/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/241006.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, October 6, 2024, Vol. 28, No. 279 Headlines AMERICAN CREDIT 2024-4: S&P Assigns Prelim 'BB-' Rating on E Notes ANGEL OAK 2024-9: Fitch Assigns 'Bsf' Final Rating on Cl. B-2 Certs ARES XLIX: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes ATLX 2024-RPL1: DBRS Finalizes B(high) Rating on Class B-2 Notes BANC OF AMERICA: Moody's Lowers Rating on 3 Tranches to 'Ca' BBCMS MORTGAGE 2021-C10: Fitch Affirms B- Rating on 2 Tranches BBSG 2016-MRP: S&P Lowers Class X Notes Rating to 'BB- (sf)' BDS 2024-FL13: Fitch Assigns 'B-sf' Final Rating on Class G Notes BIRCH GROVE 5: Fitch Assigns 'BB+sf' Rating on Class E-R Notes BIRCH GROVE 5: Moody's Assigns B3 Rating to $270,000 Cl. F-R Notes BMO 2022-C2: Fitch Affirms B- Rating on 2 Tranches BMO MORTGAGE 2024-5C6: Fitch Gives Final B- Rating on G-RR Certs BSPRT 2024-FL11: Fitch Assigns 'B-sf' Rating on Class H Notes CARVAL CLO VIII-C: S&P Assigns Prelim 'BB-' Rating on E-2-R Notes CF 2019-CF1: S&P Lowers Class 65X2 Bonds Rating to 'D (sf)' CHASE HOME 2024-8: Fitch Assigns 'Bsf' Rating on Class B-5 Certs CITIGROUP 2016-C3: Fitch Corrects July 10 Ratings Release COMM 2012-CCRE4: S&P Lowers Class A-3 Certs Rating to 'BB (sf)' DEMUS CLO 8: Moody's Lowers Rating on $12.25MM Class F Notes to C DEUTSCHE ALT-A 2007-OA5: Moody's Cuts Rating on 2 Tranches to Ba1 DIAMETER CAPITAL 8: S&P Assigns BB- (sf) Rating on Class D Debt DRYDEN 72 CLO: S&P Affirms BB- (sf) Rating on Class E-R Notes EATON VANCE 2020-2: S&P Affirms BB- (sf) Rating on Cl. E-R2 Notes ELMWOOD CLO 32: S&P Assigns Prelim BB- (sf) Rating on Class E Debt ELMWOOD CLO XII: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes FANNIE MAE 2024-R06: S&P Assigns BB- (sf) Rating on 1B-1X Notes FLATIRON CLO 25: Fitch Assigns 'B-sf' Rating on Class F Notes GENERATE CLO 11: S&P Assigns BB- (sf) Rating on Class E-R Debt GOLDENTREE LOAN 10: Fitch Assigns 'B-sf' Rating on Class F-R Notes GOLUB CAPITAL 62(B)-R: Fitch Assigns BB Rating on Class E-R Notes GREEN TREE 1996-05: Moody's Upgrades Rating on M-1 Certs to B1 GSF 2023-1: Fitch Assigns 'BB-sf' Final Rating on Class E Notes HARMONY-PEACE PARK: S&P Assigns BB- (sf) Rating on Class E Notes HAWAIIAN HOLDINGS 2013-1: S&P Raises Class A Certs Rating to 'BB+' HOMES 2024-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes JP MORGAN 2024-9: Moody's Assigns B1 Rating to Cl. B-5 Certs JP MORGAN 2024-OMNI: Moody's Assigns Ba3 Rating to 2 Tranches KKR CLO 51: Moody's Assigns B3 Rating to $200,000 Class F Notes KRR CLO 51: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes KRR CLO 51: Fitch Assigns 'BB+sf' Rating on Class E Notes LBA TRUST 2024-7IND: Moody's Assigns Ba2 Rating to Cl. E Certs LENDMARK FUNDING 2024-2:S&P Assigns Prelim 'BB-' Rating on E Notes MILL CITY 2024-RS1: Fitch Assigns 'BBsf' Rating on Class A-2 Bonds MORGAN STANLEY 2024-4: Fitch Assigns 'B-sf' Rating on Cl. B-5 Debt MOUNTAIN VIEW CLO XVIII: S&P Assigns BB- (sf) Rating on E Notes MOUNTAIN VIEW XVIII: S&P Assigns Prelim BB- (sf) Rating on E Debt NXPT COMMERCIAL 2024-STOR: Moody's Assigns (P)B2 Rating to F Certs OAKTREE CLO 2019-2: S&P Assigns BB- (sf) Rating on Class D-R Notes OCTANE RECEIVABLES 2023-3: S&P Affirms BB- (sf) Rating on E Notes OHA CREDIT FUNDING 9: S&P Assigns BB- (sf) Rating on Class E Notes ONITY LOAN 2024-HB2: DBRS Finalizes B Rating on Class M5 Notes ORCHARD PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes OZLM LTD XXII: Moody's Cuts Rating on $9.6MM Class E Notes to Caa3 PALMER SQUARE 2023-4: S&P Assigns Prelim 'BB-' Rating on E-R Notes PFP LTD 2022-9: Fitch Affirms B-sf Rating on Class G Debt PIKES PEAK 1: Moody's Affirms Ba3 Rating on $20.5MM Class E Notes PIKES PEAK 5: Fitch Assigns 'B-(EXP)sf' Rating on Class F-R Notes RADNOR RE 2024-1: Moody's Assigns B3 Rating to Cl. M-1C Certs RCKT 2024-CES7: Fitch Assigns 'B+sf' Rating on Five Tranches RR 31: Fitch Assigns 'BB+sf' Rating on Cl. D Notes, Outlook Stable SANDSTONE PEAK: S&P Affirms 'BB- (sf)' Rating on Class E Notes SARANAC CLO VII: Moody's Cuts Rating on $19MM Cl. E-R Notes to Ca SCF EQUIPMENT 2022-1: Moody's Ups Rating on Class E Notes to Ba1 SIGNAL PEAK 7: S&P Assigns B- (sf) Rating on Class F-R Notes SILVER ROCK IV: S&P Assigns BB- (sf) Rating on Class E Debt SIXTH STREET XXI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SOUND POINT 40: Fitch Assigns 'BB+sf' Rating on Class E Notes SYMPHONY CLO 36: S&P Assigns BB- (sf) Rating on Class E-R Notes SYMPHONY CLO XXII: S&P Affirms BB- (sf) Rating on Class E Notes TEXAS DEBT 2023-II: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes THOR 2024-A: Fitch Assigns 'BBsf' Final Rating on Class C Notes TOORAK MORTGAGE 2024-RRTL2: DBRS Finalizes B Rating on B-1 Notes VENTURE CLO 32: Moody's Cuts Rating on $10.5MM Cl. F Notes to Caa1 WAMU MORTGAGE 2003-AR10: Moody's Lowers Rating on 2 Tranches to B1 WESTLAKE AUTOMOBILE 2024-3: S&P Assigns Prelim BB (sf) on E Notes WINDHILL CLO 2: S&P Assigns BB (sf) Rating on Class E Notes ZAIS CLO 17: S&P Assigns BB- (sf) Rating on Class E-R Notes ZAIS CLO 17: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes [*] Moody's Downgrades 5 Ratings From 4 Scratch & Dent Deals [*] Moody's Hikes 45 Bonds From 3 Flagstar Mortgage Deals [*] S&P Takes Various Actions on Nine RMBS Non-QM Transactions ********* AMERICAN CREDIT 2024-4: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2024-4's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 30, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 64.87%, 58.31%, 48.25%, 38.77%, and 34.07% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of its expected cumulative net loss (ECNL) of 27.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x 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 our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC (ACA) as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. (Computershare). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2024-4 Class A, $228.00 million: AAA (sf) Class B, $51.00 million: AA (sf) Class C, $99.00 million: A (sf) Class D, $90.00 million: BBB (sf) Class E, $39.00 million: BB- (sf) ANGEL OAK 2024-9: Fitch Assigns 'Bsf' Final Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2024-9 (AOMT 2024-9). Entity/Debt Rating Prior ----------- ------ ----- AOMT 2024-9 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rated the RMBS 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 and B-1 certificates are based on the lower of a fixed rate and the net WAC rate for the related distribution date. 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%. Fitch's 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. Fitch's 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. ARES XLIX: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares XLIX CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares XLIX CLO Ltd. A-1R LT AAA(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating X-R LT AAA(EXP)sf Expected Rating Transaction Summary Ares XLIX CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC that originally closed in August 2018 and is being reset on Oct. 22, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.85, versus a maximum covenant, in accordance with the initial expected matrix point of 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 97.34% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.35% versus a minimum covenant, in accordance with the initial expected matrix point of 74.25%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares XLIX 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 2024-RPL1: DBRS Finalizes B(high) Rating on Class B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) issued by ATLX 2024-RPL1 Trust (ATLX 2024-RPL1 or the Trust) as follows: -- $364.5 million Class A-1 at AAA (sf) -- $30.9 million Class A-2 at AA (high) (sf) -- $27.1 million Class M-1 at A (high) (sf) -- $25.5 million Class M-2 at BBB (high) (sf) -- $52.6 million Class M at BBB (high) (sf) -- $16.9 million Class B-1 at BB (high) (sf) -- $14.2 million Class B-2 at B (high) (sf) The Class M Note is exchangeable. This class can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) credit rating on the Notes reflects 32.10% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 26.35%, 21.30%, 16.55%, 13.40%, and 10.75% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance the Notes. The Notes are backed by 3,598 loans with a total principal balance of $536,821,418 as of the Cut-Off Date (July 31, 2024). The mortgage loans are approximately 217 months seasoned. As of the Cut-Off Date, 82.6% of the loans are current (including 0.5% bankruptcy-performing loans), 13.6% of the loans are 30 days delinquent (including 0.2% bankruptcy loans), and 3.15% of the loans are 60+ days delinquent (including 0.13% bankruptcy loans) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 49.8% and 61.6% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively. The portfolio contains 90.6% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 97.6% of these loans. Within the pool, 2,003 mortgages have an aggregate non-interest-bearing deferred amount of $52,677,168, which comprises 9.8% of the total principal balance. ATLX 2024-RPL1 represents the first rated securitization of seasoned performing and reperforming residential mortgage loans issued by the Sponsor, Resi IA SPE, LLC The Sponsor will contribute the loans to the Trust through Atlas Securitization Depositor LLC (the Depositor). As the Sponsor, Resi IA SPE or one of its majority-owned affiliates will acquire and retain a 5% eligible interest of the amounts collected on the mortgage loans to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The loans will be serviced by Select Portfolio Servicing, Inc. , NewRez LLC d/b/a Shellpoint Mortgage Servicing, Selene Finance LP , and Nationstar Mortgage LLC d/b/a Rushmore Loan Management Services LLC. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicers or any other party to the transaction; however, the Servicers are obligated to make advances in respect of homeowners association fees in super-lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Controlling Holder will have the option to direct the Servicers to sell any mortgage loan that becomes 90+ days delinquent in a sale conducted by arm's length terms in a commercially reasonable manner to any person, other than the Servicers or an affiliate. On any Payment Date on or after the date two years after the closing, the Controlling Holder will have the option to purchase all remaining loans and other assets of the Issuer at the Early Repayment Price. The Controlling Holder will be the beneficial owner of more than 50% of the Class XS Notes. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired. Notes: All figures are in U.S. dollars unless otherwise noted. BANC OF AMERICA: Moody's Lowers Rating on 3 Tranches to 'Ca' ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of three bonds and downgraded the ratings of six bonds from five US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Banc of America Funding 2006-7 Trust, Mortgage Pass-Through Certificates, Series 2006-7 Cl. T2-A-3, Downgraded to Ca (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T2-A-4, Downgraded to Ca (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Cl. T2-A-6, Downgraded to Ca (sf); previously on Nov 5, 2010 Downgraded to Caa3 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-NC1 Cl. A-2D, Upgraded to Aa1 (sf); previously on Mar 14, 2023 Upgraded to A3 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-D Cl. A-I-2, Upgraded to Aaa (sf); previously on Jun 7, 2018 Upgraded to Aa1 (sf) Cl. A-II-4, Upgraded to Aaa (sf); previously on Jun 7, 2018 Upgraded to Aa1 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 7, 2018 Upgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 1999-3 BF-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 2000-1 Cl. MF-2, Downgraded to Caa1 (sf); previously on Jan 26, 2017 Downgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to outstanding interest shortfalls, and/or the current and expected future impairment levels on the bonds. The upgraded bonds have experienced an average growth of 6.6% in credit enhancement from 12 months ago. 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 downgrades of Class M-1 issued by IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-D, Class BF-1 issued by Saxon Asset Securities Trust 1999-3, and Class MF-2 issued by Saxon Asset Securities Trust 2000-1 are due to outstanding interest shortfalls on the bonds that are not expected to be recouped. These bonds have weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. Classes T2-A-3, T2-A-4 and T2-A-6 issued by Banc of America Funding 2006-7 Trust, Mortgage Pass-Through Certificates, Series 2006-7 are currently impaired, and the rating downgrades reflect principal losses to date as well as Moody's expected future losses. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. BBCMS MORTGAGE 2021-C10: Fitch Affirms B- Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of BBCMS Mortgage Trust 2021-C10, commercial mortgage pass-through certificates (BBCMS 2021-C10). The Rating Outlooks for classes F, G, H-RR, X-F, X-G and X-H were revised to Negative from Stable. The Rating Outlooks on the remaining 12 classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2021-C10 A-1 05551VBE2 LT AAAsf Affirmed AAAsf A-2 05551VBF9 LT AAAsf Affirmed AAAsf A-5 05551VBJ1 LT AAAsf Affirmed AAAsf A-S 05551VBM4 LT AAAsf Affirmed AAAsf A-SB 05551VBG7 LT AAAsf Affirmed AAAsf B 05551VBN2 LT AA-sf Affirmed AA-sf C 05551VBP7 LT A-sf Affirmed A-sf D 05551VAC7 LT BBBsf Affirmed BBBsf E 05551VAE3 LT BBB-sf Affirmed BBB-sf F 05551VAG8 LT BB+sf Affirmed BB+sf G 05551VAJ2 LT BB-sf Affirmed BB-sf H-RR 05551VAL7 LT B-sf Affirmed B-sf X-A 05551VBK8 LT AAAsf Affirmed AAAsf X-B 05551VBL6 LT A-sf Affirmed A-sf X-D 05551VAA1 LT BBB-sf Affirmed BBB-sf X-F 05551VAQ6 LT BB+sf Affirmed BB+sf X-G 05551VAS2 LT BB-sf Affirmed BB-sf X-H 05551VAU7 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss is 4.8% and the transaction has 3 Fitch Loans of Concern (FLOCs; 5.8% of the pool), including one loan (1.1%) in special servicing. The Negative Outlooks reflect the high office concentration of 30% (including five of the top 10 loans) and the potential for downgrades should performance of the FLOCs fail to stabilize and/or with a prolonged workout of the loan in special servicing. Fitch Loans of Concern: The largest FLOC and largest contributor to expected loss is Montecito Tower (4.1%), which is secured by a six-story office property in the Timberlake neighborhood of Las Vegas, NV, approximately 12 miles northwest of the Las Vegas Strip. At issuance, the largest tenant at the property was Asurion (68.8% of NRA, 75.0% base rent); however, the tenant downsized to 61,497 sf (34.6% of NRA) and was required to pay a $2.5 million termination fee. The sponsor was successful in backfilling the majority of the vacated space with a new tenant (Take-Two Interactive Software, Inc; 34.1% of NRA) with a similar rent through December 2033. Per the May 2024 rent roll, occupancy has declined to 80.9% from approximately 93% at issuance. The occupancy decline appears to be the result of tenant Alverson Taylor & Sanders (21.3% of NRA) vacating prior to its September 2025 lease expiration. Fitch's 'Bsf' case loss of 13.1% (prior to a concentration adjustment) is based on a 10.25% cap rate and 10% stress to the YE 2023 net operating income (NOI). The second largest FLOC is the specially serviced Wyndham National Hotel Portfolio (1.6%) loan, which is secured by a 44-property portfolio comprised of limited service hotels: 21 Travelodges, 12 Baymont Inn & Suites, one Super 8, and one Days Inn located in 23 states. The loan transferred to special servicing in April 2024 due to various defaults, including but not limited to failure to comply with cash management. The borrower, Vukota Capital Management Ltd., filed Chapter 11 bankruptcy in June 2024 and the case is ongoing. Portfolio occupancy was 58% as of March 2024 and the servicer-reported NOI DSCR was 1.87x for the same period. The loan reported a total of $11.4 million ($3,069 per Key) as of the August 2024 loan level reserve report. Fitch's 'Bsf' rating case loss of 26.5% (prior to a concentration adjustment) is based on a 13.5% cap rate and Fitch issuance net cash flow, and factors in an increased probability of default due to the recent transfer to special servicing. Increase in Credit Enhancement: As of the August 2024 remittance reporting, the pool's aggregate principal balance has been reduced by 4.2% to $811.4 million from $846.8 million at issuance. Thirty-one loans (52%) are full term, interest-only. Twenty-one loans (33%) have a partial, interest-only component, of which 11 loans (17%) have begun amortizing. There are no defeased loans. Cumulative interest shortfalls are affecting the non-rated J-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories may occur should performance of the FLOCs and/or office properties deteriorate further, most notably Montecito Tower and the specially serviced Wyndham National Hotel Portfolio; - Downgrades to classes rated in the 'BBsf', and 'Bsf' categories, which have Negative Outlooks, could occur with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loan or other FLOCs. 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 with 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. 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. BBSG 2016-MRP: S&P Lowers Class X Notes Rating to 'BB- (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from BBSG 2016-MRP Mortgage Trust, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by a portion of a fixed-rate interest-only (IO) whole mortgage loan secured by the borrower's fee and leasehold interests in a portion (540,867 sq. ft.) of The Mall at Rockingham Park, a 1.03-million-sq.-ft. regional mall in Salem, N.H. Rating Actions The downgrades on the class A, B, C, D, and E certificates primarily reflect: -- That the property has reported a year-over-year decline in net cash flow (NCF) since 2020. The servicer reported that NCF fell 20.6% to $17.4 million as of the trailing-12-months ended March 31, 2024, from the pre-COVID-19 pandemic level of $22.0 million in 2019. In addition, the property is currently 53.8% occupied, after adjusting the March 2024 rent roll for known tenant movements, which is relatively unchanged from our last published review in June 2022. -- S&P's expected-case value, while unchanged from its last published review, is 40.7% lower than the value that it derived at issuance and 62.0% below the issuance appraised value. -- S&P's concerns with the borrower's ability to refinance the whole loan by its June 2026 maturity date, given the declining collateral property's performance. -- The downgrades on classes D to 'CCC (sf)' from 'B- (sf)' and E to 'CCC- (sf)' from 'CCC (sf)' also reflect its view that these classes are at or remain at heightened risk of default and losses and are susceptible to liquidity interruptions, based on its analysis, current market conditions, and their positions in the payment waterfall. Although the model-indicated ratings were lower than the revised ratings on classes A, B, and C, S&P tempered its downgrades on these classes because it weighed certain qualitative considerations. These include: -- The potential that the collateral property's operating performance could stabilize at its current levels or even improve by the loan's June 2026 maturity date; specifically, when the under construction, noncollateral tenant, Dick's House of Sport, opens its store at the north anchor space previously occupied by Sear's later this year. S&P said, "Further, we considered, that if approved, the proposed Live! Casino in the anchor space that was previously occupied by Lord & Taylor could bring more foot traffic into the mall, as well as attract new potential tenants. As a result, our current analysis considered a scenario that assumes the property's performance stabilizes at the reported year-end 2023 NCF of $17.4 million, which is 12.6% higher than our assumed $15.5 million NCF." -- The temporary liquidity support provided in the form of servicer advancing. -- The relative positions of these classes in the payment waterfall. -- S&P lowered its rating on the class X IO certificates based on its criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X references classes A and B. S&P said, "We will continue to monitor the property's tenancy and performance, as well as the borrower's ability to refinance the whole loan by its June 2026 maturity date. If we receive information that differs materially from our expectations, such as reported negative changes in the property performance beyond what we already considered, or the loan transfers to special servicing and the workout strategy negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take further rating actions as we deem appropriate." Property-Level Analysis The Mall at Rockingham Park is an enclosed, two-level, 1.0 million-sq.-ft. regional mall in Salem, N.H., approximately two miles north of the Massachusetts border and about 35 miles northwest of downtown Boston. Of the mall's total square footage, 540,867 sq. ft. serves as collateral for the whole loan. The mall was built in 1991 and last renovated in 2015. Non-collateral anchors at the property include Macy's (162,990 sq. ft.), JCPenney (121,106 sq. ft.) and a vacant anchor space formerly occupied by Sears (121,727 sq. ft.). The mall also includes a collateral anchor space (158,594 sq. ft.) that was formerly occupied by Lord & Taylor. S&P said, "In our June 13, 2022, review, we noted that the reported collateral property's performance had declined in 2021 with occupancy dropping to below 55.0% after the collateral anchor, Lord & Taylor, filed for bankruptcy in August 2020 and closed its stores shortly after, and various inline tenants vacated. As a result, at that time, we revised and lowered our sustainable NCF to $15.5 million by utilizing the in-place 54.2% occupancy rate, $58.51-per-sq.-ft. S&P Global Ratings' gross rent, and 35.6% operating expense ratio. Using an 8.25% S&P Global Ratings capitalization rate, we arrived at an expected-case valuation of $187.8 million, or $347 per sq. ft." Since then, the collateral property remained below 55.0% occupied and the reported NCF continued to decline: -4.6% to $18.5 million in 2022 and -6.0% to $17.4 million in 2023. However, S&P noted that the sponsor had signed notable in-line tenants such as Anthropologie (1.4% of net rentable area [NRA]) and Free People Movement (0.4%), as well as six additional, smaller tenants with leases starting in 2024 or 2025. Further, while not part of the collateral, Dick's House of Sport has taken over the former Sear's space and is scheduled to open its store in November 2024. The master servicer also indicated that the sponsor is in discussions with four potential tenants to backfill vacant spaces at the property. Moreover, according to various news articles, the sponsor, Simon Property Group, is working on getting approval from the local municipal government on its proposal to redevelop the former Lord & Taylor space into a Live! Casino, with 60,000 sq. ft. of gaming and restaurants on the first floor, 60,000 sq. ft. of event space, a sports lounge, golf simulators, amenities, and additional restaurants on the second floor, and 25,000 sq. ft. of casino office space on the third floor. If the casino is approved, the sponsor anticipates the casino opening sometime in 2025. According to the March 31, 2024, rent roll and after adjusting for known tenant movements, the collateral property was 53.8% leased, which is relatively flat from our last published review. The five largest tenants currently at the collateral property comprise 8.4% of the NRA: -- Forever 21 (2.1% of NRA; pays percentage rent; January 2026 lease expiration); -- Express (1.7%; 3.7% of in-place gross rent, as calculated by S&P Global Ratings; January 2024 [the tenant is still on the mall's directory]); -- Gap (1.7%; 2.2%; January 2026); -- Anthropologie (1.4%; 2.0%; assumed August 2031); and -- American Eagle Outfitters (1.4%; 2.4%; January 2027). The property faces elevated tenant rollover by in-place gross rent, as calculated by S&P Global Ratings, in 2024 (15.4% of collateral NRA; 31.0% of S&P Global Ratings' in-place gross rent), 2025 (7.3%; 13.7%), and 2026 (8.3%; 10.1%). S&P said, "Since the property's reported performance has not materially changed from our last published review, we maintained the S&P Global Ratings' NCF of $15.5 million from our last published review. Utilizing an S&P Global Ratings' capitalization rate of 8.25% (also unchanged from last published review), we arrived at our S&P Global Ratings' expected-case value of $187.8 million, the same as in our last published review, 40.7% below our issuance value of $316.7 million and a 62.0% decline from the issuance appraised value of $494.0 million. Considering that the recently reported NCF, albeit declining, is above our expectations coupled with new tenants that are or may backfill vacant spaces at the property, we ran a scenario assuming the property's performance stabilizes at the reported NCF for year-end 2023, to which we gave greater emphasis in our current analysis. Table 1 Servicer-reported collateral performance YEAR-TO-DATE MARCH 31, 2024(I) 2023(I) 2022(I) 2021(I) Occupancy rate (%) 68.8 82.0 53.4 68.8 Net cash flow (mil. $) 4.4 17.4 18.5 19.4 Debt service coverage (x) 1.63 1.62 1.73 1.81 Appraisal value (mil. $) 494.0 494.0 494.0 494.0 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (OCTOBER 2024)(I) (JUNE 2022)(I) (JUNE 2016)(I) Occupancy rate (%) 53.8 54.2 94.0 Net cash flow (mil. $) 15.5 15.5 23.0 Capitalization rate (%) 8.25 8.25 6.75 Deduct From value ($) 0.00 0.00 (23.9)(ii) Value (mil. $) 187.8 187.8 316.7 Value per sq. ft. ($) 347 347 586 Loan-to-value ratio (%) 139.5 139.5 82.7 (iii) (i)Review period. (ii)Deduct for occupancy cost adjustment and outstanding tenant improvement. (iii)On the whole loan balance. Transaction Summary The IO whole mortgage loan had an initial and current balance of $162.0 million, pays an annual fixed interest rate of 4.04%, and matures on June 1, 2026. The whole loan is split into four senior A notes and two subordinate B notes. The $162.0 million trust balance (as of the Sept. 6, 2024, trustee remittance report and unchanged from last published review) comprises two senior pari passu A notes (A-1-A and A-2-A notes) totaling $42.5 million and two subordinate B notes (B-1 and B-2 notes) totaling $119.5 million. The $60.0 million note A-1-B is in Wells Fargo Commercial Mortgage Trust 2016-C35 and the $40.0 million note A-2-B is in SG Commercial Mortgage Securities Trust 2016-C5, which are both U.S. CMBS transactions. The $142.5 million senior A notes are pari passu to each other and are senior to the $119.5 million subordinate B notes. The loan has a reported current payment status through its September 2024 payment period. It is currently on the master servicer's watchlist due to a low reported occupancy. The master servicer reported a debt service coverage of 1.62x for year-end 2023. To date, the trust has not incurred any principal losses. Ratings Lowered BBSG 2016-MRP Mortgage Trust Class A to 'BBB (sf)' from 'A- (sf)' Class B to 'BB- (sf)' from 'BBB- (sf)' Class C to 'B- (sf)' from 'BB- (sf)' Class D to 'CCC (sf)' from 'B- (sf)' Class E to 'CCC- (sf)' from 'CCC (sf)' Class X to 'BB- (sf)' from 'BBB- (sf)' BDS 2024-FL13: Fitch Assigns 'B-sf' Final Rating on Class G Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the BDS 2024-FL13 LLC notes as follows: Entity/Debt Rating Prior ----------- ------ ----- BDS 2024-FL13 A LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf C-E LT A-sf New Rating C-X LT A-sf New Rating D LT BBBsf New Rating BBB(EXP)sf D-E LT BBBsf New Rating D-X LT BBBsf New Rating E LT BBB-sf New Rating BBB-(EXP)sf E-E LT BBB-sf New Rating E-X LT BBB-sf New Rating F LT BB-sf New Rating BB-(EXP)sf G LT B-sf New Rating B-(EXP)sf Income Notes LT NRsf New Rating NR(EXP)sf - $376,694,000a class A 'AAAsf'; Outlook Stable; - $60,654,000a class A-S 'AAAsf'; Outlook Stable; - $44,693,000a class B 'AA-sf'; Outlook Stable; - $35,914,000ab class C 'A-sf'; Outlook Stable; - $0ac class C-E 'A-sf'; Outlook Stable; - $0ad class C-X 'A-sf'; Outlook Stable; - $21,548,000ab class D 'BBBsf'; Outlook Stable; - $0ac class D-E 'BBBsf'; Outlook Stable; - $0ad class D-X 'BBBsf'; Outlook Stable; - $10,375,000ab class E 'BBB-sf'; Outlook Stable; - $0ac class E-E 'BBB-sf'; Outlook Stable; - $0ad class E-X 'BBB-sf'; Outlook Stable; - $21,548,000e class F 'BB-sf'; Outlook Stable; - $14,365,000e class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $52,674,350ef Income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes: The class C, class D and class E notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions; provided that at the time of the exchange, such notes are owned by a wholly owned subsidiary of Bridge REIT. The principal balance of each of the exchangeable notes, received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT Interest-Only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 8.250% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $638,465,350 and does not include future funding. Transaction Summary The primary assets of the trust are 26 loans secured by 31 commercial properties, with an aggregate principal balance of $638,465,350 as of the cut-off date. The pool does not include $43.8 million of future funding. The loans were contributed to the trust by BDS IV Loan Seller LLC. Wells Fargo Bank, National Association is the servicer and special servicer. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, N.A. The notes will follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 59.5% of the pool by balance, as well as cash flow analysis and asset summary reviews on 85.8% of the pool. Since Fitch published its expected ratings on Sept. 5, 2024, Fitch has also assigned the following ratings and Outlooks to the MASCOT notes: class C-E 'A-sf'; Outlook Stable, class C-X 'A-sf'; Outlook Stable, class D-E 'BBBsf'; Outlook Stable, class D-X 'BBBsf'; Outlook Stable, class E-E 'BBB-sf'; Outlook Stable, and class E-X 'BBB-sf'; Outlook Stable. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed net cash flow (NCF) analysis on 19 loans totaling 85.8% of the pool by balance. Fitch's resulting NCF of $25.4 million represents a 6.6% decline from the issuer's underwritten NCF of $27.2 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 ratio (LTV) of 145.4% is better than the 2024 YTD CRE‐CLO average and 2023 CRE CLO average of 146.1% and 171.2%, respectively. The pool's Fitch NCF debt yield (DY) of 6.1% is in line with the 2024 YTD CRE‐CLO of 6.1%, and better than the 2023 CRE‐CLO average of 5.6%. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch CRE‐CLO transactions. The top 10 loans in the pool make up 52.2% of the pool, lower than the 2024 YTD CRE‐CLO average and the 2023 CRE‐CLO average of 74.4% and 62.5% respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.9. Fitch views diversity as a key mitigator 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 0.0%, as 100.0% of the pool is interest‐only loans. The pool's percentage paydown of 0.0% is worse than the 2024 YTD CRE‐CLO average and the 2023 CRE‐CLO average of 0.6% and 1.7% respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf' /'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf' /'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. SUMMARY OF FINANCIAL ADJUSTMENTS In accordance with Fitch's U.S. and Canadian Multiborrower CMBS criteria, Fitch modeled different stress scenarios using the Global Cash Flow model as a tool. These stresses include different interest rate, default and default timing scenarios. All Fitch‐rated classes passed each stress scenario with the exception of class A‐S in two of the scenarios. The maximum shortfall was 0.90% (90 bps). This was considered a de minimis amount and fully mitigated by servicer advancing and structural features such as the note protection tests. The cash flow modeling results showed that the default rates in the stressed scenarios were at acceptable levels in all stressed scenarios. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 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. BIRCH GROVE 5: Fitch Assigns 'BB+sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 5 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 5 Ltd. A-1-R LT NRsf New Rating A-2 090976AC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 090976AE1 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 090976AG6 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 090976AJ0 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 090985AA0 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Birch Grove CLO 5 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP and was originally closed on March 2023. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.16% first-lien senior secured loans and has a weighted average recovery assumption of 74.83%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BIRCH GROVE 5: Moody's Assigns B3 Rating to $270,000 Cl. F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Birch Grove CLO 5 Ltd. (the Issuer): US$255,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$270,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. Birch Grove Capital LP (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $425,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3219 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 45.5% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. BMO 2022-C2: Fitch Affirms B- Rating on 2 Tranches -------------------------------------------------- Fitch Ratings has affirmed 16 classes of BMO 2022-C1 Mortgage Trust, commercial mortgage pass through certificates, series 2022-C1. The Rating Outlook for classes F and X-F were revised to Negative from Stable. Fitch has also affirmed 16 classes of BMO 2022-C2, commercial mortgage pass-through certificates, series 2022-C2. The Rating Outlook for classes E and X-D were revised to Negative from Stable. The Rating Outlook on classes F, G-RR, X-F and X-G remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BMO 2022-C1 A-1 05609MBY0 LT AAAsf Affirmed AAAsf A-2 05609MBZ7 LT AAAsf Affirmed AAAsf A-3 05609MCA1 LT AAAsf Affirmed AAAsf A-4 05609MCB9 LT AAAsf Affirmed AAAsf A-5 05609MCC7 LT AAAsf Affirmed AAAsf A-AB 05609MCD5 LT AAAsf Affirmed AAAsf A-S 05609MCF0 LT AAAsf Affirmed AAAsf B 05609MCG8 LT AA-sf Affirmed AA-sf C 05609MCH6 LT A-sf Affirmed A-sf D 05609MBJ3 LT BBBsf Affirmed BBBsf E 05609MBL8 LT BBB-sf Affirmed BBB-sf F 05609MBN4 LT BB+sf Affirmed BB+sf X-A 05609MCE3 LT AAAsf Affirmed AAAsf X-B 05609MAW5 LT A-sf Affirmed A-sf X-D 05609MAY1 LT BBB-sf Affirmed BBB-sf X-F 05609MBA2 LT BB+sf Affirmed BB+sf BMO 2022-C2 A-1 05602NAA8 LT PIFsf Paid In Full AAAsf A-2 05602NAB6 LT AAAsf Affirmed AAAsf A-3 05602NAC4 LT AAAsf Affirmed AAAsf A-4 05602NAD2 LT AAAsf Affirmed AAAsf A-5 05602NAE0 LT AAAsf Affirmed AAAsf A-S 05602NAH3 LT AAAsf Affirmed AAAsf A-SB 05602NAF7 LT AAAsf Affirmed AAAsf B 05602NAJ9 LT AA-sf Affirmed AA-sf C 05602NAK6 LT A-sf Affirmed A-sf D 05602NAU4 LT BBBsf Affirmed BBBsf E 05602NAW0 LT BBB-sf Affirmed BBB-sf F 05602NAY6 LT B+sf Affirmed B+sf G-RR 05602NBA7 LT B-sf Affirmed B-sf X-A 05602NAG5 LT AAAsf Affirmed AAAsf X-D 05602NAL4 LT BBB-sf Affirmed BBB-sf X-F 05602NAN0 LT B+sf Affirmed B+sf X-G 05602NAQ3 LT B-sf Affirmed B-sf KEY RATING DRIVERS Overall Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.4% for BMO 2022-C1 and 4.5% in BMO 2022-C2, which are both in line with Fitch's prior rating action. The BMO 2022-C1 transaction includes five loans (5.0% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including two specially serviced loans: Wyndham National Hotel Portfolio (1.6%) and 640 Virginia Park Street (0.1%). The BMO 2022-C2 transaction has three FLOCs (5.3%), including two loans, NTG Industrial Portfolio (1.3%) and Wyndham National Hotel Portfolio (1.2%), in special servicing. Affirmations across both transactions reflect generally stable performance since Fitch's prior rating action. The Negative Outlook on the classes F and X-F in BMO 2022-C1 reflect deterioration in performance of the IPCC National Storage Portfolio XVI (5.4%), Wyndham National Hotel Portfolio (1.6%) and NYC MFRT Portfolio (2.7%) loans. The Negative Outlook on classes E, F, G-RR, X-D, X-F, and X-G in the BMO 2022-C2 transaction reflect performance concerns, lack of stabilization and/or a potential prolonged workout of the FLOCs, particularly the PentaCentre Office (2.8%), NTG Industrial Portfolio (1.3%) and Wyndham National Hotel Portfolio (1.2%) loans. Largest Contributors to Loss: The largest contributor to overall loss expectations in BMO 2022-C1 is the Wyndham National Hotel Portfolio (1.6%) loan, which is secured by a 44-property portfolio totaling 3,729-keys comprised of limited service hotels located across 23 states: 27 Travelodges, 14 Baymont Inn & Suites, two Super 8s, and one Days Inn. The loan transferred to special servicing in April 2024 due to various defaults, including but not limited to failure to comply with cash management. The borrower, Vukota Capital Management Ltd., filed Chapter 11 bankruptcy in June 2024 and the case is ongoing. Portfolio occupancy was 58% as of March 2024 and the servicer-reported net operating income (NOI) DSCR was 1.87x for the same period compared to 55% and 1.73x, respectively, at YE 2022. The loan reported a total of $11.4 million ($3,069 per Key) as of the August 2024 loan level reserve report. Fitch's 'Bsf' rating case loss of 26.7% (prior to a concentration adjustment) is based on a 13.5% cap rate and Fitch issuance net cash flow (NCF), and factors in an increased probability of default due to the recent transfer to special servicing and borrower bankruptcy. The second largest contributor to expected losses in BMO 2022-C1 is the IPCC National Storage Portfolio XVI (5.4%) loan, which is secured by a 17 property self-storage portfolio located across eight states. The three largest state concentrations include Florida (six properties), Arizona (three properties) and Washington (one property). Portfolio occupancy was 77% as of YE 2023, down from 90% at YE 2022. The servicer-reported NOI DSCR declined to 1.92x at YE 2023 from 2.25x at YE 2022. Fitch's 'Bsf' case loss of 5.5% (prior to a concentration adjustment) is based on a 9.50% cap rate and 7.5% stress to the YE 2023 NOI. The third largest contributor to expected losses in BMO 2022-C1 is the NYC MFRT Portfolio (2.7%) loan, which is secured by a two-property portfolio totaling 137,44-sf and located in Manhattan, NY. The portfolio is comprised of a 14-story mixed use building which includes 84 multifamily units, ground floor retail space and a three-story retail building. The portfolio's major commercial/retail tenants include Macy's Backstage (22.8% of portfolio NRA; leased through November 2025) and Skywise Lounge (4.3%; October 2032). Overall portfolio occupancy was 58% as of March 2024, down from 61% at YE 2023, and 97% at YE 2022. The servicer-reported NOI DSCR was 0.96x as of March 2024, 0.92x at YE 2023, and 1.39x at YE 2022. According to the servicer, the decline in overall portfolio occupancy was due to a decline in occupancy of the multifamily component of the mixed-use property, which led to a 49.3% decline in rental revenue for the mixed-use property. Fitch requested additional information pertaining to the decline in occupancy but did not receive a response. Fitch's 'Bsf' case loss of 9.5% (prior to a concentration adjustment) is based on a 9.0% cap rate and 7.5% stress to the YE 2022 NOI. The largest contributor to overall loss expectations in the BMO 2022-C2 transaction is the PentaCentre Office (2.8%) loan, which is secured by a 734,156-sf suburban office property located in Troy, MI. The property's major tenants include Midland Credit Management, Inc. (8.5% of NRA, leased through April 2032), One10, LLC (7.0%, August 2029) and J.D. Power (4.2%, January 2027). Property occupancy was 54.4% as of the June 2024 rent roll, 54.9% at YE 2023, and 57.6% at YE 2022. Occupancy has declined due to major tenant Midland Credit Management (previously 12.7% of NRA) downsizing its space to 8.5% of NRA; the tenant's lease is through April 2032. The servicer-reported NOI DSCR was 1.25x as of June 2024, 0.92x at YE 2023 and 1.87x at YE 2022. The loan reported a total of $4.7 million ($6.4 psf) in total reserves as of the August 2024 loan level reserve report. According to CoStar, the property lies within the Troy South office submarket of the Detroit, MI market area. As of 2Q24, average rental rates were $21.3 psf and $21.9 psf for the submarket and market, respectively. Vacancy for the submarket and market was 18.2% and 11.7%, respectively. Fitch's 'Bsf' case loss of 18.2% (prior to a concentration adjustment) is based on a 10.5% cap rate and 10.0% stress to the YE 2023 NOI. The second largest contributor to expected losses in BMO 2022-C2 is the KB Portfolio (7.8%) loan, which is secured by a 284,488-sf 10 property portfolio located across eight states consisting of eight medical office buildings, one CBD office building, and one single-tenant retail (Walgreens) building. The servicer-reported NOI DSCR was 1.64x at YE 2023 compared with 1.85x at YE 2022. Fitch's 'Bsf' case loss of 6.2% (prior to a concentration adjustment) is based on a 9.0% cap rate and 10.0% stress to the YE 2023 NOI. Minimal Increase in CE: As of the September 2024 distribution date, the aggregate balances of the BMO 2022-C1 and BMO 2022-C2 transactions have been reduced by 0.6% and 1.0%, respectively, since issuance. No loans have been defeased in the BMO 2022-C1 and BMO 2022-C2 transactions. Interest Shortfalls: To date, the BMO 2022-C1 and BMO 2022-C2 transactions have not incurred any realized principal losses. Interest shortfalls totaling $47,726 are impacting the non-rated class J and risk retention class VRR in the BMO 2022-C1 transaction, and interest shortfalls totaling $85,787 are impacting the non-rated risk retention classes JRR and VRR in the BMO 2022-C2 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur; - Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity; - Downgrades to classes with Negative Outlooks in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs; - Downgrades to these classes are likely if the Wyndham National Hotel Portfolio (BMO 2022-C1 and BMO 2022-C2) loan remains in special servicing and continues to erode in value or have significant increases in exposure. 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), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs; - Upgrades to the 'BBBsf' and 'BBsf' 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 the likelihood of interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes; - Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BMO MORTGAGE 2024-5C6: Fitch Gives Final B- Rating on G-RR Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2024-5C6 Mortgage Trust Commercial Mortgage Pass-Through Certificates series 2024-5C6 as follows: - $1,070,000 class A-1 'AAAsf'; Outlook Stable - $26,000,000 class A-2 'AAAsf'; Outlook Stable; - $445,573,000 class A-3 'AAAsf'; Outlook Stable; - $472,643,000a class X-A 'AAAsf'; Outlook Stable; - $63,300,000 class A-S 'AAAsf'; Outlook Stable; - $36,292,000 class B 'AA-sf'; Outlook Stable; - $29,541,000 class C 'A-sf'; Outlook Stable; - $129,133,000a class X-B 'A-sf'; Outlook Stable; - $11,579,000b class D 'BBBsf'; Outlook Stable; - $11,579,000ab class X-D 'BBBsf'; Outlook Stable; - $12,053,000bc class E-RR 'BBB-sf'; Outlook Stable; - $13,504,000bc class F-RR 'BB-sf'; Outlook Stable; - $9,284,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $27,008,631bc class J-RR. Notes: (a) Notional amount and interest only (IO). (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. The ratings are based on information provided by the issuer as of Sept. 26, 2024. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 fixed-rate, commercial mortgage loans with an aggregate principal balance of $675,204,631 as of the cut-off date. The mortgage loans are secured by the borrowers' fee interest in 46 commercial properties. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., German American Capital Corporation, Starwood Mortgage Capital LLC, LMF Commercial, LLC, Argentic Real Estate Finance 2 LLC, Societe Generale Financial Corporation, UBS AG and Goldman Sachs Mortgage Company. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is LNR Partners, LLC. Computershare Trust Company, National Association is the trustee and certificate administrator. The certificates will follow a sequential paydown structure. Since Fitch published its expected ratings on Sept. 5, 2024, the following changes have occurred: the balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the $0-$225,000,000 range, and the initial aggregate certificate balance of the A-3 class was expected to be in the $246,573,000- $471,573,000 range. The final class balances for classes A-2 and A-3 are $26,000,000 and $445,573,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 28 loans totaling 94.5% of the pool by balance. Fitch's resulting net cash flow (NCF) of $64.1 million represents a 12.8% decline from the issuer's underwritten NCF of $73.6 million. Higher Fitch Leverage: The transaction has higher Fitch leverage compared to recent multiborrower transactions. The pool's Fitch weighted average (WA) trust loan-to-value ratio (LTV) is 99.6%, higher than the YTD 2024 and 2023 multiborrower averages of 90.1% and 88.3% respectively. Additionally, the pool's Fitch debt yield (DY) of 9.5% is lower than the YTD 2024 and 2023 averages of 11.1% and 10.9% respectively. Office Concentration: In general, the pool's property type diversity is comparable to recent Fitch transactions; the pool's effective property type count of 3.8 is lower than the YTD 2024 and 2023 averages of 4.2 and 4.0, respectively. However, the second largest property type concentration is office (31.3% of the pool), which is higher than the YTD 2024 and 2023 office averages of 20.0% and 27.6% respectively. In particular, the office concentration includes three of the largest 10 loans (19.4% of the pool). Shorter-Duration Loans: Loans with five-year terms comprise 98.5% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB+sf' / 'BBsf' / 'B-sf' / ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBBsf' / 'BBsf' /'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on 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. BSPRT 2024-FL11: Fitch Assigns 'B-sf' Rating on Class H Notes ------------------------------------------------------------- Fitch Ratings has assigned 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 rate the following class: - $72,995,003b class J. a) Privately Placed and pursuant to Rule 144A. b) Horizontal risk retention interest, which represents 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 Situs Asset Management LLC and the special servicer is BSP Special Servicer, LLC. The trustee and note administrator is U.S. Bank Trust Company, National Association. The notes 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. CARVAL CLO VIII-C: S&P Assigns Prelim 'BB-' Rating on E-2-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, E-1-R, and E-2-R replacement debt from CarVal CLO VIII-C Ltd./CarVal CLO VIII-C LLC, a CLO originally issued in October 2022 that is managed by CarVal CLO Management LLC. The preliminary ratings are based on information as of Sept. 26, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 22, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, E-1-R, and E-2-R debt is expected to be issued at a lower spread over the three-month CME term SOFR than the original debt. -- The replacement class D-2-R debt is expected to be issued at a higher coupon than the original debt. -- The stated maturity and non-call period will be extended two years. The reinvestment period will be extended three 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 CarVal CLO VIII-C Ltd./CarVal CLO VIII-C LLC Class A-1-R, $240.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $7.00 million: BBB- (sf) Class E-1-R (deferrable), $6.00 million: BB- (sf) Class E-2-R (deferrable), $7.00 million: BB- (sf) Other Debt CarVal CLO VIII-C Ltd./CarVal CLO VIII-C LLC Subordinated notes, $41.60 million: Not rated CF 2019-CF1: S&P Lowers Class 65X2 Bonds Rating to 'D (sf)' ----------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through 2019-C1 from CF 2019-CF1 Mortgage Trust, a U.S. CMBS conduit transaction. The 65 Broadway raked bonds from CF 2019-CF1 Mortgage Trust, a U.S. CMBS transaction, are backed by a $96.0 million subordinate nonpooled trust component of a $151.5 million fixed-rate, interest-only (IO) mortgage whole loan, secured by the borrowers' fee simple interest in 65 Broadway, a 355,217-sq.-ft. office building in the Financial District of Manhattan in New York. It was built in 1914, renovated most recently between 2015 and 2018, and includes an 11,000-sq.-ft. ground floor fast-casual dining concept known as 65 Market Place. Rating Actions The downgrades on classes 65A, 65B, 65C, and 65D reflect: -- The revised lower appraisal value of $104.3 million dated March 21, 2024, which is 51.5% lower than the issuance appraisal value of $212.5 million. -- The decline in occupancy at the property, coupled with the still weak office submarket fundamentals. Given these factors, S&P's updated its property-level analysis, resulting in a lower expected case value. S&P said, "Our view that the continued increase in loan exposure, due primarily to servicer advances for loan debt service, real estate taxes, insurance, and other expenses, may further reduce liquidity and recovery of the $151.5 million whole loan. According to the transaction's payment waterfall, servicer advances are repaid to the servicer before any distributions to the bondholders. To date, the master servicer has advanced $2.4 million in debt service, operating costs, and other expenses. Additionally, we believe that the specially serviced loan will continue to incur additional servicer advances due to a lack of progress in the resolution discussions. We project an additional six months of servicer advancing, resulting in an additional $1.5 million of exposure build up. To arrive at our net recoverable value, we deducted the outstanding and projected servicer advances totaling approximately $3.9 million from our expected-case value. This yielded a revised net recoverable value of $69.1 million or $195 per sq. ft., which is 26.0% lower than the value we derived in our July 2022 review of $93.4 million, and a 33.7% decline from the March 2024 appraisal value of $104.3 million. "The downgrade on class 65B to 'CCC (sf)' reflects our view that the class is susceptible to reduced liquidity support and that the risk of default and loss has increased based on our current analysis, the current market conditions, and its position in the payment waterfall. We downgraded classes 65C and 65D to 'D (sf)' as they have experienced three months of accumulated interest shortfalls due to appraisal subordinate entitlement reductions and specially serviced fees that we expect will continue and remain outstanding for the foreseeable future. "The downgrades on the class 65X1 and 65X2 IO certificates reflect our criteria for rating IO securities, which states that the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class 65X1 certificate references classes 65A and 65B, while the notional amount of the class 65X2 certificate references classes 65C and 65D." The loan transferred to the special servicer on Feb. 1, 2024, due to imminent monetary default. The loan matured April 6, 2024, and the borrower was unable to pay it off at maturity. According to the Sept. 17, 2024, trustee remittance report, the outstanding advances and accruals, totaling $2.4 million, included the following: -- Interest advances totaling $1.9 million, -- Other expense advances totaling $289,333, -- Real estate tax and insurance advances totaling $118,398, and -- Cumulative accrued unpaid advance interest totaling $46,717. According to the special servicer, KeyBank Real Estate Capital (KeyBank), the borrower has executed a pre-negotiation agreement and has provided a proposal for a workout and extension under which new equity would be contributed but a portion of the existing B note would be subordinated. The details of the potential workout have not been made available. KeyBank is continuing to negotiate this proposal and compare it to alternate resolution options. S&P said, "We will continue to monitor the tenancy and performance of the property as well as the resolution of the loan. If we receive information that differs materially from our expectations, including an updated appraisal value that is below our net recoverable value, an increase in appraisal reduction amount, and/or a nonrecoverable determination, we may revisit our analysis and take additional rating actions as we determine appropriate." Updates To Property-Level Analysis S&P said, "In our last published review, in July 2022, we assumed a decrease in the property's occupancy rate to 75.0% after excluding known tenant movements, an S&P Global Ratings' $50.60 per sq. ft. gross rent, and a 52.9% operating expense ratio to arrive at our long-term sustainable net cash flow (NCF) of $6.3 million. Using an S&P Global Ratings' 6.75% capitalization rate, we derived an S&P Global Ratings' expected-case value of $93.4 million or $263 per sq. ft. "We were not provided a recent rent roll; however, based on servicer reporting, the property's occupancy declined to approximately 67.0% as of September 2023, as compared to the 78.5% occupancy rate per the June 2022 rent roll provided to us during our last review. In our current analysis, after considering potential tenant movements and the office submarket fundamentals, we revised and lowered our long-term sustainable NCF to $5.8 million, assuming a 67.2% occupancy rate, a $56.10 per sq. ft. S&P Global Ratings' gross rent, and a 52.0% operating expense ratio. Using an S&P Global Ratings' capitalization rate of 8.0% (updated from 6.75% at last review to align with our view of the asset's quality and the current office market fundamentals) and deducting $3.9 million for outstanding and projected advances and accruals, we arrived at an S&P Global Ratings' net recovery value of $69.1 million or $195 per sq. ft., which is 26.0% below our July 2022 review's expected-case value and a 33.7% decline from the March 2024 appraised value of $104.3 million. This yielded an S&P Global Ratings' loan-to-value ratio of 219.2% on the whole loan balance." According to CoStar, the World Trade Center office submarket, like other New York City office submarkets, has experienced high vacancies and low demand mainly driven by companies adopting hybrid or remote work arrangements and/or a flight to quality to newer and modern office buildings. The three-star office properties in the submarket had a reported 23.2% vacancy rate, 18.9% availability rate, and $49.25 per sq. ft. asking rent as of September 2024, compared with a 11.6% vacancy rate and $64.42 per sq. ft. asking rent in July 2022. Table 1 shows the property's historical performance, and table 2 shows S&P's underlying NCF and value assumptions. Table 1 Servicer-reported collateral performance SEPTEMBER 2023(I)(II) 2022(I) 2021(I) Occupancy rate (%) 67.1 75.0 79.4 Net cash flow (mil. $) 7.24 7.75 7.27 Debt service coverage (x) 0.96 1.02 0.96 Appraisal value (mil. $) 104.3(iii) 215.0 215.0 (i)Reporting period. (ii)Trailing 12 months ending Sept. 30, 2023. (iii)March 21, 2024, appraisal value. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (SEP 2024)(I) (JULY 2022)(I) (APRIL 2019)(I) Occupancy rate (%) 67.2 75.0 90.0 Net cash flow (mil. $) 5.8 6.3 7.1 Capitalization rate (%) 8.00 6.75 6.25 Value (mil. $) 69.1 93.4 113.8 Value per sq. ft. ($) 194.5 262.8 320.7 Loan-to-value ratio (%) 219.2(ii) 162.3(ii) 33.0(ii) (i)Review period. (ii)Reflects whole loan LTV. Transaction Summary The whole loan is split into two senior pari passu A notes and one subordinate companion loan B note, combined comprising the entire $151.1 million balance: -- Note A-1 has a balance of $40.0 million and is included in the CF 2019-CF1 Mortgage Trust pool. -- Note A-2 has a balance of $15.5 million and is included in the Morgan Stanley Capital I Trust 2019-H6 pool. Note B has a balance of $96.0 million, is a subordinate companion loan administered as part of the CF 2019-CF1 Mortgage Trust, and serves as the sole collateral for the 65 Broadway raked bonds. S&P said, "Following our revised valuation on the 65 Broadway property, we have determined that the rated pooled certificates from CF 2019-CF1 Mortgage Trust as well as from Morgan Stanley Capital I Trust 2019-H6 are not negatively impacted by our reevaluation of the property." To date, the 65 Broadway raked bonds have not incurred any principal losses. Ratings Lowered CF 2019-CF1 Mortgage Trust Class 65A to 'B- (sf)' from 'BBB- (sf)' Class 65B to 'CCC (sf)' from 'BB- (sf)' Class 65C to 'D (sf)' from 'B- (sf)' Class 65D to 'D (sf)' from 'CCC (sf)' Class 65X1 to 'CCC (sf)' from 'BB- (sf)' Class 65X2 to 'D (sf)' from 'CCC (sf)' CHASE HOME 2024-8: Fitch Assigns 'Bsf' Rating on Class B-5 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-8 (Chase 2024-8). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-8 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rated 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%), cash-out 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 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 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. CITIGROUP 2016-C3: Fitch Corrects July 10 Ratings Release --------------------------------------------------------- Fitch Ratings issued a correction on a release published on July 10, 2024. It corrects the transaction name to CGCMT 2016-C3 rather than CGCMT 2016-C2 in the headline. The amended ratings release is as follows: Fitch Ratings has downgraded three and affirmed 11 classes of Citigroup Commercial Mortgage Trust 2016-C3. The Rating Outlooks were revised to Negative from Stable for four of the affirmed classes. Fitch has also assigned a Negative Outlook to three classes, following their downgrades. Fitch has affirmed 12 classes of GS Mortgage Securities Trust 2017-GS6. The Rating Outlooks were revised to Negative from Stable for nine of the affirmed classes. Entity/Debt Rating ----------- ------ CGCMT 2016-C3 A-3 17325GAC0 LT AAAsf Affirmed A-4 17325GAD8 LT AAAsf Affirmed A-AB 17325GAE6 LT AAAsf Affirmed A-S 17325GAF3 LT AAAsf Affirmed B 17325GAG1 LT AA-sf Affirmed C 17325GAH9 LT BBBsf Downgrade D 17325GAL0 LT B+sf Downgrade E 17325GAN6 LT CCCsf Affirmed F 17325GAQ9 LT CCsf Affirmed X-A 17325GAJ5 LT AAAsf Affirmed X-B 17325GAK2 LT AA-sf Affirmed X-D 17325GAU0 LT B+sf Downgrade X-E 17325GAW6 LT CCCsf Affirmed X-F 17325GAY2 LT CCsf Affirmed GSMS 2017-GS6 A-2 36253PAB8 LT AAAsf Affirmed A-3 36253PAC6 LT AAAsf Affirmed A-AB 36253PAD4 LT AAAsf Affirmed A-S 36253PAG7 LT AAAsf Affirmed B 36253PAH5 LT AA-sf Affirmed C 36253PAJ1 LT A-sf Affirmed D 36253PAK8 LT BBB-sf Affirmed E 36253PAP7 LT B+sf Affirmed F 36253PAR3 LT B-sf Affirmed X-A 36253PAE2 LT AAAsf Affirmed X-B 36253PAF9 LT A-sf Affirmed X-D 36253PAM4 LT BBB-sf Affirmed KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.7% in CGCMT 2016-C3 and 4.1% in GSMS 2017-GS6. The CGCMT 2016-C3 transaction has seven Fitch Loans of Concern (FLOCs; 33.5% of the pool), including one loan (0.8%) in special servicing. The GSMS 2017-GS6 transaction has six FLOCs (20.6%), including two loans (9.7%) in special servicing. CGCMT 2016-C3: The downgrades in CGCMT 2016-C3 reflect higher pool loss expectations since the prior rating action driven primarily by further performance deterioration on the College Boulevard Portfolio office FLOC (4.4%) and the specially serviced Regis Houze Apartments loan (0.8%). The Negative Outlooks reflect the elevated office and regional mall concentration in the pool of 30.5% and 17.1%, respectively, and incorporates an additional sensitivity scenario on the Hill7Office and 80 Park Plaza office FLOCs that considers a heightened probability of default. Downgrades to classes with Negative Outlooks are likely with further performance declines or without positive leasing stabilization on the Hill7Office, 80 Park Plaza and Briarwood Mall loans. GSMS 2017-GS6: The affirmations in GSMS 2017-GS6 reflect generally stable pool performance and loss expectations since the prior rating action. The Negative Outlooks reflect the high office concentration in the pool of 49.6% and incorporates an additional sensitivity scenario on the One West 34th Street (4.4%) and Lafayette Centre (8.7%) office FLOCs that considers a heightened probability of default due to anticipated refinance concerns. Largest Loss Contributors: The largest increase in loss since the prior rating action in CGCMT 2016-C3 and second largest contributor to overall pool loss expectations is the College Boulevard Portfolio loan, which is secured by a portfolio of five office buildings in Overland, KS totaling 768,461 sf. The five office buildings are 7101 College Boulevard, Commerce Plaza I, Commerce Plaza II, Financial Plaza II and Financial Plaza III. The largest tenants include BOKF National Association (5% of portfolio NRA; lease expiry in December 2032) and Partners, Inc. (3.6%; January 2027). This FLOC was flagged for occupancy declines, upcoming rollover risk and refinance concerns. Fitch requested an updated rent roll and leasing summary, but it was not provided. The portfolio was 70% occupied with average in-place rents of approximately $17 psf as of the latest available July 2023 rent roll. The occupancy has declined from 76% at September 2022 due to multiple small tenants vacating at lease expiration, including Arrowhead General (3% NRA) in October 2022. Near-term rollover includes 21.5% of the NRA by YE 2024, including the third, fourth and sixth largest tenants, Brungardt Honomichl & Company (3.1% NRA; November 2024), RGN-Overland Park II, LLC (2.3%; March 2024) and Mize Houser & Company P.A. (2.1%; November 2024). Fitch's 'Bsf' rating case loss of 13.9% (prior to concentration add-ons) reflects a 10% cap rate, 20% stress to the YE 2023 NOI and a higher probability of default to account for the declining performance and anticipated refinance concerns. The second largest increase in loss since the prior rating action in CGCMT 2016-C3 is the Regis Houze Apartments loan, which is secured by a 59-unit multifamily property in Detroit, MI. The loan transferred to special servicing in November 2023 due to payment default; the loan was reported as 30 days delinquent as of June 2024. The servicer-reported YE 2023 NOI DSCR was -0.04x compared with 1.41x at YE 2022. Updated performance was requested, but not provided. Fitch's 'Bsf' rating case loss of 29.5% (prior to concentration add-ons) reflects an 8.75% cap rate, 30% stress to the YE 2022 NOI and a 100% probability of default to account for the loan's transfer to special servicing and delinquency status. The largest contributor to overall loss expectations in CGCMT 2016-C3 continues to be the Briarwood Mall loan, which is secured by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and elevated refinance risk. NOI has continued to decline, with YE 2023 NOI falling approximately 24% below YE 2020 and 36% below YE 2019. Servicer-reported NOI DSCR for this interest-only (IO) loan was 1.94x at YE 2023, compared with 2.04x at YE 2022, 2.06x at YE 2021, 2.54x at YE 2020, 3.03x at YE 2019 and 3.51x at issuance. The NOI declines are primarily due to tenant departures, with collateral occupancy declining to 74% as of YE 2023, from 76% at YE 2020, 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur after Sears closed in the fourth quarter of 2018. Tenancy is granular with major tenants including Forever 21 (4.3% NRA; lease expiry in January 2026) and Victoria's Secret (3.8%; January 2026). Fitch's 'Bsf' rating case loss of 42.2% (prior to concentration add-ons) reflects a 15% cap rate, 7.5% stress to the YE 2023 NOI and a higher probability of default to account for the likelihood of the loan transferring to special servicing and/or maturity default. The third largest contributor to overall loss expectations in CGCMT 2016-C3 is the 80 Park Plaza loan, which is secured by 960,689-sf office building located in Newark, NJ. The property was developed as a build-to-suit in 1979 to serve as the headquarters for the sole tenant Public Service Enterprise Group (PSEG) (85.8% of NRA, expiring September 2030). At issuance Fitch noted that PSEG had downsized by 14.3% of the NRA; a portion of that space (1.9% of NRA) was leased to Scholastic, Inc. through June 30, 2031 while the remainder is vacant. This FLOC was flagged due to anticipated refinance concerns as a significant portion of PSEG's space is listed as available for sublease. The property was 88% leased as of YE 2023, relatively unchanged since issuance. According to CoStar, approximately 40% of PSEG's space on the 12th through 25th floors is marketed for sublease as of July 2024. The servicer-reported NOI DSCR for this loan was 1.62x at YE 2023, compared with 1.52x at YE 2022, 1.60x at YE 2021, 1.49x at YE 2020, 1.81x at YE 2019 and 1.56x at issuance. Fitch's 'Bsf' rating case loss of 5.1% (prior to concentration add-ons) reflects a 10.25% cap rate and a 10% stress to the YE 2023 NOI. Additionally, Fitch also ran an additional sensitivity analysis to account for elevated refinance risk, where loan-level 'Bsf' sensitivity case loss increases to 28.3% (prior to concentration add-ons). Another large FLOC in CGCMT 2016-C3 is The Hill7 Office loan (5.1% of the pool), which is secured by 285,680-sf office property in Seattle, WA. This FLOC was flagged due to upcoming rollover concerns and weak submarket fundamentals. The loan had already been a FLOC due to exposure to WeWork, which leases 20% of the NRA and declared bankruptcy in 2023. Moderna Labs subleases the entire WeWork space, having taken occupancy in 2023. The largest tenant, Redfin Corporation, leases 39% of the NRA through July 2027, but subleases its space on the 7th floor (10% of NRA) to ABC Legal. The second largest tenant, HBO Code Labs (40% of NRA), has an upcoming lease expiration in May 2025. Per CoStar, the subject is located in the Seattle CBD office submarket, which reported a vacancy of 24.3% and an availability rate of 29.6%. Fitch's 'Bsf' rating case loss of 2.1% (prior to concentration add-ons) includes a 9% cap rate and a 30% stress to the YE 2022 NOI to reflect the upcoming rollover of HBO Code Labs. Given the concerns surrounding a large lease expiration prior to the loan's maturity in November 2026, Fitch's analysis included a sensitivity stress that increases the probability of default, resulting in the loan-level 'Bsf' sensitivity case loss increasing to 9.0% (prior to concentration add-ons). The largest contributor to overall loss expectations in GSMS 2017-GS6 is the One West 34th Street loan, which is secured by a 215,205-sf office property located in Manhattan, NY. The property is located across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. The property's major tenants include CVS (ground floor retail; 7.2% of NRA; January 2034), International Inspiration (4.2%; November 2026) and Amazon (3.5%; October 2026). The loan is considered a FLOC due to low DSCR stemming from occupancy and cashflow deterioration. Property occupancy declined to 78.3% as of the January 2024 rent roll from 86.9% at September 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy recently declined between September 2023 and January 2024 due to four tenants (combined 5.3% of NRA) vacating upon lease expiry. The servicer-reported NOI DSCR was 1.05x as of the trailing-nine-months ended September 2023, compared with 0.87x at YE 2022 and 0.82x at YE 2021. According to CoStar, the property lies within the Penn Plaza/Garment office submarket of Manhattan. The property underperforms the submarket, which had a vacancy of 17.6% as of 2Q24. Fitch's 'Bsf' case loss of 19.7% (prior to a concentration adjustment) reflects a 9.25% cap rate and 10% stress to the annualized trailing-nine-months ended September 2023 NOI. Fitch also applied an additional sensitivity analysis to account for heightened probability of default, which increases the loan-level 'Bsf' sensitivity case loss to 34.8% (prior to concentration add-ons). The second largest contributor to overall loss expectations in GSMS 2017-GS6 is the Lafayette Centre loan, which is secured by a 793,533-sf office property in Washington DC (three office buildings connected by an outdoor plaza and a below-grade mall level). The loan is considered a FLOC due to occupancy declines, high submarket vacancy and upcoming rollover. The largest tenant is the U.S. Commodity Futures Trading Commission (CFTC), which occupies approximately 37% of the NRA. The CFTC has been a tenant at the property since 1995 and expanded its space in 1996. The lease is guaranteed by the U.S. Government and expires in September 2025. The loan transferred to special servicing in June 2024 for imminent monetary default as the servicer has noted that CFTCF will be vacating and not renewing its lease at the property. The second largest tenant MedStar leases 14.2% NRA through 2031 with a termination option in 2026. The termination option has a $9.4 million penalty, if exercised. According to the March 2024 rent roll, the property was 76% occupied with a servicer-reported NOI DSCR of 1.99x as of YE 2023. Fitch's 'Bsf' rating case loss of 6.5% (prior to concentration add-ons) reflects a 9.50% cap rate and 15% stress to the YE 2023 NOI to account for occupancy declines, higher submarket vacancy rate and imminent loss of the largest tenant. Fitch also ran an additional sensitivity analysis to account for heightened maturity and refinance risk. Loan-level sensitivity losses increase to 28.2% (prior to concentration add-ons). Change in Credit Enhancement (CE): As of the June 2024 distribution date, the pool's aggregate balance for GSMS 2017-GS6 has been reduced by 4.4% to $917.2 million from $959.1 million at issuance. Fourteen loans (15.7% of pool) have been defeased. Twelve loans (55.6%) are full-term interest-only (IO) and the remaining 44.4% of the pool is amortizing. As of the June 2024 distribution date, the pool's aggregate balance for CGCMT 2016-C3 has been reduced by 22.4% to $586.5 million from $756.5 million at issuance. Eleven loans (16.5%) have been defeased. Ten loans (47.9%) are full-term IO and the remaining 52.1% of the pool is amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably Briarwood Mall, College Boulevard, 80 Park Plaza Hill7 Office and Regis Houze Apartments in CGCMT 2016-C3 and One West 34th Street and Lafayette Centre in GSMS 2017-GS6, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf' and 'Bsf' category rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office and retail FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Briarwood Mall, College Boulevard, 80 Park Plaza, Hill7 Office, and Regis Houze Apartments in CGCMT 2016-C3 and One West 34th Street and Lafayette Centre in the GSMS 2017-GS6. - 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 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf' and 'CCsf' are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2012-CCRE4: S&P Lowers Class A-3 Certs Rating to 'BB (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from COMM 2012-CCRE4 Mortgage Trust, a U.S. CMBS transaction. Rating Actions The downgrades on classes A-3 and A-M, despite higher model indicated ratings, primarily reflect the following: -- S&P said, "While we expect class A-3's current principal balance of $16.5 million (93.3% credit enhancement) to ultimately be repaid in full, we have rapidly increasing concerns that interest payments due to this class will not be made timely. The transaction faces adverse selection with the two remaining loans transferring back to the special servicer in the second half of this year due to imminent monetary or maturity default. As of the September 2024 trustee remittance report, both loans had an August 2024 paid-through date with the master servicer, Wells Fargo Bank N.A. (Wells Fargo), advancing the full September 2024 debt service payments. While the special servicer, Rialto Capital Advisors LLC (Rialto), reports that both borrowers are seeking maturity extensions, the fact that neither borrower made September 2024 debt service payments could signal the borrowers' unwillingness to make future debt service payments. If these borrowers remain delinquent, interest payments to these classes are entirely dependent upon master servicer advances. We considered, coupled with the unknown extent and cost of the pending litigation, Wells Fargo could be motivated to limit its exposure to future advancing." -- The potential for further reduction in liquidity support and liquidity interruptions to class A-3 and higher interest shortfall amounts impacting class A-M due to the master servicer implementing a $65.7 million appraisal reduction amount (ARA) in September 2024 on the Eastview Mall and Commons loan (49.0% of pooled trust balance) that we expect to be in effect as early as the October 2024 payment date if the loan is still delinquent. -- S&P said, "Our expectation that shortfalls related to the previously disposed Fashion Outlets of Las Vegas loan, which have averaged approximately $325,000 per month since April 2023, will continue through at least 2025, as the servicer continues to recover prior expenses advanced for this loan. Additionally, we have concerns regarding costs and fees that the special servicer may pass to the trust to cover litigation costs associated with an ongoing lawsuit involving the asset, brought by Icahn Partners LP. -- S&P said, "The downgrade on class A-M to 'CCC (sf)' further reflects our view that this class, which incurred monthly interest shortfalls of $22,236 in the Sept. 17, 2024, trustee remittance report, is expected to incur additional interest shortfalls, as a result of special servicing fees we expect to continue for the two recently-transferred loans; and we anticipate that these shortfalls will remain outstanding as long as either recently-transferred loan remains with the special servicer. If class A-M continues to experience interest shortfalls for a prolonged period, we may further lower our rating on the class to 'D (sf)'." S&P said, "The downgrade on the class X-A interest-only (IO) certificates is based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references classes A-3 and A-M. "We will continue to monitor the performance of the transaction, including the resolution of the specially serviced loans and the litigation proceedings involving the disposed Fashion Outlets of Las Vegas loan. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we determine necessary." Loan Details Below are additional details on the two remaining loans, both of which are specially serviced. The Prince Building ($125.0 million; 51.0% of the pooled trust balance) The larger of the two remaining loans, The Prince Building, is part of a split loan structure with a trust balance of $125.0 million and a whole loan balance of $200.0 million. The whole loan is IO, pays an annual fixed interest rate of 4.308%, and matures on Oct. 6, 2024 (after it was modified in December 2022 to extend its original Oct. 6, 2022, maturity date). As of the September 2024 trustee remittance report, the loan has a reported less-than-one-month-delinquent payment status, with the servicer advancing the full $450,792 debt service payment. The loan was transferred to the special servicer on July 23, 2024, due to imminent maturity default. Rialto stated that it is currently negotiating a potential loan extension. There is $9.5 million held in reserves according to the September 2024 trustee remittance report. The whole loan is secured by the borrower's fee simple interest in a 12-story, 354,603-sq.-ft., 1897-built, office building with ground floor retail located in the SoHo district of Manhattan. S&P said, "In our last published review in October 2022, we noted that while the property's occupancy was at or above 90% since 2012, the reported net cash flow (NCF) had declined starting in 2017, with the lowest reported NCF in 2020 ($10.5 million), and has since rebounded. Since then, the property's occupancy has dropped to 50.4% per the June 2024 rent roll, after several tenants vacated in 2022 and 2023. The servicer-reported NCF was $19.1 million in 2022, $14.9 million in 2023, and $4.6 million for the six months ended June 30, 2024. While the borrower was able to sign a new tenant representing 4.9% of the net rentable area (NRA) with a lease commencing in November 2024, no other new leasing appears imminent. Using the reported NCF for year-end 2023, we calculated a debt service coverage (DSC) of 1.08x on the whole loan. "In our current analysis, we lowered our S&P Global Ratings' NCF to $11.4 million, a 20.7% decline from our last published review NCF of $14.4 million. Using a 7.75% capitalization rate, the same as in our last published review, we arrived at an S&P Global Ratings' expected-case value of $146.9 million, or $388 per sq. ft., which is 31.0% lower than our $212.8 million expected-case value at last published review and 48.4% below the $285.0 million appraisal value as of August 2023." Table 1 Servicer-reported collateral performance by servicer 2023(I) 2022(I) 2021(I) Occupancy rate (%) 55.0 93.0 93.0 Net cash flow (mil. $) 14.9 19.1 16.8 Debt service coverage (x)(ii) 1.08 1.39 1.22 Appraisal value (mil. $) 285.0 340.0 380.0 (i)Reporting period. (ii)As calculated by S&P Global Ratings on the whole loan balance. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (SEPT. 2024)(I) (OCT. 2022)(I) (OCT. 2012) Occupancy rate (%) 55.3 90.0 95.0 Net cash flow (mil. $) 11.4 14.4 17.3 Capitalization rate (%) 7.75 7.75 6.75 Value (mil. $) 146.9 212.8 256.7 Value per sq. ft. ($) 388 562 724 Loan-to-value ratio (%) 136.1 94.0 77.9 (i)Review period. Eastview Mall and Commons ($120.0 million; 49.0% of the pooled trust balance) The smaller of the two remaining loans, Eastview Mall and Commons, is also part of a split loan structure with a trust balance of $120.0 million and a whole loan balance of $210.0 million. The whole loan is IO, pays an annual fixed interest rate of 4.625%, and matured on Sept. 6, 2024 (after it was modified in February 2023 to extend its original Sept. 6, 2022, maturity date). The loan, which has a reported non-performing matured balloon delinquent payment status, was transferred to the special servicer on Sept. 9, 2024, due to imminent monetary default. Rialto stated that the borrower has requested a maturity extension and that it is currently evaluating all options. The September 2024 trustee remittance report indicates that a $65.7 million ARA has been implemented on this loan, although no associated appraisal entitlement reduction amounts were incurred this month. There is $5.7 million currently held in reserves. The whole loan is secured by the borrower's fee simple interest in an 811,671-sq.-ft. portion of a 1.7 million-sq.-ft. superregional mall and power center located in Victor, N.Y. Collateral for the loan includes 725,303 sq. ft. of the mall portion (of a 1.4 million-sq.-ft. mall) and 86,368 sq. ft. of the power center (of a 341,000-sq.-ft. power center). S&P said, "In our last published review in October 2022, we noted that the property's occupancy and NCF had trended negatively and revised our NCF and value accordingly. Since then, the property's occupancy and NCF have remained relatively flat. The servicer-reported occupancy and NCF were 90.0% and $14.5 million, respectively, in 2022; 89.0% and $15.0 million in 2023; and 84.0% and $7.4 million as of year-to-date June 30, 2024. Using the year-end 2023 NCF figures, we calculated a DSC of 0.88x on the whole loan. "In our current analysis, since no material changes were reported in performance, we retained our $13.3 million NCF and 14.0% capitalization rate (increased from 10.00% in our November 2023 CreditWatch resolution, see "Various Rating Actions Taken On 70 Classes From 11 U.S. CMBS Transactions," published Nov. 6, 2023), to derive an S&P Global Ratings' expected-case value of $94.9 million, or $117 per sq. ft. Our value is 6.0% lower than the $101.0 million appraisal value as of October 2022." Table 3 Servicer-reported collateral performance by servicer 2023(I) 2022(I) 2021(I) Occupancy rate (%) 89.0 90.0 79.0 Net cash flow (mil. $) 15.0 14.5 14.0 Debt service coverage (x)(ii) 0.88 0.86 0.82 Appraisal value (mil. $) 101.0 101.0 368.0 (i)Reporting period. (ii)As calculated by S&P Global Ratings on the whole loan balance. Table 4 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (SEPT. 2024) (NOV. 2023) (OCT. 2012) (I) (I)(II) Occupancy rate (%) 86.2 77.4 93.9 Net cash flow (mil. $) 13.3 13.3 18.8 Capitalization rate (%) 14.00 14.00 7.00 Value (mil. $) 94.9 94.9 277.8 Value per sq. ft. ($) 117 117 342 Loan-to-value ratio (%) 221.2 221.2 75.6 (i)Review period. (ii)The last full review was in Oct. 2022; however, we revised our capitalization rate in our CreditWatch resolution in Nov. 2023. Transaction Summary As of the Sept. 17, 2024, trustee remittance report, the collateral pool balance was $245.0 million, which is 22.1% of the pool balance at issuance. The pool currently includes two fixed-rate loans, down from 48 loans at issuance. Both loans, which were previously modified, are back with the special servicer. According to the September 2024 trustee remittance report, the trust incurred monthly interest shortfalls totaling $417,271 primarily from post-liquidation expenses of $378,208 in connection with the liquidated Fashion Outlets of Las Vegas loan and special servicing fees of $39,063 attributed to The Prince Building loan. The current shortfalls affected classes A-M, B, C, and D. Of these classes, only class A-M is currently rated by S&P Global Ratings. The trust has experienced principal losses totaling $104.8 million to date, or 9.4% of the pooled trust balance. Ratings Lowered COMM 2012-CCRE4 Mortgage Trust Class A-3 to 'BB (sf)' from 'AAA (sf)' Class A-M to 'CCC (sf)' from 'BB+ (sf)' Class X-A to 'CCC (sf)' from 'BB+ (sf)' DEMUS CLO 8: Moody's Lowers Rating on $12.25MM Class F Notes to C ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by Demus CLO 8, Ltd.: US$26,250,000 Class E Junior Secured Deferrable Floating Rate Notes due 2026 (current outstanding balance of $ $3,433,366.34) (the "Class E Notes"), Downgraded to Caa2 (sf); previously on August 24, 2021 Upgraded to Caa1 (sf) US$12,250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2026 (current outstanding balance of $ $17,604,907.54) (the "Class F Notes"), Downgraded to C (sf); previously on August 31, 2020 Downgraded to Ca (sf) Demus CLO 8, Ltd., originally issued in May 2014 and partially refinanced in November 2017 is a managed cashflow CLO. The transaction's reinvestment period ended in May 2018. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class E and Class F notes reflect decrease in par coverage and the lack of diversification from the one remaining performing asset primarily collateralizing the notes. Based on Moody's calculation, the over-collateralization (OC) ratio for the Class E and Class F notes (before applying any applicable haircuts) is currently 93.42% and 15.25%, respectively, compared to the August 2023 levels of 100.48% and 50.71%, respectively. The remaining asset has a corporate family rating of Caa1. In light of the foregoing, the rating actions reflect Moody's concerns about the high risk for collateral defaults resulting in impairment of the Class E and Class F notes, and significant uncertainty around recoveries upon default or impairment. 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. DEUTSCHE ALT-A 2007-OA5: Moody's Cuts Rating on 2 Tranches to Ba1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings of two bonds issued by Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5. The collateral backing this deal consists of mortgages originally issued as option ARM 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: Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 Cl. A-1A, Downgraded to Ba1 (sf); previously on Oct 27, 2023 Downgraded to Baa2 (sf) Cl. A-1B, Downgraded to Ba1 (sf); previously on Oct 27, 2023 Downgraded to Baa2 (sf) RATINGS RATIONALE The downgrades reflect the recent performance, Moody's updated loss expectations on the underlying pool, and the resulting loss coverage levels for each class. Earlier this year, the trustee provided updated information on the current interest rate characteristics of loans in the pool. The update shows that approximately half of the loans in the pool were originally floating rate loans but were later modified to fixed rate loans. As a result, many of these loans now have reported fixed rates which are lower than the previously assumed floating rate, thus generating less interest income and reducing the amount of excess spread available to the bonds. The updated information resulted in a negative impact on the ratings for these two classes. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. DIAMETER CAPITAL 8: S&P Assigns BB- (sf) Rating on Class D Debt --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Diameter Capital CLO 8 Ltd./Diameter Capital CLO 8 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Diameter Capital CLO 8 Ltd./Diameter Capital CLO 8 LLC Class A-1A, $195.00 million: AAA (sf) Class A-1A loans(i), $75.00 million: AAA (sf) Class A-1AL(i), $0.00 million: AAA (sf) Class A-1B, $18.00 million: AAA (sf) Class A-2, $54.00 million: AA (sf) Class B (deferrable), $27.00 million: A (sf) Class C (deferrable), $27.00 million: BBB- (sf) Class D (deferrable), $18.00 million: BB- (sf) Subordinated notes, $37.60 million: Not rated (i)All or a portion of the class A-1A loans can be converted to class A-1AL notes (or a pari passu conversion class) up to a maximum of $75 million, with a corresponding decrease to the class A-1A loans by the converted portion. DRYDEN 72 CLO: S&P Affirms BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, and C-RR replacement debt from Dryden 72 CLO Ltd./Dryden 72 CLO LLC, a CLO originally issued in June 2019 that is managed by PGIM Inc. At the same time, S&P withdrew its ratings on the original class A-R, B-R, and C-R debt following payment in full on the Sept. 26, 2024, refinancing date. S&P also affirmed its rating on the class D-R and E-R notes, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period was extended to March 26, 2025, for the class A-RR, B-RR, and C-RR debt. Replacement And Original Debt Issuances Replacement debt -- Class A-RR, $252.26 million: Three-month CME term SOFR + 1.10% -- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.65% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.00% Original debt -- Class A-R, $252.26 million: Three-month CME term SOFR + 1.08% + CSA(i) -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.85% + 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 Dryden 72 CLO Ltd./Dryden 72 CLO LLC Class A-RR, $252.26 million: AAA (sf) Class B-RR, $48.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Ratings Withdrawn Dryden 72 CLO Ltd./Dryden 72 CLO LLC Class A-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Ratings Affirmed Dryden 72 CLO Ltd./Dryden 72 CLO LLC Class D-R: BBB- (sf) Class E-R: BB- (sf) Other Debt Dryden 72 CLO Ltd./Dryden 72 CLO LLC Subordinated notes, $38.75 million: Not rated EATON VANCE 2020-2: S&P Affirms BB- (sf) Rating on Cl. E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R2, B-1R2, B-2R2, C-R2, D-1R2, D-2R2, and E-R2 replacement debt from Eaton Vance CLO 2020-2 Ltd./Eaton Vance CLO 2020-2 LLC, a CLO managed by Morgan Stanley Eaton Vance CLO Manager LLC that was originally issued in October 2020 and was refinanced in December 2021. The preliminary ratings are based on information as of Oct. 1, 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 Dec. 9, 2021, debt. S&P said, "At that time, we expect to withdraw our ratings on the Dec. 9, 2021, debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original Dec. 9, 2021, debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to July 15, 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. -- Additional assets will be purchased on the Oct. 3, 2024, refinancing date, bringing the total amount to $48.1 million -- The required minimum overcollateralization and interest coverage ratios will be amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Eaton Vance CLO 2020-2 Ltd./Eaton Vance CLO 2020-2 LLC Class A-R2, $256.0 million: AAA (sf) Class B-1R2, $40.0 million: AA (sf) Class B-2R2, $8.0 million: AA (sf) Class C-R2 (deferrable), $24.0 million: A (sf) Class D-1R2 (deferrable), $20.0 million: BBB- (sf) Class D-2R2 (deferrable), $4.0 million: BBB- (sf) Class E-R2 (deferrable), $15.0 million: BB- (sf) Other Debt Eaton Vance CLO 2020-2 Ltd./Eaton Vance CLO 2020-2 LLC Subordinated notes, $48.1 million: Not rated ELMWOOD CLO 32: S&P Assigns Prelim BB- (sf) Rating on Class E Debt ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Oct. 2, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC Class A-1, $615.00 million: AAA (sf) Class A-2, $45.00 million: NR Class B, $100.00 million: AA (sf) Class C (deferrable), $60.00 million: A (sf) Class D-1 (deferrable), $60.00 million: BBB- (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $30.00 million: BB- (sf) Class Subordinated notes, $97.90 million: Not rated ELMWOOD CLO XII: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-L-R loans and class A-R, B-R, C-R, D-1-R, D-2-R, E-R, and F-R replacement debt from Elmwood CLO XII Ltd./Elmwood CLO XII LLC, a CLO originally issued in December 2021 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Oct. 2, 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. 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-L-R, A-R, B-R, C-R, D-1-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt. Class D-2-R is expected to be issued at 4.35% over three-month SOFR. -- The current class D debt will be replaced by two new classes: D-1-R and D-2-R. -- The reinvestment period will be extended to Oct. 15, 2029, from Oct. 20, 2026. -- The non-call period will be extended to Oct. 3, 2026, from Oct. 20, 2023. -- The stated maturity on the existing subordinated notes will be extended to Oct. 15, 2037, from Jan. 20, 2035, to match the stated maturity on the refinancing debt. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Elmwood CLO XII Ltd./Elmwood CLO XII LLC Class A-L-R loans(i), $279.0 million: AAA (sf) Class A-R, $99.0 million: AAA (sf) Class B-R, $78.0 million: AA (sf) Class C-R (deferrable), $36.0 million: A (sf) Class D-1-R (deferrable), $36.0 million: BBB- (sf) Class D-2-R (deferrable), $2.4 million: BBB- (sf) Class E-R (deferrable), $19.8 million: BB- (sf) Class F-R (deferrable), $10.8 million: B- (sf) Other Debt Elmwood CLO XII Ltd./Elmwood CLO XII LLC Subordinated notes, $47.0 million: Not rated (i)All or a portion of the class A-L-R loans may be converted into class A-R debt, subject to a maximum conversion of $279.0 million. Upon a conversion, the balance on the class A-R debt may be increased and the balance of the class A-L-R loans may be decreased. No portion of the class A-R debt may be converted into class A-L-R loans. FANNIE MAE 2024-R06: S&P Assigns BB- (sf) Rating on 1B-1X Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2024-R06's notes. The note issuance is an RMBS transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, manufactured housing, and cooperatives, made primarily to prime borrowers. After the transaction was assigned preliminary ratings on Sept. 12, 2024, the sponsor, Fannie Mae, increased the principal balances of the class 1B-1, 1B-1A, and 1B-1B notes; and made proportional increases to the balances or notional amounts of the related combinable and recombinable notes exchangeable classes. At the same time, the issuer made a proportionate decrease to the notional balances of the related reference class 1B-1H, 1B-AH, and 1B-BH notes. However, there were no changes to the credit enhancement on these notes or our loss coverage levels. After analyzing the revised bond balances, S&P assigned ratings that are in line with its preliminary ratings. The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The real estate mortgage investment conduit (REMIC) structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and the noteholders in the transaction's performance, which we believe enhance the notes' strength; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representations and warranties framework; and -- One key change in our baseline forecast since June is an acceleration in the pace of monetary policy easing. S&P said, "We anticipate the Federal Reserve will deliver two more rate cuts of 25 basis points (bps) this year and a total of 225 bps of rate cuts by the year-end 2025--a 75 bps increase from our prior forecast. We continue to expect real GDP growth to slow from above-trend growth this year to below-trend growth in 2025, accompanied by a further rise in unemployment rate and lower inflation. However, our probability of a recession starting over the next 12 months remains unchanged at 25%. With consumption still healthy for now, near-term recession fears appear overblown. Therefore, we maintain our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency of 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting." Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2024-R06 Class 1A-H(i), $15,617,472,754: NR Class 1A-1, $212,513,000: A+ (sf) Class 1A-1H(i), $11,185,549: NR Class 1M-1, $212,513,000: BBB+ (sf) Class 1M-1H(i), $11,185,549: NR Class 1M-2A(ii), $55,096,000: BBB+ (sf) Class 1M-AH(i), $2,899,920: NR Class 1M-2B(ii), $55,096,000: BBB (sf) Class 1M-BH(i), $2,899,920: NR Class 1M-2C(ii), $55,096,000: BBB- (sf) Class 1M-CH(i), $2,899,920: NR Class 1M-2(ii), $165,288,000: BBB- (sf) Class 1M-2H(i), $8,699,760: NR Class 1B-1A(ii), $59,031,000: BB+ (sf) Class 1B-AH(i), $3,107,486: NR Class 1B-1B(ii), $59,031,000: BB- (sf) Class 1B-BH(i), $3,107,486: NR Class 1B-1(ii), $118,062,000: BB- (sf) Class 1B-1H(i), $6,214,972: NR Class 1B-2H(i), $124,276,972: NR Class 1B-3H(i), $82,851,315: NR Related combinable and recombinable notes exchangeable classes(iii) Class 1E-A1, $55,096,000: BBB+ (sf) Class 1A-I1, $55,096,000(iv): BBB+ (sf) Class 1E-A2, $55,096,000: BBB+ (sf) Class 1A-I2, $55,096,000(iv): BBB+ (sf) Class 1E-A3, $55,096,000: BBB+ (sf) Class 1A-I3, $55,096,000(iv): BBB+ (sf) Class 1E-A4, $55,096,000: BBB+ (sf) Class 1A-I4, $55,096,000(iv): BBB+ (sf) Class 1E-B1, $55,096,000: BBB (sf) Class 1B-I1, $55,096,000(iv): BBB (sf) Class 1E-B2, $55,096,000: BBB (sf) Class 1B-I2, $55,096,000(iv): BBB (sf) Class 1E-B3, $55,096,000: BBB (sf) Class 1B-I3, $55,096,000(iv): BBB (sf) Class 1E-B4, $55,096,000: BBB (sf) Class 1B-I4, $55,096,000(iv): BBB (sf) Class 1E-C1, $55,096,000: BBB- (sf) Class 1C-I1, $55,096,000(iv): BBB- (sf) Class 1E-C2, $55,096,000: BBB- (sf) Class 1C-I2, $55,096,000(iv): BBB- (sf) Class 1E-C3, $55,096,000: BBB- (sf) Class 1C-I3, $55,096,000(iv): BBB- (sf) Class 1E-C4, $55,096,000: BBB- (sf) Class 1C-I4, $55,096,000(iv): BBB- (sf) Class 1E-D1, $110,192,000: BBB (sf) Class 1E-D2, $110,192,000: BBB (sf) Class 1E-D3, $110,192,000: BBB (sf) Class 1E-D4, $110,192,000: BBB (sf) Class 1E-D5, $110,192,000: BBB (sf) Class 1E-F1, $110,192,000: BBB- (sf) Class 1E-F2, $110,192,000: BBB- (sf) Class 1E-F3, $110,192,000: BBB- (sf) Class 1E-F4, $110,192,000: BBB- (sf) Class 1E-F5, $110,192,000: BBB- (sf) Class 1-X1, $110,192,000(iv): BBB (sf) Class 1-X2, $110,192,000(iv): BBB (sf) Class 1-X3, $110,192,000(iv): BBB (sf) Class 1-X4, $110,192,000(iv): BBB (sf) Class 1-Y1, $110,192,000(iv): BBB- (sf) Class 1-Y2, $110,192,000(iv): BBB- (sf) Class 1-Y3, $110,192,000(iv): BBB- (sf) Class 1-Y4, $110,192,000(iv): BBB- (sf) Class 1-J1, $55,096,000: BBB- (sf) Class 1-J2, $55,096,000: BBB- (sf) Class 1-J3, $55,096,000: BBB- (sf) Class 1-J4, $55,096,000: BBB- (sf) Class 1-K1, $110,192,000: BBB- (sf) Class 1-K2, $110,192,000: BBB- (sf) Class 1-K3, $110,192,000: BBB- (sf) Class 1-K4, $110,192,000: BBB- (sf) Class 1M-2Y, $165,288,000: BBB- (sf) Class 1M-2X, $165,288,000(iv): BBB- (sf) Class 1B-1Y, $118,062,000: BB- (sf) Class 1B-1X, $118,062,000(iv): BB- (sf) (i)Reference tranche only; there's no corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The class 1M-2 noteholders may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes, and vice versa. The class 1B-1 noteholders may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes, and vice versa. The class 1M-2A, 1M-2B, 1M-2C, 1B-1A, and 1B-1B noteholders may exchange all or part of those classes for proportionate interests in the classes of related combinable and recombinable notes as specified in the offering documents. (iii)See the offering documents for more detail on possible combinations. (iv)Notional amount. NR--Not rated. FLATIRON CLO 25: Fitch Assigns 'B-sf' Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron CLO 25 Ltd. Entity/Debt Rating ----------- ------ Flatiron CLO 25 Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Flatiron CLO 25 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors 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 23.38, versus a maximum covenant, in accordance with the initial expected matrix point of 25.46. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.69% versus a minimum covenant, in accordance with the initial expected matrix point of 72.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and 'BB-sf' for class E, and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, 'BBB+sf' for class E, and 'BBB-sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Flatiron CLO 25 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. GENERATE CLO 11: S&P Assigns BB- (sf) Rating on Class E-R Debt -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-2R, B-R, C-R, D-1R, D-2AR, D-2BR, and E-R replacement debt and the new class X debt from Generate CLO 11 Ltd./Generate CLO 11 LLC, a CLO originally issued in February 2023 that is managed by Generate Advisors LLC. At the same time, S&P withdrew its ratings on the original class B, C, D, and E debt following payment in full on the Sept. 26, 2024, refinancing date. The class A debt was not previously rated. 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 Oct. 20, 2026. -- The reinvestment period was extended to Oct. 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to Oct. 20, 2037. -- The class X debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first seven payment dates, beginning on the April 2025 payment date. -- The required minimum overcollateralization and interest coverage ratios were amended. -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2AR, D-2BR, and E-R debt and the new class X debt were issued at a lower spread over three-month SOFR than the original debt. -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2AR, and E-R debt and the new class X debt were issued at a floating spread, while the class D-2BR debt was issued at a fixed coupon. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Generate CLO 11 Ltd./Generate CLO 11 LLC Class X, $4.50 million: AAA (sf) Class A-1R, $240.00 million: AAA (sf) Class A-2R, $8.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $22.00 million: BBB (sf) Class D-2AR (deferrable), $2.00 million: BBB- (sf) Class D-2BR (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Generate CLO 11 Ltd./Generate CLO 11 LLC Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Generate CLO 11 Ltd./Generate CLO 11 LLC Subordinated notes, $27.00 million: NR NR--Not rated. GOLDENTREE LOAN 10: Fitch Assigns 'B-sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 10, Ltd. Reset transaction. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 10, Ltd. - Reset A-J LT AAAsf New Rating A-L LT NRsf New Rating A-R LT NRsf New Rating B-2 LT AAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-J LT BBB-sf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated Notes LT NRsf New Rating X-R LT NRsf New Rating Transaction Summary GoldenTree Loan Management US CLO 10, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM II, LP. Net proceeds from the issuance of the secured refinanced notes and existing subordinated notes will provide financing on a portfolio of approximately $630 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.15, versus a maximum covenant, in accordance with the initial expected matrix point of 27.0. 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 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.5% versus a minimum covenant, in accordance with the initial expected matrix point of 71.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'BB-sf' for class E-R, and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R, 'Asf' for class D-J, 'BBB+sf' for class E-R, and 'BB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 10, Ltd. - Reset. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GOLUB CAPITAL 62(B)-R: Fitch Assigns BB Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the Golub Capital Partners CLO 62(B)-R, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 62(B)-R, Ltd. A-R LT NRsf New Rating NR(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Golub Capital Partners CLO 62(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by OPAL BSL LLC that originally closed in July 2022. This is the first refinancing in which the original notes will be refinanced in whole on Sept. 24, 2024. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.66 versus a maximum covenant, in accordance with the initial expected matrix point of 25.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.22% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.76% versus a minimum covenant, in accordance with the initial expected matrix point of 74.1%. Portfolio Composition (Negative): The largest three industries may comprise up to 57% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 11 September 2024 ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 62(B)-R, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GREEN TREE 1996-05: Moody's Upgrades Rating on M-1 Certs to B1 -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from three transactions backed by manufactured housing loans. Moody's also upgraded one manufactured housing backed resecuritization bond. 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: Green Tree Financial Corporation MH 1996-05 M-1, Upgraded to B1 (sf); previously on Aug 2, 2006 Downgraded to Caa2 (sf) Issuer: OMI Trust 2000-C Cl. A-1, Upgraded to Baa3 (sf); previously on Sep 26, 2018 Upgraded to Caa1 (sf) Issuer: Origen Manufactured Housing Contract Trust Collateralized Notes, Series 2007-B Cl. A, Upgraded to Caa1 (sf); previously on Dec 14, 2010 Downgraded to Ca (sf) Issuer: Lehman Manufactured Housing Asset-Backed Trust 1998-1 II-A2, Upgraded to Caa2 (sf); previously on Jun 4, 2019 Affirmed Caa3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. Each of the upgraded bonds has seen strong growth in credit enhancement since Moody's last review, which is the key driver for these upgrades. 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. In addition, the rating action on the Class II-A2 from the resecuritization transaction, Lehman Manufactured Housing Asset-Backed Trust 1998-1, reflects the rating action on the Class M-1 from Green Tree Financial Corporation MH 1996-05, the bond underlying that transaction. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except Lehman Manufactured Housing Asset-Backed Trust 1998-1 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. GSF 2023-1: Fitch Assigns 'BB-sf' Final Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings for all classes for GSF 2023-1 LLC. These actions are connected to the rating of the new GSF 2023-1 Reinvestment #2 pool. Entity/Debt Rating Prior ----------- ------ ----- GSF 2023-1 A-1 362945AA5 LT AAAsf New Rating AAA(EXP)sf A-2 362945AC1 LT AAAsf New Rating AAA(EXP)sf A-S 362945AE7 LT AAAsf New Rating AAA(EXP)sf B 362945AG2 LT AA-sf New Rating AA-(EXP)sf C 362945AJ6 LT A-sf New Rating A-(EXP)sf D 362945AL1 LT BBB-sf New Rating BBB-(EXP)sf E 362945AQ0 LT BB-sf New Rating BB-(EXP)sf F 362945AS6 LT NRsf New Rating NR(EXP)sf X 362945AN7 LT A-sf New Rating A-(EXP)sf Transaction Summary Fitch assigned expected ratings to the transaction on Nov. 2, 2023. At that time, the loan pool consisted of one closed loan and nine delayed-close loans for a total of 10 loans with a balance of $195,845,000. The delayed-close loans were given 60 days, post-initial closing (to Jan. 2, 2024), to close into the transaction. In March 2024, Fitch re-rated the deal as it was constituted at the end of the delayed-close period (Jan. 2, 2024). The loan pool consisted of four loans with a balance of $93,500,000 on Jan. 2, 2024. Fitch applied a rating cap at that time of 'Asf' because the updated pool structure was materially different than the pool Fitch rated on Nov. 2, 2023. The purpose of the current rating action is to rate Reinvestment #2 and remove the rating cap on classes A-1, A-2, A-S, and B. The new CRE CLO pool contains 11 mortgages secured by 11 properties located throughout the U.S. As of the cutoff date, the trust will consist of $295.7 million. The pool does not feature any future funding. All loans are fixed-rate loans. The mortgages are originated solely by Grant Street Funding and the trust is arranged by Deutsche Bank. The pool differs from other CRE CLOs in that the collateral is more stabilized. This is reflected in the loan-term structure where all loans are five-year, fixed-rate loans. This is in lieu of the floating rate loans with two- or three-year initial maturities (not including extension options) typically seen in CRE CLO loans. The pool is not yet complete with additional reinvestment(s) planned. KEY RATING DRIVERS Lower Leverage Than Recent CLO Transactions: The pool's Fitch LTV of 112.5% is lower than AREIT 2024-CRE9 Fitch LTV of 129.1%, lower than MF1 2024-FL14 Fitch LTV of 152.2%, lower than BRSP 2024-FL2 Fitch LTV of 116.9%, and lower than 2024 YTD CRE CLO Fitch LTV of 154.5%. The pool's Fitch DY is 8.9%, higher than AREIT 2024-CRE9 Fitch DY of 6.9%, higher than MF1 2024-FL14 Fitch DY of 5.5%, higher than BRSP 2024-FL2 Fitch DY of 6.1%, and higher than 2024 YTD CRE CLO Fitch DY of 6.1% Lower Interest Rates Than Recent CLO Transactions: The pool's weighed average note rate is 7.4%, lower than AREIT 2024-CRE9 note rate of 8.5%, lower than MF1 2024-FL14 note rate of 8.3%, higher than BRSP 2024-FL2 note rate of 6.7%, and lower than 2024 YTD CRE CLO note rate of 8.0%. The pool's Fitch Term DSCR is 1.07x, which is higher than AREIT 2024-CRE9 Fitch Term DSCR of 0.73x, higher than MF1 2024-FL14 Fitch Term DSCR of 0.61x, higher than BRSP 2024-FL2 Fitch Term DSCR of 0.86x, and higher than 2024 YTD CRE CLO Fitch Term DSCR of 0.72x. Highly Concentrated by Loan Size: The pool is relatively small from a loan perspective with 11 loans, and has a higher pool concentration compared to recent CLO transactions. The top 10 loans account for 96.4% of the pool. The top 10 loan percentage for the deal comps were as follows: AREIT 2024-CRE9 at 79.8%, MF1 2024-FL14 at 69.1%, BRSP 2024-FL2 at 60.6%, and the 2024 YTD CRE CLO average of 74.4%. Amortization Compared to Recent CLO Transactions: The pool will feature 0.3% paydown from securitization to maturity. This is higher than AREIT 2024-CRE9 at 0.1%, lower than MF1 2024-FL14 at 1.3%, higher than BRSP 2024-FL2 at 0.0%, and lower than 2024 YTD CRE CLO average of 0.6%. Property Type Concentration: GSF 2023-1 has an effective property count of 3.2 which is higher than AREIT 2024-CRE9 at 2.5, MF1 2024-FL14 at 1.1, BRSP 2024-FL2 at 1.7, and the 2024 YTD CRE CLO average of 1.5. Loans secured by retail properties represent 48.8%, which differentiates from the comp set that has little to no retail percentage. The 2024 YTD CRE CLO average retail exposure is 0.6%. Geographic Concentration: GSF 2023-1 has an effective geographic count of 6.8 which is lower than AREIT 2024-CRE9 at 11.3, lower than MF1 2024-FL14 at 9.9, and lower than BRSP 2024-FL at 8.1, and lower than 2024 YTD CRE CLO average of 8.6. Loans located in the Washington, D.C. metropolitan statistical area (MSA) account for 20.3% of the pool. In the comp set, BRSP is the most geographically concentrated with 20.8% of the pool located in the Los Angeles MSA at 20.8%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Decline to Fitch NCF: 'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'. SUMMARY OF FINANCIAL ADJUSTMENTS There were no variances from Fitch criteria. Cash flow modeling was not employed on this transaction, with the concurrence of the committee. The deal does not employ CRE CLO features that would cause us to use the cash flow model. For example, the transaction's structure does not contain any note protection tests (interest coverage or overcollateralization) nor is there is an interest payment diversion feature within the retained classes (or anywhere in the structure). 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. HARMONY-PEACE PARK: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned ratings to Harmony-Peace Park CLO Ltd./Harmony-Peace Park CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The 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. Ratings Assigned Harmony-Peace Park CLO Ltd./Harmony-Peace Park CLO LLC Class X, $1.00 million: AAA (sf) Class A, $317.50 million: AAA (sf) Class B-1, $47.50 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $48.26 million: Not rated HAWAIIAN HOLDINGS 2013-1: S&P Raises Class A Certs Rating to 'BB+' ------------------------------------------------------------------ S&P Global Ratings raised its issue-level ratings on Hawaiian Holdings Inc.'s 2013-1 class A enhanced equipment trust certificates (EETCs) to 'BB+' from 'BB', reflecting the obligation's guarantee from Alaska Air Group Inc.. Alaska and Hawaiian completed its merger on Sept. 18, 2024, and S&P published its rating action on Hawaiian on Sept. 19, 2024, detailing its assessment of Hawaiian's status as a highly strategic subsidiary to Alaska and resulting impact to its EETC rating, which is the only rated debt. Subsequent to S&P's rating action, it learned that Alaska will be guaranteeing Hawaiian's EETC, leading to the one-notch improvement given our higher rating on Alaska compared to Hawaiian. Under S&P Global Ratings' guarantee criteria, Alaska's guarantee of Hawaiian's EETCs qualifies for a rating substitution as a form of credit enhancement, therefore shifting the evaluation of creditworthiness of the obligation from Hawaiian to that of Alaska. S&P said, "We believe the guarantee documentation demonstrates Alaska's irrevocable and unconditional commitment to payment encompassing the EETC liabilities. Therefore, we use our 'BB' issuer credit rating on Alaska as the starting point for our EETC analysis." S&P said, "Our criteria limits assigning affirmation credit when the loan to value is high, as it is for the 2013-1 class A EETCs. However, we continue to use the available flexibility in the criteria to offset this impact with what we call a positive comparable ratings analysis. We believe it is possible Hawaiian (or Alaska as guarantor) would continue pay the senior class of the EETC in a hypothetical bankruptcy scenario, although we also note a risk of renegotiation in that event. This leads to a one-notch uplift to a final EETC rating of 'BB+'." HOMES 2024-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 QM safe harbor (APOR), QM rebuttable presumption (APOR), ATR-exempt loans, and non-QM/ATR-compliant loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty 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, "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." 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 2024-9: Moody's Assigns B1 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2024-9, and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (85.2% by balance) and GSE-eligible (14.8% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 13.4% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-9 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.33%, in a baseline scenario-median is 0.13% and reaches 5.83% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2024-OMNI: Moody's Assigns Ba3 Rating to 2 Tranches ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI, Commercial Mortgage Pass-Through Certificates, Series 2024-OMNI: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa2 (sf) Cl. E, Definitive Rating Assigned Ba1 (sf) Cl. JRR, Definitive Rating Assigned Ba3 (sf) Cl. KRR, Definitive Rating Assigned Ba3 (sf) Note: Moody's previously assigned a provisional rating of (P)Aaa (sf) to Class X, described in the prior press release, dated September 13, 2024. Subsequent to the provisional ratings, the transaction was restructured so that Class X is no longer being offered. Based on the current structure, Moody's have withdrawn the provisional rating for this certificate. RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage related to the full-service hotel property known as the Washington Hilton. O Moody's ur ratings are based on the credit quality of the loan and the strength of the securitization structure. The Omni Boston at the Seaport is a full-service hotel located adjacent to the Boston Convention & Exhibition Center within Boston's Seaport District. It opened in September 2021 and is AAA Four Diamond-rated, leading convention and transient destination within the Boston metropolitan area. The hotel contains 1,054 guestrooms within two 22-story towers and a 12-story connector building. Guest amenities include approximately 100,000 SF of meeting space, seven food and beverage outlets, a full-service spa, rooftop pool, a fitness center, an art gallery, business center, and valet parking. Moody's approach to rating this transaction involved the application of Moody's "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations" methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's DSCR: Moody's DSCR is based on Moody's stabilized net cash flow. The Moody's first mortgage actual DSCR is 1.88x, compared with 1.80x at Moody's provisional ratings due to an interest rate decrease, and the first mortgage actual stressed DSCR is 1.18X. The loan first mortgage balance of $307,000,000 represents a Moody's LTV of 96.4%. Moody's LTV ratio is based on Moody's value. Moody's did not adjust Moody's value to reflect the current interest rate environment as part of Moody's analysis for this transaction. Moody's also grade properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's quality grade is 2.00. Positive features of the transaction include the asset quality, location, improving forward bookings, recent property performance, limited new supply, sponsor equity and experience. Offsetting these strengths are dependence on meeting and group demand, an ongoing union labor contract negotiations, large F&B component, limited operating history, the ground lease, performance volatility inherent within the hotel sector, lack of collateral diversification, interest-only loan profile, and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. KKR CLO 51: Moody's Assigns B3 Rating to $200,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by KKR CLO 51 Ltd. (the Issuer or KKR 51): US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$200,000 Class F Senior Secured Deferrable Floating Rate Notes due 2037, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. 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. KKR 51 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. KKR Financial Advisors II, 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 Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3250 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. KRR CLO 51: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to KKR CLO 51 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 51, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary KKR CLO 51, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 74.75%. 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 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 '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, 'Asf' 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 KKR CLO 51 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. KRR CLO 51: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------- Fitch assigns final ratings and Rating Outlooks to KKR CLO 51, Ltd. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 51, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf 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 LT NRsf New Rating NR(EXP)sf Transaction Summary KKR CLO 51, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 74.75%. 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 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 '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, 'Asf' 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. Date of Relevant Committee 23 September 2024 ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 51, 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. LBA TRUST 2024-7IND: Moody's Assigns Ba2 Rating to Cl. E Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by LBA Trust 2024-7IND, Commercial Mortgage Pass-Through Certificates, Series 2024-7IND. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. FRR, Definitive Rating Assigned Ba3 (sf) Cl. GRR, Definitive Rating Assigned Ba3 (sf) Note: Moody's previously assigned provisional ratings to interest-only classes X-CP and X-EXT of (P)A2 (sf), described in the prior press release, dated September 19, 2024. Subsequent to the release of those provisional ratings for this transaction, the structure of the transaction was modified. Classes X-CP and X-EXT are no longer being offered. Based on the current structure, Moody's have withdrawn the provisional ratings for classes X-CP and X-EXT. RATING RATIONALE This transaction is collateralized by the borrower's fee simple and leasehold interests in 30 industrial facilities (27 fee simple and 3 leasehold) encompassing approximately 7.0 million square feet ("SF") in 10 states and 15 markets (collectively, the "Portfolio"). Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 0.99x and Moody's first mortgage stressed DSCR is 0.78x. Moody's DSCR is based on Moody's stabilized net cash flow. The first mortgage balance of $577.6 million represents a Moody's LTV ratio of 108.1% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 98.6% based on Moody's Value using a cap rate adjusted for the current interest rate environment. With respect to property level diversity, the pool's property level Herfindahl score is 19.1. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's property quality grade is 0.75. Notable strengths of the transaction include: i. large share of industrial facilities in global gateway markets; ii. geographic diversity; iii. industrial facility functionality; iv. strong tenant roster that is both economically diverse and granular; v. multiple property pooling; and vi. strong sponsorship. Notable concerns of the transaction include: i. rollover risk; ii. small share of industrial facilities in infill locations; iii. floating-rate, interest-only profile; and iv. credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. LENDMARK FUNDING 2024-2:S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Lendmark Funding Trust 2024-2's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of Sept. 26, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 54.4%, 47.1%, 41.0%, 33.9%, and 27.2% credit support to the class A, B, C, D, and E notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the notes' preliminary ratings, based on our stressed cash flow scenarios. -- S&P said, "Our worst-case, weighted average base-case loss for this transaction of approximately 13.09%, which is a function of the transaction-specific reinvestment criteria and Lendmark Financial Services LLC's (Lendmark) actual loan performance. Our base case also accounts for historical volatility observed in Lendmark's annual loan vintages over time." -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned preliminary ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Jun. 9, 2023. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned preliminary ratings. -- The characteristics of the pool being securitized and the receivables expected to be purchased during the revolving period. -- Lendmark's performance history as originator and servicer. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Lendmark Funding Trust 2024-2 Class A, $200.02 million(i): AAA (sf) Class B, $28.91 million(i): AA (sf) Class C, $23.86 million(i): A- (sf) Class D, $22.91 million(i): BBB- (sf) Class E, $32.38 million(i): BB- (sf) (i)The actual size of these tranches will be determined on the pricing date. MILL CITY 2024-RS1: Fitch Assigns 'BBsf' Rating on Class A-2 Bonds ------------------------------------------------------------------ Fitch Ratings has assigned ratings to Mill City Securities 2024-RS1 Ltd. Entity/Debt Rating ----------- ------ MCMLT 2024-RS1 A-1 LT BBB-sf New Rating A-2 LT BBsf New Rating M LT NRsf New Rating Transaction Summary The transaction is a re-securitization of underlying subordinate bonds and senior IO strips from numerous transactions. The underlying bonds are predominantly from seasoned Mill City RPL transactions (47.8%), but also include NQM (15.6%), SPL (24.1%) and other RPL (12.6%) transactions. Three transactions, including Mill City Mortgage Loan Trust 2019-1, Mill City Mortgage Loan Trust 2019-GS2 and Mill City Mortgage Loan Trust 2021-NMR1, make up 38.7% of the underlying allocated debt. This is a second Re-REMIC issued by Mill City Holdings of a similar structure to Mill City 2021-RS1, which was rated by Fitch at issuance in October 2021. The issuer paid off the Mill City 2021-RS1 in August 2024. The Re-REMIC uses a turbo structure where all interest and principal collections from the underlying bonds, the available funds, are distributed sequentially. Available funds will first pay fees, then interest or shortfalls on the A notes, and then pay principal sequentially. To the extent that there is excess cash flow available at the Re-REMIC level, it is distributed to the most senior bond then outstanding until reduced to zero. The deal is structured to a subordinated step-up coupon on the A-1 and A-2 classes. If the step-up is not paid for six continuous months the deal allows for an optional Noteholder Liquidation Event where a majority of the class A noteholders can direct the indenture trustee to seek to liquidate the underlying securities. If the proceeds from the liquidation are sufficient to cover all amounts due to class A noteholders, the liquidation can proceed without additional consent. However, if the proceeds do not cover all amounts due, liquidation requires consent from 66-2/3% of the aggregate Class Principal Balance of class A Notes. Furthermore, if the proceeds do not fully cover the amounts due to class A-1, 100% consent from class A-1 Noteholders is required. KEY RATING DRIVERS Re-REMIC Structure (Positive): The Re-REMIC uses a supportive structure where all interest and principal collections from the underlying bonds, the available funds, are distributed sequentially. Available funds will first pay fees, then interest or shortfalls on the class A notes, and then pay principal sequentially. To the extent that there is excess cash flow available at the Re-REMIC level, it is distributed to the most senior bond then outstanding until reduced to zero. Given the spread between the Re-REMIC coupons and underlying coupons, the inclusion of IO strips from the underlying deals and the most subordinate portion of the Re-REMIC being issued as PO bonds, excess interest is expected to be available in both a stress and base case environment. This structure is highly supportive of the rated A-1 and A-2 notes and will turbo down the bonds faster. In Fitch's cash flow analysis, a scenario with slow prepays, backloaded losses and declining interest rates was the most strenuous; otherwise, the credit enhancement levels on the notes have significant subordination cushion. The deal is structured to a subordinated step-up coupon on the A-1 and A-2 classes. As the step-up is paid at the bottom of the waterfall and there are adequate disclosures in the offering docs and not included as an event of default (EoD), Fitch did not look for these amounts to be repaid which is consistent with its approach in its "Global Structured Finance Rating Criteria." As a result, Fitch's rating opinion only addresses the ultimate receipt of all accrued interest, available funds shortfalls and principal payments to which the class A noteholders are entitled and does not address the subordinated step-up interest amounts. Noteholder Liquidation Event gives A-1 and A-2 noteholders optionality and voting rights. The class A-1 noteholder is either fully protected against losses or requires 100% consent, consistent with investment-grade ratings. The class A-2 noteholders have rights to consent the liquation, but there is a risk that the class A-2 could be subject to losses if the class A-1 noteholders consent. Fitch views this risk to be commensurate with speculative-grade ratings. Strong Performance to Date (Positive): The underlying bonds are predominantly from seasoned Mill City RPL transactions (47.8%), but also include NQM (15.6%), SPL (24.1%) and other RPL (12.6%) transactions. Three transactions, including Mill City Mortgage Loan Trust 2019-1, Mill City Mortgage Loan Trust 2019-GS2 and Mill City Mortgage Loan Trust 2021-NMR1, make up 38.7% of the underlying allocated debt. The Mill City RPL cohort has an average 12-month CPR of 5.1%. On average, these deals have also experienced 0.8% net losses and 1.6% are in the 90+ day significant delinquency bucket (including BK/FC/REO). The Mill City RPL transactions also have an average probability of default (PD) of 34.9% and 31.5% in the 'BBB-sf' and 'BBsf' stresses, respectively, loss severity (LS) of 35.8% and 33.2% in the 'BBB-sf' and 'BBsf' stresses, respectively, and average expected loss (XL) of 12.8% and 10.7% in the 'BBB-sf' and 'BBsf' stresses, respectively. Outside of the Mill City RPL, the remaining reperforming underlying deals are sourced from the New Residential (NRMLT) shelf. The collateral in these pools has experienced 70bp lower net losses, on average; however, the 90+ DQ concentration is 18bps higher. The tranches from the underlying NRMLT shelves have yet to receive principal payments and have a 100% tranche factor and a 12-month CPR of 4.6%. These other RPL transactions have an average PD of 30.5% and 27.2% in the 'BBB-sf' and 'BBsf' rating stresses, respectively, LS of 21.2% and 18.0% in the 'BBB-sf' and 'BBsf' rating stresses, respectively, and XL of 6.5% and 4.9% at the 'BBB-sf' and 'BBsf' rating stresses, respectively. The seasoned performing subset of the underlying deals is also sourced from NRMLT transactions and has experienced the largest paydown with a current average tranche factor (not including interest-only, excess or exchangeable classes) of 75.8%. Relative to the reperforming transactions, the seasoned deals have had faster prepayment rates with a 12-month CPR of 6.2% and 1.5% of its collateral in the 90+ -plus DQ bucket, but have experienced considerably higher losses with 1.3% net losses. The seasoned performing transactions have an average PD of 17.3% and 15.5% in the 'BBB-sf' and 'BBsf' rating stresses, respectively, LS of 19.4% and 16.1% in the 'BBB-sf' and 'BBsf' rating stresses, respectively, and 3.4% and 2.5% in the 'BBB-sf' and 'BBsf' rating stresses, respectively. The underlying NQM cohort is sourced from 11 different NQM aggregators and issuers. These tranches have experienced no base-class principal paydowns but one tranche from MCMLT 2023-NQM2 has experienced a nominal write-down. However, the underlying collateral from all NQM transactions have performed well. These deals have a 0.8% 90+ DQ with only 1bp of net losses, on average. The non-prime/NQM transactions have an average PD of 32.3% and 28.0% in the 'BBB-sf' and 'BBsf' rating stresses, respectively, LS of 29.7% and 26.4% in the 'BBB-sf' and 'BBsf' rating stresses, respectively, XL of 9.7% and 7.5% in the 'BBB-sf' and 'BBsf' rating stresses, respectively. For the Fitch-rated underlying deals in this transaction, the vast majority of transactions have experienced a decline in expected losses since issuance. Overall, losses are down 3.0% since issuance due to low delinquencies and home price appreciation. Average 30+ DQ% is 4.2% across the Fitch rated pools. Only one Fitch rated transaction has experienced an increase in expected losses. Mill City 2021-RS1 consisted of 50 classes (36 non-IO base classes) issued from nine unique Mill City transactions issued between 2017 and 2019. Of those 50 classes, 20 are being included in Mill City 2024-RS1. Underlying Bonds and Cash Flows (Negative): The underlying transactions primarily consist of sequential structures. The underlying bonds consist of a mix of bonds, but primarily of subordinate bonds (64), and also include 15 excess and IO bonds. Given the subordinate nature of the underlying REMICs, the ratings are limited to 'BBB-sf' and 'BBsf'. In Fitch's stressed scenarios the repayment of Re-REMIC notes is primarily based on principal and interest cash flows on the underlying subordinate bonds. There is modest credit given to the excess interest. Of the underlying tranches, 26 classes pass the 'BBsf' stress and 14 pass the 'BBB-sf' stress with 100% principal recovery expectations. The minimum principal recovery expectation for the 'BBsf' rating stress is 68.3% while the minimum for the 'BBB-sf' rating stress is 55.0%, which reconciles with the Re-REMIC credit enhancement. There are 17 base classes being modeled at a 0% principal recovery expectation which are mostly the most subordinate, first-loss pieces of the underlying transactions. Excess spread provides additional funds that can be used as support to turbo down the senior bonds and pay down principal. Updated Sustainable Home Prices (Negative): Fitch haircuts property values based on overvaluation at a local level to determine long-term sustainable values and determine sustainable LTVs (sLTV). Fitch views home price values on a national level as 11.5% above a long-term sustainable level as of 1Q24. The underlying pools in this transaction maintain a current weighted average base-case Fitch-calculated sLTV ratio of 54.8%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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 declines. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. At the 'BBB-sf' rating, a 10% MVD could result in a downgrade to 'B+sf', while a 20% or 30% MVD could result in a downgrade to a distressed rating. 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. The analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices could result in an upgrade from 'BBB-sf' to 'BBB+sf'. 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 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2024-4: Fitch Assigns 'B-sf' Rating on Cl. B-5 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-4 (MSRM 2024-4). Entity/Debt Rating Prior ----------- ------ ----- MSRM 2024-4 A-1 LT AAAsf New Rating AAA(EXP)sf A-X-IO1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-2-IO LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-IO LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-IO LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-IO LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-IO LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-IO LT AAAsf New Rating AAA(EXP)sf A-F LT AAAsf New Rating AAA(EXP)sf A-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-IO LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-IO LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-12-IO LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-IO LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-IO LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-3-A LT BBB-sf New Rating BBB-(EXP)sf B-3-X LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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 comprised of 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 305 prime-quality loans with a total balance of about $385.56 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 26.8% 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. After the presale report was published, the collateral was updated to reflect that one loan was dropped from the pool. The final pool now consists of 305 loans with a total outstanding balance of $385.56 million as of the cutoff date. In addition, the transaction was re-structured to reflect the updated collateral pool and certificate balances. Fitch re-analyzed the loss and cash flow analysis based on the updated pool and revised structure. The revised pool had no impact on Fitch's loss expectations and the losses remain the same as was disclosed in the presale report. Fitch was provided a revised structure which was confirmed to have sufficient credit enhancement to pass the previously assigned rating stresses. As a result, the final ratings remain unchanged from the expected ratings and the credit enhancement for each rating remains the same as was published in the presale report. 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, 56.3% 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 817), 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 (92.9%), 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 (305 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 264. The loan count concentration for this pool results in a 1.06x penalty, which increases loss expectations by 46 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. MOUNTAIN VIEW CLO XVIII: S&P Assigns BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Mountain View CLO XVIII Ltd./Mountain View CLO XVIII LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Seix Investment Advisors LLC, a division of Virtus Fixed Income Advisers LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Mountain View CLO XVIII Ltd./Mountain View CLO XVIII LLC Class X, $3.00 million: AAA (sf) Class A-1, $180.00 million: AAA (sf) Class A-2, $18.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $18.00 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $8.25 million: BB- (sf) Subordinated notes, $27.00 million: Not rated MOUNTAIN VIEW XVIII: S&P Assigns Prelim BB- (sf) Rating on E Debt ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mountain View CLO XVIII Ltd./Mountain View CLO XVIII LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Seix Investment Advisors LLC, a division of Virtus Fixed Income Advisers LLC. The preliminary ratings are based on information as of Sept. 26, 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 Mountain View CLO XVIII Ltd./Mountain View CLO XVIII LLC Class X, $3.00 million: AAA (sf) Class A-1, $180.00 million: AAA (sf) Class A-2, $18.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $18.00 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $8.25 million: BB- (sf) Subordinated notes, $27.00 million: Not rated NXPT COMMERCIAL 2024-STOR: Moody's Assigns (P)B2 Rating to F Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to seven classes of CMBS securities, to be issued by NXPT Commercial Mortgage Trust 2024-STOR, Commercial Mortgage Pass-Through Certificates, Series 2024-STOR. Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B2 (sf) Cl. HRR, Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage related to a portfolio of 61 self-storage properties located across 21 states. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. With respect to loan level diversity, the portfolio's property level Herfindahl score is 50.9. The ten largest properties represent 29.5% of the portfolio balance. The Moody's first mortgage actual DSCR is 1.15x and Moody's first mortgage actual stressed DSCR is 0.70x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $750,000,000 represents a Moody's LTV ratio of 130.4%. Moody's LTV ratio is based on Moody's Value. The Moody's adjusted LTV is 119.0% and is based on Moody's adjusted Moody's value taking in to account the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's weighted average property quality grade is 1.5. Notable strengths of the transaction include: (i) Recently built, (ii) Strong operating performance, (iii) Strong area demographics, (iv) Portfolio diversity Notable concerns of the transaction include: (i) High Moodys LTV, (ii) Interest only loan profile, (iii) Release provisions. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. OAKTREE CLO 2019-2: S&P Assigns BB- (sf) Rating on Class D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1aRR, A-2RR, B-RR, C-1AR, C-1BR, C-2R, and D-R replacement debt from Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC, a CLO which was first refinanced in April 2021 and originally issued in May 2019. At the same time, S&P withdrew its ratings on the original class A-1ar, A-1br, A-2R, BR, C, and D debt following payment in full on the Sept. 30, 2024, refinancing date. S&P Global Ratings is not assigning a rating to the class A-1b-RR debt. The transaction is managed by Oaktree Capital Management L.P. S&P previously assigned a preliminary rating to the class C-R replacement debt, but the capital structure has since been revised to class C-1AR, C-1BR, and C-2R replacement debt instead. 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 Oct. 15, 2026. -- The reinvestment period was extended to Oct. 15, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to Oct. 15, 2037, provided that the class A-1aRR notes' stated maturity is Oct 15, 2036. -- No additional assets were purchased on the Sept. 30, 2024, refinancing date, and the target initial par amount was decreased to $450 million. -- There were no additional effective date or ramp-up periods, and the first payment date following the refinancing is Jan. 15, 2025. -- The required minimum overcollateralization ratios were amended. -- $20 million in 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 recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC Class A-1aRR, $274.5 million: AAA (sf) Class A-2RR, $36.0 million: AA (sf) Class B-RR (deferrable), $27.0 million: A (sf) Class C-1AR (deferrable), $12.5 million: BBB (sf) Class C-1BR (deferrable), $10.0 million: BBB (sf) Class C-2R (deferrable), $9.0 million: BBB- (sf) Class D-R (deferrable), $13.5 million: BB- (sf) Ratings Withdrawn Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC Class A-1aR to not rated from 'AAA (sf)' Class A-1bR to not rated from 'AAA (sf)' Class A-2R to not rated from 'AA (sf)' Class BR to not rated from 'A (sf)' Class C to not rated from 'BBB- (sf)' Class D to not rated from 'BB- (sf)' Other Debt Oaktree CLO 2019-2 Ltd./Oaktree CLO 2019-2 LLC Class A-1bRR, $31.5 million: Not rated Subordinated notes, $67.2 million: Not rated OCTANE RECEIVABLES 2023-3: S&P Affirms BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on five classes of notes and affirmed its ratings on 10 classes of notes from three Octane Receivables Trust (OCTL) transactions. The rating actions reflect: -- The transactions' structures, collateral performance to date, its remaining cumulative gross loss (CGL) expectations regarding future collateral performance, and level of credit enhancement to date; -- Secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. The OCTL 2023-1, 2023-2, and 2023-3 transactions are each performing worse than our prior lifetime expected CGLs (ECGLs) for the transactions. The OCTL 2023-3 transaction, while seeing elevated losses relative to our original loss expectations, is exhibiting slightly better performance than the 2023-1 and 2023-2 transactions. The performance of powersports collateral is subject to seasonal trends, which generally leads to stronger credit performance during the late spring through summer and weaker performance in the winter months. The effects of seasonality, normalizing economic conditions since the COVID-19 pandemic, and recent economic headwinds, including inflationary pressures, were key considerations in our review. Based on these factors and the transactions' performance to date, S&P increased its ECGLs for each of the transactions under review. S&P said, "Lifetime cumulative recoveries for the three OCTL transactions under review are trending slightly below our original base case expectations but remain above our haircut-stressed recovery rates for all the transactions. Historically, we've used a base case recovery rate assumption of 35% for OCTL transactions based on performance of the company's managed portfolio, static pools, and OCTL series. The recovery rate assumption gives no credit to the elevated recovery rates experienced following the COVID-19 pandemic, which were driven by supply constraints in the powersport market that have since subsided. "We expect that over time the cumulative realized recovery rate will trend toward our base case. As such, we have maintained our original base case recovery rate assumptions. We maintained our original rating-specific recovery rate haircuts for the 2023-2 and 2023-3 transactions ranging from 40% to 20% for the 'AAA (sf)' to 'BB (sf)' rating categories, respectively. Given the degree of pool amortization in the 2023-1 transaction, we reduced our ratings-specific haircut by 5% for that transaction." Table 1 Collateral performance (%)(i) Pool 61+ days Series Mo.(i) factor delinq. Ext. CGL CRR CNL 2023-1 19 56.32 1.14 1.19 5.37 28.73 3.83 2023-2 16 64.32 1.05 1.06 4.49 28.24 3.22 2023-3 12 70.51 1.02 1.01 2.60 24.72 1.95 (i)As of the September 2024 distribution date. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CGL expectations (%) Original Revised lifetime lifetime Series CGL exp. CGL exp.(i) 2023-1 7.25-7.75 10.75-11.25 2023-2 8.50-9.00 10.75-11.25 2023-3 8.25-8.75 10.00-10.50 (i)Revised September 2024. CGL exp.--Cumulative gross loss expectations. In spite of losses trending higher for each of the transactions, credit enhancement continues to grow as the pool amortizes. The transactions contain a sequential principal payment structure in which the notes are paid principal by seniority. Each transaction has credit enhancement consisting of a nonamortizing reserve account, overcollateralization, subordination for senior classes, and excess spread. As of the September 2024 distribution date, the transactions' reserve account and overcollateralization amounts were at their requisite levels. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance, as of the September 2024 distribution date, compared with our expected remaining losses, is commensurate with each respective rating. Table 3 Hard credit support(i) Total hard current Current total hard credit support credit support Series Class at issuance (%) (% of current)(ii) 2023-1 A 31.00 57.08 2023-1 B 22.75 42.43 2023-1 C 14.55 27.88 2023-1 D 7.15 14.74 2023-1 E 3.35 7.99 2023-2 A-2 38.00 62.18 2023-2 B 27.45 45.78 2023-2 C 14.70 25.96 2023-2 D 8.45 16.25 2023-2 E 2.50 7.00 2023-3 A-2 31.20 46.37 2023-3 B 23.30 35.17 2023-3 C 15.65 24.32 2023-3 D 8.35 13.97 2023-3 E 3.00 6.38 (i)Calculated as a percentage of the total receivables pool balance, which consists of overcollateralization, reserve account, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. (ii)As of the September 2024 distribution date. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for the classes where hard credit enhancement alone--without credit to any excess spread--was sufficient, in our view, to raise or affirm the ratings at the 'AAA (sf)' level. For the other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. "Our cash flow scenarios included our current economic outlook, forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the raised and affirmed rating levels. We will continue to monitor the transactions' performance to ensure that the credit enhancement remains consistent with the assigned ratings." RATINGS RAISED Octane Receivables Trust Rating Series Class To From 2023-1 B AAA (sf) AA (sf) 2023-1 C AA- (sf) A (sf) 2023-2 B AAA (sf) AA+ (sf) 2023-2 C AA- (sf) A (sf) 2023-2 D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Octane Receivables Trust Series Class Rating 2023-1 A AAA (sf) 2023-1 D BBB (sf) 2023-1 E BB (sf) 2023-2 A-2 AAA (sf) 2023-2 E BB (sf) 2023-3 A-2 AAA (sf) 2023-3 B AA (sf) 2023-3 C A (sf) 2023-3 D BBB (sf) 2023-3 E BB- (sf) OHA CREDIT FUNDING 9: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R replacement debt from OHA Credit Funding 9 Ltd./OHA Credit Funding 9 LLC, a CLO originally issued in June 2021 that is managed by Oak Hill Advisors L.P. S&P Global Ratings did not rate the class A-2-R replacement debt. At the same time, S&P withdrew its ratings on the original class A-1, B, C, D, and E debt following payment in full on the Oct. 2, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R notes were issued at a lower spread or coupons replacing the floating spreads, as applicable. S&P Global Ratings did not rate the A-2-R notes. -- The non-call period was extended to Oct. 2, 2026. -- The reinvestment period was extended to Oct. 19, 2029. -- The stated maturity (for the replacement debt and the existing subordinated notes) will be Oct. 19, 2037. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OHA Credit Funding 9 Ltd./OHA Credit Funding 9 LLC Class A-1-R, $370.5 million: AAA (sf) Class A-2-R, $34.5 million: Not rated Class B-1-R, $36.0 million: AA (sf) Class B-2-R, $15.0 million: AA (sf) Class C-R (deferrable), $36.0 million: A (sf) Class D-1-R (deferrable), $36.0 million: BBB- (sf) Class D-2-R (deferrable), $6.0 million: BBB- (sf) Class E-R (deferrable), $18.0 million: BB- (sf) Ratings Withdrawn OHA Credit Funding 9 Ltd./OHA Credit Funding 9 LLC Class A-1 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Outstanding Debt OHA Credit Funding 9 Ltd./OHA Credit Funding 9 LLC Subordinated notes, $48.5 million: Not rated ONITY LOAN 2024-HB2: DBRS Finalizes B Rating on Class M5 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Notes, Series 2024-HB2 issued by Onity Loan Investment Trust 2024-HB2 as follows: -- $218.4 million Class A at AAA (sf) -- $34.6 million Class M1 at AA (low) (sf) -- $25.9 million Class M2 at A (low) (sf) -- $25.8 million Class M3 at BBB (low) (sf) -- $25.9 million Class M4 at BB (low) (sf) -- $17.2 million Class M5 at B (sf) The AAA (sf) credit rating reflects 38.55% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 28.81%, 21.52%, 14.26%, 6.98%, and 2.14% 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 a period of 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 $355.39 million in unpaid principal balance from 1,078 performing and nonperforming home equity conversion mortgage reverse mortgage loans and real estate owned assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. The mortgage assets were originated between 2003 and 2021. Of the total assets, 414 have a fixed interest rate (44.48% of the balance), with a 5.48% weighted-average coupon (WAC). The remaining 664 assets have floating-rate interest (55.52% of the balance) with a 7.39% WAC, bringing the entire collateral pool to a 6.54% WAC. 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. Classes M1, M2, M3, M4, and M5 (together, the Class M Notes) have principal lockout 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 M4 and M5 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 Certificates are the related Interest Payment Amount, Cap Carryover Amount, and Note Amount. Notes: All figures are in U.S. dollars unless otherwise noted. ORCHARD PARK: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Orchard Park CLO Ltd./Orchard 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 Oct. 1, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Orchard Park CLO Ltd./Orchard Park CLO LLC Class A, $310.00 million: AAA (sf) Class B-1, $60.00 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), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes $48.10 million: Not rated OZLM LTD XXII: Moody's Cuts Rating on $9.6MM Class E Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by OZLM XXII, Ltd.: US$28.8M Class B Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Aug 3, 2023 Upgraded to Aa3 (sf) US$28.8M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Aug 10, 2020 Confirmed at Baa3 (sf) US$9.6M Class E Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Aug 3, 2023 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$312M (Current outstanding amount US$148,143,396) Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 22, 2018 Assigned Aaa (sf) US$48M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 3, 2023 Upgraded to Aaa (sf) US$24M Class D Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 10, 2020 Confirmed at Ba3 (sf) OZLM XXII, Ltd., originally issued in February 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sculptor CLO Management LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrades on the Class B and Class C notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio over the last 12 months. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio over the last 12 months. The Class A-1 notes have paid down by approximately USD 115.1 million (36.9% of original balance) over the last 12 months. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A, Class B and Class C. According to the trustee report dated September 2024 [1] the Class A, Class B and Class C OC ratios are reported at 147.43%, 128.55% and 113.96%, compared to September 2023 [2] levels of 133.03%, 121.76% and 112.25%, respectively. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated September 2023 [2], the WARF was 2795, compared with 3190 in September 2024 [1]. Securities with ratings of Caa1 or lower currently make up approximately 7.4% of the underlying portfolio, as per the September 2024 report [1], versus 3.4% in September 2023 [2]. Additionally, the Class D OC ratio decreased from 105.40% in September 2023 [2] to 104.11% in September 2024 [1], Moody's note that the Class D OC ratio is currently failing. While the transaction doesn't have an explicit Class E OC ratio, its implicit level has also decreased following the loss of par. The affirmations on the ratings on the Class A-1, Class A-2 and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Key model inputs: The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD 294.4m Defaulted Securities: USD 1.3m Diversity Score: 63 Weighted Average Rating Factor (WARF): 2910 Weighted Average Life (WAL): 3.54 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.15% Weighted Average Recovery Rate (WARR): 46.42% Par haircut in OC tests and interest diversion test: 2.17% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PALMER SQUARE 2023-4: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-L, 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 2023-4 Ltd./Palmer Square CLO 2023-4 LLC, a CLO originally issued in 2023 that is managed by Palmer Square Capital Management LLC. The preliminary ratings are based on information as of Oct. 1, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 21, 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 Oct. 20, 2026. -- The reinvestment period will be extended to Oct. 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Oct. 20, 2037. -- The target initial par amount will remain at $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-L loans, $172.0 million: Three-month CME term SOFR + 1.36% -- Class A-1-R, $148.0 million: Three-month CME term SOFR + 1.36% -- Class A-2-R, $7.5 million: Three-month CME term SOFR + 1.60% -- Class B-R, $52.5 million: Three-month CME term SOFR + 1.70% -- Class C-R (deferrable), $30.0 million: Three-month CME term SOFR + 1.85% -- Class D-1-R (deferrable), $30.0 million: Three-month CME term SOFR + 2.95% -- Class D-2-R (deferrable), $5.0 million: Three-month CME term SOFR + 4.15% -- Class E-R (deferrable), $15.0 million: Three-month CME term SOFR + 5.50% -- Subordinated notes, $42.5 million: Not applicable Original debt -- Class A, $330.0 million: Three-month CME term SOFR + 1.55% -- Class B, $50.0 million: Three-month CME term SOFR + 2.15% -- Class C (deferrable), $35.0 million: Three-month CME term SOFR + 2.60% -- Class D (deferrable), $30.0 million: Three-month CME term SOFR + 4.25% -- Class E (deferrable), $12.5 million: Three-month CME term SOFR + 6.75% -- Subordinated notes, $42.5 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Palmer Square CLO 2023-4 Ltd./Palmer Square CLO 2023-4 LLC Class A-1-L loans, $172.0 million: AAA (sf) Class A-1-R, $148.0 million: AAA (sf) Class A-2-R, $7.5 million: AAA (sf) Class B-R, $52.5 million: AA (sf) Class C-R (deferrable), $30.0 million: A (sf) Class D-1-R (deferrable), $30.0 million: BBB- (sf) Class D-2-R (deferrable), $5.0 million: BBB- (sf) Class E-R (deferrable), $15.0 million: BB- (sf) Other Debt Palmer Square CLO 2023-4 Ltd./Palmer Square CLO 2023-4 LLC Subordinated notes, $42.5 million: Not rated PFP LTD 2022-9: Fitch Affirms B-sf Rating on Class G Debt --------------------------------------------------------- Fitch Ratings has affirmed all classes of PFP 2022-9, Ltd. The Rating Outlook remains Stable for all classes. Entity/Debt Rating Prior ----------- ------ ----- PFP 2022-9 A 69291QAA3 LT AAAsf Affirmed AAAsf A-S 69291QAC9 LT AAAsf Affirmed AAAsf B 69291QAE5 LT AA-sf Affirmed AA-sf C 69291QAG0 LT A-sf Affirmed A-sf D 69291QAJ4 LT BBBsf Affirmed BBBsf E 69291QAL9 LT BBB-sf Affirmed BBB-sf F 69291RAA1 LT BB-sf Affirmed BB-sf G 69291RAC7 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance Remains Within Issuance Expectations: The affirmations reflect that overall performance of the underlying collateral and the progression of sponsors' business plans remain in line with Fitch's analysis at issuance and at the last rating action. While five loans (21.5% of the pool) are on the watchlist, four of which are due to the loan being past maturity (the largest loan, The M3 Portfolio) or nearing their upcoming maturity dates, the loans have available extension options. In addition, the transaction has experienced increased credit enhancement (CE) since issuance. Fitch's current ratings incorporate a 'Bsf' rating case loss of 11.05%. Largest Loans: The M3 Portfolio (10.8% of the pool) is categorized as a non-performing matured loan as it did not pay off at the August 2024 maturity date. However, the borrower and the lender have reached an agreement to extend the term six months. The borrower has purchased a 3.00% SOFR cap, and deposited $4 million into the carry reserve. The borrower will also be allowed to exercise an additional six-month extension with the same terms. The collateral consists of three early 1980s vintage, garden-style apartment properties totaling 1,134 units and located in three different submarkets of Houston, TX. The full loan amount is now $87.51 million ($77,169 per unit) but had an original trust cutoff balance of $70.5 million ($62,169/unit), which was used to acquire the portfolio for $108 million ($95,238/unit). The additional funding was made available for the sponsor's capital improvement plan. The M3 Portfolio reported a decline in occupancy of 75.7% as of July 2024, compared with 83.3% in October 2022. The Vines at Riverpark (8.6%) is a 164-unit townhouse community in Oxnard, CA. The trust cutoff balance is $69.75 million ($425,305 per unit). The borrower used the loan to purchase the property for $93 million ($567,073/unit), pay for closing costs and injected an equity contribution of $27.4 million ($167,145/unit) at closing. The Vines at Riverpark reported an occupancy of 96.3% as of July 2024, compared with 94.51% in October 2022. The Latitude at Presidio (8.6%) is a 377-unit multifamily property located in Austin, TX. The trust cutoff balance is $69.3 million ($205,638 per unit). The borrower used the loan to purchase the property for $99.7 million ($295,972 per unit), fund reserves of $1.5 million for carrying costs and $576,024 for capital improvements and injected an equity contribution of $35.8 million ($94,944 per unit) at closing. The Latitude at Presidio reported an occupancy of 96.1% as of July 2024, compared with 92.28% in October 2022. On Sept. 9, 2024 the borrower purchased a new rate cap at a 3.25% strike and made a deposit of $2,389,702.54 to the carry reserve to achieve the 1.10x DSCR test and extended the loan until Sept. 9, 2025. Collateral Attributes: The pool is secured by properties that have not yet completely stabilized, are in varying stages of lease-up or are undergoing renovation. The associated risks, including cash flow interruption during renovation, lease-up and completion, are mitigated by experienced sponsorship, credible business plans and loan structural features that include guaranties, reserves, cash management and performance triggers, and additional funding mechanisms. Loan Structure: The loans in the pool are typically structured with two-year initial terms, with three one-year extension options which are subject to, in most cases, a minimum DSCR test. Increase in CE Since Issuance: Four loans representing 16.5% of the pool balance have paid off since issuance. An additional 17 loans, including the largest loan The M3 Portfolio, have increased their loan balances since the cut-off date through future funding enabling them to effect their properties' business plans. The net paydown to the trust is 10.3% of the original balance resulting in improved CE since issuance. The pool consists of mainly full-term IO loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not expected due to their increasing CE and continued expected amortization and paydown but could occur if interest shortfalls affect these classes or if expected pool losses increase significantly. Classes rated in the 'AAsf' through 'BBBsf' categories may be downgraded should overall pool losses increase significantly from performance deterioration, if sponsors' business plans are not executed as expected and/or one or more underperforming loans incur an outsized loss, which would erode CE. Downgrades to the classes in the 'BBsf' and 'Bsf' rating categories would occur with a greater certainty of losses and/or as losses are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may occur with significant improvement in CE due to loan payoffs; however, adverse selection and increased concentrations could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. Upgrades to classes rated 'BBBsf' and below may occur with sustained improved performance and loss expectations since issuance. 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. PIKES PEAK 1: Moody's Affirms Ba3 Rating on $20.5MM Class E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Pikes Peak CLO 1: US$48M Class B Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jun 22, 2018 Assigned Aa2 (sf) US$19.25M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jun 22, 2018 Assigned A2 (sf) Moody's have also affirmed the ratings on the following notes: US$256M (Current outstanding amount US$183,520,599) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 22, 2018 Assigned Aaa (sf) US$24.25M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Aug 11, 2020 Confirmed at Baa3 (sf) US$20.5M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 11, 2020 Confirmed at Ba3 (sf) Pikes Peak CLO 1, issued in June 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Partners Group US Management CLO LLC. The transaction's reinvestment period ended in June 2023. RATINGS RATIONALE The rating upgrades on the Class B and C notes are primarily a result of the deleveraging of the Class A senior notes following amortisation of the underlying portfolio since the payment date in January 2024. The affirmations on the ratings on the Class A, D and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD72.48 million (28.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated August 2024 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 135.0%, 124.6%, 113.6% and 105.7% compared to August 2023 [2] levels of 129.3%, 121.6%, 113.1% and 106.8%, respectively. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD314.1m Defaulted Securities: USD1.58m Diversity Score: 56 Weighted Average Rating Factor (WARF): 3070 Weighted Average Life (WAL): 3.6 years Weighted Average Spread (WAS)): 3.49% Weighted Average Coupon (WAC): 2.00% Weighted Average Recovery Rate (WARR): 46.62% Par haircut in OC tests and interest diversion test: 0.84% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance methodology" published in October 2023. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PIKES PEAK 5: Fitch Assigns 'B-(EXP)sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 5 reset transaction. Entity/Debt Rating ----------- ------ Pikes Peak CLO 5 X LT NR(EXP)sf Expected Rating A-1R LT AAA(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating F-R LT B-(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 5 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $396 million of primarily first-lien senior secured leveraged loans (excluding defaulted obligations). KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.52 versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.53% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.28% versus a minimum covenant, in accordance with the initial expected matrix point of 71.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, between less than 'B-sf' and 'B+sf' for class E-R, and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, 'BBB+sf' for class E-R, and 'BBB-sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 5. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RADNOR RE 2024-1: Moody's Assigns B3 Rating to Cl. M-1C Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to three classes of mortgage insurance-linked notes issued by Radnor Re 2024-1 Ltd. The securities reference a pool of mortgage insurance policies issued by Essent Guaranty, Inc., the ceding insurer, on a portfolio of mortgage loans predominantly acquired by Fannie Mae and Freddie Mac, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Radnor Re 2024-1 Ltd. CI. M-1A, Definitive Rating Assigned Ba3 (sf) CI. M-1B, Definitive Rating Assigned B2 (sf) CI. M-1C, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 3.65%, in a baseline scenario-median is 2.87% and reaches 26.45% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. RCKT 2024-CES7: Fitch Assigns 'B+sf' Rating on Five Tranches ------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES7 (RCKT 2024-CES7). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2024-CES7 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-2 LT B+sf New Rating B(EXP)sf B-2A LT B+sf New Rating B(EXP)sf B-2B LT B+sf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-X-2A LT B+sf New Rating B(EXP)sf B-X-2B LT B+sf New Rating B(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf 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. The final rating of 'B+sf' on the B-2, B-2A, B-2B, B-X-2A and B-X-2B classes is higher than the expected rating of 'Bsf' due to the higher amount of excess interest available to cover losses post pricing compared to Fitch's initial analysis. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): 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. RR 31: Fitch Assigns 'BB+sf' Rating on Cl. D Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 31 LTD. Entity/Debt Rating ----------- ------ RR 31 LTD A-1a LT AAAsf New Rating A-1b LT AAAsf New Rating A-2 LT AA+sf New Rating B LT A+sf New Rating C-1 LT BBB+sf New Rating C-2 LT BBBsf New Rating C-3 LT BBB-sf New Rating D LT BB+sf New Rating E LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary RR 31 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management 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. 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 97.45% first-lien senior secured loans and has a weighted average recovery assumption of 74.98%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-1a, between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'AA-sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BBB-sf' for class C-1, between less than 'B-sf' and 'BB+sf' for class C-2, between less than 'B-sf' and 'BB+sf' for class C-3, and between less than 'B-sf' and 'BB-sf' for class D notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a and class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AA+sf' for class B, 'A+sf' for class C-1, 'A+sf' for class C-2, 'Asf' for class C-3, and 'BBB+sf' for class D. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RR 31 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. SANDSTONE PEAK: S&P Affirms 'BB- (sf)' Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-1-R, and D-R debt replacement debt from Sandstone Peak Ltd./Sandstone Peak LLC, a CLO originally issued in November 2021 that is managed by Beach Point CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A-1, B-1, and D debt following payment in full on the Sept. 27, 2024 refinancing date (S&P did not rate the original class A-2 note). S&P also affirmed its ratings on the class B-2, C, and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 15, 2026, for the class A-1-R debt and Oct. 15, 2026, for the class A-2-R, B-1-R, and D-R debt -- No additional assets were purchased on the Sept. 27, 2024 refinancing date, and the target initial par amount remains at $450,000,000. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2024. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $279.00 million: Three-month CME term SOFR + 1.28% -- Class A-2-R, $9.00 million: Three-month CME term SOFR + 1.68% -- Class B-1-R, $46.50 million: Three-month CME term SOFR + 1.83% -- Class D-R (deferrable), $24.75 million: Three-month CME term SOFR + 3.35% Original debt -- Class A-1, $279.00 million: Three-month CME term SOFR + 1.22% + CSA(i) -- Class A-2, $9.00 million: Three-month CME term SOFR + 1.60% + CSA(i) -- Class B-1, $46.50 million: Three-month CME term SOFR + 1.80% + CSA(i) -- Class B-2, $7.50 million: 3.192% -- Class C (deferrable), $27.00 million: Three-month CME term SOFR + 2.35% + CSA(i) -- Class D (deferrable), $24.75 million: Three-month CME term SOFR + 3.55% + CSA(i) -- Class E (deferrable), $16.88 million: Three-month CME term SOFR + 6.80% + CSA(i)BB- (sf) -- Subordinated notes, $43.35 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Sandstone Peak Ltd./Sandstone Peak LLC Class A-1-R, $279.00 million: AAA (sf) Class A-2-R, $9.00 million: AAA (sf) Class B-1-R, $46.50 million: AA (sf) Class D-R (deferrable), $24.75 million: BBB (sf) Ratings Withdrawn Sandstone Peak Ltd./Sandstone Peak LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class D to NR from 'BBB (sf)' Ratings Affirmed Sandstone Peak Ltd./Sandstone Peak LLC Class B-2: 'AA (sf)' Class C: 'A (sf)' Class E: 'BB- (sf)' Other Debt Sandstone Peak Ltd./Sandstone Peak LLC Subordinated notes, $43.35 million: NR NR--Not rated. SARANAC CLO VII: Moody's Cuts Rating on $19MM Cl. E-R Notes to Ca ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Saranac CLO VII Limited: US$20,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Upgraded to Aa1 (sf); previously on August 8, 2023 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$19,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Downgraded to Ca (sf); previously on July 14, 2020 Downgraded to Caa1 (sf) Saranac CLO VII Limited, originally issued in April 2014 and refinanced in November 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 November 2021. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2023. The Class A-1A-R and Class A-1F-R notes have been completely paid down and the Class A-2-R notes have been paid down by approximately 44.7% or $10.3 million since then. Based on Moody's calculation, the OC ratio for the Class C-R notes is currently 149.88%, versus August 2023 level of 127.44% The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's August 2024 report, the OC ratio for the Class E-R notes is reported [1] at 94.42%% versus August 2023 [2] level of 103.89%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and is currently 3683 compared to 3493 in August 2023. No actions were taken on the Class A-2-R, Class B-R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $93,636,561 Defaulted par: $14,251,493 Diversity Score: 34 Weighted Average Rating Factor (WARF): 3683 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.17% Weighted Average Recovery Rate (WARR): 49.4% Weighted Average Life (WAL): 2.63 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SCF EQUIPMENT 2022-1: Moody's Ups Rating on Class E Notes to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded five classes of notes issued by SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 L.P. (SCF 2021-1) and SCF Equipment Leasing 2022-1 LLC/SCF Equipment Leasing Canada 2022-1 Limited Partnership (SCF 2022-1). These transactions are backed by equipment loans and leases and owner-occupied commercial real estate loans and serviced by Stonebriar Commercial Finance LLC (Stonebriar). The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership Class E Notes, Upgraded to Aa2 (sf); previously on May 16, 2024 Upgraded to Aa3 (sf) Issuer: SCF Equipment Leasing 2022-1 LLC/SCF Equipment Leasing Canada 2022-1 Limited Partnership Class C Notes, Upgraded to Aa2 (sf); previously on May 16, 2024 Upgraded to Aa3 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on May 16, 2024 Upgraded to Baa2 (sf) Class E Notes, Upgraded to Ba1 (sf); previously on Feb 23, 2022 Definitive Rating Assigned Ba2 (sf) Class F Notes, Upgraded to Ba3 (sf); previously on Feb 23, 2022 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating actions primarily reflect build-up in credit enhancement levels in the transactions due to deleveraging from sequential pay structures and steady performance with no cumulative net losses since their closing. Other considerations include the specific concentrations and residual risks associated with the transactions, inclusion of participation agreements, volatility in recoveries and projected asset values, and macroeconomic outlooks. The transactions are also supported by overcollateralization (OC) that builds to a target and reserve accounts. High level of pool concentrations in the transactions to large obligors poses potentially higher performance volatility because any default of a large obligor could have a material impact on expected losses to noteholders. The top obligor concentration in the pools ranges from approximately 13% to 17% and top 10 obligor concentration in the pools ranges from 76% to 83%. Securitized residuals currently account for about 17% to 31% of the pools. Over time, the age of the asset valuations may lead to volatility in the determination of recovery values of the loans and leases backing the transaction. To take this into consideration, Moody's performed sensitivity analysis on the projected future asset values received at the closing of the transaction. Certain contracts in the pools are participation agreements which are ownership interests in the cash flows and therefore noteholders will, for the most part, not have control over the underlying contracts. Furthermore, collections of the cash flows from participations may be commingled with Stonebriar before being remitted to the lockbox account for the benefit of the issuers. Moody's analyzed this risk mainly by applying stresses to the default probability, if applicable, and recovery rate of these contracts. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. In addition, faster than expected reduction in residual value exposure could prompt upgrade of ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. SIGNAL PEAK 7: S&P Assigns B- (sf) Rating on Class F-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R replacement debt and the new class F-R debt from Signal Peak CLO 7 Ltd./Signal Peak CLO 7 LLC (formerly Mariner CLO 7 Ltd./Mariner CLO 7 LLC), a CLO managed by ORIX Advisers LLC, a wholly owned subsidiary of ORIX Corp. USA. that was originally issued in May 2019. The class A (loans and notes) and E debt were not previously rated. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month SOFR than the original debt, and the new class F-R debt was issued on the refinancing date. -- The replacement class D-2R debt was issued at a fixed coupon, replacing a portion of the current floating-spread class D debt. -- The stated maturity and reinvestment periods were each extended five years. -- The non-call period was extended to Sept. 20, 2026. -- The concentration limitations of the collateral portfolio's investment guidelines were amended. -- The overcollateralization tests and the interest diversion test were amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Signal Peak CLO 7 Ltd./Signal Peak CLO 7 LLC Class A-1R, $240.00 million: AAA (sf) Class A-2R, $29.00 million: AAA (sf) Class B-R, $35.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB- (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Class F-R (deferrable), $8.45 million: B- (sf) Subordinated notes, $50.07 million: NR Ratings Withdrawn Signal Peak CLO 7 Ltd./Signal Peak CLO 7 LLC Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' NR--Not rated. SILVER ROCK IV: S&P Assigns BB- (sf) Rating on Class E Debt ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Silver Rock CLO IV Ltd./Silver Rock CLO IV LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Silver Rock Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Silver Rock CLO IV Ltd./Silver Rock CLO IV LLC Class X, $4.00 million: AAA (sf) Class A, $252.00 million: AAA (sf) Class B-1, $37.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C-1 (deferrable), $21.50 million: A (sf) Class C-2 (deferrable), $2.50 million: A (sf) Class D-1 (deferrable), $16.00 million: BBB+ (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $28.60 million: Not rated SIXTH STREET XXI: 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-2-R, and E-R notes and class A loans from Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC, a CLO originally issued in November 2022 that is managed by Sixth Street CLO XXI Management LCC. The preliminary ratings are based on information as of Sept. 27, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 15, 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 Oct. 21, 2026. -- The reinvestment period will be extended to Oct. 21, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Oct. 21, 2038. -- The target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 21, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The original class B notes will be replaced by the class B-1-R and B-2-R notes, and the original class D notes will be replaced by the class D-1-R and D-2-R notes. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. 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 Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC Class A loans, $171.00 million: AAA (sf) Class A-R, $81.00 million: AAA (sf) Class B-1-R, $40.00 million: AA+ (sf) Class B-2-R, $12.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $2.40 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Other Debt Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC Subordinated notes, $42.50 million: Not rated SOUND POINT 40: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sound Point CLO 40, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Sound Point CLO 40, Ltd. A-1L LT NRsf New Rating NR(EXP)sf A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA+sf New Rating AA+(EXP)sf B-2 LT NRsf New Rating NR(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 Sound Point CLO 40, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.24 versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.55% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.69% versus a minimum covenant, in accordance with the initial expected matrix point of 70.2%. Portfolio Composition (Neutral): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BBBsf' and 'AA+sf' for class B-1 notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'BB+sf' for class E notes. 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 notes, 'AA+sf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E 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, 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. Date of Relevant Committee 20 September 2024 ESG Considerations Fitch does not provide ESG relevance scores for Sound Point CLO 40, 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. SYMPHONY CLO 36: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-1-R, 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 replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-1-R, C-R, and E-R debt were issued at a lower spread over three-month SOFR than the original debt, and the replacement class B-2-R debt was 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 were issued to replace the current class D debt. -- The stated maturity and non-call period were extended by two years, while the reinvestment period was extended by three years. -- The target par amount increased 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." 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) Ratings Withdrawn Symphony CLO 36 Ltd./Symphony CLO 36 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable to NR from 'BBB- (sf)' Class E (deferrable to NR from 'BB- (sf)' Other Debt Symphony CLO 36 Ltd./Symphony CLO 36 LLC Subordinated notes, $32.90 million: NR NR--Not rated. SYMPHONY CLO XXII: S&P Affirms BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1A-R, B-R, C-R, and D-R replacement debt, and the MASCOT notes associated with each replacement class, from Symphony CLO XXII Ltd./Symphony CLO XXII LLC, a CLO originally issued in March 2020 that is managed by Nuveen Asset Management LLC (successor to Symphony Asset Management LLC). At the same time, S&P withdrew our ratings on the original class A-1A, B, C, and D dts, and the MASCOT notes associated with each class, following payment in full on the Sept. 26, 2024, refinancing date. S&P also affirmed its ratings on the class A-1B and E debt, which were not refinanced, and the MASCOT notes associated with class A-1B. We did not rate the replacement class A-2-R debt. 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 June 26, 2025, for the replacement debt. Replacement And Original Debt Issuances Replacement debt(i) -- Class A-1A-R, $228 million: Three-month CME term SOFR + 1.18% -- Class A-2-R, $8 million: Three-month CME term SOFR + 1.45% -- Class B-R, $48 million: Three-month CME term SOFR + 1.68% -- Class C-R (deferrable), $26 million: Three-month CME term SOFR + 2.10% -- Class D-R (deferrable), $22 million: Three-month CME term SOFR + 3.30% Original debt(i) -- Class A-1A, $228 million: Three-month CME term SOFR + 1.29% + CSA(ii) -- Class A-2, $8 million: Three-month CME term SOFR+ 1.60% + CSA(ii) -- Class B, $48 million: Three-month CME term SOFR+ 1.70% + CSA(ii) -- Class C (deferrable), $26 million: Three-month CME term SOFR+ 2.15%+ CSA(ii) -- Class D (deferrable), $22 million: Three-month CME term SOFR + 3.15% + CSA(ii) (i)The MASCOT note details are provided in the ratings list. (ii)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 Symphony CLO XXII Ltd./Symphony CLO XXII LLC Class A-1A-R(i), $228.0 million: AAA(sf) Class B-R(i), $48.0 million: AA(sf) Class C-R (deferrable)(i), $26.0 million: A(sf) Class D-R (deferrable)(i), $22.0 million: BBB-(sf) Exchangeable note combinations(ii) Combination 17 Class A-1A-1(iii), $228.0 million(iv): AAA (sf) Class A-1A-1X(v), not applicable: AAA (sf) Combination 18 Class A-1A-2(iii), $228.0 million(iv): AAA (sf) Class A-1A-2X(v), not applicable: AAA (sf) Combination 19 Class A-1A-3(iii), $228.0 million(iv): AAA (sf) Class A-1A-3X(v), not applicable: AAA (sf) Combination 20 Class A-1A-4(iii), $228.0 million(iv): AAA (sf) Class A-1A-4X(v), not applicable: AAA (sf) Combination 21 Class B-1(iii), $48.0 million(iv): AA (sf) Class B-1X(v), not applicable: AA (sf) Combination 22 Class B-2(iii), $48.0 million(iv): AA (sf) Class B-2X(v), not applicable: AA (sf) Combination 23 Class B-3(iii), $48.0 million(iv): AA (sf) Class B-3X(v), not applicable: AA (sf) Combination 24 Class B-4(iii), $48.0 million(iv): AA (sf) Class B-4X(v), not applicable: AA (sf) Combination 25 Class C-1 (deferrable)(iii), $26.0 million(iv): A (sf) Class C-1X(v), not applicable: A (sf) Combination 26 Class C-2 (deferrable)(iii), $26.0 million(iv): A (sf) Class C-2X(v), not applicable: A (sf) Combination 27 Class C-3 (deferrable)(iii), $26.0 million(iv): A (sf) Class C-3X(v), not applicable: A (sf) Combination 28 Class C-4 (deferrable)(iii), $26.0 million(iv): A (sf) Class C-4X(v), not applicable: A (sf) Combination 29 Class D-1 (deferrable)(iii), $22.0 million(iv): BBB- (sf) Class D-1X(v), not applicable: BBB- (sf) Combination 30 Class D-2 (deferrable)(iii), $22.0 million(iv): BBB- (sf) Class D-2X(v), not applicable: BBB- (sf) Combination 31 Class D-3 (deferrable)(iii), $22.0 million(iv): BBB- (sf) Class D-3X(v), not applicable: BBB- (sf) Combination 32 Class D-4 (deferrable)(iii), $22.0 million(iv): BBB- (sf) Class D-4X(v), not applicable: BBB- (sf) Ratings Withdrawn Symphony CLO XXII Ltd./Symphony CLO XXII LLC Class A-1A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D to not rated from 'BBB- (sf)' Combination 1 Class A-1A-1 to not rated from 'AAA (sf)' Class A-1A-1X to not rated from 'AAA (sf)' Combination 2 Class A-1A-2 to not rated from 'AAA (sf)' Class A-1A-2X to not rated from 'AAA (sf)' Combination 3 Class A-1A-3 to not rated from 'AAA (sf)' Class A-1A-3X to not rated from 'AAA (sf)' Combination 4 Class A-1A-4 to not rated from 'AAA (sf)' Class A-1A-4X to not rated from 'AAA (sf)' Combination 5 Class B-1 to not rated from 'AA (sf)' Class B-1X to not rated from 'AA (sf)' Combination 6 Class B-2 to not rated from 'AA (sf)' Class B-2X to not rated from 'AA (sf)' Combination 7 Class B-3 to not rated from 'AA (sf)' Class B-3X to not rated from 'AA (sf)' Combination 8 Class B-4 to not rated from 'AA (sf)' Class B-4X to not rated from 'AA (sf)' Combination 9 Class C-1 to not rated from 'A (sf)' Class C-1X to not rated from 'A (sf)' Combination 10 Class C-2 to not rated from 'A (sf)' Class C-2X to not rated from 'A (sf)' Combination 11 Class C-3 to not rated from 'A (sf)' Class C-3X to not rated from 'A (sf)' Combination 12 Class C-4 to not rated from 'A (sf)' Class C-4X to not rated from 'A (sf)' Combination 13 Class D-1 to not rated from 'BBB- (sf)' Class D-1X to not rated from 'BBB- (sf)' Combination 14 Class D-2 to not rated from 'BBB- (sf)' Class D-2X to not rated from 'BBB- (sf)' Combination 15 Class D-3 to not rated from 'BBB- (sf)' Class D-3X to not rated from 'BBB- (sf)' Combination 16 Class D-4 to not rated from 'BBB- (sf)' Class D-4X to not rated from 'BBB- (sf)' Ratings Affirmed Symphony CLO XXII Ltd./Symphony CLO XXII LLC Class A-1B(i): AAA (sf) Class A-1B-1(iii): AAA (sf) Class A-1B-1X(v): AAA (sf) Class A-1B-2(iii): AAA (sf) Class A-1B-2X(v): AAA (sf) Class A-1B-3(iii): AAA (sf) Class A-1B-3X(v): AAA (sf) Class A-1B-4(iii): AAA (sf) Class A-1B-4X(v): AAA (sf) Class E: BB- (sf) Other Debt Symphony CLO XXII Ltd./Symphony CLO XXII LLC Class A-2-R: Not rated Subordinated notes, $41.9 million: Not rated TEXAS DEBT 2023-II: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Texas Debt Capital CLO 2023-II, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Texas Debt Capital CLO 2023-II, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Texas Debt Capital CLO 2023-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.5 versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.12% versus a minimum covenant, in accordance with the initial expected matrix point of 72.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Texas Debt Capital CLO 2023-II, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. THOR 2024-A: Fitch Assigns 'BBsf' Final Rating on Class C Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by THOR 2024-A, LLC (THOR 2024-A). Entity/Debt Rating Prior ----------- ------ ----- THOR 2024-A, LLC A LT Asf New Rating A(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BBsf New Rating BB-(EXP)sf KEY RATING DRIVERS Borrower Risk — Near-Prime Collateral Composition: Approximately 73% of THOR 2024-A consists of Orange Lake-originated loans and 24% of Royal Resorts-originated loans. The remainder of the pool comprises Silverleaf and Tahoe Ridge loans. The weighted-average (WA) FICO score of the statistical pool is 652. Approximately 34% of the total collateral pool is called collateral from THOR 2018-B, lending to a significant seasoning of 38 months. Upgraded loans account for 46% of the statistical pool and foreign obligors comprise 4%. Forward-Looking Approach on CGD Proxy — Weakening Performance: Holiday Inn Club Vacations (HICV) 400+ FICO portfolio performance exhibited high defaults during the Great Recession. Notable improvement was observed in the 2011-2015 vintages. However, the 2016 through 2022 vintages experienced higher default rates than during the prior recession due to integration challenges following the Silverleaf acquisition, defaults related to paid-product-exits (PPEs), and macroeconomic challenges. In deriving its rating case cumulative gross default (CGD) proxy of 28%, Fitch focused on extrapolations of the 2015-2019 vintages. Structural Analysis — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) is expected to be 62.3%, 34.4%, and 21.4% for class A, B, and C notes, respectively. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.5% per annum. Loss coverage for all notes is able to support default multiples of 2.25x, 1.50x and 1.25x for 'Asf', 'BBBsf' and 'BBsf', respectively. As excess spread increased at pricing, loss coverage for the C class notes now supports a default multiple of 1.25x, commensurate with the rating of 'BBsf' from 'BB-(EXP)sf' with a default multiple of 1.17x. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: Fitch considers HICV to have demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. As such, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD proxy and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the multiples would increase for the class A, B and C notes, resulting in potential upgrades of up to four notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Grant Thornton LLP. The third-party due diligence focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact 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. TOORAK MORTGAGE 2024-RRTL2: DBRS Finalizes B Rating on B-1 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2024-RRTL2 (the Notes) issued by Toorak Mortgage Trust 2024-RRTL2 (TRK 2024-RRTL2 or the Issuer) as follows: -- $205.8 million Class A at BBB (low) (sf) -- $189.9 million Class A-1 at A (low) (sf) -- $15.9 million Class A-2 at BBB (low) (sf) -- $17.1 million Class M-1 at BB (low) (sf) -- $16.9 million Class B at B (low) (sf) -- $11.3 million Class B-1 at B (sf) -- $5.6 million Class B-2 at B (low) (sf) Class A and B are exchangeable notes. These classes can be exchanged for proportionate shares of the exchange notes as specified in the offering documents. The A (low) (sf) credit rating reflects 24.05% of credit enhancement provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), B (sf), and B (low) (sf) credit ratings reflect 17.70%, 10.85%, 6.35%, and 4.10% 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 two-year revolving portfolio of residential transition loans (RTL) funded by the issuance of the Notes. As of the Statistical Calculation Date, the Notes are backed by (1) 521 mortgage loans with a total principal balance of $179,061,281, (2) Approximately $70,938,719 in the Funding Account, and (3) Approximately $1,600,000 in the Interest Reserve Account. Additional RTL may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. Additional RTL may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TRK 2024-RRTL2 represents the tenth RTL securitization issued by the Sponsor, Toorak Capital Partners LLC, and their second rated RTL securitization. Formed in 2016 and headquartered in Tampa, Florida, Toorak is a mortgage loan aggregator that partners with third-party loan originators to acquire business purpose residential, multifamily, and mixed-use bridge and term loans. Toorak is the named Servicer for the transaction, and the loans will be subserviced by Merchants, BSI, FCI, and RCN. Merchants is the largest originator in the revolving portfolio and will subservice the Merchants-originated loans. The revolving portfolio consists of first-lien, fixed-rate, interest only (IO) balloon RTL with original terms to maturity of five to 37 months. The loans also include extension options, which may lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA As-Is Loan-to-Value (AIV LTV) ratio of 85.0%. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 85.0%. -- A maximum NZ WA As Repaired LTV (ARV LTV) ratio of 70.0%. RTL Features RTL, also known as fix-and-flip mortgage loans, are short-term bridge loans designed to help real estate investors purchase and renovate residential or small balance commercial properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTL are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTL are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the TRK 2024-RRTL2 revolving portfolio, RTL may be: (1) Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an interest reserve escrow account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded: -- With a commitment to fund borrower-requested draw requests for approved rehab, construction, or repairs of the property upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TRK 2024-RRTL2 eligibility criteria, unfunded commitments are limited to 35.0% of the portfolio by unpaid principal balance (UPB) and (2) amounts in the Funding Account and the Reserve Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the revolving period, the Notes will be IO. After the revolving period, or on the Redemption Date, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in March 2027, the Class A-1 and A-2 fixed rates will step up by 1.000% the following month (step up event). There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer, the Subservicers, or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A-1 and A-2 Note amounts. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. The transaction incorporates a Funding Account during the revolving period, which is used to fund draws and purchase additional loans. A Reserve Account, which is used to fund purchases of additional loans solely from Merchants, is also available for the transaction. During the revolving period, the Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. The Reserve Account is replenished from the Funding Account from time to time at the direction of the Depositor. Amounts held in the Funding Account and Reserve Account, along with the mortgage collateral, must be sufficient to limit the effective advance rate to no higher than 95.9%, which maintains a minimum level of credit enhancement (CE) to the most subordinate rated class. Toorak 2024-RRLT2 incorporates the maximum effective advance rate as a Trigger Event. During the revolving period (and prior to April 2027), if CE is not maintained for all tranches, on the third consecutive such month, a Trigger Event will occur, leading to an Amortization event. An Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. An Interest Reserve Account is in place to help cover the initial three interest payments to the Notes. Such account is funded upfront in an amount equal to $1,600,000. On the payment dates occurring in October and November 2024, the Paying Agent will withdraw a specified amount to be included in available funds, and on the payment date in December 2024, any unused related amounts will otherwise be allocated in the payment waterfall. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated mortgage repayments relative to draw commitments for Toorak's historical acquisitions and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the rating report for more details. Other Transaction Features The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. On, or prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. After the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificate holders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Similar to certain other issuers, each Seller will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages do not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a Seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. As the Sponsor, Toorak, or one or more majority-owned affiliates, will retain a 5% eligible horizontal residual interest in the securities to satisfy the credit risk retention requirements. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE CLO 32: Moody's Cuts Rating on $10.5MM Cl. F Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Venture 32 CLO, Limited: US$10,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on July 18, 2018 Assigned B3 (sf) Venture 32 CLO, Limited, originally issued in July 2018 and partially refinanced August 2020 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 2023. 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 and credit deterioration observed in the underlying CLO portfolio since last rating action in December 2023. Based on Moody's calculation, the over-collateralization (OC) ratio for the Class F notes is calculated at 102.22% versus level of 102.42% since the last action in December 2023. Furthermore, Moody's calculated weighted average rating factor (WARF) have been deteriorating and the current level is currently 2888 compared to 2541 since December 2023. No actions were taken on the Class A-1, Class A-2A, Class A-FR, Class A-2BR, Class B, Class C, Class D 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: $538,283,460 Defaulted par: $2,837,271 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2888 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.86% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.7% Weighted Average Life (WAL): 3.7 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in 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. WAMU MORTGAGE 2003-AR10: Moody's Lowers Rating on 2 Tranches to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings of two bonds from WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust, backed by Jumbo mortgages issued by Washington Mutual. 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: WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust Cl. A-6, Downgraded to B1 (sf); previously on May 6, 2022 Downgraded to Ba1 (sf) Cl. A-7, Downgraded to B1 (sf); previously on May 6, 2022 Downgraded to Ba1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. Class A-6 and A-7 each had an absolute credit enhancement level decline of approximately 1% over the past 12 months. Moody's analysis considered the potential for these classes to eventually become underwater, whereby the remaining balance of these classes becomes larger than the outstanding collateral balance. The likelihood of this taking place is dependent on whether Moody's expected remaining losses materialize. As such, Moody's analysis also reflected the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. WESTLAKE AUTOMOBILE 2024-3: S&P Assigns Prelim BB (sf) on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2024-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Oct. 2, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.4%, 38.8%, 30.3%, 23.0%, and 20.1% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x its expected loss level), all else being equal, S&P's 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and our view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2024-3 Class A-1, $185.75 million: A-1+ (sf) Class A-2-A/A-2-B, $421.42 million: AAA (sf) Class A-3, $143.63 million: AAA (sf) Class B, $94.72 million: AA (sf) Class C, $134.50 million: A (sf) Class D, $119.98 million: BBB (sf) Class E, $55.57 million: BB (sf) WINDHILL CLO 2: S&P Assigns BB (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned ratings to Windhill CLO 2 Ltd./Windhill CLO 2 LLC's floating-rate debt. At the same time, S&P withdrew its ratings on the warehouse facility class A-R, class A-T, and swingline loans. 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 Ratings Withdrawn Windhill CLO 2 Ltd. Class A-R loans, $125.00 million: AA (sf) Class A-T loans, $60.71 million: AA (sf) Swingline loans, $30.00 million: AA (sf) ZAIS CLO 17: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned ratings to the class A-1R, A-2R, B-1R, B-FR, C-1AR, C-1FR, C-2FR, D-1R, D-2R, and E-R debt replacement debt and the new class X-R debt from Zais CLO 17 Ltd./Zais CLO 17 LLC, a CLO originally issued in October 2021 that is managed by ZAIS Leveraged Loan Master Manager 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 Oct. 20, 2026. -- The reinvestment period was extended to Oct. 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to Oct. 20, 2037. -- No additional assets were purchased on the Sept. 30, 2024, refinancing date, and the target initial par amount remains at $394.57 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 20, 2024. -- The class X-R debt was issued on the refinancing date and are expected to be paid down using interest proceeds during the first 20 payment dates in equal installments of $0.20 million, beginning on the Jan. 20, 2025, payment date. -- The required minimum overcollateralization ratios were amended. There was no change to the required minimum interest coverage ratios. -- No additional subordinated notes were issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class X-R, $4.000 million: Three-month CME term SOFR + 1.300% -- Class A-1R, $237.019 million: Three-month CME term SOFR + 1.550% -- Class A-2R, $19.756 million: Three-month CME term SOFR + 1.750% -- Class B-1R, $23.700 million: Three-month CME term SOFR + 1.850% -- Class B-FR, $19.750 million: 5.111% -- Class C-1AR (deferrable), $14.950 million: Three-month CME term SOFR + 2.550% -- Class C-1FR (deferrable), $4.800 million: 5.825% -- Class C-2FR (deferrable), $3.950 million: 6.030% -- Class D-1R (deferrable), $17.775 million: Three-month CME term SOFR + 4.350% -- Class D-2R (deferrable), $7.900 million: Three-month CME term SOFR + 5.250% -- Class E-R (deferrable), $12.500 million: Three-month CME term SOFR + 8.750% Original debt -- Class A-1-A, $119.000 million: Three-month CME term SOFR + 1.330% -- Class A-1-F, $49.000 million: 2.070% -- Class A-1-Y, $60.000 million: Three-month CME term SOFR + 1.250% -- Class A-1-Z, $12.000 million: Three-month CME term SOFR + 1.450% -- Class A-2, $16.000 million: Three-month CME term SOFR + 1.580% -- Class B-1, $17.000 million: Three-month CME term SOFR + 1.900% -- Class B-F, $31.000 million: 2.811% -- Class C (deferrable), $20.000 million: Three-month CME term SOFR + 2.680% -- Class D (deferrable), $22.000 million: Three-month CME term SOFR + 4.150% -- Class E (deferrable), $18.000 million: Three-month CME term SOFR + 8.250% -- Senior subordinated notes, $15.000 million: Not applicable -- Junior subordinated notes, $29.875 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Zais CLO 17 Ltd./Zais CLO 17 LLC Class X-R, $4.000 million: AAA (sf) Class A-1R, $237.019 million: AAA (sf) Class A-2R, $19.756 million: AAA (sf) Class B-1R, $23.700 million: AA (sf) Class B-FR, $19.750 million: AA (sf) Class C-1AR (deferrable), $14.950 million: A (sf) Class C-1FR (deferrable), $4.800 million: A (sf) Class C-2FR (deferrable), $3.950 million: A (sf) Class D-1R (deferrable), $17.775 million: BBB (sf) Class D-2R (deferrable), $7.900 million: BBB- (sf) Class E-R (deferrable), $12.500 million: BB- (sf) Subordinated notes, $29.875 million: Not rated ZAIS CLO 17: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1R, A-2R, B-1R, B-FR, C-1AR, C-1FR, C-2FR, D-1R, D-2R, and E-R replacement debt and proposed new class X-R debt from Zais CLO 17 Ltd./Zais CLO 17 LLC, a CLO originally issued in October 2021 that is managed by ZAIS Leveraged Loan Master Manager LLC and was not rated by S&P Global Ratings. The preliminary ratings are based on information as of Sept. 26, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Sept. 30, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Oct. 20, 2026. -- The reinvestment period will be extended to Oct. 20, 2029. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Oct. 20, 2037. -- No additional assets will be purchased on the Sept. 30, 2024, refinancing date, and the target initial par amount will be $394.57 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 20, 2024. -- The class X-R debt will be issued on the refinancing date and are expected to be paid down using interest proceeds during the first 20 payment dates in equal installments of $0.20 million, beginning on the Jan. 20, 2025, payment date. -- The required minimum overcollateralization ratios will be amended. There will be no change to the required minimum interest coverage ratios. -- No additional subordinated notes will be issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class X-R, $4.000 million: Three-month CME term SOFR + 1.300% -- Class A-1R, $237.019 million: Three-month CME term SOFR + 1.550% -- Class A-2R, $19.756 million: Three-month CME term SOFR + 1.750% -- Class B-1R, $23.700 million: Three-month CME term SOFR + 1.850% -- Class B-FR, $19.750 million: 5.111% -- Class C-1AR (deferrable), $14.950 million: Three-month CME term SOFR + 2.550% -- Class C-1FR (deferrable), $4.800 million: 5.825% -- Class C-2FR (deferrable), $3.950 million: 6.030% -- Class D-1R (deferrable), $17.775 million: Three-month CME term SOFR + 4.350% -- Class D-2R (deferrable), $7.900 million: Three-month CME term SOFR + 5.250% -- Class E-R (deferrable), $12.500 million: Three-month CME term SOFR + 8.750% Original debt -- Class A-1-A, $119.000 million: Three-month CME term SOFR + 1.330% -- Class A-1-F, $49.000 million: 2.070% -- Class A-1-Y, $60.000 million: Three-month CME term SOFR + 1.250% -- Class A-1-Z, $12.000 million: Three-month CME term SOFR + 1.450% -- Class A-2, $16.000 million: Three-month CME term SOFR + 1.580% -- Class B-1, $17.000 million: Three-month CME term SOFR + 1.900% -- Class B-F, $31.000 million: 2.811% -- Class C (deferrable), $20.000 million: Three-month CME term SOFR + 2.680% -- Class D (deferrable), $22.000 million: Three-month CME term SOFR + 4.150% -- Class E (deferrable), $18.000 million: Three-month CME term SOFR + 8.250% -- Senior subordinated notes, $15.000 million: Not applicable -- Junior subordinated notes, $29.875 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Zais CLO 17 Ltd./Zais CLO 17 LLC Class X-R, $4.000 million: AAA (sf) Class A-1R, $237.019 million: AAA (sf) Class A-2R, $19.756 million: AAA (sf) Class B-1R, $23.700 million: AA (sf) Class B-FR, $19.750 million: AA (sf) Class C-1AR (deferrable), $14.950 million: A (sf) Class C-1FR (deferrable), $4.800 million: A (sf) Class C-2FR (deferrable), $3.950 million: A (sf) Class D-1R (deferrable), $17.775 million: BBB (sf) Class D-2R (deferrable), $7.900 million: BBB- (sf) Class E-R (deferrable), $12.500 million: BB- (sf) Subordinated notes, $29.875 million: Not rated [*] Moody's Downgrades 5 Ratings From 4 Scratch & Dent Deals ------------------------------------------------------------ Moody's Ratings has downgraded the ratings of five bonds from four US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages, issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follow: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP2 Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 8, 2016 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Jan 11, 2017 Upgraded to B2 (sf) Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF2 Cl. B-1, Downgraded to Caa1 (sf); previously on Feb 20, 2018 Upgraded to B3 (sf) Issuer: CSFB Mortgage Pass-Through Certificates, Series 2005-CF1 Cl. M-2, Downgraded to Caa1 (sf); previously on Sep 11, 2018 Downgraded to B1 (sf) Issuer: GSRPM Mortgage Loan Trust 2006-2 Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 20, 2018 Upgraded to B3 (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. The rating downgrades are due to outstanding interest shortfalls on the 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. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. 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 Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Hikes 45 Bonds From 3 Flagstar Mortgage Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 45 bonds from three US residential mortgage-backed transactions (RMBS), backed by GSE eligible first-lien investment property 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: Flagstar Mortgage Trust 2021-5INV Cl. A-16, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-17, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-24*, Upgraded to Aaa (sf); previously on Jun 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 15, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 15, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 15, 2023 Upgraded to B2 (sf) Issuer: Flagstar Mortgage Trust 2021-6INV Cl. A-16, Upgraded to Aaa (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-17, Upgraded to Aaa (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Upgraded to Aaa (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-18*, Upgraded to Aaa (sf); previously on Jul 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 15, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 15, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Nov 15, 2023 Upgraded to B1 (sf) Issuer: Flagstar Mortgage Trust 2021-8INV Cl. A-17, Upgraded to Aaa (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-18*, Upgraded to Aaa (sf); previously on Aug 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Nov 15, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Nov 15, 2023 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 15, 2023 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 15, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Nov 15, 2023 Upgraded to B1 (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. Each of the transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses at or near zero for each transaction and a small number of loans in delinquency. In addition, the classes Moody's upgraded have seen their credit enhancement levels increase by an average of approximately 20% since the transactions closed. Moody's analysis on certain bonds included an assessment of the existing credit enhancement floor, in place to mitigate the potential default of a small number of loans at the tail end of a transaction. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the remaining rated classes in these deals as those classes are already at the highest achievable levels within Moody's rating scale. 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. [*] S&P Takes Various Actions on Nine RMBS Non-QM Transactions -------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 51 classes from nine U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 26 upgrades and 25 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/3f5pbt9a S&P said, "For each transaction, we performed a credit analysis using updated loan-level information, from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior credit event adjustment factors were based on the transactions' current pool compositions." The upgrades primarily reflect deleveraging, as the rated classes benefit from a growing percentage of credit support from regular principal payments, historical prepayments, and the degree of credit enhancement relative to delinquencies. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains relatively consistent with our prior projections. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Loan modifications; -- The priority of principal payments; -- The priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large balance loan exposure/tail risk. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***