV and a 76.0% cLTV. Of the pool, 65.0% of the loans are of a primary residence, while 28.3% comprise an investor property. In addition, 70.6% are non-qualified mortgages (non-QMs, or NQMs), including 0.16% designated as ATR risk and QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 19.25%. This is mainly driven by the NQM collateral and the significant investor cash flow product (debt service coverage ratio [DSCR]) concentration. Loan Documentation (Negative): About 93.9% of loans in the pool were underwritten to less than full documentation and 71.4% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule (ATR Rule, or the Rule). Fitch's treatment of alternative loan documentation increased 'AAAsf' expected losses by 625bps, compared with a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): In the pool, there are 60 DSCR products (6.1% by unpaid principal balance [UPB]). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Fitch converts the DSCR values to a DTI and treats them as low documentation, compared with standard investment properties. Its treatment for DSCR loans results in a higher Fitch-reported non-zero DTI. Fitch's average expected losses for DSCR loans is 30.1% in the 'AAAsf' stress. Of the investor occupied loans, 1.4% (by UPB) include a default interest rate feature, whereby the interest rate to the borrower increases upon delinquency/default. Fitch expects a lower cure rate on loans with this feature and increases the likely default rate, similar to the impact of an adjustable-rate mortgage (ARM). Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans serviced by SPS, Fay and Northpointe for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then the securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2024-5 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bp increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Evolve, Selene, Clarifii, Opus, Canopy and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: A 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 54bps reduction to the 'AAA' expected loss. ESG Considerations COLT 2024-5 has an ESG Relevance Score of '4 [+]' for Transaction Parties & Operational Risk due to origination, underwriting and/or aggregator standards, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2014-LC17: Fitch Affirms CCsf Rating on 2 Tranches ------------------------------------------------------- Fitch Ratings has affirmed eight classes of COMM 2014-LC17 Mortgage Trust. Following their affirmations, the Rating Outlooks for classes D and X-C were revise to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-LC17 A-5 12592MBK5 LT PIFsf Paid In Full AAAsf A-M 12592MBM1 LT PIFsf Paid In Full AAAsf B 12592MBN9 LT PIFsf Paid In Full AAAsf C 12592MBQ2 LT AAsf Affirmed AAsf D 12592MAN0 LT BBsf Affirmed BBsf E 12592MAQ3 LT CCCsf Affirmed CCCsf F 12592MAS9 LT CCsf Affirmed CCsf PEZ 12592MBP4 LT AAsf Affirmed AAsf X-A 12592MBL3 LT PIFsf Paid In Full AAAsf X-B 12592MAA8 LT WDsf Withdrawn AAAsf X-C 12592MAC4 LT BBsf Affirmed BBsf X-D 12592MAE0 LT CCCsf Affirmed CCCsf X-E 12592MAG5 LT CCsf Affirmed CCsf Due to class B being paid in full, and no guarantee of cash flow from class C, the 'AAAsf' rating for class X-B has been withdrawn. KEY RATING DRIVERS Stable Loss Expectations; Adverse Selection: The affirmations reflect overall pool loss expectations in-line with the prior rating action. The Negative Outlooks reflect imminent refinance risk of Fitch Loans of Concern (FLOCs) in the pool and the potential for downgrades should FLOCs, including Aloft Cupertino, 1717 Route 208 North, RSRT Properties, Parkway 120, Seaside Factory Outlet and Putnam Green experience further performance declines and/or with additional transfer of loans to special servicing. Fitch identified ten loans (27.4% of the pool) as FLOCs which includes four loans (11.6%) in special servicing. Fitch's current ratings reflect a deal-level 'Bsf' rating case loss of 7.3%. Due to a majority of the remaining loan maturities scheduled in September 2024 and the increasing concentrated nature of the pool, Fitch performed a sensitivity and liquidation analysts, which grouped the remaining loans based on their current status and collateral quality, and ranked them by perceived likelihood of repayment and/or loss expectation. A higher probability of default was assigned to office, retail, and multifamily FLOCs anticipated to default at maturity, including Parkway 120 (7.9% of the pool), Seaside Factory Outlet (1.7%), Putnam Green Portfolio (1.5%) and 135 West 3rd Street (0.7%), which contributed to Negative Outlooks. Largest Contributors to Loss Expectations: The largest contributor to loss expectations is the Parkway 120 loan (7.9% of the pool), which is secured by a 220,062-sf suburban office property located in Matawan, NJ. The loan was identified as a FLOC due to declining occupancy and cash flow. Occupancy decreased to 88.6% as of June 2024 from 96% at YE 2023 primarily due to the downsize of the second and third largest tenants. Fragomen, Del Ray, Berson (23.4% of the NRA) downsized to 21.0% of the NRA and Tata Communications (13.6%) downsized to 7.4%. As of YE 2023, the NOI DSCR remains lower at 1.30x, a decline from 1.42x at issuance. The loan is scheduled to mature in September 2024, however, the borrower has requested a maturity extension and modification according to the servicer. Fitch's 'Bsf' rating case loss of 24.6% (prior to concentration adjustments) reflects a 10% cap rate and a 15% stress to the YE 2023 NOI and factors an increased probability of default due to anticipated maturity default. The next largest contributor to loss expectations is the Aloft Cupertino loan (6.1%), which is secured by a 123-room LEED Silver certified, limited service hotel located in Silicon Valley, CA. The loan transferred to special servicing in July 2024 due to imminent maturity default. The hotel has sustained performance declines since the pandemic and has exhibited a slow recovery into 2023. After substantial improvement in 2022, YE 2023 NOI declined 28% from YE 2022 and remains 63% below NOI at YE 2019 and is 55% below the originators underwritten NOI at issuance. YE 2023 NOI remains insufficient to service the debt with an NOI DSCR of 0.77x, a decline from 1.07x at YE 2022. Occupancy has recovered to 68% as of YE 2023 from trough occupancy figures out of the pandemic, but remains below historical occupancy of 75% at YE 2019 and 88% as of YE 2017. Fitch's 'Bsf' rating case loss of 25.6% (prior to concentration adjustments) reflects a 11.25% cap rate to the YE 2022 NOI and factors an increased probability of default due to sustained underperformance and refinance risk. The next largest contributor to loss expectations is the 1717 Route 208 North loan (2.6%), which is secured by a 151,339-sf office building located in Fair Lawn, NJ. The loan transferred to special servicing in July 2024 due to maturity default. The property experienced fluctuations in performance after tenants vacated in 2020 and 2021, causing a decline in occupancy to 55% at YE 2021. The borrower subsequently backfilled a majority of the vacant space with City Property (51.8% of the NRA) on a lease through June 2034, improving occupancy to 100% as of March 2024, surpassing pre-pandemic levels of 80% at YE 2019. Per the servicer reported OSAR, YE 2023 NOI has improved 74% above issuance despite an increase in total operating expenses of 3.5%. Fitch's 'Bsf' rating case loss of 26.1% (prior to concentration adjustments) reflects a 10% cap rate and 15% stress to the YE 2023 NOI and factors an increased probability of default to account for performance volatility and refinance risk. Changes to Credit Enhancement: As of the August 2024 distribution date, the pool's aggregate balance has been reduced by 59.4%. There are five loans (24.6% of the pool) that are fully defeased. Loan maturities are concentrated in September 2024 (96.1% of the pool). There are 23 loans (67.0% of the pool) that are currently amortizing and seven loans (33.0%) that are full-term, interest-only. Interest Shortfalls and Realized Losses: Cumulative interest shortfalls of $4.4 million are impacting class F, and the non-rated classes G and H. Class H has incurred realized losses of $34,630,144. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'AAsf' may occur could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to classes rated 'BBsf' may occur with continued performance deterioration and higher expected losses of the FLOCs, namely Parkway 120, Seaside Factory, Putnam Green Portfolio, 135 West 3rd Street or loans in special servicing, including Aloft Cupertino, Paradise Valley, 1717 Route 208 North and RSRT Properties. Further downgrades to distressed classes would occur should additional loans transfer to special servicing or as losses on FLOCs and specially serviced loans are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' may occur with continued improvements in credit enhancement from amortization and/or defeasance, stable performance of loans in the pool and pay down from loan's with upcoming maturities. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to classes rated 'BBsf' would be limited based on sensitivity to concentrations and adverse selection. Upgrades would not be considered unless performance of the FLOCs, namely Parkway 120, Seaside Factory, Putnam Green Portfolio, experience performance improvements or greater refinance certainty. Upgrades to distressed classes would only occur with improving performance and/or greater than expected workout strategies and loss expectations of the loan's in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2014-UBS6: Fitch Lowers Rating on Two Tranches to Csf ---------------------------------------------------------- Fitch Ratings has affirmed seven and downgraded five classes of COMM 2014-UBS6 Mortgage Trust pass-through certificates, which were issued by Deutsche Bank Securities, Inc. The Rating Outlooks for classes B and X-B were revised to Stable from Positive. Following their affirmations, the Rating Outlooks for classes C and PEZ were revised to Negative from Stable. Following their downgrades, classes D and X-C were assigned a Negative Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-UBS6 A-5 12592PBF9 LT AAAsf Affirmed AAAsf A-M 12592PBH5 LT AAAsf Affirmed AAAsf A-SB 12592PBD4 LT PIFsf Paid In Full AAAsf B 12592PBJ1 LT AAsf Affirmed AAsf C 12592PBL6 LT A-sf Affirmed A-sf D 12592PAJ2 LT Bsf Downgrade BBsf E 12592PAL7 LT CCsf Downgrade Bsf F 12592PAN3 LT Csf Downgrade CCCsf PEZ 12592PBK8 LT A-sf Affirmed A-sf X-A 12592PBG7 LT AAAsf Affirmed AAAsf X-B 12592PAA1 LT AAsf Affirmed AAsf X-C 12592PAC7 LT Bsf Downgrade BBsf X-D 12592PAE3 LT Csf Downgrade CCCsf KEY RATING DRIVERS Elevated Loss Expectations; Adverse Selection: The downgrades reflect increased overall pool loss expectations since Fitch's prior rating action and are driven by continued performance deterioration and valuation declines, most notably from the specially serviced loans, two of which are collateralized by office properties and within the transactions largest 10 loans. The Negative Outlooks reflect increasing pool concentration and adverse selection concerns. There is potential for downgrades should the performance of the Fitch Loans of Concern (FLOCs) and loans in special servicing, including Highland Oaks Portfolio, 811 Wilshire, University Edge, Wyndham Garden - San Jose, Four Points by Sheraton - San Jose, Wyndham Garden Austin, and Four Points by Sheraton - San Francisco Bay Bridge and BECO Tower I, deteriorate further. Fitch identified 18 loans (40% of the pool) as FLOCs, which include five loans (12.9%) in special servicing. Fitch's current ratings incorporate a 'Bsf' rating case loss of 11.5%. Due to a majority of the remaining loans maturing in 4Q24 and the increasing concentrated nature of the pool, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality, and ranked them by perceived likelihood of repayment and/or loss expectations. A higher probability of default was assigned to 811 Wilshire, University Edge, Wyndham Garden Austin, Four Points by Sheraton - San Francisco Bay Bridge, BECO Tower I, Kerriville Junction shopping Center, Park N'Go Omaha, La Quinta - Columbus, Shoppes of Jensen Beach, which contributed to the Negative Outlooks. Largest Contributors to Loss Expectations: The largest contributor to expected loss and largest increase in loss since the prior rating action is the Highland Oaks Portfolio (4.9% of the pool), which is secured by two suburban office properties totaling 319,491-sf located in Downers Grove, Illinois. The loan transferred to special servicing in March 2023 following the departure of the largest tenant, Blue Cross Blue Shield (55.7% of the NRA), which exercised a lease termination option and vacated in December 2022. Collateral occupancy has declined to 31% as of March 2024. Foreclosure has been filed and the lender is proceeding with receivership. Fitch's 'Bsf' rating case loss of 81.6% (prior to concentration adjustments) is based on a recent appraisal value, which equates to a recovery of $19 psf. The appraisal value is over 80% lower than the issuance appraisal value. The second largest contributor to expected loss and second largest increase since the prior rating action is the 8000 Maryland Avenue loan (4.2%), which is secured by a 15-story, 196,921-sf office property and five-story parking garage located in Clayton, MO, approximately 10 miles from the St. Louis CBD. The loan transferred to special servicing in February 2024 for imminent default as the borrower is facing challenges securing financing prior to their November 2024 maturity. Occupancy declined to 85% as of September 2023 from 96% at YE 2022. However, the loan maintained an NOI DSCR of 1.68x and 1.70x for the YTD September 2023 and YE 2022 reporting periods, respectively. A receiver was appointed in July 2024. Fitch's 'Bsf' rating case loss expectations of 39.6% (prior to concentration adjustments) reflects a stress to a recent appraisal value which equates to a recovery of $90 psf. The updated appraisal value is approximately 50% lower than the appraisal from issuance. The next largest contributor to loss is the University Edge loan (5.1%), which is secured by a 578-bed off campus student housing property located in Akron, OH. The loan transferred to special servicing in March 2022 for imminent default due to the borrower's inability to continue covering cash flow shortfalls, but returned to the master servicer in April 2023 as a corrected mortgage. Despite stable occupancy levels near 98% between June 2024 and YE 2022, the NOI DSCR has declined to 1.01x for the YTD June 2024 from 1.20x as of YE 2023. According to the servicer, expenses have increased due to higher utilities expense, which have become the responsibility of the tenants based on usage in September 2023. Fitch's 'Bsf' rating case loss of 24.7% (prior to concentration adjustments) reflects a 10.25% cap rate on the YE 2023 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The next largest contributor to loss is the 811 Wilshire loan (5.4%), which is secured by a 336,190-sf office property located in downtown Los Angeles, CA. The loan remains current as of the September 2024 remittance. Performance has deteriorated with occupancy falling to 50% as of March 2024 from 56% as of YE 2022 and remains below occupancy of 78% at YE 2022 and 70% at issuance. The loan maintained an NOI DSCR of 1.52x and 1.78x for the 1Q24 and YE 2023 reporting periods, respectively. The property was previously impacted by water damage stemming from a generator explosion in 2015. All renovations were completed in May 2018 with occupancy recovering to 84% as of YE 2019. The loan is scheduled to mature in November 2024. Fitch's 'Bsf' rating case loss of 21.3% (prior to concentration adjustments) reflects a 10% cap rate, 25% stress to the YE 2023 NOI and factors a higher probability of default due to the loan's heightened maturity default concerns. Changes to Credit Enhancement: As of the September 2024 distribution date, the pool's aggregate balance has been reduced by 48.5%. There are 16 loans (18.6% of the pool) that are fully defeased. Loan maturities are concentrated between September and December 2024 (97.1% of the pool). There are 49 loans (96.1% of the pool) that are amortizing and two loans (20.7%) that are full-term, interest-only. Interest Shortfalls and Realized Losses: Cumulative interest shortfalls of $5.6 million are impacting classes E and F and non-rated classes G and H. Realized losses of $25.8 million are impacting class H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated 'AAsf', 'A-sf', and 'B-sf' may occur should the FLOCs, including 811 Wilshire, University Edge, Wyndham Garden Austin, Four Points by Sheraton - San Francisco Bay Bridge, BECO Tower I, Kerriville Junction Shopping Center, Park 'N Go Omaha, La Quinta - Columbus, or Shoppes of Jensen Beach, experience further performance declines and/or transfer to special servicing or loans fail to refinance at maturity. Further downgrades to distressed classes would occur should additional loans transfer to special servicing or as losses on FLOCs and specially serviced loans are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' may occur with continued improvements in credit enhancement from amortization and/or defeasance, stable performance of loans in the pool and pay down from loan's with upcoming maturities. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to classes rated 'A-sf' and 'Bsf' would occur with performance improvements on the FLOCs, including 811 Wilshire, University Edge, Wyndham Garden Austin, Four Points by Sheraton - San Francisco Bay Bridge and BECO Tower I and greater certainty of refinance at maturity. Upgrades to distressed classes would include these factors but would be limited based on sensitivity to concentrations and would only occur with improving performance and/or greater than expected workout strategies and loss expectations of the loan's in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2015-DC1: Fitch Lowers Rating on Class D Debt to 'B-sf' ------------------------------------------------------------ Fitch Ratings has downgraded seven classes and affirmed four classes of COMM 2015-DC1 Mortgage Trust (COMM 2015-DC1). Negative Rating Outlooks were assigned to classes B, X-B, C, PEZ and D following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-DC1 A-4 12629NAE5 LT AAAsf Affirmed AAAsf A-5 12629NAF2 LT AAAsf Affirmed AAAsf A-M 12629NAH8 LT AAAsf Affirmed AAAsf A-SB 12629NAD7 LT PIFsf Paid In Full AAAsf B 12629NAJ4 LT A-sf Downgrade AA-sf C 12629NAL9 LT BBB-sf Downgrade A-sf D 12629NAX3 LT B-sf Downgrade BBsf E 12629NAZ8 LT CCsf Downgrade CCCsf PEZ 12629NAK1 LT BBB-sf Downgrade A-sf X-A 12629NAG0 LT AAAsf Affirmed AAAsf X-B 12629NAM7 LT A-sf Downgrade AA-sf X-D 12629NAR6 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The downgrade reflects an increase in pool loss expectations since the prior rating action. The current ratings incorporate an increased 'Bsf' rating case loss of 16.49% from 9.89% at Fitch's last rating action. Fitch Loans of Concern (FLOCs) comprise 14 loans (38.3% of the pool), which include eight loans (24.5%) in special servicing. The Negative Outlooks on classes A-M, X-A, B, X-B, C, PEZ and D reflect the potential for downgrades should performance of the FLOCs, including SoHo Portfolio (8.1%), 115 Mercer (3.9%), 200 West Second Street (2.8%), Campus at Greenhill (2.3%) and several suburban office loans, including Keystone Summit Corporate Park (7.2%), Tintri Mountain View (2.2%), Legacy at Lake Park (2.8%) and 760 & 800 Westchester Avenue (3.1%), fail to stabilize and/or with additional valuation declines of the aforementioned FLOCs. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the largest contributor to overall pool loss expectations is the SoHo Portfolio loan (8.1%). This loan is collateralized by 459 Broadway and 427 Broadway, two office/retail mixed-use properties located on Broadway between Grand and Canal Streets in the SoHo neighborhood of Manhattan. The loan returned to special servicing in February 2024 due to imminent monetary default after previously remaining in special servicing between June 2021 and June 2023. Property performance has fluctuated since issuance with occupancy falling to 33% in 2020 due to multiple tenants vacating ahead of their scheduled lease expirations. Occupancy has since improved to 100% as of YE 2023 due to the signing of two new leases with a home furnishings tenant and a boutique museum. However, cashflow remains insufficient to service the debt reporting an NOI DSCR of 0.88x as of YE 2023. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 40.2% reflects a discount to the most recent appraisal value reflecting a Fitch-stressed value of $699 psf, which is approximately 47.6% below the appraisal at issuance. The second largest increase in loss expectations since the prior rating action and third largest contributor to expected losses is 200 West Second Street (2.8%). The collateral is the leased fee interest in a parcel of land in downtown Winston-Salem, NC encumbered by a 20-story, 239,854-sf suburban office property known as the BB&T Financial Center. The loan transferred to special servicing in January 2018 for imminent default as one of the guarantors was named in a forfeiture action. As of December 2023, the property remained fully vacant. The former tenant, Truist, vacated prior to lease expiration in March 2023. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 83.3% reflects a discount to the most recent appraisal value reflecting a Fitch-stressed value of $30 psf, approximately 86.4% below the issuance appraisal. The third largest increase in loss expectations since the prior rating action is the Campus at Greenhill loan (2.3%). The collateral is the leased fee interest in a parcel of land that is improved with a 288,795-sf office property consisting of two, two-story buildings located in Wallingford, CT. The loan transferred to special servicing in May 2024. Property occupancy as of YE 2023 declined to 40% from 100% as of YE 2022 primarily due to major tenant, Anthem Health Plans downsizing from 155,954 sf (54.0% of the NRA) to 48,138 sf (16.7%). NOI DSCR as of YE 2023 fell to 1.05x from 1.53x as of YE 2022. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 66.5% reflects a discount to the most recent appraisal value reflecting a Fitch-stressed value of $27 psf, approximately 66.3% below the issuance appraisal. The fourth largest increase in loss expectations since the prior rating action is the Keystone Summit Corporate Park loan (7.2%), secured by a 557,768-sf office complex consisting of five interconnected buildings located in Marshall Township, PA, 19 miles from Pittsburgh. Property performance has declined with occupancy falling to 84% at YE 2023 from 100% at issuance. According to CoStar, approximately 20% of the NRA is listed as available for lease with the and the I-279/I-79 Northwest submarket reporting an elevated vacancy rate of 21.5%. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 20.7% reflects a 10% cap rate, 15% stress to the YE 2023 NOI and factors in a higher probability of default to account for the high availability, high submarket vacancy and imminent refinance risk with loan maturity in January 2025. Changes in Credit Enhancement (CE): As of the August 2024 distribution date, the aggregate pool balances have been reduced by 32.8% to $943 million. The transaction includes 16 loans (23.2% of the pool) that have fully defeased. Cumulative interest shortfalls of $6.8 million are affecting Fitch-rated classes D and E and non-rated classes F, G and H. Of the pool balance, nine loans (28.5%) are full-term, interest-only and the remaining 71.5% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Loans of particular concern include: SoHo Portfolio, 115 Mercer, 200 West Second Street, Campus at Greenhill, Keystone Summit Corporate Park, Tintri Mountain View, Legacy at Lake Park and 760 & 800 Westchester Avenue. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued underperformance of the FLOCs or if assets in special servicing experience extended workout timelines and continued value degradation. 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 Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely and would occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed 'CCCsf' ratings are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CSMC 2020-WEST: Fitch Lowers Rating on Class HRR Certs to 'BB-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded all classes of CSMC 2020-WEST, Commercial Mortgage Pass-Through Certificates, Series 2020-WEST. All Rating Outlooks are Negative following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- CSMC 2020-WEST A 12655QAA3 LT AA-sf Downgrade AAAsf B 12655QAE5 LT A-sf Downgrade AA-sf C 12655QAG0 LT BBB-sf Downgrade A-sf D 12655QAJ4 LT BBsf Downgrade BBB-sf HRR 12655QAL9 LT BB-sf Downgrade BBB-sf X 12655QAC9 LT AA-sf Downgrade AAAsf KEY RATING DRIVERS Slow Post Pandemic Recovery: Property net cash flow (NCF) and occupancy were significantly impacted by the pandemic and have been slow to rebound. The downgrades reflect Fitch's updated sustainable NCF, which considers the property's lack of NCF improvement since the pandemic and Fitch's expectation that the property will not return to pre-pandemic performance levels. Fitch's ratings also reflect that the borrower is unlikely to default during the remainder of the loan term given the low interest rate, as well as the collateral quality, recent leasing progress and expected continued occupancy improvement. Additionally, reserves, including the cash flow sweep proceeds, are expected to continue to increase. The Negative Outlooks reflect the potential for further downgrades of one category if NCF does not continue to improve in line with Fitch's expectation of future long-term performance. Property performance has not recovered since 2021. Servicer reported NCF has remained relatively flat at approximately $21 million from YE 2021 through YE 2023, well below $40.8 million reported at issuance as of TTM October of 2019. Base rent and expense reimbursements have marginally increased, but remain below issuance while operating expenses have increased primarily due to higher payroll and benefit expenses. Occupancy improved to 90% as of March 2024 from 84.7% at YE 2021, but is still below 97% in 2019. Leasing Progress, Fitch Sustainable NCF: The borrower continued to make leasing progress in 2023 and media reports and the mall website indicate that eight new stores have opened so far in 2024, with nine additional stores coming soon. The new stores include primarily national retailers, several of which are a first for the region. Fitch's sustainable NCF of $27.7 million is based on leases in place as of the March 2024 rent roll and factors in expected continued improvement in performance from recent leasing, normalization of expense reimbursements to approximately 80% of total expenses (compared to recent levels of 60% - 65% and 110% at issuance) and continued expense stabilization. Operating expenses, with the exception of management fee and insurance, were inflated by 3% from YE 2023 figures. Fitch capped the management fee at $1.25 million per Fitch's guidelines. Insurance was inflated by 5% from YE 2023. Fitch's sustainable NCF is approximately 21.3% below Fitch issuance expectations of $35.2 million as Fitch does not expect the asset to fully return to pre-pandemic performance levels. Low Interest Rate: Fitch's analysis includes credit for the loan's low fixed rate coupon of 3.25% through loan maturity in 2030. Cash Management: The loan benefits from an active cash trap until the DSCR is above 2.0X for two consecutive quarters. As of August 2024, reserves totaled $3.9 million: $544 thousand in replacement reserves, $86 thousand in rollover reserves, $1 million in tenant reserves and $2.3 million in cash sweep proceeds. Significant Sponsor Investment: The sponsors have invested $59.8 million ($73 psf) since 2015 on common area mall improvements as well as reconfiguring the food hall. The fourth-floor food court was redeveloped into the Savor Westchester Food Hall, a children's play area (PLAY) and a technology lounge (CONNECT). Institutional Sponsorship and Management: The loan is sponsored jointly by Simon Property Group, L.P. (Simon) and Institutional Mall Investors, LLC (IMI), both highly experienced real estate companies and retail operators. The property has been operated and managed by Simon since acquisition in 1997. Fitch Total Leverage: The $400.0 million total mortgage loan has a Fitch stressed DSCR and LTV of 0.84x and 104.6%, respectively, and debt of $491 psf. Fitch's cap rate is 7.25%. At issuance, the Fitch stressed DSCR, LTV and cap rate were 1.10x, 79.5%, and 7.0%. Single-Asset Concentration: The transaction is secured by a single regional mall property in White Plains, NY; therefore, it is more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. Full-Term, Interest-Only Loan: The loan matures in 2030 and is interest only for the entire loan term. Default risk during the loan term is less of a concern. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's analysis included an alternative NCF reflecting the potential for continued occupancy and NCF improvement. This NCF is approximately 8.9% higher than Fitch's current sustainable NCF of $27.7 million and assumes additional stabilization from new tenants and expense reimbursement normalization. If Fitch's NCF does not improve in line with Fitch's performance expectations, downgrades of up to one category are possible on all classes. Further downgrades are possible if performance does not improve from the current servicer-reported NCF of $21 million. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While upgrades are considered unlikely in the near term, a significant and sustained improvement in occupancy, rental rates and sustainable Fitch NCF could lead to upgrades. 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. ELEVATION CLO 2017-6: Moody's Lowers Rating on $9MM F Notes to Ca ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Elevation CLO 2017-6, Ltd: US$24,750,000 Class D Secured Deferrable Floating Rate Notes due 2029, Upgraded to Aa1 (sf); previously on February 5, 2024 Upgraded to A2 (sf) US$20,250,000 Class E Secured Deferrable Floating Rate Notes due 2029, Upgraded to Ba3 (sf); previously on June 26, 2020 Downgraded to B1 (sf) Moody's have also downgraded the rating on the following notes: US$9,000,000 Class F Secured Deferrable Floating Rate Notes due 2029 (current outstanding balance of $9,152,323.57), Downgraded to Ca (sf); previously on August 11, 2023 Downgraded to Caa3 (sf) Elevation CLO 2017-6, Ltd, issued in July 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. 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 and A-2 notes have been paid in full and the Class B notes have been paid down by approximately 48.5% or $19.6 million since then. Based on Moody's calculation, the OC ratios (with haircuts) for the Class D and Class E notes are currently 140.95% and 110.21%, respectively, versus February 2024 levels of 122.74% and 108.69%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F notes is currently 100.33% versus 103.43% in February 2024. Furthermore, the proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower (after any adjustments for watchlist for possible downgrade) has increased from 9.5% to 16.3% since that time. Additionally, the Class F notes are currently deferring interest payments and carry a cumulative deferred interest balance of approximately $152,324. No actions were taken on the Class B and Class C 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: $104,938,045 Defaulted par: $704,021 Diversity Score: 34 Weighted Average Rating Factor (WARF): 2904 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.15% Weighted Average Recovery Rate (WARR): 46.8% Weighted Average Life (WAL): 2.5 years Par haircut in OC tests and interest diversion test: 2.7% 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. ELMWOOD CLO V: S&P Assigns BB- (sf) Rating on Class E-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from Elmwood CLO V Ltd./Elmwood CLO V LLC, a CLO managed by Elmwood Asset Management LLC, which was originally issued in July 2020 and underwent a first refinancing in August 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Sept. 18, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-RR, B-RR, C-RR, and E-RR debt was issued at a lower spread over three-month CME term SOFR than the existing notes. -- The existing class D-R debt was replaced by two new classes: D-1-RR and D-2-RR. -- The reinvestment period was extended to Oct. 20, 2029, from July 17, 2025. -- The non-call period was extended to Oct. 20, 2026, from Aug. 2, 2023. -- The stated maturity on the existing subordinated notes was extended to Oct. 20, 2037, from Oct. 20, 2034, to match the stated maturity on the new refinancing notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO V Ltd./Elmwood CLO V LLC Class A-RR, $256.00 million: AAA (sf) Class B-RR, $48.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Class D-1-RR (deferrable), $24.00 million: BBB- (sf) Class D-2-RR (deferrable), $2.00 million: BBB- (sf) Class E-RR (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Elmwood CLO V Ltd./Elmwood CLO V 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)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Elmwood CLO V Ltd./Elmwood CLO V LLC Subordinated notes, $30.40 million: NR NR--Not rated. FLATIRON CLO 21: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings to Flatiron CLO 21 Ltd. reset transaction. Entity/Debt Rating ----------- ------ Flatiron CLO 21 Ltd. X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated notes LT NRsf New Rating Transaction Summary Flatiron CLO 21 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. The original deal closed in 2021 and on Sept. 12, 2024, all the secured notes were refinanced. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 million (other than a defaulted asset) 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 23.75 versus a maximum covenant, in accordance with the initial expected matrix point of 25.50. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 77.15% versus a minimum covenant, in accordance with the initial expected matrix point of 74.98%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A-2-R, between 'BB+sf' and 'AAsf' for class B-R, between 'Bsf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'Asf' for class D-2, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Flatiron CLO 21 Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GALLATIN IX 2018-1: Moody's Lowers Rating on $8.5MM F Notes to B3 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Gallatin CLO IX 2018-1, Ltd.: US$8,500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2028 (current outstanding balance of $2,766,157.97) (the "Class F Notes"), Downgraded to B3 (sf); previously on January 20, 2022 Upgraded to B1 (sf) Gallatin CLO IX 2018-1, Ltd., issued in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2020. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F notes reflects the risks relating to the credit quality and lack of diversification in the two performing assets primarily collateralizing the notes. One asset has a corporate family rating of Caa1, and the other a corporate family rating of Caa3. Based on Moody's calculation, the current portfolio has a weighted average rating factor (WARF) of 6139 compared to 3506 in November 2023, and a total performing par balance of $5,663,096. In light of the foregoing, the rating action reflects Moody's concerns about the high potential for collateral defaults, possible impairment of the Class F notes, and significant uncertainty around recoveries upon default or impairment. Methodology Used for the Rating Action The principal methodology used in this rating 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 Rating: 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. GOLUB CAPITAL 76(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 76(B), Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 76(B), Ltd. 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 LT NRsf New Rating NR(EXP)sf Transaction Summary Golub Capital Partners CLO 76(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.88, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 77.23% versus a minimum covenant, in accordance with the initial expected matrix point of 74.5%. Portfolio Composition (Negative): The largest three industries may comprise up to 55% of the portfolio balance in aggregate while the top five obligors can represent up to 15% of the portfolio balance in aggregate. The level of diversity resulting from the obligor and geographic concentrations is in line with other recent CLOs. The level of diversity resulting from industry concentration is higher than other recent CLOs but was accounted for in its stressed analysis. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 76(B), Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GSCG TRUST 2019-600C: S&P Lowers Class A Certs Rating to 'CCC(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from GSCG Trust 2019-600C, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a $240.0 million, five-year (matured Sept. 6, 2024), 4.0% per annum fixed-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in a 1991-built, 20-story, 359,154-sq.-ft. office tower and a three-level, 200-space subterranean parking garage located at 600 California St. in San Francisco's Financial District office submarket. Rating Actions S&P said, "The downgrades on the class B, C, and D certificates reflect our view of the magnitude and duration of the interest shortfalls due to a revision in the appraisal reduction amount to $134.3 million (from $73.9 million) that resulted in higher appraisal subordinate entitlement reduction (ASER) amounts commencing with the April 2024 payment date. As of the Sept. 12, 2024, trustee remittance report, classes B, C, and D, and the unrated classes E, F, G, H, and RRI have experienced interest shortfalls for at least four consecutive months. The monthly shortfalls are primarily due to ASER amounts totaling $462,235, and the accumulated interest shortfalls totaled $5.2 million as of the September 2024 payment date. Based on responses from the special servicer, we assessed that the resolution timing of the specially serviced loan to be protracted and the shortfalls to continue for the foreseeable future." The downgrade of class A to 'CCC (sf)' from 'BB+ (sf)' primarily reflects: -- S&P's revised expected-case valuation, which is 36.6% lower than the valuation it derived in its November 2023 review, reflecting its high vacancy assumption due to the larger-than-expected reduction in the space occupied by WeWork Inc. (WeWork) from its executed lease restructure, and deducting approximately $22.8 million in servicer advances to date. -- S&P's belief that, due to severely weakened office submarket fundamentals, the leasing agents will continue to face challenges re-tenanting vacant spaces in a timely manner. -- S&P's concern that the continued increases in total loan exposure due to a protracted resolution timeframe, will likely yield reduced liquidity and recovery to the bondholders since servicer advances are paid senior in the payment waterfall per the transaction documents. As of the September 2024 payment period, the servicer has advanced $22.8 million, up from $6.1 million in our last review. According to the special servicer, Torchlight Loan Services LLC, the borrower agreed to a consensual receivership, and a receiver was appointed in November 2023. -- S&P's view that this class is at a heightened risk of default and loss, based on its current analysis, current market conditions, and the revised lower appraisal value of $124.0 million as of February 2024 that was released in the April 2024 payment period, which is a 32.2% decline from the appraisal value of $183.0 million as of April 2023, and 64.5% below the appraisal value of $349.0 million at issuance in 2019. -- The downgrade on the class X IO certificates reflects S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X certificates references classes A, B, C, and D. -- S&P said, "We will continue to monitor the loan and property performance. If we receive information that differs materially from our expectations, such as a nonrecoverable determination by the servicer and/or a revised appraisal value that further negatively affects the liquidity and recovery of class A, we may revisit our analysis and lower our rating on class A to 'D (sf)', as we determine necessary." Property-Level Analysis Updates S&P said, "In our last review in November 2023, we revised and lowered our sustainable net cash flow (NCF) to $9.2 million due to higher in-place vacancy at the property, as well as significant exposure to a bankrupted tenant, WeWork, comprising 51.7% of net rentable area (NRA) that had stopped paying rent in March 2023. At that time, WeWork had just filed for chapter 11 bankruptcy and was in the process of negotiating a lease restructure with the sponsor to reduce its footprint at the property. "Since that time, the WeWork lease restructure was finalized in June 2024. The tenant will not repay past-due rent, as we expected, and according to the June 2024 rent roll, it occupies 25.0% of NRA, down from 51.7% at last review, and will further downsize to just 12.1% of NRA as of Oct. 1, 2024. The lease now expires in December 2030, compared to the original lease expiration date in March 2035." The servicer, Midland Loan Services, reported an NCF of $1.4 million in 2023, down from $16.7 million in 2022 and 2021. Occupancy was 49.4% based on the June 2024 rent roll and will decrease to 36.5% in October 2024, when WeWork completes its downsizing in accordance with its recent lease restructure. S&P said, "We expect occupancy to further decline to below 25.0% by mid-2025, absent any additional leasing activity. We noted that the receiver was able to sign a new tenant to one of WeWork's vacated floors in January 2024; however, there has been no additional leasing activity since." According to CoStar, the Financial District office submarket continues to experience high vacancy levels, although net absorption turned positive in 2024 after four years of negative growth. As of year-to-date September 2024, the four- and five-star office properties in the submarket have a 29.1% vacancy rate, 32.9% availability rate, and $54.22 per sq. ft. asking rent. CoStar projects vacancy to increase to 32.5% in 2025 and 34.7% in 2026, and asking rent to decrease to $52.76 per sq. ft. and $51.41 per sq. ft. for the same period. This compares with an in-place 50.6% vacancy rate and $62.61 per sq. ft. gross rent, as calculated by S&P Global Ratings (using the June 30, 2024, rent roll and assuming expense reimbursements for new tenant, Sunrun). S&P said, "Our current analysis assumes a vacancy rate for the collateral property equal to the current vacancy rate (30.0%) of the property′s office submarket (per CRE Finance Council loan level reserve report, there is $12.3 million in various reserve accounts that we assessed would be used to lease up the property). Our analysis also assumes an operating expense ratio of 45.0%, and higher tenant improvement costs, to arrive at an S&P Global Ratings′ revised NCF of $7.6 million, which is 17.3% lower than the NCF from our last review. Using a 7.75% S&P Global Ratings′ capitalization rate, unchanged from our last review, and deducting servicer advances to date of $22.8 million, we derived an S&P Global Ratings expected-case value of $75.0 million, or $208 per sq. ft., which is 36.6% below our last review value of $118.3 million and 30.5% lower than the 2024 appraisal value of $124.0 million. This yielded an S&P Global Ratings' loan-to-value ratio of 320.0% on the loan balance." Table 1 Servicer-reported collateral performance by servicer 2023(I) 2022(I) 2021(I) Occupancy rate (%) 78.0 87.9 88.4 Net cash flow (mil. $) 1.4 16.7 16.7 Debt service coverage (x) 0.14 1.72 1.71 Appraisal value (mil. $)(ii) 183.0 349.0 349.0 (i)Reporting period. (ii)The updated February 2024 appraisal value of $124.0 million was released by the servicer in the April 2024 payment period. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (SEP 2024)(I) (NOV 2023)(I) (AUGUST 2019) Occupancy rate (%) 70.0 65.7 91.8 Net cash flow (mil. $) 7.6 9.2 14.4 Capitalization rate (%) 7.75 7.75 7.25 Value (mil. $) 75.0 118.3 198.7 Value per sq. ft. ($) 208 329 553 Loan-to-value ratio (%) 320.0 202.9 120.8 (i)Review period. Ratings Lowered GSCG Trust 2019-600C Class A to 'CCC (sf)' from 'BB+ (sf)' Class B to 'D (sf)' from 'B (sf)' Class C to 'D (sf)' from 'CCC (sf)' Class D to 'D (sf)' from 'CCC (sf)' Class X to 'D (sf)' from 'CCC (sf)' HARVEST US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harvest US CLO 2024-2 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Harvest US CLO 2024-2 Ltd. 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 Harvest US CLO 2024-2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.69 versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.48% versus a minimum covenant, in accordance with the initial expected matrix point of 73.2%. 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 7.5% 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 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, 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. ESG Considerations Fitch does not provide ESG relevance scores for Harvest US CLO 2024-2 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. HOMES 2024-AFC1: S&P Assigns Prelim B (sf) Rating on B-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to HOMES 2024-AFC1 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by first lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, planned unit developments, condominiums, townhomes, and two- to four-family residential properties. The pool consists of 1,030 loans, which are QM safe harbor (APOR), QM rebuttable presumption (APOR), ATR-exempt loans and non-QM/ATR-compliant loans. The preliminary ratings are based on information as of Sept. 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest update to our third-quarter macroeconomic outlook, we have recalibrated our views on the trajectory of interest rates in the U.S. We now expect 50 basis points (bps) of rate cuts coming this year and another 100 bps of cuts coming next year, with the balance of risks tilting toward more of those cuts happening sooner rather than later. Our base-case forecast for GDP growth and inflation have not changed, and we attribute the recent loosening of the labor market to normalization, not to an economy that's about to slip into a recession. A soft landing remains the most likely scenario, at least into 2025. We therefore maintain our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency of 2.50%, which reflects our benign view of the mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned HOMES 2024-AFC1 Trust Class A-1A, $290,055,000 AAA (sf) Class A-1B, $43,914,000: AAA (sf) Class A-1, $333,969,000: AAA (sf) Class A-2, $25,251,000: AA (sf) Class A-3, $40,621,000: A (sf) Class M-1, $17,127,000: BBB (sf) Class B-1, $10,979,000: BB (sf) Class B-2, $7,245,000: B (sf) Class B-3, $3,953,203: NR Class A-IO-S, notional amount(i): NR Class XS, notional amount(i): NR Class R, N/A: NR (i)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $439,145,203. NR--Not rated. JP MORGAN 2016-JP3: Fitch Lowers Rating on Class F Debt to CCsf --------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 (JPMCC 2016-JP3) commercial mortgage pass-through certificates. Fitch has also assigned a Negative Rating Outlook to five classes following the downgrades and has revised Outlooks on two affirmed classes to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP3 A-4 46590RAD1 LT AAAsf Affirmed AAAsf A-5 46590RAE9 LT AAAsf Affirmed AAAsf A-S 46590RAJ8 LT AAAsf Affirmed AAAsf A-SB 46590RAF6 LT AAAsf Affirmed AAAsf B 46590RAK5 LT Asf Downgrade AA-sf C 46590RAL3 LT BBB-sf Downgrade BBB+sf D 46590RAP4 LT Bsf Downgrade BB-sf E 46590RAR0 LT CCCsf Affirmed CCCsf F 46590RAT6 LT CCsf Affirmed CCsf X-A 46590RAG4 LT AAAsf Affirmed AAAsf X-B 46590RAH2 LT Asf Downgrade AA-sf X-C 46590RAM1 LT Bsf Downgrade BB-sf KEY RATING DRIVERS Increase in 'Bsf' Loss Expectations: The downgrades reflect increased expected pool level losses since the prior rating action driven by higher loss expectations on Fitch Loans of Concern (FLOCs), primarily 1 Kaiser Plaza, National Business Park, Centrica, and West LA Office - 1950 Sawtelle Boulevard. Eight loans (29.7% of the pool) are flagged as FLOCs, including the aforementioned loans and the specially serviced Westfield San Francisco Centre (6.7%) loan. Fitch's current ratings incorporate an increased 'Bsf' rating case loss of 7.3% from 7.1% at Fitch's last rating action. The Negative Outlooks reflect the potential for further downgrades with higher-than-expected losses from Westfield San Francisco Centre or other specially serviced loans and FLOCs. In affirming the senior classes, Fitch also considered higher stressed losses on the Westfield San Francisco Centre of up to 50%. The largest contributor to overall loss expectations is the Westfield San Francisco Centre loan, which is secured by a 553,366 sf retail and 241,155 sf office portion of a 1,445,449 sf super regional mall located in San Francisco's Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. A receiver was appointed in October 2023. The sponsors cited operating challenges in downtown San Francisco that led to deteriorating sales, reduced occupancy and decreasing foot traffic. The appointed receiver along with the property manager and leasing agent, JLL, are working to stabilize property operations. Fitch requested an update on the ongoing workout but it has not been received. Fitch's 'Bsf' rating case loss of approximately 37% (prior to concentration add-ons) is based on the most recent servicer reported appraisal value, which is approximately 76% below the issuance appraisal value. As noted above, Fitch considered a higher loss scenario in its analysis which is reflected in the Negative Outlooks. The second largest contributor to expected losses is the 1 Kaiser Plaza loan (6.7%), secured by a 537,811 sf office tower in downtown Oakland, CA. The building is primarily occupied by Kaiser Foundation Health Plan which represents 69.4% of the building NRA on a lease through February 2027. According to the servicer, Kaiser has exercised an option to downsize by 130,085 sf (24% of the total footage) in July 2024 which would result in a decline of the building occupancy to 59%. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 20% reflects a 20% stress to the YE 2023 NOI, elevated 10% cap rate and factors a higher probability of default to account for the downsize of the largest tenant and heighted refinance risk. The third largest contributor to expected losses is National Business Park (3.2%). The loan transferred to the special servicer in August 2023 due to imminent monetary default. Cash is being trapped following the departure of the second largest tenant, SES Americom (13.4% NRA), with lease expiration in December 2023 along with a DSCR test under the threshold. Per the 1Q24 rent roll, the property was 54% occupied, down from 68.3% as of 1Q23, and lower than 84% at issuance. According to CoStar, as of 2Q24 the Brunswick West Office Submarket had a 22.4% vacancy rate and market rent psf of $33.21. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 36% reflects a 20% stress to YE 2022 NOI given rollover concerns and a 10% cap rate. Increase to Credit Enhancement: As of the August 2024 distribution date, the pool's aggregate principal balance has paid down by 26.6% to $893.8 million from $1.22 billion at issuance. There are 11 full-term, IO loans (57.4% of pool) remaining, while 11 loans are defeased (15.6%). Cumulative interest shortfalls totaling $2.7 million are affecting Class F. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on FLOCs. Loans of particular concern include Westfield San Francisco Centre, 1 Kaiser Plaza, National Business Park, Centrica, and West LA Office - 1950 Sawtelle Boulevard. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE) from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there was the likelihood of interest shortfalls. Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2024-8: DBRS Finalizes B(low) Rating on Class B5 Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-8 (the Certificates) issued by J.P. Morgan Mortgage Trust 2024-8 (JPMMT 2024-8 or the Issuer): -- $341.4 million Class A-2 at AAA (sf) -- $341.4 million Class A-3 at AAA (sf) -- $341.4 million Class A-3-X at AAA (sf) -- $256.1 million Class A-4 at AAA (sf) -- $256.1 million Class A-4-A at AAA (sf) -- $256.1 million Class A-4-X at AAA (sf) -- $85.4 million Class A-5 at AAA (sf) -- $85.4 million Class A-5-A at AAA (sf) -- $85.4 million Class A-5-X at AAA (sf) -- $204.9 million Class A-6 at AAA (sf) -- $204.9 million Class A-6-A at AAA (sf) -- $204.9 million Class A-6-X at AAA (sf) -- $136.6 million Class A-7 at AAA (sf) -- $136.6 million Class A-7-A at AAA (sf) -- $136.6 million Class A-7-X at AAA (sf) -- $51.2 million Class A-8 at AAA (sf) -- $51.2 million Class A-8-A at AAA (sf) -- $51.2 million Class A-8-X at AAA (sf) -- $32.7 million Class A-9 at AAA (sf) -- $32.7 million Class A-9-A at AAA (sf) -- $32.7 million Class A-9-X at AAA (sf) -- $374.2 million Class A-X-1 at AAA (sf) -- $374.2 million Class A-X-2 at AAA (sf) -- $374.2 million Class A-X-3 at AAA (sf) -- $10.4 million Class B-1 at AA (low) (sf) -- $10.4million Class B-1-A at AA (low) (sf) -- $10.4 million Class B-1-X at AA (low) (sf) -- $7.2 million Class B-2 at A (low) (sf) -- $7.2 million Class B-2-A at A (low) (sf) -- $7.2 million Class B-2-X at A (low) (sf) -- $4.8 million Class B-3 at BBB (low) (sf) -- $2.6 million Class B-4 at BB (low) (sf) -- $0.8 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.85% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 4.25%, 2.45%, 1.25%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 384 loans with a total principal balance of $401,671,867 as of the Cut-Off Date (August 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 15 years to 30 years and a weighted-average loan age of two months. Approximately 83.0% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 17.0% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section in the related report. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage rule. United Wholesale Mortgage, LLC (UWM) originated 46.7% of the pool. PennyMac Loan Services, LLC (PennyMac) originated 18.2% of the pool. Various other originators, each comprising less than 15%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by UWM (46.7%), Shellpoint Mortgage Servicing (Shellpoint) (35.1%), and PennyMac (18.2%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (December 1, 2024). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. Notes: All figures are in US Dollars unless otherwise noted. LEWEY PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Lewey Park CLO Ltd./Lewey Park CLO LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The preliminary ratings are based on information as of Sept. 16, 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 Lewey Park CLO Ltd./Lewey Park CLO LLC Class A-1, $307.50 million: AAA (sf) Class A-2, $22.50 million: Not rated Class B-1, $40.00 million: AA (sf) Class B-2, $10.00 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, $47.35 million: Not rated MADISON PARK XX: Fitch Assigns BB+(EXP) Rating on Cl. E-RR Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Madison Park Funding XX, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XX, Ltd. A-1-RR LT AAA(EXP)sf Expected Rating A-2-RR LT AAA(EXP)sf Expected Rating B-1-RR LT AA+(EXP)sf Expected Rating B-2-RR LT AA+(EXP)sf Expected Rating C-RR LT A+(EXP)sf Expected Rating D-1-RR LT BBB-(EXP)sf Expected Rating D-2-RR LT BBB-(EXP)sf Expected Rating E-RR LT BB+(EXP)sf Expected Rating F-RR LT NR(EXP)sf Expected Rating Transaction Summary Madison Park Funding XX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC which originally closed in April 2016 and was first refinanced in June 2018. The secured notes will be refinanced in whole on October 21, 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 $424 million, excluding defaults, of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 95.98% first-lien senior secured loans and has a weighted average recovery assumption of 75.32%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1-RR, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between less than 'B-sf' and 'BB-sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-RR and class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1-RR, 'Asf' for class D-2-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 XX, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MADISON PARK XX: Moody's Assigns '(P)B3' Rating to Class F-RR Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by Madison Park Funding XX, Ltd. (the Issuer): US$260,095,000 Class A-1-RR Floating Rate Senior Notes due 2036, Assigned (P)Aaa (sf) US$250,000 Class F-RR Deferrable Floating Rate Junior Notes due 2036, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 96% of the portfolio must consist of first lien senior secured loans and eligible investments and up to 4.0% of the portfolio may consist of non-senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the 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 and 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: $425,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2998 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 46.25% 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 a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MADISON PARK XXXIV: Fitch Assigns 'BB+sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding XXXIV, Ltd.; Reset Transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XXXIV, Ltd. A-1-RR LT NRsf New Rating A-2-RR LT AAAsf New Rating B-RR LT AA+sf New Rating C-RR LT A+sf New Rating D-1-RR LT BBB-sf New Rating D-2-RR LT BBB-sf New Rating E-RR LT BB+sf New Rating F-RR LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Madison Park Funding XXXIV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC that originally closed in July 2019 and is being refinanced for a second time on Sept. 12, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $498 million of primarily first lien senior secured leveraged loans (excluding defaults). KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.73% first lien senior secured loans and has a weighted average recovery assumption of 75.47%. 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 (Neutral): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1-RR, 'Asf' for class D-2-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding XXXIV, 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. MADISON PARK XXXIV: Moody's Gives B3 Rating to $250,000 F-RR Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XXXIV, Ltd. (the Issuer): US$310,000,000 Class A-1-RR Floating Rate Senior Notes due 2037, Assigned Aaa (sf) US$250,000 Class F-RR 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% of the portfolio must consist of first lien senior secured loans, and up to 10% of the portfolio may consist of not senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 six 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 and extension of the reinvestment period; extensions of the stated maturity and non-call period; 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: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3265 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MADISON PARK XXXIX: S&P Affirms 'BB- (sf)' Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, and D-R replacement debt from Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC, a CLO originally issued in October 2021 that is managed by UBS Asset Management (Americas) LLC (as the successor in interest to Credit Suisse Asset Management LLC). At the same time, S&P withdrew its ratings on the original class A, B, C, and D debt following payment in full on the Sept. 17, 2024, refinancing date. S&P also affirmed its ratings on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture the non-call period of the replacement debt was extended to Sept. 17, 2025. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt (which was not refinanced) than the rating action on the debt reflects. However, we affirmed our 'BB- (sf)' rating on the class E debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Original Debt Issuances Replacement debt -- Class A-R, $465.00 million: Three-month CME term SOFR + 1.25% -- Class B-R, $105.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $45.00 million: Three-month CME term SOFR + 2.05% -- Class D-R (deferrable), $45.00 million: Three-month CME term SOFR + 3.20% Original debt -- Class A, $465.00 million: Three-month CME term SOFR +1.14% + CSA(i) -- Class B, $105.00 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class C (deferrable), $45.00 million: Three-month CME term SOFR + 2.00% + CSA(i) -- Class D (deferrable), $45.00 million: Three-month CME term SOFR + 3.05% + 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 Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC Class A-R, $465.00 million: AAA (sf) Class B-R, $105.00 million: AA (sf) Class C-R (deferrable), $45.00 million: A (sf) Class D-R (deferrable), $45.00 million: BBB- (sf) Ratings Withdrawn Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Ratings Affirmed Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC Class E: 'BB- (sf)' Other Debt Madison Park Funding XXXIX Ltd./Madison Park Funding XXXIX LLC Subordinated notes, $61.00 million: NR NR--Not rated. MARANON LOAN 2021-3: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X, A-R, A-L-R, B-R, C-R, D-R, and E-R debt from Maranon Loan Funding 2021-3 Ltd., a CLO originally issued in December 2021 that is managed by Maranon Management LLC. The preliminary ratings are based on information as of Sept. 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 18, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expects to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-L-R loans and class X-R, A-R, B-R, C-R, and D-R notes are expected to be issued at a higher spread over three-month CME term SOFR than the class A-L loans and class X, A, B, C, and D notes, and the replacement class E-R notes are expected to be issued at a lower spread over three-month CME term SOFR than the class E notes. -- The replacement class A-L-R loans and class X-R, A-R, B-R, C-R, D-R, and E-R notes are expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity and reinvestment period will be extended 2.75 years. -- The class X-R notes issued in connection with this refinancing are expected to be paid down using interest proceeds during the 16 payment dates beginning with the payment date in January 2025. -- Of the identified underlying collateral obligations, 96.26% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 3.95% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Maranon Loan Funding 2021-3 Ltd./Maranon Loan Funding 2021-3 LLC Class X-R, $20.00 million: AAA (sf) Class A-R, $174.00 million: AAA (sf) Class A-L-R, $50.00 million: AAA (sf) Class B-R, $46.00 million: AA (sf) Class C-R (deferrable), $32.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $26.00 million: BB- (sf) Variable dividend notes, $50.00 million: Not rated MARATHON CLO VI: S&P Lowers Class D-R2 Debt Rating to 'D (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-R2 debt from Marathon CLO VI Ltd., a U.S. cash flow CLO transaction managed by Marathon Asset Management L.P., to 'D (sf)' (default) from 'CCC+ (sf)'. The rating action follows its review of the transaction's performance using data from the August 2024 trustee report. S&P said, "The downgrade reflects our view that the transaction does not have enough additional assets or funds to cover the shortfall between the assets and liabilities. Class D-R2 is the transaction's only rated debt, and it has a current balance of about $7.8 million (about 36.5% of its original balance). However, the CLO has only one performing loan with a par balance of $1.3 million and principal cash totaling $0.6 million. "The transaction has paid down $13.59 million on the class D-R2 debt since our September 2023 rating actions and currently has 36.47% of the original balance outstanding. The portfolio is now highly concentrated due to the continued amortization, with only one unique obligor remaining. Given that the CLO is no longer well-diversified, we did not analyze its cash flows but instead examined other metrics and qualitative factors, such as the remaining assets' credit quality and subordination levels, to arrive at our rating decision. "We will continue to review whether the assigned rating remains consistent with the credit enhancement available to support the notes, in our view, and take rating action as we deem necessary." MFA TRUST 2024-NQM2: Fitch Gives 'Bsf' Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2024-NQM2 Trust (MFA 2024-NQM2). Entity/Debt Rating Prior ----------- ------ ----- MFA 2024-NQM2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1A LT BBB-sf New Rating BBB-(EXP)sf B1B LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed certificates to be issued by MFA 2024-NQM2 Trust (MFA 2024-NQM2) as indicated above. The certificates are supported by 418 nonprime loans with a total balance of approximately $340.5 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation d/b/a Acra Lending, Excelerate Capital and FundLoans Capital, Inc. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation, with all but eight loans subserviced by ServiceMac LLC. The structure was updated post-pricing and the coupons for A-1, A-2, A-3, M-1, B-1A and B-1B classes decreased approximately between 35bps and 70bps, which increased the weighted average excess spread to 254bps, a 34bps increase from the previous WA excess spread of 220bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch has updated its view on sustainable home prices and, as a result, it views the home price values of this pool as 9.3% 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 due to both high interest rates and elevated home prices. Home prices had increased 5.9% yoy nationally as of May 2024, despite modest regional declines, and are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Negative): The collateral consists of 418 loans totaling $340.5 million and seasoned at approximately three months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 741 Fitch model FICO and moderate leverage with a 71.7% sustainable loan-to-value ratio (sLTV). The pool is 60.2% comprised of loans for homes in which the borrower maintains as a primary residence, while 39.8% comprises investor properties or second homes, as calculated by Fitch. In addition, 57.5% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types, including second liens, foreign nationals and nonstandard property types. Fitch's expected loss in the 'AAAsf' stress is 22.25%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 90.3% of loans in the pool were underwritten to less than full documentation and 44.7% were underwritten to a bank statement program for verifying income. 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 Protection Bureau's (CFPB) Ability-to-Repay Rule (ATR or the Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by 809 bps, compared with a transaction of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 169 debt service coverage ratio (DSCR) products in the pool (40.4% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt-to-income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 31.66% in the 'AAAsf' stress. Geographic and Loan Count Concentration Concerns (Negative): The pool has a weighted average number (WAN) of 165 and is incurring approximately a 255bps penalty at 'AAA'. Fitch calculates the WAN of pools by using the Herfindahl-Hirschman Index (HHI), which determines the sum of the squared pool's shares for each loan in the pool and is expressed in a scale of 0-to-1, with values approaching zero reflecting greater granularity. Fitch then uses the HHI ratio to calculate the WAN of loans in the pool. The WAN accounts for both the number of loans in the pool and distribution of loan balances; this differs from the loan count, which weighs all loans regardless of balance equally. RMBS pools with an initial WAN below 300 loans are subject to probability of default (PD) penalties that are applied to the pool's model-generated PD. The variability of defaults inherently increases when a portfolio depends on a small number of assets. The WAN for this portfolio is significantly less than the number of assets due to "lumpy" largest loans. The pool consists of 418 loans with the 10 largest loans by unpaid principal balance (UPB) accounting for 14.0% of the pool. In addition, the 20 largest loans account for 24.3% of the UPB. If some large loans prepay, the concentration risk will decrease. Approximately 47.3% of the pool is concentrated in California with moderate MSA concentration. The largest MSA is the Los Angeles MSA (23.6%), followed by the Miami MSA (14.6%) and the San Diego MSA (6.8%). The top three MSAs account for 45.1% of the pool. As a result, a 1.06x PD penalty is applied, which increases the 'AAA' expected loss by 52 bps. In total, Fitch adjusted the 'AAA' pool level loss expectations by 307 bps due to loan and geographic concentration risks. Modified Sequential Payment Structure with No Advancing (Mixed): The structure differs slightly from that of the previous MFA 2024-NQM1 transaction. The B-1 class has split into two classes: B-1A and B-1B. There have been no additional changes to the principal waterfall or priority of payments. The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. MFA 2024-NQM2 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Clayton, Consolidated Analytics, Covius, Evolve, Infinity, IngletBlair, Maxwell and Selene. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 48bps reduction to 'AAAsf' losses. 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 2012-C5: Moody's Cuts Rating on 2 Tranches to Caa3 ----------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on five classes in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 ("MSBAM 2012-C5"), Commercial Mortgage Pass-Through Certificates, Series 2012-C5 as follows: Cl. D, Affirmed Baa2 (sf); previously on Mar 14, 2023 Downgraded to Baa2 (sf) Cl. E, Downgraded to B1 (sf); previously on Mar 14, 2023 Downgraded to Ba2 (sf) Cl. F, Downgraded to B2 (sf); previously on Mar 14, 2023 Downgraded to B1 (sf) Cl. G, Downgraded to Caa1 (sf); previously on Mar 14, 2023 Downgraded to B3 (sf) Cl. H, Downgraded to Caa3 (sf); previously on Mar 14, 2023 Downgraded to Caa2 (sf) Cl. X-C*, Downgraded to Caa3 (sf); previously on Mar 14, 2023 Downgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl. D was affirmed because of the significant credit support and the expected principal proceeds from the remaining loans in the pool. The class has already paid down 84% from its original principal balance and will also benefit from priority of principal proceeds from any loan payoffs or liquidations. The ratings on four P&I classes, Cl. E, F, G, H were downgraded due to high Moody's loan-to-value (LTV) ratio on the pool and the potential for higher losses and interest shortfalls driven primarily by the significant exposure to loans that are either in special servicing or have passed their anticipated repayment dates. The one specially serviced loan (22.5% of the pool), has been deemed non-recoverable. Additionally, the largest loan in the pool (Legg Mason Tower – 75.6% of the pool) will likely face a significant decline in occupancy due to the largest tenant's (44% of the NRA) lease expiration date in August 2024 as the tenant previously announced plans to vacate their space. Due to the performance and tenancy issues of the Legg Mason Tower loan, Moody's do not expect it to pay-off in the near future and anticipated losses and interest shortfalls may increase if the loan became delinquent on debt service payments. The rating on the interest only (IO) class, Cl. X-C was downgraded due to principal paydowns of higher quality reference classes and decline in the credit quality of its reference classes. The IO class references all P&I classes including Class J, which is not rated by Moody's. Moody's rating action reflects a base expected loss of 25.0% of the current pooled balance, compared to 19.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.9% of the original pooled balance. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. 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, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. DEAL PERFORMANCE As of the August 16, 2024 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $146.5 million from $1.35 billion at securitization. The certificates are collateralized by three remaining mortgage loans. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $3.3 million (for an average loss severity of 10.9%). One loan, constituting 22.5% of the pool, is currently in special servicing. The specially serviced loan is the Distrikt Hotel Loan ($33.0 million -- 22.5% of the pooled balance), which is secured by the leasehold interest in a 32 story, full-service hotel located in the Times Square neighborhood of New York, New York. The property operates under a Hilton flag as part of their "Tapestry Collection." The collateral is subject to a ground lease with an expiration in April 2111 with a current ground lease payment of $825,000, increasing to 907,500 in years 11 through 15 with subsequent increases thereafter. The property's performance has generally declined since 2013, due to lower revenue per available room (RevPAR). The August 2022 (the most recent performance information Moody's have received) trailing twelve-month (TTM) occupancy, ADR and RevPAR were 66.1%, $180.10 and $119.00, respectively. The loan has been in special servicing since April 2020 and has been deemed non-recoverable by the master servicer. The special servicer commentary indicates a receiver is in-place and they are currently pursuing foreclosure. The most recently reported appraisal value in December 2023 was 33% above the outstanding loan balance, however, the loan has accrued over $2.4 million in outstanding loan advances and is last paid through its April 2021 payment date. As of the August 2024 remittance statement cumulative interest shortfalls were $5.4 million. Moody's anticipate interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest performing loan is the Legg Mason Tower Loan ($110.7 million -- 75.6% of the pool), which is secured by a 24-story, 612,613 SF, Class A multi-tenant office building located in the Harbor East waterfront of Baltimore, Maryland. The property is part of a three-unit condominium structure that includes office space, 18,988 SF of ground and second floor retail space, and a 1,145-space subterranean parking garage shared with the adjacent Four Seasons Hotel Baltimore. The property was 99% leased as of December 2023, however, the largest tenant since securitization, Legg Mason (most recently 44% of the NRA), had a lease expiration in August 2024 and Franklin Templeton, which acquired Legg Mason during 2020, announced that it will lease office space at the Wills Wharf development along the Baltimore waterfront. Legg Mason had previously subleased their space in 2009 to various tenants such as Johns Hopkins University and One Main Financial (signed a direct lease for 18% of NRA). Occupancy may decline to below 50% if Legg Mason and tenants subleasing their space vacate. The loan passed its anticipated repayment date (ARD) date in July 2022 and is now in its hyper-amortization period (having amortized 38.5% since securitization) with a legal final maturity in July 2027. After the ARD the interest rate increased to the greater of (i) 4.550% plus 3.000% and (ii) the sum of (x) the then applicable treasury rate plus (y) then current five-year mid swap rate spread, but in no event will the revised interest rate exceed 9.550%. If the current leased and subleased tenants with recent lease maturity dates vacate the property, the property's cash flow would likely significantly decline causing the loan's DSCR to be well below 1.00X and increasing the probability of default. Moody's factored in the concentrated tenant rollover and Moody's LTV and stressed DSCR are 133% and 0.83X, respectively compared to 134% and 0.81X at the last review. The other performing loan is the CVS – Charlotte, NC Loan ($2.8 million -- 1.9% of the pool), which is secured by a single tenant retail building 100% occupied by CVS with a lease expiration in January 2030. The property is located in Charlotte, North Carolina. The loan has amortized 22% since securitization and matures in July 2025. Moody's LTV and stressed DSCR are 79% and 1.26X, respectively. MORGAN STANLEY 2024-4: Fitch Assigns 'B-(EXP)sf' Rating on B-5 Debt ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-4 (MSRM 2024-4). Entity/Debt Rating ----------- ------ MSRM 2024-4 A-1 LT AAA(EXP)sf Expected Rating A-X-IO1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-2-IO LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-IO LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-IO LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-IO LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-IO LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-IO LT AAA(EXP)sf Expected Rating A-F LT AAA(EXP)sf Expected Rating A-X LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-IO LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-IO LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-12-IO LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-IO LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-IO LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-3-A LT BBB-(EXP)sf Expected Rating B-3-X LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary MSRM 2024-4 is the 21st post-crisis transaction off the Morgan Stanley Residential Mortgage Loan Trust (MSRM) shelf. The first MSRM transaction was issued in 2014. This is also the 19th MSRM transaction to comprise loans from various sellers acquired by Morgan Stanley in its prime-jumbo aggregation process, and the fourth MSRM prime transaction year to date. The certificates are supported by 306 prime-quality loans with a total balance of about $386.44 million as of the cutoff date. The pool consists of 100% fixed-rate mortgages (FRMs) from various mortgage originators. The largest originators are Rocket Mortgage at 26.7% and CrossCountry Mortgage at 10.0%. All other originators make up less than 10% of the overall pool. The servicer for this transaction is Shellpoint (for 100.0% of loans). Nationstar Mortgage LLC (Nationstar) will be the master servicer. Of the loans, 100.0% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are (i) fixed rate and capped at the net weighted average coupon (WAC), (ii) are floating rate based off the SOFR index or (iii) have coupons based on the net WAC. As with other prime transactions, this transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.1% 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. High-Quality Prime Mortgage Pool (Positive): The collateral consists of 100% first lien, prime-quality mortgage loans with terms of mainly 30 years. More specifically, the collateral consists of 20- or 30-year, fixed-rate, fully amortizing loans seasoned at approximately 4.3 months in aggregate, as determined by Fitch (two months, per the transaction documents). Of the loans, 56.4% were originated through the sellers' retail channels. The borrowers in this pool have strong credit profiles with a 772 WA FICO, according to Fitch's analysis (FICO scores range from 662 to 826), and represent either owner-occupied homes or second homes. Of the pool, 96.9% of loans are collateralized by single-family homes, including single-family, planned unit development (PUD) and single-family attached homes, while condominiums make up 3.1%. There are no investor loans in the pool, which Fitch views favorably. The WA combined loan-to-value ratio (CLTV) is 73.2%, which translates to a 81.0% sustainable LTV (sLTV), as determined by Fitch. The 73.2% CLTV is driven by the large percentage of purchase loans (93.0%), which have a WA CLTV of 74.1%. A total of 188 loans are over $1.0 million, and the largest loan totals $3.0 million. Fitch considered 100% of the loans in the pool to be fully documented loans. Seven loans in the pool comprise a nonpermanent resident, and none of the loans in the pool were made to foreign nationals. Based on historical performance, Fitch found that nonpermanent residents performed in line with U.S. citizens; as a result, these loans did not receive additional adjustments in the loss analysis. Approximately 32% of the pool is concentrated in California with moderate MSA concentration for the pool as a whole. The largest MSA concentration is in the Los Angeles MSA (9.0%), followed by the Seattle MSA (8.6%) and the San Francisco MSA (7.6%). The top three MSAs account for 25.1% of the pool. There was no adjustment for geographic concentration. Loan Count Concentration (Negative): The loan count for this pool (306 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 265. The loan count concentration for this pool results in a 1.06x penalty, which increases loss expectations by 45 basis points (bps) at the 'AAAsf' rating category. Shifting-Interest Structure and Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer will provide full advancing for the life of the transaction. Although full principal and interest (P&I) advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to so. If the master servicer is not able to advance, then the securities administrator (Citibank, N.A.) will advance. Credit Enhancement Floor (Positive): A CE or senior subordination floor of 2.25% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.55% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 41.5% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis based on the findings. Fitch reduced the 'AAAsf' expected loss by 0.32% because 100% due diligence was provided and there were no material findings, DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section of the presale report for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OCP CLO 2024-35: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to OCP CLO 2024-35 Ltd./OCP CLO 2024-35 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC. The preliminary ratings are based on information as of Sept. 16, 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 OCP CLO 2024-35 Ltd./OCP CLO 2024-35 LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $30.00 million: AAA (sf) Class B-1, $40.00 million: AA (sf) Class B-2, $10.00 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, $48.85 million: Not rated OHA CREDIT XVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt from OHA Credit Partners XVI Ltd., a CLO originally issued in September 2021 that is managed by Oak Hill Advisors L.P. The preliminary ratings are based on information as of Sept. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 24, 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 original class B debt is expected to be replaced by two classes of pari passu floating- and fixed-rate debt (classes B-1-R and B-2-R, respectively). -- The original class D debt is expected to be replaced by two classes of floating-rate debt (classes D-1-R and D-2-R). The class D-1-R debt will be senior to the class D-2-R debt. -- The subordinated note balance is expected to be increased by $1.39 million. -- The non-call period will be extended to October 2026. -- The reinvestment period will be extended to October 2029. -- The stated maturity will be extended to October 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 the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Partners XVI Ltd./OHA Credit Partners XVI LLC Class A-R, $372.00 million: AAA (sf) Class B-1-R, $66.00 million: AA (sf) Class B-2-R, $18.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-1-R (deferrable), $36.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $19.50 million: BB- (sf) Subordinated notes, $57.91 million: Not rated PALMER SQUARE 2022-5: 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 from Palmer Square CLO 2022-5 Ltd./Palmer Square CLO 2022-5 LLC, a CLO originally issued in September 2022 that is managed by Palmer Square Europe Capital Management LLC. The preliminary ratings are based on information as of Sept. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 3, 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-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R notes are expected to be issued at a lower spread over three-month SOFR than the original notes. -- The original fixed class B-2 notes are expected to be removed from the structure. -- The stated maturity, reinvestment period, and non-call period will all be extended two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Palmer Square CLO 2022-5 Ltd./Palmer Square CLO 2022-5 LLC Class A-1-R, $320.00 million: AAA (sf) Class A-2-R, $7.50 million: AAA (sf) Class B-R, $52.50 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable) $5.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Other Debt Palmer Square CLO 2022-5 Ltd./Palmer Square CLO 2022-5 LLC Subordinated notes, $40.50 million: Not rated POST CLO 2018-1: S&P Assigns B- (sf) Rating on Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and the new class X and F-R debt from Post CLO 2018-1 Ltd./Post CLO 2018-1 LLC, a CLO originally issued in May 2018 that is managed by Post Advisory Group LLC, and was not rated by S&P Global Ratings. 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. 12, 2026. -- The reinvestment period was extended to Oct. 16, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to Oct. 16, 2037. -- The target initial par amount decreased to $350 million. -- The class X debt is expected to be paid down using interest proceeds during the first seven payment dates in equal installments of $0.57 million, beginning on the January 2025 payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Post CLO 2018-1 Ltd./Post CLO 2018-1 LLC Class X, $4.000 million: AAA (sf) Class A-1-R, $220.500 million: AAA (sf) Class A-2-R, $1.750 million: AAA (sf) Class B-R, $43.750 million: AA (sf) Class C-R (deferrable), $21.000 million: A (sf) Class D-1-R (deferrable), $21.000 million: BBB- (sf) Class D-2-R (deferrable), $2.625 million: BBB- (sf) Class E-R (deferrable), $11.025 million: BB- (sf) Class F-R (deferrable), $6.570 million: B- (sf) Subordinated notes, $41.350 million: Not rated PRESTIGE AUTO 2024-2: S&P Assigns BB (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 60.13%, 51.40%, 42.06%, 31.90% and 26.87% credit support (hard credit enhancement and haircut to excess spread) for the class A (class A-1 and A-2, collectively), B, C, D, and E notes, respectively, based on stressed final post-pricing 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 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, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P's believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, our 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 ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. as servicer, and our 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 credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. 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) RAD CLO 26: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to RAD CLO 26 Ltd./RAD CLO 26 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by Irradiant Partners L.P. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned RAD CLO 26 Ltd./RAD CLO 26 LLC Class A, $336.00 million: AAA (sf) Class B-1, $50.00 million: AA (sf) Class B-2, $13.00 million: AA (sf) Class C (deferrable), $31.50 million: A (sf) Class D-1 (deferrable), $31.50 million: BBB- (sf) Class D-2 (deferrable), $5.25 million: BBB- (sf) Class E (deferrable), $15.75 million: BB- (sf) Subordinated notes, $48.20 million: Not rated RCKT MORTGAGE 2022-3: Moody's Hikes Rating on Cl. B-5 Certs to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds issued by RCKT Mortgage Trust 2022-3. The collateral backing this deal consists of prime jumbo mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2022-3 Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Apr 28, 2022 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A2 (sf); previously on Apr 28, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 28, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Apr 28, 2022 Definitive Rating Assigned B3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Apr 28, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A2 (sf); previously on Apr 28, 2022 Definitive Rating Assigned A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. This transaction continues to display strong collateral performance, with cumulative losses under .03% and only 0.5% of loans in 60-day plus delinquency as of July 2024. In addition, enhancement levels for most tranches have grown, as the pools amortize relatively quickly. The credit enhancement since closing has relative growth of 9.4% for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in this deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RCKT MORTGAGE 2024-CES7: Fitch Gives 'B(EXP)' Rating on 5 Tranches ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES7 (RCKT 2024-CES7). Entity/Debt Rating ----------- ------ RCKT 2024-CES7 A1-A LT AAA(EXP)sf Expected Rating A1-B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-4 LT AA(EXP)sf Expected Rating A-5 LT A(EXP)sf Expected Rating A-6 LT BBB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating B-2A LT B(EXP)sf Expected Rating B-X-2A LT B(EXP)sf Expected Rating B-2B LT B(EXP)sf Expected Rating B-X-2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 6,178 closed-end second-lien loans with a total balance of approximately $571.2 million as of the cutoff date. The pool consists of closed-end second-lien mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage LLC. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.7% above a long-term sustainable level (versus 11.5% on a national level as of 1Q24). Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices had increased 5.9% yoy nationally as of May 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 6,178 loans totaling approximately $571.2 million and seasoned at approximately 3.5 months in aggregate as calculated by Fitch (one month per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a weighted average (WA) Fitch model FICO score of 734; a debt-to-income ratio (DTI) of 39.2%; and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 80.7%. Of the pool, 99.2% consist of loans where the borrower maintains a primary residence and 0.8% represent second homes or investor properties, while 90.0% of loans were originated through a retail channel. Additionally, 42.4% of loans are designated as safe harbor qualified mortgages (SHQM), 11.6% are higher-priced qualified mortgages (HPQM). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool comprises closed-end second-lien loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second-lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. While Fitch has previously analyzed CES transactions using an interest rate cut, this stress is no longer being applied. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, applying the stress would have been overly punitive. If interest rate modifications re-emerge as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. 180-Day Chargeoff Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day chargeoff feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.0% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 22bps reduction to the 'AAAsf' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SAIF 2024-CES1: DBRS Finalizes B Rating on Class B-2 Notes ---------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Asset-Backed Securities, Series 2024-CES1 (the Notes) issued by SAIF Securitization Trust 2024-CES1 (SAIF 2024-CES1 or the Issuer) as follows: -- $153.1 million Class A-1 at AAA (sf) -- $9.1 million Class A-2 at AA (sf) -- $9.8 million Class A-3 at A (sf) -- $9.1 million Class M-1 at BBB (sf) -- $7.4 million Class B-1 at BB (sf) -- $4.4 million Class B-2 at B (sf) The AAA (sf) credit rating reflects 21.85% of credit enhancement provided by the subordinated notes. The AA (sf), A (sf), and BBB (sf), BB (sf), and B (sf) credit ratings reflect 17.20%, 12.20%, 7.55%, 3.75%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. SAIF 2024-CES1 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2024-CES1 (the Notes). The Notes are backed by 3,497 mortgage loans with a total principal balance of $195,902,408 as of the Cut-Off Date (July 31, 2024). SAIF 2024-CES1 represents the first CES securitization by SAGE Residential AIF I, LLC. Carrington Mortgage Loans, LLC (Carrington; 77.0%) is the top originator and servicer for the mortgage pool followed by Planet Home Lending, LLC (Planet; 23.0%). Wilmington Savings Fund Society, FSB will act as the Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Custodian. SAIF I Master Servicing, LLC will act as the Securities Administrator. The portfolio, on average, is 11 months seasoned, though seasoning ranges from two to 24 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 715, Issuer-provided original combined loan-to-value ratio (CLTV) of 71.7%, and the vast majority of the loans originated with full documentation standards. 96.7% of the loans are current and have never been delinquent since origination. Based on Issuer-provided information, certain loans in the pool (1.0%) are not subject to or exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules as they are made to investors for business purposes. The loans subject to the ATR rules are designated as QM Safe Harbor (5.9%), QM Rebuttable Presumption (90.7%), and Non-QM (2.4%) by UPB. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. On or after the earlier of (1) August 2027 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (an affiliate of the Sponsor) may redeem all of the outstanding Notes (Optional Redemption) at a price equal to (A) the class balances of the related Notes and (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the Noteholders in accordance with the priority of payments. The Controlling Holder, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). For this transaction, the Class A-1, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the payment date in September 2028. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns June 2024 Update," published on June 28, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. STORM KING: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class B-R, C-R, D-1R, D-2R and E-R replacement debt from Storm King Park CLO Ltd./Storm King Park CLO LLC, a CLO originally issued in 2022 that is managed by Blackstone Liquid Credit Strategies LLC. S&P did not assign preliminary ratings to the replacement class A-L Loans and the class A-R and A-L debt. The preliminary ratings are based on information as of Sept. 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 23, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at a lower weighted average cost of debt than the previous debt. -- The replacement class A debt will be split into the class A-L Loans and the class A-R and A-L debt, which will be pro-rata in payment and not rated by S&P Global Ratings. -- The replacement class D debt will be split into the class D-1R and D-2R debt, which will be pro-rata in payment. -- The replacement class D-1R and D-2R debt are expected to be issued at floating and fixed interest rate respectively, replacing the current floating class D debt. -- The non-call period will be extended to Sept. 23, 2026. -- The reinvestment period will be extended to Oct. 15, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Oct. 15, 2037. -- No additional assets will be purchased on the Sept. 23, 2024 refinancing date, and the target initial par amount will remain at $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2024. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- Of the identified underlying collateral obligations, 99.69% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 95.99% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Storm King Park CLO Ltd./Storm King Park CLO LLC Class A-R, $206.80 million: NR Class A-L Loans(i), $113.20 million: NR Class A-L(i), $0.00 million: NR Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $34.00 million: A (sf) Class D-1R (deferrable), $15.00 million: BBB- (sf) Class D-2R (deferrable), $15.00 million: BBB- (sf) Class E-R (deferrable), $17.75 million: BB- (sf) (i)All or a portion of the class A-L Loans may be converted into class A-L notes, subject to a maximum conversion of $113.20 million under the terms outlined in the credit agreement. Upon a conversion, the balance on the class A-L notes may be increased, and the balance of the class A-L Loans may be decreased in the same amount, to reflect the conversion. No portion of the class A-L notes may be converted into class A-L Loans. Other Debt Storm King Park CLO Ltd./Storm King Park CLO LLC Subordinated notes, $43.68 million: Not rated SYMPHONY CLO 36: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2a-R, D-2b-R, and E-R replacement debt from Symphony CLO 36 Ltd./Symphony CLO 36 LLC, a CLO originally issued in September 2022 that is managed by Symphony Alternative Asset Management LLC. The preliminary ratings are based on information as of Sept. 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 27, 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 assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-1-R, C-R, and E-R debt are expected to be issued at a lower spread over three-month SOFR than the original debt, and the replacement class B-2-R debt are expected to be issued at a lower coupon than the original class B-2 debt. -- The replacement class D-1-R and D-2a-R floating-rate debt and the class D-2b-R fixed-rate debt are expected to be issued to replace the current class D debt. -- The stated maturity and non-call period will be extended by two years, while the reinvestment period will be extended by three years. -- The target par amount is expected to increase to $403 million. 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 Symphony CLO 36 Ltd./Symphony CLO 36 LLC Class A-R, $256.00 million: AAA (sf) Class B-1-R, $35.50 million: AA (sf) Class B-2-R, $12.50 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2a-R (deferrable), $1.50 million: BBB- (sf) Class D-2b-R (deferrable), $2.50 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Symphony CLO 36 Ltd./Symphony CLO 36 LLC Subordinated notes, $32.90 million: Not rated VERUS SECURITIZATION 2024-7: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Verus Securitization Trust 2024-7's mortgage-backed notes. The note issuance is an RMBS transaction backed primarily by newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,280 loans backed by 1,283 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay-compliant, and ability-to-repay-exempt loans. One of the 1,280 loans is a cross-collateralized loans backed by four properties. After the preliminary ratings were issued, the issuer added initial exchangeable class A-1A and A-1B notes, which together can be exchanged for exchangeable class A-1 notes. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, prior credit events, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest update to our third-quarter macroeconomic outlook, we have recalibrated our views on the trajectory of interest rates in the U.S. We now expect 50 basis points (bps) of rate cuts this year and another 100 bps of cuts next year, with the balance of risks tilting toward more of those cuts happening sooner rather than later. Our base-case forecast for GDP growth and inflation have not changed, and we attribute the recent loosening of the labor market to normalization, not to an economy that's about to slip into a recession. A soft landing remains the most likely scenario, at least into 2025. Therefore, we are maintaining our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency of 2.50%, which reflects our benign view of the mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting." Ratings Assigned Verus Securitization Trust 2024-7(i) Class A-1A, $366,107,000: AAA (sf) Class A-1B, $66,991,000: AAA (sf) Class A-1, $433,098,000: AAA (sf) Class A-2, $53,593,000: AA (sf) Class A-3, $84,075,000: A (sf) Class M-1, $45,554,000: BBB- (sf) Class B-1, $17,752,000 : BB (sf) Class B-2, $22,442,000: B (sf) Class B-3, $13,399,231 : Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, Not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. WELLS FARGO 2014-C24: Fitch Lowers Rating on 2 Tranches to 'BB-sf' ------------------------------------------------------------------ Fitch Ratings has downgraded three classes and affirmed eight classes of Wells Fargo Commercial Mortgage Securities, Inc.'s WFRBS Commercial Mortgage Trust Series 2014-C24 commercial mortgage pass-through certificates. Fitch has assigned Negative Rating Outlooks to classes B, C and PEX following their downgrades. In addition, the Outlooks on affirmed classes A-S and X-A were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFRBS 2014-C24 A-3 92939KAC2 LT PIFsf Paid In Full AAAsf A-4 92939KAD0 LT PIFsf Paid In Full AAAsf A-5 92939KAE8 LT AAAsf Affirmed AAAsf A-S 92939KAG3 LT AAsf Affirmed AAsf A-SB 92939KAF5 LT PIFsf Paid In Full AAAsf B 92939KBR8 LT BBB-sf Downgrade A-sf C 92939KAK4 LT BB-sf Downgrade BB+sf D 92939KAT5 LT Csf Affirmed Csf E 92939KAV0 LT Dsf Affirmed Dsf F 92939KAX6 LT Dsf Affirmed Dsf PEX 92939KAL2 LT BB-sf Downgrade BB+sf X-A 92939KAH1 LT AAsf Affirmed AAsf X-C 92939KAM0 LT Dsf Affirmed Dsf X-D 92939KAP3 LT Dsf Affirmed Dsf KEY RATING DRIVERS Increased Loss Expectations; Near-Term Maturity Concentration and Refinancing Concerns: The downgrades reflect higher overall pool loss expectations since Fitch's prior rating action, driven primarily by the specially serviced loans, as well as increasing pool concentration and adverse selection concerns. Fitch has identified 15 Fitch Loans of Concern (FLOCs, 58.4% of the pool), including two specially serviced loans (4.7%). There are 45 loans remaining as of the August 2024 remittance, with 44 loans (97%) scheduled to mature between September and November 2024 and one non-defeased loan (3%) that has an anticipated repayment date in 2044. Due to significant near-term loan maturities and high concentration of FLOCs, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment or default at maturity, and/or loss expectation. Loans secured by retail and mixed-used properties comprise 47.2% of the remaining pool. Fitch assumed expected paydown from defeased loans (12 loans, 19.8%), as well as loans with a high likelihood of refinanceability, including those with sufficient cash flow to refinance into the higher interest rate environment. The Negative Outlooks incorporates this analysis and were assigned to classes with a reliance on FLOCs to repay. Without performance stabilization, improved prospects for recovery and/or if more loans than expected fail to refinance at maturity and/or expected losses increase, further downgrades are possible. High Expected Losses from Specially Serviced Loans: The largest specially serviced loan is Orlando Plaza Retail Center loan (3.3% of the pool), which is secured by 101,330-sf of retail space on the first and second floor of a two-tower office and condominium building located in Orlando, FL. The loan was transferred to the special servicer in April 2020 due to imminent monetary default as a result of the pandemic. The servicer-reported March 2024 property occupancy was 90% with an NOI DSCR of 0.78x. According to the special servicer, a purchase and sale agreement has been executed for a receiver sale. Fitch's 'Bsf' rating case loss expectation of 52% reflects a discount to the most recent appraisal, equating to a stressed value of $119 psf. The other specially serviced loan is the Chicago Garage Portfolio loan (1.4% of the pool), which is in foreclosure and has a receiver in place. The portfolio consists of two parking garages (East Walton Parking Garage and Skybridge Garage) located in Chicago, IL. The loan was transferred to the special servicer in July 2020 due to monetary default as a result of the pandemic. The special servicer indicated that the properties are expected to be sold via a receiver. Fitch's 'Bsf' rating case loss expectation has increased to 73%, reflecting a discount to the most recent appraisal, coupled with an increase in the total loan exposure, equating to a stressed value of $311 psf. The largest contributor to expected loss is the Crossings at Corona loan (11.5%), which is secured by an 834,075-sf anchored retail center located in Corona, CA. The loan is a FLOC due to refinancing concerns at its upcoming September 2024 maturity date. The servicer-reported March 2024 property occupancy was 78%, which is significantly below issuance occupancy of 97%. The current largest tenants include Kohl's (10.4% of NRA; lease through January 2029), Regal Cinemas (9.6%; January 2028), Best Buy (5.4%; March 2029), Jerome's Furniture (5.1%; Oct. 2025) and Ross (3.6%; January 2025). The servicer-reported YE 2023 NOI was 14.5% below YE 2022 and 31.7% below issuance. Fitch's 'Bsf' rating case loss expectation of 20% reflects a higher probability of default, 10% stress to the YE 2023 NOI for post-maturity rollover concerns and a 9.5% cap rate. The largest loan is Gateway Phase II (14.1% of the pool), which is secured by a 602,164-sf anchored retail power center located in Brooklyn, NY. Gateway Phase II has a September 2024 maturity. The June 2024 rent roll indicated the property was 100% occupied and the servicer-reported June 2024 NOI DSCR was 1.94x. The largest tenants are JCPenney (20.3% of the NRA, lease through 2034); grocer ShopRite (14.9%, lease through 2034) and Burlington Coat Factory (12.3%, lease through 2030). Recent media reports indicated the Nordstrom Rack (32,718 sf) closed at the end of August 2024. Due to the property's historically high occupancy and the institutional sponsor's ability to re-tenant space and ownership of the Gateway development, Fitch expects substantial recoveries from this loan in its analysis. Increased Credit Enhancement (CE); Realized Losses: As of the August 2024 remittance reporting, the pool's aggregate principal balance has been reduced by 51% to $532.6 million from $1.087 billion at issuance. Realized principal losses to date totaling $76.36 million are affecting classes E, F, X-C, X-D and the non-rated class G. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A downgrade to class A-5 is unlikely due to the class's first payment priority and paydown from loans with a high likelihood of refinancing, but could occur if a majority of the remaining non-defeased loans fail to pay off at their maturity, deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to classes A-S and X-A could occur if a higher than expected proportion of the pool defaults prior to or at maturity and/or transfers to special servicing, including larger FLOCs such as Gateway Center Phase II, Crossings at Corona and Hilton Biltmore Park. Downgrades to classes B, C and PEX are likely with higher than expected losses and/or if a greater number of loans fail to pay off at loan maturity, including the aforementioned larger FLOCs and other FLOCs such as Bend River Promenade, Greenwich Center, Embassy Suites DFW South, Castleberry Hill Portfolio and Kenwood Place One Office. A downgrade to the distressed class D would occur as losses are realized. Classes E, F, X-C and X-D are at 'Dsf' due to realized losses incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool's upcoming maturity concentration, upgrades are not expected, but may occur with significant deleveraging due to loan payoffs, better than expected recoveries on specially serviced loans and/or significantly higher recovery expectations on the aforementioned FLOCs. Classes with realized losses incurred would remain at 'Dsf'. 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. WELLS FARGO 2016-LC24: Fitch Lowers Rating on Two Tranches to CCsf ------------------------------------------------------------------ Fitch Ratings has downgraded five and affirmed eight classes in Wells Fargo Commercial Mortgage Trust 2016-LC24 (WFCM 2016-LC24). Fitch has assigned Negative Outlooks to classes D and X-D following their downgrades. The Outlook for class C was revised to Negative from Stable. Fitch has also affirmed 10 classes in Wells Fargo Commercial Mortgage Trust 2016-LC25 (WFCM 2016-LC25). The Outlooks remain Negative for classes D and X-D. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-LC24 A-3 95000HBE1 LT AAAsf Affirmed AAAsf A-4 95000HBF8 LT AAAsf Affirmed AAAsf A-S 95000HBH4 LT AAAsf Affirmed AAAsf A-SB 95000HBG6 LT AAAsf Affirmed AAAsf B 95000HBL5 LT AAsf Affirmed AAsf C 95000HBM3 LT A-sf Affirmed A-sf D 95000HAL6 LT B-sf Downgrade BBB-sf E 95000HAN2 LT CCCsf Downgrade BB+sf F 95000HAQ5 LT CCsf Downgrade B+sf X-A 95000HBJ0 LT AAAsf Affirmed AAAsf X-B 95000HBK7 LT AAsf Affirmed AAsf X-D 95000HAA0 LT B-sf Downgrade BBB-sf X-EF 95000HAC6 LT CCsf Downgrade B+sf WFCM 2016-LC25 A-3 95000JAU2 LT AAAsf Affirmed AAAsf A-4 95000JAV0 LT AAAsf Affirmed AAAsf A-S 95000JAX6 LT AAAsf Affirmed AAAsf A-SB 95000JAW8 LT AAAsf Affirmed AAAsf B 95000JBA5 LT AA-sf Affirmed AA-sf C 95000JBB3 LT A-sf Affirmed A-sf D 95000JAC2 LT BBB-sf Affirmed BBB-sf X-A 95000JAY4 LT AAAsf Affirmed AAAsf X-B 95000JAZ1 LT AAAsf Affirmed AAAsf X-D 95000JAA6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.4% in WFCM 2016-LC24 and 5.8% in WFCM 2016-LC25 compared to 6% and 5.1%, respectively, at Fitch's last rating action. Fitch Loans of Concerns (FLOCs) comprise 14 loans (23.2% of the pool) in WFCM 2016-LC24, including two specially serviced loans (2.8%) and 13 loans (23.4%) in WFCM 2016-LC25, including one specially serviced loan (1.4%). The downgrades in WFCM 2016-LC24 are driven by increased overall pool loss expectations since Fitch's prior rating action, driven by performance concerns on the office FLOCs (20.2% of the pool), particularly 1140 Avenue of the Americas (5.2%), Pinnacle II (3.1%) and One & Two Corporate Plaza (2%). The Negative Outlooks reflect possible further downgrades should performance of these loans further deteriorate. The affirmations in WFCM 2016-LC25 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect performance and refinance concerns on loans with the largest driver of expected losses including The Shops at Somerset Square (3.8%), Gurnee Mills (3%) and Rio West Business Park (2.4%). The Negative Outlooks also reflect refinancing concerns for the loans with the largest increase in expected losses since last review including 2821 & 2851 S Parker Road (1.7%), Holiday Inn Milwaukee River (1.4%) and 950 Herndon Parkway (1.2%). The largest contributor to overall loss expectations in WFCM 2016-LC24 is the 1140 Avenue of the Americas loan which is secured by a 242,466-sf Class A office building in Midtown, Manhattan. The YE 2023 NOI is 48% below YE 2022 and 80% below the Fitch issuance NCF, reflecting lower occupancy and rental rates at the property. The servicer-reported YE 2023 NOI DSCR was 0.40x; however, the sponsor has continued to pay debt service as they try to stabilize occupancy and the loan remains current. Per the June 2024 rent roll, the property was 79.3% occupied compared to 71% at YE 2022 and 91% at underwriting. Per the servicer, the largest tenant City National Bank (14.4% of NRA; exp. June 2033) extended 10 years in 2023 but at reduced rent. Per the servicer, the tenant is now paying approximately $116 psf compared to their prior rental rate of $124 psf. The second largest tenant is now 1140 Office Suites LLC (10.3% of NRA; exp. March 20231), a coworking space. They signed a lease in December 2023, filling the space of the former third largest tenant, Innovate NYC's (6.8%). The coworking tenant received a rent abatement through March 2024 and half abatement through the remainder of 2024. Per the rent roll, the upcoming lease rollover is 8.6% of NRA in 2024 and 6.9% in 2025. Affiliated Managers Group Inc. (5.2% of NRA, exp. September 2024) is expected to vacate. The tenant is subleasing their space, and the subtenant is not expected to go direct. Fitch's 'Bsf' rating case loss of 84% (prior to concentration add-ons) reflects a Fitch value of $16.1 million as well as a high probability of default given a short-term ground lease and declining performance. Fitch's value incorporates the YE 2023 NOI with an adjustment for rent abatements ending in 2024. Fitch also applied a cap rate of 12% reflecting the elevated risk associated with the ground lease which expires in 2066. The current annual ground lease payment is $4.75 million. Fitch's increased loss expectation includes the potential for significant challenges in refinancing the loan given the decline in performance and market conditions since issuance, upcoming tenant rollover and potential for further performance declines, as well as the high ground lease payment and short remaining term. The second largest driver of loss expectations is the One & Two Corporate Plaza loan which is secured by a 276,025-sf suburban office property located in Houston, TX. One Corporate Plaza consists of a six-story office building and a two-level parking garage constructed in 1984. Two Corporate Plaza consists of an eight-story office building, one-story retail building and one three-level parking garage constructed in 1989. The loan transferred to special servicing in January 2021, was appointed a receiver in February 2021 and went REO in October 2022. While in special servicing, performance has continued to decline with occupancy reported lower at 41.1% at June 2024 compared to 44% at YE 2023 and 83% at underwriting. Rollover included 12.4% of NRA in 2024 and 5.3% in 2025. All sf expiring in 2024 has been extended by two and five years. Fitch's 'Bsf' rating case loss of 84% (prior to concentration add-ons) reflects a stress to the most recent appraised value. The third largest driver of loss expectations is the Pinnacle II loan which is secured by a 230,000-sf single tenant office building built in 2005 and located in Burbank, CA. The loan is considered a FLOC as the property is 100% vacant. Warner Brothers Entertainment vacated at lease expiration in October 2022. Fitch's 'Bsf' rating case loss of 24% (prior to concentration add-ons) reflects a 9.50% cap rate and the YE 2022 NOI with no stress as well as an elevated probability of default. The largest contributor to overall loss expectations in WFCM 2016-LC25 is The Shops at Somerset Square loan which is a FLOC due to cash flow and occupancy declines. The loan is secured by a 113,987-sf, five building, retail property located in Glastonbury, CT (outside of Hartford). The YE 2023 NOI is 28% below YE 2022 and 50% below the Fitch issuance NCF. Per the June 2024 rent roll, the property was 75.6% occupied compared to 69% at YE 2023, 72% at YE 2022 and 89% at underwriting. Rollover included 0.5% of NRA in 2024, 4% in 2025 and 16.8% in 2026. The top three tenants all recently signed lease extensions. The largest tenant Talbots (7.4%) extended six years until January 2029, the second largest tenant MAX Fish Restaurant (5.9%) extended five years until November 2028 and the third largest tenant JOS. A Bank (4.4%) extended three years until January 2026. Fitch's 'Bsf' rating case loss of 36% (prior to concentration add-ons) reflects a 10% cap rate and a 7.50% stress to the YE 2023 NOI as well as an elevated probability of default. The second largest driver of loss expectations is the Gurnee Mills loan which is a FLOC due to the regional mall property type and declining cashflow and occupancy. The loan is secured by a 1,683,915-sf class B regional mall located in Gurnee, IL. The largest tenants are Bass Pro Shops Outdoor (8.1%; December 2025), Macy's (7.7%; January 2039) and Kohl's Department Stores Inc. (7.0%; February 2029). The largest tenant, Bass Pro Shops recently extended its lease through December 2025 from December 2023 (originally had an August 2018 expiration date). Per the March 2024 rent roll, the total mall occupancy was 81% when including non-collateral anchors. Rollover included 7.8% of NRA in 2024 and 12.5% in 2025. The YE 2023 NOI is 8% below YE 2022 and 11% below the Fitch issuance NCF. Fitch's 'Bsf' rating case loss of 29% (prior to concentration add-ons) reflects a 12% cap rate and 15% stress to the YE 2022 NOI as well as an elevated probability of default. The third largest driver of loss expectations is the Rio West Business Park loan which is a FLOC due to upcoming lease rollover and potential vacancies and subleasing. The largest tenants are American Airlines (69% of NRA, multiple exp. in November 2024 and August 2029) and Carvana (31% of NRA, exp. July 2028). Per the March 2024 rent roll, the property was 100% occupied as it has been since issuance. Approximately 53% of NRA is available for lease. American Airlines space (19% of NRA) expiring November 2024 is available for lease indicating American Airlines will vacate. Additionally, per CoStar, there is approximately 99,855-sf (34% of NRA) available for lease: 51,789-sf occupied by Carvana and 48,066-sf occupied by American Airlines (expiring August 2029). Fitch's 'Bsf' rating case loss of 25% (prior to concentration add-ons) reflects a 10% cap rate and 20% stress to the YE 2023 NOI as well as an elevated probability of default. The Holiday Inn Milwaukee River loan transferred to special servicing in August 2024 due to imminent default. The TTM March 2024 NOI is 40% below YE 2022 and 50% below the Fitch issuance NCF. Occupancy and revenue have not recovered to 2019 levels driven partly due to oversupply in the market. Per CoStar, in the Milwaukee hospitality market approximately 580 rooms are under construction and over the last three years eight hotels were added to the market, which is 870 units larger than it was three years ago. Fitch's 'Bsf' rating case loss of 33% (prior to concentration add-ons) reflects a 11.25% cap rate and a 15% stress to the TTM March 2024 NOI as well as an elevated probability of default. Defeasance: Respective defeasance percentages in the WFCM 2016-LC24 and WFCM 2016-LC25 transactions include 15.1% (13 loans) and 10.8% (10 loans). Increased Credit Enhancement (CE): As of the August 2024 remittance report, the aggregate balances of the WFCM 2016-LC24 and WFCM 2016-LC25 transactions have been reduced by 17.7% and 17.3%, respectively, since issuance. Loan maturities are concentrated in 2026 with 82 loans for 98.6% of the pool in WFCM 2016-LC24 and 76 loans for 100% of the pool in WFCM 2016-LC25. Cumulative interest shortfalls for the WFCM 2016-LC24 and WFCM 2016-LC25 transactions are $1.1 million and $1.1 million, respectively; in both transactions, they are affecting the non-rated class I or H. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated classes with Negative Outlooks are expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include 1140 Avenue of the Americas, Pinnacle II and One & Two Corporate Plaza in WFCM 2016-LC24 and The Shops at Somerset Square, Gurnee Mills, Rio West Business Park, 2821 & 2851 S Parker Road, Holiday Inn Milwaukee River and 950 Herndon Parkway in WFCM 2016-LC25. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, which have Negative Outlooks, could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' 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 Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2019-C51: Fitch Lowers Rating on Cl. G-RR Notes to CCC ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed 11 classes in Wells Fargo Commercial Mortgage Trust 2019-C51 (WFCM 2019-C51). Fitch has assigned Negative Outlooks to classes E-RR and F-RR following their downgrades. The Rating Outlooks were revised to Negative from Stable for affirmed classes X-B, C, D and X-D. Fitch has also downgraded three and affirmed 11 classes in Wells Fargo Commercial Mortgage Trust 2019-C52 (WFCM 2019-C52). Fitch has assigned Negative Outlooks to classes E-RR and F-RR following their downgrades. The Outlook was revised to Negative from Stable for affirmed class D-RR. Fitch has in addition affirmed 16 classes of Wells Fargo Commercial Mortgage Trust 2019-C53 (WFCM 2019-C53) and 15 classes of Wells Fargo Commercial Mortgage Trust 2019-C54 (WFCM 2019-C54). The Outlook was revised to Negative from Stable for affirmed class E-RR in WFCM 2019-C54. Fitch maintains Negative Outlooks for classes G-RR and H-RR in WFCM 2019-C53 and classes F-RR and G-RR in WFCM 2019-C54. Fitch has downgraded and assigned a Negative Outlook to the horizontal risk retention pass through certificate MOA 2020-WC52 E (2019 C52 III Trust). Fitch has also affirmed the horizontal risk retention pass through certificates MOA 2020-WC52 D (2019 C52 IV Trust) and MOA 2020-C54 E (2019 C54 III Trust) and revised their Outlooks to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2019-C53 A-1 95002BAA1 LT AAAsf Affirmed AAAsf A-2 95002BAB9 LT AAAsf Affirmed AAAsf A-3 95002BAD5 LT AAAsf Affirmed AAAsf A-4 95002BAE3 LT AAAsf Affirmed AAAsf A-S 95002BAH6 LT AAAsf Affirmed AAAsf A-SB 95002BAC7 LT AAAsf Affirmed AAAsf B 95002BAJ2 LT AA-sf Affirmed AA-sf C 95002BAK9 LT A-sf Affirmed A-sf D 95002BAL7 LT BBB-sf Affirmed BBB-sf E-RR 95002BAN3 LT BBB-sf Affirmed BBB-sf F-RR 95002BAQ6 LT BBsf Affirmed BBsf G-RR 95002BAS2 LT BB-sf Affirmed BB-sf H-RR 95002BAU7 LT B-sf Affirmed B-sf X-A 95002BAF0 LT AAAsf Affirmed AAAsf X-B 95002BAG8 LT A-sf Affirmed A-sf X-D 95002BBC6 LT BBB-sf Affirmed BBB-sf MOA 2020-WC52 D D-RR 90215QAA2 LT BBBsf Affirmed BBBsf Wells Fargo Commercial Mortgage 2019-C51 A-2 95001VAR1 LT AAAsf Affirmed AAAsf A-3 95001VAT7 LT AAAsf Affirmed AAAsf A-4 95001VAU4 LT AAAsf Affirmed AAAsf A-S 95001VAX8 LT AAAsf Affirmed AAAsf A-SB 95001VAS9 LT AAAsf Affirmed AAAsf B 95001VAY6 LT AA-sf Affirmed AA-sf C 95001VAZ3 LT A-sf Affirmed A-sf D 95001VAC4 LT BBB+sf Affirmed BBB+sf E-RR 95001VAE0 LT BBsf Downgrade BBB-sf F-RR 95001VAG5 LT B-sf Downgrade BB-sf G-RR 95001VAJ9 LT CCCsf Downgrade B-sf X-A 95001VAV2 LT AAAsf Affirmed AAAsf X-B 95001VAW0 LT A-sf Affirmed A-sf X-D 95001VAA8 LT BBB+sf Affirmed BBB+sf WFCM 2019-C52 A-2 95002MAT6 LT AAAsf Affirmed AAAsf A-3 95002MAU3 LT AAAsf Affirmed AAAsf A-4 95002MAW9 LT AAAsf Affirmed AAAsf A-5 95002MAX7 LT AAAsf Affirmed AAAsf A-S 95002MBA6 LT AAAsf Affirmed AAAsf A-SB 95002MAV1 LT AAAsf Affirmed AAAsf B 95002MBB4 LT AA-sf Affirmed AA-sf C 95002MBC2 LT A-sf Affirmed A-sf D-RR 95002MAA7 LT BBBsf Affirmed BBBsf E-RR 95002MAE9 LT BBsf Downgrade BBB-sf F-RR 95002MAG4 LT B-sf Downgrade BB-sf G-RR 95002MAJ8 LT CCCsf Downgrade B-sf X-A 95002MAY5 LT AAAsf Affirmed AAAsf X-B 95002MAZ2 LT A-sf Affirmed A-sf MOA 2020-C54 E E-RR 90215RAA0 LT BBB-sf Affirmed BBB-sf MOA 2020-WC52 E E-RR 90216LAA2 LT BBsf Downgrade BBB-sf WFCM 2019-C54 A-1 95001YAA2 LT AAAsf Affirmed AAAsf A-2 95001YAB0 LT AAAsf Affirmed AAAsf A-3 95001YAD6 LT AAAsf Affirmed AAAsf A-4 95001YAE4 LT AAAsf Affirmed AAAsf A-S 95001YAH7 LT AAAsf Affirmed AAAsf A-SB 95001YAC8 LT AAAsf Affirmed AAAsf B 95001YAJ3 LT AA-sf Affirmed AA-sf C 95001YAK0 LT A-sf Affirmed A-sf D 95001YAN4 LT BBBsf Affirmed BBBsf E-RR 95001YAQ7 LT BBB-sf Affirmed BBB-sf F-RR 95001YAS3 LT BB-sf Affirmed BB-sf G-RR 95001YAU8 LT B-sf Affirmed B-sf X-A 95001YAF1 LT AAAsf Affirmed AAAsf X-B 95001YAG9 LT A-sf Affirmed A-sf X-D 95001YAL8 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.9% in WFCM 2019-C51, 5.5% in WFCM 2019-C52, 4.6% in WFCM 2019-C53 and 5.2% in WFCM 2019-C54. Fitch Loans of Concerns (FLOCs) comprise 12 loans (41.5% of the pool) in WFCM 2019-C51; 20 loans (33.6%) in WFCM 2019-C52, including two specially serviced loans (6.1%); three loans (9.6%) in WFCM 2019-C53; and 12 loans (22.4%) in WFCM 2019-C54, including one specially serviced loan (4.6%). The downgrades in WFCM 2019-C51 are driven by increased overall pool loss expectations since Fitch's prior rating action, driven by performance concerns on the office FLOCs (27% of the pool), particularly Nova Place, Royal Caribbean - Miramar, 155 Tice Boulevard and 450-460 Park Avenue South. The Negative Outlooks reflect possible further downgrades should these office FLOCs not be able to address their upcoming rollover with new leasing/tenant renewals, including those single-tenanted properties with large blocks of dark space being marketed for sublease. The downgrades in WFCM 2019-C52 reflect higher pool loss expectations attributable mainly to two new office loan transfers to special servicing since the prior rating action, Sugar Creek Center and Lenox Park. The Negative Outlooks reflect possible further downgrades if there is a continued degradation of value and/or a prolonged workout for these specially serviced loans. The affirmations in WFCM 2019-C53 and WFCM 2019-C54 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks in WFCM 2019-C53 reflect an additional sensitivity scenario which assumes a higher probability of default on the 800 Delaware office FLOC given weak property quality and submarket fundamentals. The Negative Outlooks in WFCM 2019-C54 reflects possible downgrade given the additional new office loan transfer to special servicing since the prior rating action, 74 Kent Street & 11-20 46th Road, which has experienced an occupancy decline to 77% from 100% at issuance due to the loss of a major tenant. The Negative Outlooks across all four WFCM transactions also factor in the elevated concentration of office loans in these pools (41.9% in WFCM 2019-C51, 37.2% in WFCM 2019-C52, 26% in WFCM 2019-C53 and 34.3% in WFCM 2019-C54). FLOCs; Largest Loss Contributors: The largest contributor to overall loss expectations in WFCM 2019-C51 is the 450-460 Park Avenue South loan (6.9%), which is secured by a 183,000-sf office property located in Midtown Manhattan within walking distance of Penn Station and Grand Central Terminal. This FLOC was flagged for declining occupancy and cash flow. As of the March 2024 rent roll, occupancy was 73.4%, down from 76% at YE 2023, 78.2% at YE 2022 and 88% at YE 2021. The largest tenant is WeWork (41.8% of NRA, lease expiry in August 2034). According to the servicer, WeWork is expected to reduce its occupied space to approximately 38% of NRA with a modified lease expiry date in December 2028. Fitch's 'Bsf' rating case loss of 15% (prior to concentration add-ons) reflects a 9.50% cap rate, 10% stress to the YE 2023 NOI and an elevated probability of default. The largest increase in loss since the prior rating action in WFCM 2019-C51 is the Nova Place loan, which is secured by a 1.1 million-sf office property located in Pittsburgh, PA across the river from the CBD. Per the June 2024 rent roll, the property was 88.4% occupied. The largest tenant is PNC Bank (34.5% of NRA; lease expiry in December 2027). According to the servicer, the third largest tenant, United Healthcare Services (6.2% of NRA), is marketing at least one of its floors for sublease. Market fundamentals have also weakened for the Pittsburgh office market, with vacancy increasing to 11.2% and availability to 13.9%% according to Costar as of 3Q24. Fitch's 'Bsf' rating case loss of 8% (prior to concentration add-ons) reflects a 10% cap rate and 10% stress to the YE 2023 NOI. The second largest increase in loss since the prior rating action in WFCM 2019-C51, the Royal Caribbean - Miramar loan (4.5%), was flagged as a FLOC given NOI declines since issuance. The loan is secured by a 128,540-sf suburban office located in Miramar, FL. The property was 100% occupied by Royal Caribbean, serving as their information technology headquarters and housing the company's only data center and its weather monitoring command center. Fitch notes that Royal Caribbean Group is developing a new campus in Miami which will serve as the new company headquarters with construction expected to continue through 2026. Royal Caribbean's lease at the subject property expires in 2028 which is prior to loan maturity. Fitch's 'Bsf' rating case loss of 9% (prior to concentration add-ons) reflects a 10% cap rate and a 10% stress to the YE 2023 NOI. The third largest increase in loss since the prior rating action in WFCM 2019-C51, the 155 Tice Boulevard loan (3%), was flagged as a FLOC due to 100% of the NRA being marketed for sublease and weak submarket fundamentals. The loan is secured by a 118,000-sf suburban office located in Woodcliff Lake, NJ. The property is 100% leased to Eisai Inc and is the location of the company's oncology, clinical research, medical services, and global regulatory divisions. Eisai's lease expires in June 2028, one year prior to loan maturity. Per media reports, in 2022, Eisai opened a new headquarters in Nutley, NJ approximately 20 miles away. Per CoStar as of 3Q24, comparable properties in the Upper Parkway office submarket had a 26.5% vacancy rate and 39.2% availability rate while the total submarket had a 15.6% vacancy rate and 21.6% availability rate. Fitch's 'Bsf' rating case loss of 5% (prior to concentration add-ons) reflects a 10.25% cap rate and a 40% stress to the YE 2023 NOI. The largest increase in loss since the prior rating action in WFCM 2019-C52 is the specially serviced Sugar Creek Center loan (3.3%), which transferred to special servicing in January 2024 for payment default. The loan is secured by a 193,996-sf office property in Sugar Land, Texas. Per the servicer, the loan is still due for the April 2024 payment and a receiver is in place to lease up and stabilize the asset. Per the March 2024 rent roll, the property was 64.4% occupied, down from 70% at YE 2022 and 87% at issuance. Upcoming rollover included 15.7% of the NRA in 2024 and 13.6% in 2025. Per CoStar as of 3Q24, comparable properties in the E Fort Bend Co/Sugar Land office submarket had a 9.4% vacancy rate, 12.1% availability rate and $26.82 psf market asking rent while the total submarket had a 12.7% vacancy rate, 15.9% availability rate and $28.92 psf market asking rent. Per the March 2024 rent roll, the property had an average in place rent of $22.01 psf. Fitch's 'Bsf' rating case loss of 38% (prior to concentration add-ons) reflects a haircut to the most recent reported appraised value, equating to a stressed value of $89 psf. The next largest increase in loss since the prior rating action in WFCM 2019-C52 is the Lenox Park loan (2.7%), which transferred to special servicing in January 2024 due to imminent default. A discounted payoff was not accepted by the servicer and a foreclosure process is under review. As of the July 2024 reporting, the loan was 30 days delinquent. Per the September 2023 rent roll, the property was 34.1% occupied, down from 56% at YE 2022 and 84% at YE 2021. The decline in occupancy was due to several tenant departures, including a used car company American Car Center RAC King (20.8% of NRA) which filed for bankruptcy in March 2023 and closed all of its locations, and W.M. Barr and Company (3.9% of NRA) which vacated at its December 2023 lease expiration. Per CoStar as of 3Q24, comparable properties in the 385 Corridor office submarket had a 19.9% vacancy rate and 20.9% availability rate while the total submarket had an 8.9% vacancy rate and 10% availability rate. Fitch's 'Bsf' rating case loss of 40% (prior to concentration add-ons) reflects a 15% stress to the YE 2022 NOI and a 10.75% cap rate. Increased Credit Enhancement (CE): As of the July 2024 remittance report, the aggregate pool balances of the WFCM 2019-C51, WFCM 2019-C52, WFCM 2019-C53 and WFCM 2019-C54 transactions have been reduced by 11.2%, 10.7%, 2.8% and 1.9%, respectively, since issuance. Loan maturities are concentrated in 2029 with 49 loans for 100% of the pool in WFCM 2019-C51, 62 loans for 96% of the pool in WFCM 2019-C52, 56 loans for 92% of the pool in WFCM 2019-C53 and 43 loans for 96% of the pool in WFCM 2019-C54. Respective defeasance percentages in the WFCM 2019-C52, WFCM 2019-C53 and WFCM 2019-C54 transactions include 7.8% (five loans), 3% (four loans) and 5.6% (two loans). There were no defeased loans in WFCM 2019-C51. Cumulative interest shortfalls for the WFCM 2019-C51, WFCM 2019-C52, WFCM 2019-C53 and WFCM 2019-C54 transactions are $162,300, $205,000, $9,000 and $127,300, respectively; in all four transactions, they are affecting the non-rated class H-RR or L-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' rated classes with Negative Outlooks are expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. These FLOCs include 450-460 Park Avenue South, Nova Place, Royal Caribbean - Miramar and 155 Tice Boulevard in WFCM 2019-C51; Sugar Creek Center, Lenox Park, 3300 Renner and 188 Spear Street in WFCM 2019-C52; MHI-Creekside Portfolio, 600 & 620 National Avenue and 800 Delaware in WFCM 2019-C53; and 74 Kent Street & 11-20 46th Road in WFCM 2019-C54. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' 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 Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WINDHILL CLO 2: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Windhill CLO 2 Ltd./Windhill CLO 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 PGIM Inc. Deerpath Capital Management L.P., an affiliate of PGIM Inc., will serve as a sub-advisor. The preliminary ratings are based on information as of Sept. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Windhill CLO 2 Ltd./Windhill CLO 2 LLC Class A, $206.96 million: AAA (sf) Class AL loans, $25.04 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB (sf) Class E (deferrable), $36.00 million: BB (sf) Subordinated notes, $32.81 million: Not rated [*] Moody's Cuts Ratings on 3 Bonds From 2 RMBS Transactions ------------------------------------------------------------ Moody's Ratings, on Sept. 13, 2024, downgraded the ratings of three bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ABFC Asset-Backed Certificates, Series 2004-HE1 Cl. M-1, Downgraded to B1 (sf); previously on Jun 9, 2020 Downgraded to Ba2 (sf) Cl. M-3, Downgraded to B1 (sf); previously on Jun 9, 2020 Downgraded to Ba3 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6 Cl. M-1, Downgraded to B1 (sf); previously on Jun 9, 2020 Downgraded 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 downgrades are due to outstanding interest shortfalls on these bonds that are not expected to be recouped. These bonds have weak interest recoupment mechanisms where missed interest payments will likely result in a permanent interest 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. This includes potential impact of collateral performance volatility on ratings. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Rating Actions on 4 Bonds From 3 FHA-VA Deals --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds and downgraded the ratings of two bonds from three US residential mortgage-backed transactions (RMBS), backed by FHA-VA 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: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1 Cl. A-F-1, Upgraded to Baa3 (sf); previously on Jul 24, 2009 Downgraded to B3 (sf) Cl. A-F-2, Upgraded to Baa3 (sf); previously on Jul 24, 2009 Downgraded to B3 (sf) Issuer: GSMPS Mortgage Loan Trust 2005-LT1 Cl. B-2, Downgraded to Caa1 (sf); previously on Nov 6, 2017 Upgraded to B1 (sf) Issuer: Reperforming Loan REMIC Trust 2003-R2 Cl. M, Downgraded to C (sf); previously on Feb 19, 2016 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. Each of the upgraded bonds has seen strong growth in credit enhancement since Moody's last review, which is the key driver for these upgrades. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, and the potential impact of any collateral volatility on the model output. The rating upgrades 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. The rating downgrade of Class B-2 from GSMPS Mortgage Loan Trust 2005-LT1 is due to outstanding interest shortfalls on the bond that are not expected to be recouped. 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. Principal Methodology The principal methodology used in these ratings was "US FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 53 Classes From Nine US RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 53 ratings from nine U.S. RMBS transactions issued between 2003 and 2005. The review yielded 12 upgrades, three downgrades, 11 withdrawals, and 27 affirmations. A list of Affected Ratings can be viewed at: http://bit.ly/4d3l7Kk Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Available subordination and/or overcollateralization; -- Expected duration; -- A small loan count; -- Reduced interest payments due to loan modifications; and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We lowered our ratings on two classes from Bear Stearns Asset Backed Securities Trust 2005-SD4 that reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "In addition, we withdrew our ratings on 11 classes from five transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* 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. 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