/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/241201.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, December 1, 2024, Vol. 28, No. 335 Headlines 720 EAST VI: S&P Assigns BB- (sf) Rating on Class E Notes AGL CLO 34: Fitch Assigns 'BB+' Final Rating on Class E Notes AIMCO CLO 2018-A: S&P Assigns Prelim B- (sf) Rating on F-R Notes ALESCO PREFERRED XVI: Moody's Ups $85.25MM C Notes Rating to Caa1 ALLEGRO CLO VIII-S: Fitch Assigns 'BB-sf' Rating on Class F Notes AMERICAN CREDIT 2023-4: S&P Affirms BB-(sf) Rating on Cl. E Notes ANTARES CLO 2017-1: S&P Assigns Prelim 'BB-' Rating on E-RR Notes ARES LXXV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ATLAS SENIOR XXIV: S&P Assigns Prelim BB- (sf) Rating on E Notes BANK5 2024-5YR11: Fitch Assigns 'B-sf' Final Rating on Two Tranches BANK5 2024-5YR12: Fitch Assigns 'B-(EXP)sf' Rating on 2 Tranches BBCMS MORTGAGE 2024-C30: Fitch Assigns 'B-sf' Rating on G-RR Certs BENCHMARK 2021-B23: Fitch Lowers Rating on 2 Tranches to CCC BENCHMARK 2024-V11: Fitch Assigns B-sf Final Rating on Two Tranches BUCKHORN PARK: S&P Assigns BB- (sf) Rating on Class E-RR Notes BX TRUST 2024-FNX: Moody's Assigns Ba2 Rating to Cl. E Certs CARLYLE US 2022-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARLYLE US 2024-6: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes CARVANA AUTO 2024-P3: Moody's Ups Rating on Class N Notes from Ba1 CHASE HOME 2024-10: Fitch Assigns B-(EXP)sf Rating on Cl. B-5 Certs ELMWOOD CLO 34: S&P Assigns BB- (sf) Rating on Class E Notes ELMWOOD CLO 35: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes FLATIRON RR 27: Fitch Assigns 'BB-sf' Rating on Class E Notes FORTRESS CREDIT XXV: S&P Assigns Prelim 'BB-' Rating on E Notes GCT COMMERCIAL 2021-GCT: Moody's Cuts Rating on Cl. B Certs to Ca GENERATE CLO 18: S&P Assigns BB- (sf) Rating on Class E Notes GOLUB CAPITAL 43(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes GS MORTGAGE 2021-HP1: Moody's Ups Rating on Cl. B-4 Certs to Ba1 GS MORTGAGE 2024-PJ10: Moody's Gives (P)B3 Rating to Cl. B-5 Certs HAMLIN PARK: S&P Assigns BB- (sf) Rating on Class E Notes ICG US 2024-R1: S&P Assigns BB- (sf) Rating on Class E Debts ICG US CLO 2024-R1: S&P Assigns Prelim BB- (sf) Rating on E Notes IVY HILL XVIII: S&P Assigns BB- (sf) Rating on Class E-R Notes JP MORGAN 2024-IGLG: Moody's Assigns Ba2 Rating to Cl. E Certs MARATHON CLO VIII: Moody's Ups Rating on $27MM C-R Notes From Ba2 MORGAN STANLEY 2015-420: S&P Affirms BB+ (sf) Rating on E Certs MORGAN STANLEY 2022-18: Fitch Assigns BB-sf Rating on Cl. E-R Notes NASSAU LTD 2018-I: Moody's Lowers Rating on $20.1MM E Notes to B1 NASSAU LTD 2018-II: Moody's Cuts Rating on $30.3MM E Notes to Caa1 NEUBERGER BERMAN 29: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes NIAGARA PARK CLO: Moody's Assigns B3 Rating to $250,000 F-RR Notes NIAGARA PARK: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes OCEAN TRAILS XVI: S&P Assigns BB- (sf) Rating on Class E Notes OCP CLO 2017-13: S&P Assigns BB- (sf) Rating on Class E-R2 Notes OHA CREDIT 3: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes PROVIDENT FUNDING 2021-J1: Moody's Ups Cl. B-5 Certs Rating to Ba3 RR LTD 24: Moody's Assigns (P)B3 Rating to $700,000 Cl. E-R2 Notes SIXTH STREET 27: S&P Assigns Prelim BB- (sf) Rating Class E Notes SYMPHONY CLO 39: S&P Assigns BB- (sf) Rating on Class E-R Notes VALLEY STREAM: S&P Assigns BB- (sf) Rating on Class E-2-RR Notes WCORE COMMERCIAL 2024-CORE: Moody's Assigns B1 Rating to HRR Certs [*] Fitch Affirms & Withdraws 43 Classes Across 4 US CMBS Deals [*] Moody's Upgrades Ratings on 9 Bonds from 6 US RMBS Deals [*] S&P Takes Various Actions on 117 ratings from 12 US RMBS Deals [*] S&P Takes Various Actions on 70 classes from 12 US RMBS Deals [*] S&P Takes Various Actions on 70 Classes From 18 US RMBS Deals ********* 720 EAST VI: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned ratings to 720 East CLO VI Ltd./720 East CLO VI 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 Northwestern Mutual Investment Management Co. LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 720 East CLO VI Ltd./720 East CLO VI LLC Class A-1, $231.29 million: AAA (sf) Class A-1L(i), $24.71 million: AAA (sf) Class A-1N(i), $0.00 million: AAA (sf) Class A-2, $24.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $35.70 million: Not rated (i)Class A-1L loans can be converted in part or in full into class A-1N notes. Once a conversion is exercised, the class A-1N notes' balance will increase by the amount converted from the class A-1L loan balance, and the class A-1N notes cannot be converted back to class A-1L loans. AGL CLO 34: Fitch Assigns 'BB+' Final Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings to AGL CLO 34 Ltd. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 34 Ltd. A-1 LT NRsf New Rating NR(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 Transaction Summary AGL CLO 34 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.69% first-lien senior secured loans and has a weighted average recovery assumption of 74.37%. 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, '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. Date of Relevant Committee 14 November 2024 ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 34 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. AIMCO CLO 2018-A: S&P Assigns Prelim B- (sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AIMCO CLO Series 2018-A/AIMCO CLO Series 2018-A 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 Allstate Investment Management Co. The preliminary ratings are based on information as of Nov. 25, 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 AIMCO CLO Series 2018-A/AIMCO CLO Series 2018-A LLC Class X-R, $3.00 million: AAA (sf) Class A-R, $252.00 million: AAA (sf) Class B-1-R, $47.00 million: AA (sf) Class B-2-R, $5.00 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), $2.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Class F-R (deferrable), $4.00 million: B- (sf) Subordinated notes, $44.00 million: Not rated ALESCO PREFERRED XVI: Moody's Ups $85.25MM C Notes Rating to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by ALESCO Preferred Funding XVI, Ltd.: US$349,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2038 (current balance of $$169,396,502.29) (the "Class A Notes"), Upgraded to Aa2 (sf); previously on November 9, 2021 Upgraded to A1 (sf) US$20,000,000 Class B Deferrable Second Priority Secured Fixed/Floating Rate Notes Due 2038 (the "Class B Notes"), Upgraded to A2 (sf); previously on November 9, 2021 Upgraded to Baa2 (sf) US$85,250,000 Class C Deferrable Third Priority Mezzanine Secured Floating Rate Notes Due 2038 (the "Class C Notes"), Upgraded to Caa1 (sf); previously on November 9, 2021 Upgraded to Caa2 (sf) ALESCO Preferred Funding XVI, Ltd., issued in June 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A notes and an increase in the transaction's over-collateralization (OC) ratios since October 2023. The Class A notes have paid down by approximately 12% or $23 million since October 2023, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A, Class B, and Class C notes have improved to 161.5%, 144.4%, and 99.6%, respectively, from October 2023 levels of 149.9%, 135.8%, and 96.9%, respectively. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par (after treating deferring securities as performing if they meet certain criteria): $273,500,000 Defaulted/deferring par: $16,500,000 Weighted average default probability: 8.05% (implying a WARF of 864) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. ALLEGRO CLO VIII-S: Fitch Assigns 'BB-sf' Rating on Class F Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO VIII-S, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Allegro CLO VIII-S, Ltd. X LT NRsf New Rating NR(EXP)sf A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1A LT BBBsf New Rating BBB(EXP)sf D-1B LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E-1 LT BBsf New Rating BB(EXP)sf E-2 LT BBsf New Rating BB(EXP)sf F LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Allegro CLO VIII-S, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers US Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $396 million of primarily first lien senior secured leveraged loans, excluding defaults. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.36, versus a maximum covenant, in accordance with the initial expected matrix point of 27.1. 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 99.65% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.78% versus a minimum covenant, in accordance with the initial expected matrix point of 73.04%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1A and D-1B, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E-1 and E-2, and between less than 'B-sf' and 'B+sf' for class F. 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, 'AAsf' for class C, 'A+sf' for class D-1A and D-1B, 'Asf' for class D-2, 'BBB+sf' for class E-1 and E-2, 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 Allegro CLO VIII-S, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AMERICAN CREDIT 2023-4: S&P Affirms BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of notes from American Credit Acceptance Receivables Trust 2023-4 (ACAR 2023-4) and affirmed its ratings on three other classes. The transaction is backed by subprime retail auto loan receivables originated and serviced by American Credit Acceptance LLC. The rating actions reflect: -- The transaction's collateral performance to date and its expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for the transaction, and the transaction's structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. ACAR 2023-4 is performing in line with S&P's expectations, so its expected CNL is unchanged. Table 1 Collateral performance (%)(i) Pool Current Current 60+ day Mo. factor CNL CGL Ext. delinq. 12 69.73 9.24 13.15 3.16 7.61 (i)As of the November 2024 distribution date. Mo.--Month. CNL--Cumulative net loss. CGL--Cumulative gross loss. Ext.--Extensions. Delinq.--Delinquencies. Table 2 CNL expectations (%) Original Current lifetime lifetime CNL exp. CNL exp. 27.25 27.25 CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. The transaction has a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. The transaction also has credit enhancement consisting of overcollateralization, a non-amortizing reserve account, subordination for the more senior classes, and excess spread. As of the November 2024 distribution date, the transaction is at its specified target overcollateralization level and specified reserve level. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance (as of the collection period ended Oct. 31, 2024), compared with our expected remaining losses, is commensurate with each rating. Table 3 Hard credit support(i) Total hard Current total hard credit support credit support Class at issuance (%) (% of current) A 64.00 88.61 B 55.80 76.85 C 40.80 55.34 D 25.80 33.83 E 19.25 24.43 (i)As of the November 2024 distribution date. Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNL for those classes where hard credit enhancement alone--without credit to the expected excess spread--was sufficient, in our view, to raise the ratings to or affirm them at 'AAA (sf)'. For other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted a sensitivity analysis for the series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended Oct. 31, 2024 (the November 2024 distribution date). "We will continue to monitor the transaction's performance to ensure credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED American Credit Acceptance Receivables Trust 2023-4 Rating Class To From B AAA (sf) AA (sf) C AA- (sf) A (sf) RATINGS AFFIRMED American Credit Acceptance Receivables Trust 2023-4 Class Rating A AAA (sf) D BBB (sf) E BB- (sf) ANTARES CLO 2017-1: S&P Assigns Prelim 'BB-' Rating on E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement debt from Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC, a CLO originally issued in 2017 and subsequently refinanced in 2021 that is managed by Antares Capital Advisers LLC, a subsidiary of Antares Capital L.P. The preliminary ratings are based on information as of Nov. 26, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 15, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the 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 notes. According to the proposed supplemental indenture: -- The weighted average cost of debt of the replacement debt is expected to be lower than the 2021 debt. -- The original A-R debt is expected to be replaced by two classes of floating-rate debt (classes A-1-RR and A-2-RR). Class A-1-RR will be senior to class A-2-RR. -- The stated maturity, reinvestment period, and non-call period will be extended 3.75 years. -- No additional subordinated notes are expected to be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC Class A-1-RR, $1,344.00 million: AAA (sf) Class A-2-RR, $144.00 million: AAA (sf) Class B-RR, $180.00 million: AA (sf) Class C-RR (deferrable), $156.00 million: A (sf) Class D-RR (deferrable), $132.00 million: BBB- (sf) Class E-RR (deferrable), $156.00 million: BB- (sf) Other Debt Antares CLO 2017-1 Ltd./Antares CLO 2017-1 LLC Subordinated notes, $255.41 million: Not rated ARES LXXV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXXV CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXV CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Ares LXXV CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.87 versus a maximum covenant, in accordance with the initial expected matrix point of 27.47. 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 97.53% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.62% versus a minimum covenant, in accordance with the initial expected matrix point of 72.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXV CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ATLAS SENIOR XXIV: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Atlas Senior Loan Fund XXIV Ltd./Atlas Senior Loan Fund XXIV 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 Crescent Capital Group L.P. The preliminary ratings are based on information as of Nov. 22, 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 Atlas Senior Loan Fund XXIV Ltd./ Atlas Senior Loan Fund XXIV LLC Class A1, $240.00 million: AAA (sf) Class AJ, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D1 (deferrable), $20.00 million: BBB (sf) Class DJ (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $36.30 million: Not rated BANK5 2024-5YR11: Fitch Assigns 'B-sf' Final Rating on Two Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2024-5YR11 commercial mortgage pass-through certificates series 2024-5YR11 as follows: - $528,928,000a class A-3 'AAAsf'; Outlook Stable; - $0a class A-3-1 'AAAsf'; Outlook Stable; - $0ab class A-3-X1 'AAAsf'; Outlook Stable; - $0a class A-3-2 'AAAsf'; Outlook Stable; - $0ab class A-3-X2 'AAAsf'; Outlook Stable; - $528,928,000b class X-A 'AAAsf'; Outlook Stable; - $72,728,000a class A-S 'AAAsf'; Outlook Stable; - $0a class A-S-1 'AAAsf'; Outlook Stable; - $0ab class A-S-X1 'AAAsf'; Outlook Stable; - $0a class A-S-2 'AAAsf'; Outlook Stable; - $0ab class A-S-X2 'AAAsf'; Outlook Stable; - $41,559,000a class B 'AA-sf'; Outlook Stable; - $0a class B-1 'AA-sf'; Outlook Stable; - $0ab class B-X1 'AA-sf'; Outlook Stable; - $0a class B-2 'AA-sf'; Outlook Stable; - $0ab class B-X2 'AA-sf'; Outlook Stable; - $29,280,000a class C 'A-sf'; Outlook Stable; - $0a class C-1 'A-sf'; Outlook Stable; - $0ab class C-X1 'A-sf'; Outlook Stable; - $0a class C-2 'A-sf'; Outlook Stable; - $0ab class C-X2 'A-sf'; Outlook Stable; - $143,567,000b class X-B 'AAAsf'; Outlook Stable; - $17,945,000c class D 'BBBsf'; Outlook Stable; - $8,501,000c class E 'BBB-sf'; Outlook Stable; - $26,446,000bc class X-D 'BBB-sf'; Outlook Stable; - $17,001,000c class F 'BB-sf'; Outlook Stable; - $17,001,000bc class X-F 'BB-sf'; Outlook Stable; - $12,279,000c class G 'B-sf'; Outlook Stable; - $12,279,000c class X-G 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $27,391,425c class J; - $27,391,425bc class X-J; - $26,159,075cd class RR; - $13,610,000cd RR Interest. (a) Exchangeable Certificates. The class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class AS may be surrendered (or received) for the received (or surrendered) classes A-S-1, AS-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Vertical-risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 77 commercial properties with an aggregate principal balance of $795,381,500 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC, and JPMorgan Chase Bank, National Association. The master servicer is Wells Fargo Bank, National Association and the special servicer is Midland Loan Services, a division of PNC Bank, National Association. The trustee and certificate administrator are both Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. The final rating of AAAsf for Class X-B differs from the Expected Rating of A-(EXP)sf. Fitch has withdrawn the expected rating of 'AAAsf(EXP)' for class A-2, class A-2-1, class A-2-2, class A-2-X1 and class A-2-X2 because the classes were cancelled and will not be issued. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 91.3% of the pool by balance. Fitch's resulting net cash flow (NCF) of $70.0 million represents an 11.8% decline from the issuer's underwritten NCF of $79.4 million. Aggregate NCFs include only the prorated trust portion of any pari passu loan. The NCF decline is below the 2024 YTD five-year and 2023 five-year averages of 13.2% and 12.9%, respectively. Higher Fitch Leverage: The pool has higher leverage compared to recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.0% is worse than both the 2024 YTD and 2023 averages of 94.3% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.5% is below the 2024 YTD and 2023 averages of 10.3% and 10.6%, respectively. Investment-Grade Credit Opinion Loans: Two loans representing 15.7% of the pool balance received an investment-grade credit opinion. Queens Center received a credit opinion of 'BBBsf*' on a standalone basis and Atrium Hotel Portfolio 24 Pack received a credit opinion of 'BBB+sf*' on a standalone basis. The pool's total credit opinion percentage is above the 2024 YTD five-year and 2023 five-year averages of 12.2% and 14.6%, respectively. Fitch NCF DY and LTV net of the credit opinion loan are 8.9% and 104.3%, respectively. High Loan Concentration: The largest 10 loans constitute 70.5% of the pool, which is higher than the 2024 YTD five-year and 2023 five-year average of 58.9% and 65.3%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.9, which is worse than the 2024 YTD five-year and 2023 five-year averages of 23.1 and 19.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. High Geographic Concentration: The transaction has a higher geographic concentration compared to recent five-year multiborrower transactions Fitch has rated. The top three MSA concentrations are New York-Newark-Jersey City, NY-NJ-PA (36.2%), Riverside-San Bernardino-Ontario, CA (9.5%), and Boston-Cambridge-Newton, MA-NH (7.2%). The pool's effective geographic count of 6.3 is below the 2024 YTD five-year and 2023 five-year averages of 10.4 and 10.7, respectively. Pools that have a greater concentration by geographic region are at greater risk of losses, all else being equal. Fitch therefore raises the overall losses for pools with effective geographic counts below 15 MSAs (regions for Canada). 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 lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+-sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP and Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its 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. BANK5 2024-5YR12: Fitch Assigns 'B-(EXP)sf' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2024-5YR12 commercial mortgage pass-through certificates, series 2024-5YR12 as follows: - $2,556,000 class A-1 'AAAsf'; Outlook Stable; - $275,000,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $304,997,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $582,553,000c class X-A 'AAAsf'; Outlook Stable; - $81,141,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $43,692,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $33,288,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $158,121,000c class X-B 'A-sf'; Outlook Stable; - $18,725,000d class D 'BBBsf'; Outlook Stable; - $9,363,000d class E 'BBB-sf'; Outlook Stable; - $28,088,000cd class X-D 'BBB-sf'; Outlook Stable; - $18,725,000d class F 'BB-sf'; Outlook Stable; - $18,725,000cd class X-F 'BB-sf'; Outlook Stable; - $11,443,000d class G 'B-sf'; Outlook Stable; - $11,443,000cd class X-G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $33,289,000d class J; - $33,289,000d class X-J; - $34,738,500e class RR; - $9,062,500e RR Interest. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $579,997,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $275,000,000 (net of the vertical risk retention interest), and the expected class A-3 balance range is $304,997,000 to $579,997,000 (net of the vertical risk retention interest). Fitch's certificate balances for classes A-2 and A-3 reflect the high and low point of each range, respectively. (b) The class A2, class A3, class AS, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A2 may be surrendered (or received) for the received (or surrendered) classes A-2-1, A-2-X1, A-2-2 and A-2-X2. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2 and A-3-X2. The class AS may be surrendered (or received) for the received (or surrendered) classes A-S-1, AS-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Vertical-risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 27 loans secured by 147 commercial properties with an aggregate principal balance of $876,020,000 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC, JPMorgan Chase Bank, National Association, and Wells Fargo Bank, National Association. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be KeyBank National Association. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 20 loans totaling 94.5% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $435.4 million represents a 17.6% decline from the issuer's aggregate underwritten NCF of $260.3 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 100.5% is higher than both the 2024 YTD and 2023 five-year multiborrower transaction averages of 94.6% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.4% is lower than both the 2024 YTD and 2023 averages of 10.3% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 16.6% of the pool by balance received an investment-grade credit opinion. Queens Center received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis. Rockefeller Center received an investment-grade credit opinion of 'A+sf*' on a standalone basis. The pool's total credit opinion percentage is higher than both the 2024 YTD average of 11.8% and the 2023 average of 14.6% for five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 106.1% and 9.1%, respectively, compared to the equivalent five-year multiborrower 2024 YTD LTV and DY averages of 93.6% and 10.3%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 73.1% of the pool, which is worse than both the 2024 YTD five-year multiborrower average of 58.9% and the 2023 average of 65.3%. 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 18.4. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributable to the shorter window of exposure to potentially 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 Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its 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. BBCMS MORTGAGE 2024-C30: Fitch Assigns 'B-sf' Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2024-C30 commercial mortgage pass-through certificates, series 2024-C30 as follows: - $6,128,000 class A-1 'AAAsf'; Outlook Stable; - $27,740,000 class A-2 'AAAsf'; Outlook Stable; - $130,000,000 class A-4 'AAAsf'; Outlook Stable; - $420,530,000 class A-5 'AAAsf'; Outlook Stable; - $8,160,000 class A-SB 'AAAsf'; Outlook Stable; - $592,558,000a class X-A 'AAAsf'; Outlook Stable; - $103,698,000 class A-S 'AAAsf'; Outlook Stable; - $39,151,000 class B 'AA-sf'; Outlook Stable; - $28,231,000 class C 'A-sf'; Outlook Stable; - $171,080,000a class X-B 'A-sf'; Outlook Stable; - $15,153,000bc class D-RR 'BBBsf'; Outlook Stable; - $8,465,000bc class E-RR 'BBB-sf'; Outlook Stable; - $15,872,000bc class F-RR 'BB-sf'; Outlook Stable; - $9,523,000bc class G-RR 'B-sf'; Outlooks Stable. The following class is not rated by Fitch: - $33,861,145bc class H-RR. (a) Notional Amount and interest only. (b) Privately Placed and pursuant to Rule 144A. (c) Horizontal Risk Retention. NR: Not Rated Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 41 loans secured by 67 commercial properties having an aggregate principal balance of $846,512,146 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Inc., German American Capital Corp., Bank of America, N.A., KeyBank, N.A., Société Générale Financial Corporation, LMF Commercial, LLC, Bank of Montreal, Starwood Mortgage Capital LLC and Goldman Sachs Mortgage Company. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is Rialto Capital Advisors, LLC. KeyBank National Association will act as the primary servicer pursuant to a primary servicing agreement with the master servicer with respect to 15 loans totaling 20.4% of the pool balance. The trustee and certificate administrator is Computershare Trust Company, N.A. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 26 loans totaling 88.8% of the pool by balance. Fitch's resulting net cash flow (NCF) of $93.6 million represents a 10.2% decline from the issuer's underwritten NCF of $104.3 million. Aggregate NCFs include only the prorated trust portion of any pari passu loan. The NCF decline is below the 2024 YTD 10-year and 2023 10-year averages of 13.4% and 12.9%, respectively. Lower Fitch Leverage: The pool has lower leverage compared to recent U.S. Private Label Multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 88.2% is lower than the YTD 2024 and 2023 averages of 91.1% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 11.1% is higher than the YTD 2024 and 2023 averages of 11.0% and 10.9%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 21.9% of the pool received an investment grade credit opinion. Newport Centre (9.5% of the pool) received a standalone credit opinion of 'BBBsf*', St Johns Town Center (6.5% of the pool) received a standalone credit opinion of 'Asf*', and VISA Global HQ (5.9% of the pool) received a standalone credit opinion of 'Asf*'. The pool's total credit opinion percentage is higher than the YTD 2024 and 2023 averages of 15.2% and 17.8%, respectively. The pool's Fitch LTV and DY, excluding credit opinion loans, are 93.6% and 10.7%, respectively. High Pool Concentration: The largest 10 loans constitute 60.1% of the pool, which is slightly better than the 2024 YTD and 2023 averages of 60.3% and 63.7%, respectively. Despite this improvement, the pool remains concentrated. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.3, which is slightly lower than the 2024 YTD average of 22.4 and higher than 2023 averages of 20.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Property Type Concentration: The pool has an average property type diversity compared to recent Fitch rated transactions but the concentration of retail mall properties is higher. The pool's effective property type count of 4.2 is lower than the YTD 2024 average of 4.3 and higher than the 2023 average of 4.0. Retail is the largest property type concentration in the pool, comprising 13 properties (42.1% of the pool). This includes six mall properties ($242.3 million, 28.6% of the pool), with four of these among the top 15 properties. This retail concentration exceeds the YTD 2024 and 2023 retail averages of 28.1% and 31.2%, respectively. However, the transaction has lower concentration of both office (13.7% of the pool) and hotel (9.9%) properties. The pool's office concentration is lower than both the YTD 2024 and 2023 office concentration of 20.3% and 27.6%, respectively. Similarly, the pool's hotel concentration is lower than the YTD 2024 and 2023 averages of 12.1% and 12.3%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on 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. BENCHMARK 2021-B23: Fitch Lowers Rating on 2 Tranches to CCC ------------------------------------------------------------ Fitch Ratings has affirmed 32 ratings for classes within the Benchmark 2021-B23 Mortgage Trust (BMARK 2021-B23) and Benchmark 2021-B24 Mortgage Trust (BMARK 2021-B24) transactions. Fitch has also downgraded four classes with BMARK 2021-B23 (classes F, G, X-F and X-G). The Rating Outlooks for classes A-S, B, C, D, E, X-A, X-B, and X-D in BMARK 2021-B23 have been revised to Negative from Stable, while the downgraded classes F and X-F have been assigned Negative Outlooks. The Rating Outlooks for classes D, E and X-D in BMARK 2021-B24 have been revised to Negative from Stable, and the Outlooks for classes F, G, X-F and X-G remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2021-B24 A-1 08163CAY5 LT AAAsf Affirmed AAAsf A-2 08163CAZ2 LT AAAsf Affirmed AAAsf A-3 08163CBA6 LT AAAsf Affirmed AAAsf A-4 08163CBB4 LT AAAsf Affirmed AAAsf A-5 08163CBC2 LT AAAsf Affirmed AAAsf A-S 08163CBG3 LT AAAsf Affirmed AAAsf A-SB 08163CBD0 LT AAAsf Affirmed AAAsf B 08163CBH1 LT AA-sf Affirmed AA-sf C 08163CBJ7 LT A-sf Affirmed A-sf D 08163CAJ8 LT BBBsf Affirmed BBBsf E 08163CAL3 LT BBB-sf Affirmed BBB-sf F 08163CAN9 LT BB-sf Affirmed BB-sf G 08163CAQ2 LT B-sf Affirmed B-sf X-A 08163CBE8 LT AAAsf Affirmed AAAsf X-B 08163CBF5 LT A-sf Affirmed A-sf X-D 08163CAA7 LT BBB-sf Affirmed BBB-sf X-F 08163CAC3 LT BB-sf Affirmed BB-sf X-G 08163CAE9 LT B-sf Affirmed B-sf Benchmark 2021-B23 A-1 08162RAA5 LT AAAsf Affirmed AAAsf A-2 08162RAB3 LT AAAsf Affirmed AAAsf A-4A1 08162RAC1 LT AAAsf Affirmed AAAsf A-4A2 08162RBX4 LT AAAsf Affirmed AAAsf A-5 08162RAD9 LT AAAsf Affirmed AAAsf A-AB 08162RAE7 LT AAAsf Affirmed AAAsf A-S 08162RAG2 LT AAAsf Affirmed AAAsf B 08162RAH0 LT AA-sf Affirmed AA-sf C 08162RAJ6 LT A-sf Affirmed A-sf D 08162RAK3 LT BBBsf Affirmed BBBsf E 08162RAM9 LT BBB-sf Affirmed BBB-sf F 08162RAP2 LT B-sf Downgrade BB-sf G 08162RAR8 LT CCCsf Downgrade B-sf X-A 08162RAF4 LT AAAsf Affirmed AAAsf X-B 08162RAV9 LT A-sf Affirmed A-sf X-D 08162RAX5 LT BBB-sf Affirmed BBB-sf X-F 08162RAZ0 LT B-sf Downgrade BB-sf X-G 08162RBB2 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Transaction-level 'B' rating case losses for BMARK 2021-B23 and BMARK 2021-B24 are 4.47% and 5.06%, respectively. The downgrades of classes F, G, X-F and X-G in the BMARK 2021-B23 transaction reflect increased pool loss expectations driven primarily by higher loss expectations for office loans maturing by January 2026, namely Millennium Corporate Park (6.9% of the pool; second largest loan) and Selig Office Portfolio (2.3% of the pool). The Negative Outlooks for classes A-S, B, C, D, E, F, X-A, X-B, X-D and X-F reflect elevated risk from high office exposure as 61.3% of the pool is secured by office assets or mixed-use assets with an office component. The Negative Outlooks for classes D, E, F, G, X-D, X-F and X-G in the BMARK 2021-B24 transaction reflect elevated risk from high office exposure as 54.2% of the pool is secured by office assets or mixed-use assets with an office component. The Negative Outlooks assigned to classes in this pool also reflect higher loss expectations for two office loans maturing in 2026; Boca Office Portfolio (4.3% of the pool) and Millennium Corporate Park (2.3% of the pool). Fitch Loans of Concern (FLOCs) and Specially Serviced Loans: Seven loans representing 19.5% of the BMARK 2021-B23 transaction are FLOCs; none of the loans in the pool are currently in special servicing. Seven loans representing 30.4% of the BMARK 2021-B24 transaction are FLOCs, including one specially serviced loan (141 Livingston; 6.5% of the pool). Millennium Corporate Park (6.9% of BMARK 2021-B23; 2.3% of BMARK 2021-B24) is a FLOC and the largest loss contributor in the BMARK 2021-B23 transaction. The loan is secured by a 537,032-sf office park in Redmond, WA near Seattle. The property features six office buildings constructed in 1999, that are each two or three stories. The property is anchored by Microsoft, which has a lease extending through April 2028 for 89% of the total NRA. Per the latest inspection from May 2024, Microsoft has gone dark and is marketing the entirety of its space for sublease. The loan matures in January 2026. Fitch's 'Bsf' rating case loss of 14.7% (prior to a concentration adjustment) is based on a 9.50% cap rate and a 10.0% stress to the YE 2023 NOI. Additionally, Fitch's loss expectations for the loan factor in a higher probability of default to account for the refinance risk as the loan approaches the final year of its term with collateral that is largely dark. Selig Office Portfolio (2.3% of BMARK 2021-B23) is the second largest loss contributor and has the largest year-over-year loss increase in the transaction, increasing to 21.8% from 8.9% at Fitch's last rating action. The loan is secured by a nine-building office portfolio located in Seattle, WA. The properties were originally constructed between 1971 and 1986, and they combine for a total portfolio NRA of approximately 1.6 million square feet. The loan pays interest-only at a current mortgage rate of 3.2% and is scheduled to mature in April 2025. The portfolio has a 70% occupancy as of June 2024, declining each year since 2020. The portfolio's rent roll is granular with marginal near-term rollover. Fitch's 'Bsf' rating case loss of 21.8% (prior to a concentration adjustment) is based on a 10.00% cap rate and a 10.0% stress to the YE 2023 NOI. Additionally, Fitch's loss expectations for the loan factor in a higher probability of default to account for the refinance risk associated with the older vintage, low-occupancy office portfolio which is scheduled to mature in April 2025. 141 Livingston (6.5% of BMARK 2021-B24) is the largest loss contributor in the pool, which transferred to special servicing in October 2024. Fitch's 'Bsf' rating case loss for the loan also had the largest year-over-year increase in the pool, increasing to 19.3% from 7.1% at Fitch's last rating action. The loan is secured by a 213,745-sf office building located in Brooklyn, NY and originally constructed in 1959. The property serves as a mission critical location for Brooklyn's civil court systems with The City of New York Department of Citywide Administrative Services (NYC DCAS) occupying 96% of the total NRA. NYC DCAS occupies its space under a lease with an original term that is set to expire in December 2025. The loan transferred to special servicing after NYC DCAS did not renew its lease for a five-year term 18-months prior to the original lease expiration date, which triggered monthly reserve obligations that the borrower has not posted. As a result of the monthly reserve non-compliance, the master servicer ceased applying debt service payments and the loan went delinquent. Per the servicer, NYC DCAS was prepared to sign a two-year renewal with three extension options which, if exercised, would extend the renewal lease term to five years beyond the current expiration. Legal counsel determined that the two-year renewal with extension options did not meet the requirements outlined in the loan agreement. Negotiations over renewal terms with NYC DCAS are ongoing. The property has been 100% occupied since issuance and the YE 2023 NOI DSCR is 2.85x. Fitch's 'Bsf' rating case loss of 19.3% (prior to a concentration adjustment) is based on a 9.25% cap rate and Fitch's sustainable NCF from issuance. Additionally, Fitch's loss expectation for the loan factors in an adjustment to the probability of default as the loan was transferred to special servicing as a result of a technical default; the property's performance remains stable and lease renewal negotiations are ongoing with the major tenant. Boca Office Portfolio (4.3% of BMARK 2021-B24) is a FLOC and a top-10 office loan approaching maturity in the near term (March 2026). The loan is secured by a mixed-use (office/retail) portfolio comprised of four properties located in Boca Raton, FL, all of which were originally constructed in the 1980s. The portfolio encompasses over 514,000-sf of space, with an office-retail split of approximately 80%-20%. The property features a granular rent roll and has reported 82%-83% occupancy since issuance. The portfolio is subject to near-term rollover risk with 15% rollover scheduled in 2025 and 2026, per the June 2024 rent roll. Fitch's 'Bsf' rating case loss of 3.7% (prior to a concentration adjustment) is based on a 15% stress to the YE 2023 NOI to account for the occupancy and rollover concerns, and a 10.00% cap rate. Marginal Change to Credit Enhancement (CE) and Minimal Defeasance: As of the October 2024 reporting, the BMARK 2021-B23 pool's aggregate balance has reduced 1.2% since issuance, and the pool has no defeasance concentration to date. The BMARK 2021-B24 pool's aggregate balance has reduced 0.6% since issuance with 0.8% defeasance concentration as of the October 2024 reporting. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly or interest shortfalls occur or are expected to occur; - Downgrades to classes rated in the 'Asf' and 'BBBsf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, particularly office loans with near-term maturities, namely Millennium Corporate Park, Selig Office Portfolio, and Boca Office Portfolio; - Further downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on specially serviced loans; - Further downgrades to 'CCCsf' 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 classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs; - Upgrades to classes rated in the 'BBBsf' category would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls; - Upgrades to classes rated in the 'BBsf' and 'Bsf' categories are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE; - Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly improved performance from FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2024-V11: Fitch Assigns B-sf Final Rating on Two Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2024-V11 Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2024-V11 as follows: - $240,000,000 class A-2 'AAAsf'; Outlook Stable; - $490,565,000 class A-3 'AAAsf'; Outlook Stable; - $120,021,000 class A-M 'AAAsf'; Outlook Stable; - $850,586,000a class X-A 'AAAsf'; Outlook Stable; - $50,879,000 class B 'AA-sf'; Outlook Stable; - $36,528,000 class C 'A-sf'; Outlook Stable; - $87,407,000ab class X-B 'A-sf'; Outlook Stable; - $12,629,000b class D 'BBBsf'; Outlook Stable; - $12,629,000ab class X-D 'BBBsf'; Outlook Stable; - $19,986,000bc class E-RR 'BBB-sf'; Outlook Stable; - $20,873,000bc class F-RR 'BB-sf'; Outlook Stable; - $13,046,000bc class G-RR 'B-sf'; Outlook Stable; - $19,986,000abc class X-ERR 'BBB-sf'; Outlook Stable; - $20,873,000abc class X-FRR 'BB-sf'; Outlook Stable; - $13,046,000abc class X-GRR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $39,138,000bc class J-RR; - $39,138,000abc class X-JRR. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expected ratings on Oct. 28, 2024, the balances for classes A-2, A-3, D and E-RR were finalized. At the time the expected ratings were published, the expected class A-2 balance range was $0 to $300,000,000 and the expected class A-3 balance range was $$430,565,000 to $730,565,000. The final class balance for class A-2 is $240,000,000. The final class balance for class A-3 is $490,565,000. The final class balance for class D is $12,629,000. The final class balance for class E-RR is $19,986,000. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 96.1% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $218.9 million represents a 15.9% decline from the issuer's aggregate underwritten NCF of $260.3 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 95.4% is higher than both the 2024 YTD and 2023 five-year multiborrower transaction averages of 94.3% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 11.8% is lower than both the 2024 YTD and 2023 averages of 11.9% and 12.2%, respectively. Office Concentration: In general, the pool's property type diversity is comparable to that of recent Fitch-rated transactions; the pool's effective property type count of 5.4 is higher than the YTD 2024 and 2023 five-year multiborrower transaction averages of 4.3 and 4.1, respectively. However, the largest property type concentration is office (27.2% of the pool), which is higher than the YTD 2024 office average of 22.6% and in line with the 2023 office average of 27.7%. In particular, the office concentration includes two of the largest 10 loans (13.8% of the pool). Investment-Grade Credit Opinion Loans: One loan representing 4.8% of the pool by balance received an investment-grade credit opinion. Atrium Hotel Portfolio 24 Pack received an investment-grade credit opinion of 'BBB+sf*' on a standalone basis. The pool's total credit opinion percentage is significantly lower than both the 2024 YTD average of 12.2% and the 2023 average of 14.6% for five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 97.2% and 9.8%, respectively, compared to the equivalent five-year multiborrower 2024 YTD LTV and DY averages of 98.1% and 10.0%, respectively. Higher Pool Concentration: The pool is more concentrated than other recently rated Fitch transactions. The top 10 loans represent 66.1% of the pool, which is higher than both the 2024 YTD five-year multiborrower average of 58.9% and the 2023 average of 65.3%. 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 19.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-f'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'/ BUCKHORN PARK: S&P Assigns BB- (sf) Rating on Class E-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-1RR, C-RR, D-RR, and E-RR replacement debt from Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC, a CLO managed by Blackstone Liquid Credit Strategies LLC that was originally issued in February 2019 and underwent a refinancing in August 2021. At the same time, S&P withdrew its ratings on the class A-R, B-1R, C-R, D-R, and E-R debt following payment in full on the Nov. 24, 2024, refinancing date. S&P also affirmed its rating on the class B-2R debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to May 22, 2025. -- No additional assets were purchased on the Nov. 22, 2024, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is January 2025. -- 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 August 2021 Debt Issuances Replacement debt -- Class A-RR, $297.50 million: Three-month CME term SOFR + 1.07% -- Class B-1RR, $70.00 million: Three-month CME term SOFR + 1.60% -- Class C-RR (deferrable), $31.75 million: Three-month CME term SOFR + 1.85% -- Class D-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.90% -- Class E-RR (deferrable), $16.75 million: Three-month CME term SOFR + 5.50% August 2021 debt -- Class A-R, $297.50 million: Three-month CME term SOFR + 1.12% + CSA(i) -- Class B-1R, $70.00 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class C-R (deferrable), $31.75 million: Three-month CME term SOFR + 2.00% + CSA(i) -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 3.10% + CSA(i) -- Class E-R (deferrable), $16.75 million: Three-month CME term SOFR + 6.25% + 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 Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC Class A-RR, $297.50 million: AAA (sf) Class B-1RR, $70.00 million: AA (sf) Class C-RR (deferrable), $31.75 million: A (sf) Class D-RR (deferrable), $30.00 million: BBB- (sf) Class E-RR (deferrable), $16.75 million: BB- (sf) Ratings Withdrawn Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC Class A-R to NR from 'AAA (sf)' Class B-1R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Rating Affirmed Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC Class B-2R: 'AA (sf)' Other Debt Buckhorn Park CLO Ltd./Buckhorn Park CLO LLC Subordinated notes, $48.30 million: NR NR--Not rated. BX TRUST 2024-FNX: Moody's Assigns Ba2 Rating to Cl. E Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by BX Trust 2024-FNX, Commercial Mortgage Pass-Through Certificates, Series 2024-FNX. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned Ba3 (sf) Moody's previously assigned provisional ratings of (P)Baa2 (sf) to Class X-CP and Class X-NCP as described in the prior press release. Subsequent to the release of the provisional ratings, the overall structure of the transaction was modified, and Class X-CP and Class X-NCP are no longer being offered. Based on the current structure, Moody's have withdrawn the provisional ratings for Class X-CP and Class X-NCP. RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interests in a portfolio of 44 industrial properties encompassing 7,547,839 SF. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The collateral portfolio consists of 44 industrial properties located across nine distinct markets in ten states. The largest metropolitan statistical area ("MSA") concentration is Minneapolis and the largest state concentration is in Minnesota (37.7% of NRA and 31.8% of UW NOI). The Portfolio's property-level Herfindahl score is 29.54 based on ALA. The collateral properties contain a total of 7,547,839 SF of NRA across the following three industrial subtypes: Warehouse/ Distribution (85.1% of NRA, 77.4% of base rent), R&D/Flex (17.7%, 18.9%), and parking (0.2%, 3.8%). Property size ranges between 16,200 SF and 875,666 SF, and averages approximately 221,399 SF. Maximum clear heights for properties range between 14 feet and 36 feet, and average approximately 26.6 feet. Construction dates for properties in the portfolio range between 1955 and 2023, with a weighted average year built of 1999. Details regarding past renovations were not provided for review however the properties are generally well maintained and show little signs of deferred maintenance. 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 1.02X and Moody's first mortgage actual stressed DSCR is 0.76X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $860,000,000 represents a Moody's LTV ratio of 110.8% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 101.8% based on Moody's Value using a cap rate adjusted for the current interest rate environment, compared to 101.4% in-place at Moody's provisional ratings. 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 portfolio's property quality grade is 0.75. Notable strengths of the transaction include: proximity to global gateway markets, infill locations, geographic diversity, strong occupancy rate with granular and economically diverse tenant roster, strong leasing activity with positive leasing spreads, multiple property pooling and experienced sponsorship. Notable concerns of the transaction include: rollover risk, high percentage of office use, cash out, floating-rate interest-only loan profile, non-sequential prepayment provision, and credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. CARLYLE US 2022-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2022-2, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2022-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. that originally closed in May 2022. 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 25.01, versus a maximum covenant, in accordance with the initial expected matrix point of 27.25. 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 96.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.88% versus a minimum covenant, in accordance with the initial expected matrix point of 71.12%. 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2022-2, 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. CARLYLE US 2024-6: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2024-6, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2024-6, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Carlyle US CLO 2024-6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.7, versus a maximum covenant, in accordance with the initial expected matrix point of 26.95. 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 97.51% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.55% versus a minimum covenant, in accordance with the initial expected matrix point of 70.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 40.5% 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 Carlyle US CLO 2024-6, 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. CARVANA AUTO 2024-P3: Moody's Ups Rating on Class N Notes from Ba1 ------------------------------------------------------------------ Moody's Ratings takes action on Class B and Class N issued by Carvana Auto Receivables Trust 2024-P3 (CRVNA 2024-P3). The notes are backed by a pool of retail automobile loan contracts originated by Carvana LLC (Carvana), who is also the administrator of the transaction. Bridgecrest Credit Company, LLC (Bridgecrest Credit), an indirect wholly owned subsidiary of DriveTime Auto Group, is the servicer of the transaction. The complete rating actions are as follows: Issuer: Carvana Auto Receivables Trust 2024-P3 Class B Asset Backed Notes, Upgraded to Aa1 (sf); previously on Sep 17, 2024 Definitive Rating Assigned Aa2 (sf) Class N Asset Backed Notes, Upgraded to Baa3 (sf); previously on Sep 17, 2024 Definitive Rating Assigned Ba1 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions reflect an improvement in Moody's Aaa loss level for the underlying pool of loans to 13% from 14%. The updated loss considers the sponsor's improved corporate strength and consistent loan performance reducing future volatility. On September 12, 2024, Moody's upgraded Carvana Co.'s ("Carvana") corporate family rating (CFR) to Caa1 from Caa3 reflecting it's better operating performance. The Class B upgrade action is also driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization. Additionally, the Class N upgrade also considers its paydown since closing. Although principal payments to Class N is solely provided by excess spread, Class N has received principal payments since the first distribution date as of 10/10/2024. As of the November 10, 2024 distribution date, Class N's tranche factor is 65% and it is expected to be paid off in around four months based on its current paydown speed. Moody's lifetime cumulative net loss expectations are noted below for the transaction pool. The loss expectations reflect updated performance trends on the underlying pool. Carvana Auto Receivables Trust 2024-P3: 2.75% No actions were taken on the remaining rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. CHASE HOME 2024-10: Fitch Assigns B-(EXP)sf Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-10 (Chase 2024-10). Entity/Debt Rating ----------- ------ Chase 2024-10 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2024-10 (Chase 2024-10), as indicated above. The certificates are supported by 430 loans with a total balance of approximately $515.77 million as of the cutoff date. The scheduled balance as of the cutoff date is $515.43 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.7% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans, with the remaining 0.3% qualifying as rebuttable presumption (APOR) qualified mortgage loans. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.8% above a long-term sustainable level (vs. 11.6% on a national level as of 2Q24, up 0.1% since last quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.3% YoY nationally as of August 2024 despite modest regional declines, but are still being supported by limited inventory. High Quality Prime Mortgage Pool (Positive): The pool consists of 430 high quality, fixed-rate, fully amortizing loans with maturities of 15 or 30 years that total $515.43 million. In total, 99.7% of the loans qualify as SHQM; the remining 0.3% are rebuttable presumption QM. 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 4.9 months, according to Fitch. The pool has a WA FICO score of 768, 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 76.9% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original weighted average (WA) combined loan-to-value (CLTV) ratio is 77.0%, which translates to a sustainable LTV (sLTV) ratio of 85.3%. 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, one townhouse, and planned unit developments (PUDs) constitute 94.2% of the pool, condominiums make up 4.5%, multi-family homes make up 0.7%, and the remaining 0.5% are co-ops. Fitch views favorably the fact that there are no investor loans in the pool. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (93.4%), cashout refinances (1.9%) and rate-term refinances (4.7%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 19.5% are concentrated in Texas, followed by California and Florida. The largest MSA concentration is in the Dallas MSA (6.5%), followed by the Miami MSA (5.6%) and the Seattle MSA (5.2%). The top three MSAs account for 17.4% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with B-6). Once the B-1-A class is written off, losses will be allocated to A-9-A first and then to the super senior classes pro-rata once the A-9-A is written off. Net interest shortfalls on the non-retained portion will be allocated first to the A-X-1 class and the subordinated classes pro-rata based on the current interest accrued for each class until the amount of current interest is reduced to zero and then to the senior classes (excluding A-X-1) pro-rata based on the current interest accrued for each class until the amount of current interest is reduced to zero CE Floor (Positive): A CE or senior subordination floor of 1.45% 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 0.90% 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 42.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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 0.15% at the 'AAAsf' stress due to 58.1% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58.1% 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 2024-10 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to the strong transaction parties and low operational risk present in the transaction as a result of an above average originator and RPS1- rated servicer. The above average originator and RPS1- servicer both 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. ELMWOOD CLO 34: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 34 Ltd./Elmwood CLO 34 LLC Class A-1, $615.00 million: AAA (sf) Class A-2, $45.00 million: Not rated 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) Subordinated notes, $97.90 million: Not rated ELMWOOD CLO 35: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 35 Ltd./Elmwood CLO 35 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 Nov. 27, 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 35 Ltd./Elmwood CLO 35 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Class Subordinated notes, $48.00 million: Not rated FLATIRON RR 27: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron RR CLO 27 Ltd. Entity/Debt Rating ----------- ------ Flatiron RR CLO 27 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Flatiron RR CLO 27 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Flatiron RR LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.21 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 98.94% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.22% versus a minimum covenant, in accordance with the initial expected matrix point of 75.3%. 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is seven months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Flatiron RR CLO 27 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. FORTRESS CREDIT XXV: S&P Assigns Prelim 'BB-' Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Fortress Credit Opportunities XXV CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle-market speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by FCOD CLO Management LLC. The preliminary ratings are based on information as of Nov. 27, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Fortress Credit Opportunities XXV CLO LLC Class A-1-R(i), $65.00 million: AAA (sf) Class A-1-L(ii), $45.00 million: AAA (sf) Class A-1-T, $122.20 million: AAA (sf) Class A-2, $12.90 million: AAA (sf) Class B, $21.50 million: AA (sf) Class C (deferrable), $34.40 million: A (sf) Class D (deferrable), $30.10 million: BBB- (sf) Class E (deferrable), $25.80 million: BB- (sf) Subordinated notes, $75.40 million: Not rated (i)Revolving loan tranche. The preliminary rating on the class A-1-R loans addresses only the full and timely payment of principal and the base interest amount, and it does not consider any capped amounts above this base interest amount. (ii)The class A-1-L loans are convertible into class A-1-T notes, while the class A-1-T notes and class A-1-R loans are not convertible into any other tranche. GCT COMMERCIAL 2021-GCT: Moody's Cuts Rating on Cl. B Certs to Ca ----------------------------------------------------------------- Moody's Ratings has confirmed the rating on one class and downgraded the rating on one class in GCT Commercial Mortgage Trust 2021-GCT, Commercial Mortgage Pass-Through Certificates, Series 2021-GCT as follows: Cl. A, Confirmed at B1 (sf); previously on August 6, 2024 Downgraded to B1 (sf) and Placed On Review for Downgrade Cl. B, Downgraded to Ca (sf); previously on August 6, 2024 Downgraded to Caa1 (sf) and Placed On Review for Downgrade RATINGS RATIONALE The rating on one principal and interest (P&I) class, Cl. A, was confirmed due to Moody's expectation of principal recovery upon the ultimate resolution of the underlying loan. The rating on Cl. B was downgraded due to higher anticipated losses upon the ultimate sale and resolution of the underlying asset. The anticipated losses have increased since Moody's last review due to the lower expected sale price than was initially reported. On November 6th 2024, the County of Los Angeles Board of Supervisors approved the purchase of the Gas Company Tower for $200 million (or $145 per SF), which is lower than initial offer of $215 million (or $156 per SF) that the previously County of Los Angeles submitted in the nonbinding letter of interest. As of the October 2024 distribution date, the loan was last paid through its January 2024 payment date and there are outstanding advances totaling approximately $14.1 million and interest shortfalls totaling $8.3 million affecting up to Cl. C. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or higher expected losses or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. DEAL PERFORMANCE As of the October 2024 distribution date the transaction's certificate balance was $350 million, the same as at securitization. The floating rate interest-only loan is secured by the fee simple interest in (i) a 54-story, Class A office building located at 555 West 5th Street in Los Angeles, California (the "Gas Company Tower") and (ii) a 1,166-stall parking garage located at 350 South Figueroa Street in Los Angeles, California. There is mezzanine debt totaling $115 million held outside of the trust. The loan has been in special servicing since February 2023 after the borrower elected not to extend or pay off the loan at its initial maturity date that month and a receiver was subsequently appointed in April 2023. Given the decline in net cash flow (NCF) and occupancy since securitization in combination with the higher debt service payments due to the loan's floating rate, the property has not been able to generate sufficient NCF to service the interest only floating rate debt service amount since 2023. The most recent reported appraised value was 39% below the outstanding loan balance causing a recognized appraisal reduction amount of $166.6 million as of the October 2024 remittance statement. As a result, interest shortfalls impacted up to Cl. C and totaled $8.3 million as of the October 2024 payment date. There were also outstanding loan advances and accrued advance interest totaling approximately $14.1 million. As of July 2024, the property was 52% leased, compared to 73% in December 2022 and 76% at securitization. The property's 2023 reported NOI was $22.1 million which was 21% lower than its 2022 reported net operating income (NOI) and 37% lower than its 2019 reported NOI. Southern California Gas Co., the property's largest tenant occupying 24% of the NRA, announced that they have signed a future new lease at another office tower in Downtown Los Angeles, and they will vacate the property at their lease expiration in October 2026. The receiver engaged Jones Lang LaSalle (JLL) to market the property for sale and JLL received a nonbinding letter of interest from the County of Los Angeles to buy the property for $215 million ($156 per SF). Upon competition of the due diligence and third-party reports, the County reduced its offer from $215 million to $200 million ($145 per SF), which was approved by the County Board of Supervisors on November 6th, 2024. As of the October 2024 distribution date, the loan is last paid through its January 2024 payment date and there are outstanding advances totaling approximately $14.1 million and interest shortfalls totaling $8.3 million affecting up to Cl. C. GENERATE CLO 18: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 18 Ltd./Generate CLO 18 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Generate Advisors LLC, a subsidiary of Kennedy Lewis Investment 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 Generate CLO 18 Ltd./Generate CLO 18 LLC Class A, $310.00 million: Not rated Class B, $70.00 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, $48.00 million: Not rated GOLUB CAPITAL 43(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 43(B)-R, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 43(B)-R, Ltd. A 38176QAA8 LT PIFsf Paid In Full AAAsf A1-R LT NRsf New Rating A2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D1-R LT BBB-sf New Rating D2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Golub Capital Partners CLO 43(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL LLC that originally closed in August 2019. This is the first refinancing in which the original notes will be refinanced in whole on Nov. 19, 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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.7, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 77.5% versus a minimum covenant, in accordance with the initial expected matrix point of 76.3%. Portfolio Composition (Negative): The largest three industries may comprise up to 57% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the obligor and geographic concentrations is in line with other recent U.S. CLOs. The initial portfolio has a higher industry concentration than other recent U.S. CLOs, which was taken into account in Fitch's stress scenarios. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 A2-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 'BBB-sf' for class D1-R, between less than 'B-sf' and 'BB+sf' for class D2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A2-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 D1-R, 'Asf' for class D2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners CLO 43(B)-R, 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. GS MORTGAGE 2021-HP1: Moody's Ups Rating on Cl. B-4 Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds issued by GS Mortgage-Backed Securities Trust 2021-HP1. The collateral backing this deal consists of agency eligible 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: GS Mortgage-Backed Securities Trust 2021-HP1 Cl. A-3, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-6*, Upgraded to Aaa (sf); previously on Oct 29, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B, Upgraded to A2 (sf); previously on Jan 23, 2024 Upgraded to A3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 23, 2024 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jan 23, 2024 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jan 23, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 23, 2024 Upgraded to Baa2 (sf) Cl. B-3-A, Upgraded to Baa1 (sf); previously on Jan 23, 2024 Upgraded to Baa2 (sf) Cl. B-3-X*, Upgraded to Baa1 (sf); previously on Jan 23, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 23, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 23, 2024 Upgraded to B2 (sf) Cl. B-X*, Upgraded to A2 (sf); previously on Jan 23, 2024 Upgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectation on the underlying pool. The transaction continues to display strong collateral performance, with the cumulative loss below 0.01% and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pool amortizes relatively quickly. The credit enhancement for each tranche upgraded has grown by, on average, 14.2% since closing. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. The rating actions also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the remaining rated classes in this deal because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in 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. GS MORTGAGE 2024-PJ10: Moody's Gives (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 63 classes of residential mortgage-backed securities (RMBS) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ10, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (86.9% by balance) and GSE-eligible (13.1% by balance) residential mortgages aggregated by MAXEX Clearing LLC (MAXEX; 4.8% by loan balance) and PennyMac Corp. (PennyMac; 13.5% by balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ10 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1L, Assigned (P)Aaa (sf) Cl. A-2L, Assigned (P)Aaa (sf) Cl. A-3L, Assigned (P)Aaa (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 0.40%, in a baseline scenario-median is 0.19% and reaches 5.57% 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. HAMLIN PARK: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to Hamlin Park CLO Ltd./Hamlin Park CLO LLC's fixed- and floating-rate debt. The note 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 diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Hamlin Park CLO Ltd./ Hamlin Park CLO LLC Class A, $248.0 million: AAA (sf) Class B-1, $44.50 million: AA (sf) Class B-2, $11.50 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $2.60 million: BBB- (sf) Class E (deferrable), $12.80 million: BB- (sf) Subordinated notes, $37.70 million: Not rated ICG US 2024-R1: S&P Assigns BB- (sf) Rating on Class E Debts ------------------------------------------------------------ S&P Global Ratings assigned its ratings to ICG US CLO 2024-R1 Ltd./ICG US CLO 2024-R1 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 ICG Debt Advisors LLC, an affiliate of Intermediate Capital Group PLC. 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 ICG US CLO 2024-R1 Ltd. /ICG US CLO 2024-R1 LLC Class A, $210.00million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D-1 (deferrable), $17.50 million: BBB (sf) Class D-2 (deferrable), $7.00 million: BBB- (sf) Class E (deferrable), $10.50 million: BB- (sf) Subordinated notes, $32.00 million: Not rated ICG US CLO 2024-R1: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2024-R1 Ltd./ICG US CLO 2024-R1 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 ICG Debt Advisors LLC, an affiliate of Intermediate Capital Group PLC. The preliminary ratings are based on information as of Nov. 25, 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 ICG US CLO 2024-R1 Ltd. /ICG US CLO 2024-R1 LLC Class A, $210.00million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $21.00 million: A (sf) Class D-1 (deferrable), $17.50 million: BBB (sf) Class D-2 (deferrable), $7.00 million: BBB- (sf) Class E (deferrable), $10.50 million: BB- (sf) Subordinated notes, $32.00 million: Not rated IVY HILL XVIII: 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-R, C-R, D-R, and E-R replacement debt from Ivy Hill Middle Market Credit Fund XVIII Ltd./Ivy Hill Middle Market Credit Fund XVIII LLC, a CLO originally issued in April 2021 that is managed by Ivy Hill Asset Management L.P. At the same time, S&P withdrew its ratings on the original debt and assigned ratings to the replacement debt following payment in full on the Nov. 21, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month term SOFR than the original debt. -- The original class A debt was split into class A-1R and A-2R debt. -- The original class B-1 and B-2 debt was combined to class B-R debt. -- The stated maturity, reinvestment period, and non-call period were extended by 3.76 years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Ivy Hill Middle Market Credit Fund XVIII Ltd./ Ivy Hill Middle Market Credit Fund XVIII LLC Class A-1R, $261.00 million: AAA (sf) Class A-2R, $18.00 million: AAA (sf) Class B-R, $27.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB- (sf) Class E-R (deferrable), $27.00 million: BB- (sf) Ratings Withdrawn Ivy Hill Middle Market Credit Fund XVIII Ltd./ Ivy Hill Middle Market Credit Fund XVIII LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' NR--Not rated. Other Debt Ivy Hill Middle Market Credit Fund XVIII Ltd./ Ivy Hill Middle Market Credit Fund XVIII LLC Subordinated notes, $62.215 million: Not rated JP MORGAN 2024-IGLG: Moody's Assigns Ba2 Rating to Cl. E Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to eight classes of CMBS securities, issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG, Commercial Mortgage Pass-Through Certificates, Series 2024-IGLG. 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. F, Definitive Rating Assigned B1 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) Cl. X*, Definitive Rating Assigned A2 (sf) * Reflects Interest-Only Classes. RATING RATIONALE This transaction is collateralized by the borrower's fee simple interests in five industrial facilities encompassing approximately 4.5 million square feet ("SF") in four markets across four states (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 both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology and Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities. 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 1.01x and Moody's first mortgage stressed DSCR is 0.67x. Moody's DSCR is based on Moody's stabilized net cash flow. The first mortgage balance of $291.0 million represents a Moody's LTV ratio of 124.8% based on Moody's value. The adjusted Moody's LTV ratio for the first mortgage balance is 114.6%, compared to 114.2% in place at Moody's provisional ratings, based on Moody's value taking in to account the current interest rate environment. With respect to property level diversity, the pool's property level Herfindahl score is 4.5. 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. occupancy and tenant strength; ii. no rollover risk; iii. share of industrial facilities in global gateway markets; iv. strong industrial facility functionality; v. geographic diversity; vi. multiple property pooling; and vii. strong sponsorship. Notable concerns of the transaction include: i. Moody's DSCR ("MDSCR") and Moody's LTV ("MLTV"); ii. tenant concentration; iii. lack of infill locations; iv. interest-only profile; and v. credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in rating all classes except interest-only classes 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. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. 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. MARATHON CLO VIII: Moody's Ups Rating on $27MM C-R Notes From Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Marathon CLO VIII Ltd. US$56,250,000 Class A-2-R Senior Secured Floating Rate Notes due 2031 (the "Class A-2-R"), Upgraded to Aaa (sf); previously on February 4, 2021 Upgraded to Aa2 (sf) US$24,750,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B-R"), Upgraded to Aa1 (sf); previously on February 4, 2021 Upgraded to A3 (sf) US$27,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R"), Upgraded to Baa2 (sf); previously on July 14, 2020 Downgraded to Ba2 (sf) Marathon CLO VIII Ltd., originally issued in July 2015 and partially refinanced in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2023. The Class A-1-R notes have been paid down by approximately 62% or $175.6 million since then. Based on the trustee's October 2024 [1]report, the OC ratios for the Class A, Class B, and Class C notes are reported at 135.19%, 122.21% and 110.62%, respectively, versus October 2023[2] levels of 126.46%, 117.56% and 109.17%, respectively. Moody's note that the October 2024[1] trustee-reported OC ratios do not reflect the October 2024 payment distribution, when approximately $82.3 million of principal proceeds were used to pay down the Class A-1-R Notes. No actions were taken on the Class A-1-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: $230,796,751 Defaulted par: $1,925,466 Diversity Score: 63 Weighted Average Rating Factor (WARF): 2757 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.26% Weighted Average Recovery Rate (WARR): 46.91% Weighted Average Life (WAL): 4.17 years 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. MORGAN STANLEY 2015-420: S&P Affirms BB+ (sf) Rating on E Certs --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on six classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2015-420. This is a U.S. standalone (single-borrower) CMBS transaction that is backed by a fixed-rate, partial interest-only (IO) mortgage loan secured by the borrower's leasehold interest in a 30-story, 1.5 million-sq.-ft. office building, commonly known as the Graybar building, located in Manhattan, within the Grand Central office submarket. Rating Actions The affirmations on classes A, B, C, D, and E primarily reflect that: -- S&P said, "Since our last published review, in May 2022, the property's performance has remained stable, with reported occupancy percentages in the low- to mid-80s, in line with the office submarket metrics. We also did not observe from CoStar any spaces at the property being marketed for sublease at this time." -- The Grand Central office submarket fundamentals remain challenged but stabilizing, per CoStar. The property also has manageable lease rollover risk, and the property's net cash flow (NCF) is unlikely to decline significantly in the near term. -- S&P said, "The mortgage loan had amortized down by 4.9% since our last review to $222.3 million and by 9.3% since issuance. We assessed that the de-leveraging of the loan balance partially offset the risk of increasing leverage due to a decline in property value resulting from the uncertainty around the ground rent expense reset that will occur in January 2030. While we assumed a higher-than-in-place ground rent expense in our current property-level analysis, the actual amount may be higher than our expectations, which may lead to a lower-than-expected NCF and value for the property." -- S&P's current expected-case value is unchanged from the value its derived in its last review. While the model-indicated ratings were higher for classes B, C, D, and E due mainly to loan amortization, S&P affirmed its outstanding ratings on these classes because we qualitatively considered: -- The uncertainty around the future of the overall office sector and the property's upcoming ground rent expense reset, which may be higher than our estimate. Additionally, according to the Sept. 30, 2024, rent roll, the leases of the largest tenant, Metro-North Railroad Co./Metropolitan Transportation Authority (MTA), comprising 23.1% of the property's NRA, expire in January 2027 and November 2034. There is currently a de minimis amount ($2.00) in reserve, according to the November 2024 CREFC loan level reserve report. -- That the borrower did not pay off the loan by its anticipated repayment date (ARD) in October 2024 and instead exercised its 16-year extension option, extending the loan's maturity to October 2040. During the extended period, the loan's fixed interest rate increases to 8.02% from 3.76%. In addition, according to the post-ARD cash management provisions in the transaction documents, excess cash flows are used to pay property-related expenses and fund reserves, as well as pay the higher interest rate before loan amortization. -- S&P affirmed its rating on the class X-A IO certificates based on its criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A. -- S&P said, "We will continue to monitor the tenancy and performance of the property and the loan, as well as any indications that the potential ground rent reset may be significantly different from our estimates. If we receive information that differs materially from our expectations, we may revisit our analysis and take rating actions as we determine necessary." Property-Level Analysis The property, located directly above Grand Central Station, is a 30-story, 1.5 million-sq.-ft. (of which approximately 57,000 sq. ft. is ground-floor retail space that includes an Equinox gym) office building located at 420 Lexington Ave. in the Grand Central office submarket of New York City. The office building was originally constructed in 1927 and last renovated in 1999. The multi-tenanted property had served as Graybar Electric Co.'s headquarters until 1982. The collateral property is subject to a ground lease that expires on Dec. 31, 2029, followed by a second 20-year ground lease that commences Jan. 1, 2030, with two 15-year extension options (through Dec. 31, 2080). The ground lessor is Landgray Associates. The current contractual ground rent payment is approximately $11.2 million annually through Dec. 31, 2029. The annual ground rent payment resets on Jan. 1, 2030, to the greater of $12.3 million and 6.0% of the then fair market value of the land at the property. S&P said, "Due to a lack of comparable recent available land sales in the area and because we have not received contrary information to date, we accounted for the potential significant increase in ground rent expense in our current property-level analysis by using the $24.6 million ($24 per sq. ft.) amount that we derived in our last review and at issuance." S&P said, "In our last review, in May 2022, assuming an occupancy rate of 81.2% (using the December 2021 rent roll), an S&P Global Ratings' in-place rent of $59.59 per sq. ft., and a 74.2% operating expense ratio (reflecting our assumed $24.6 million ground rent expense that is more than double the current reported ground rent expense of $11.2 million), we arrived at an S&P Global Ratings' NCF of $15.3 million. Utilizing a 6.25% S&P Global Ratings' capitalization rate, we derived an expected-case value of $342.9 million, or $230 per sq. ft., which included adding $97.4 million for the net present values of the future rent steps associated with the tenant, MTA, and the difference between our assumed and in-place ground rent expenses through 2029." As of the September 2024 rent roll, the property was 84.9% occupied. Excluding the two largest tenants, no other tenant constitutes more than 3.2% of the property's NRA. The five largest tenants, which comprise 39.4% of NRA, are: -- MTA (23.1% of NRA; 20.7% of in-place base rent; January 2027 for 0.5% of the property's NRA and November 2034 for 22.6% of NRA lease expirations). -- New York Life Insurance (7.5%; 9.5%; September 2030). -- Greenberg Traurig (3.2%; 4.2%; November 2037). -- Pride Technologies (3.0%; 4.6%; December 2032). -- Equinox (2.6%; 4.0%; February 2045). -- Lease rollover risk, as measured by NRA, is manageable, in S&P's view, with leases comprising less than 7.5% of NRA expiring each year through 2033 (except for 9.6% in 2030). There is elevated rollover in 2034, when MTA's leases expire. According to CoStar, the Grand Central office submarket, where the subject property is located, continued to experience elevated vacancy (16.6%) and availability (15.4%) rates but is stabilizing. CoStar projects the submarket vacancy rate to remain at 16.6% through 2028 and noted that annual leasing activity in this submarket is at its highest level since 2019. The submarket asking rent is currently at $78.49 per sq. ft., and CoStar expects it to increase gradually to $83.11 per sq. ft. by 2028. The property is currently 84.9% occupied with a gross rent of $61.98 per sq. ft., as calculated by S&P Global Ratings. S&P said, "Considering the property's performance trends and the current office submarket metrics, in our current property-level analysis, we assumed a 15.1% vacancy rate (based on in-place occupancy rate of 84.9%), a $61.98-per-sq.-ft. S&P Global Ratings in-place gross rent, a 72.9% operating expense ratio, and higher tenant improvement costs to arrive at a NCF of $16.5 million. Our high operating expense ratio is primarily driven by our higher assumed unabated real estate taxes and ground rent expense derived at issuance. "Utilizing an S&P Global Ratings capitalization rate of 6.75% (increased from 6.25% at our last review and at issuance to reflect the perceived higher risk premium associated with comparable office properties of similar quality) and adding approximately $98.8 million for the net present values of the future rent steps associated with the MTA lease and difference between our assumed and in-place ground rent expenses, we arrived at an expected-case value of $342.9 million, or $230 per sq. ft., unchanged from our last review and 51.0% lower than the issuance market appraisal value of $700.0 million. This yielded an S&P Global Ratings loan-to-value ratio of 64.8% on the current trust balance." Table 1 Servicer-reported collateral performance Six months ending June 30, 2024(i) 2023(i) 2022(i) 2021(i) Occupancy rate (%) 84.1 82.8 80.9 81.2 Net cash flow (mil. $) 19.3 31.3 28.9 27.4 Debt service coverage (x) 2.24 1.82 1.69 1.54 Appraisal value (mil. $) 700.0 700.0 700.0 700.0 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions Current review Last review At Issuance (Nov 2024)(i) (May 2022)(i) (March 2015)(i) Trust balance (mil. $) 222.3 233.8 245.0 Occupancy rate (%) 84.9 81.2 92.5 Net cash flow (mil. $) 16.5 15.3 10.1 Capitalization rate (%) 6.75 6.25 6.25 Add-to-value (mil. $)(ii) 98.8 97.4 177.1 Value (mil. $) 342.9 342.9 339.0 Value per sq. ft. ($) 230 230 227 Loan-to-value ratio (%)(iii) 64.8 68.2 72.3 (i)Review period. (ii)Reflects the present values of the future rent steps for tenant Metro-North Railroad Co./Metropolitan Transportation Authority and the difference between our assumed and the actual in place ground rent expenses. (iii)Based on the trust balance at the time of our review. Transaction Summary The trust mortgage loan is fixed-rate and partial IO with an outstanding balance of $222.3 million as of the Nov. 15, 2024, trustee remittance report (down from $245.0 million at issuance). It was IO through October 2019 then began amortizing on a 30-year schedule and had an Oct. 7, 2024, ARD with one 16-year extension term. The borrower did not repay the loan in October 2024 and exercised the 16-year extension option. The loan currently matures in October 2040. According to transaction documents, following the ARD, the borrower is permitted to prepay the loan in whole, but not in part, without penalty or fee. During the extended period, the mortgage interest rate increased to 8.02% from 3.77%. Additionally, following the ARD, the mortgage loan will amortize from excess cash flow only after the repayment of interest due at the higher interest rate, which, according to the November 2024 trustee remittance report, no principal amortization was made this period. Therefore, future principal amortization on the mortgage loan will be subject to the availability of property cash flow after paying property related expenses and fund reserves, as well as pay the higher interest rate. There is also a subordinate B-note with an initial balance of $55.0 million, which, based on the amortization schedule of the senior A note, S&P believes has paid down to about $49.9 million currently. To date, the trust has not incurred any principal losses. Ratings Affirmed Morgan Stanley Capital I Trust 2015-420 Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB+ (sf) Class X-A: AAA (sf) MORGAN STANLEY 2022-18: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Morgan Stanley Eaton Vance CLO 2022-18, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Eaton Vance CLO 2022-18, Ltd. A-1 617924AA3 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2 617924AC9 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B 617924AE5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 617924AG0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 617924AJ4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 617925AA0 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Morgan Stanley Eaton Vance CLO 2022-18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Morgan Stanley Eaton Vance CLO Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $397 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 23.68, versus a maximum covenant, in accordance with the initial expected matrix point of 24.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.23% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.51% 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 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, '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 Morgan Stanley Eaton Vance CLO 2022-18, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NASSAU LTD 2018-I: Moody's Lowers Rating on $20.1MM E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Nassau 2018-I Ltd.: US$56,300,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on March 24, 2023 Upgraded to Aa1 (sf) US$28,300,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on February 5, 2024 Upgraded to A1 (sf) US$32,600,000 Rated Repack A Notes (composed of components representing $5,000,000 of Class B Notes, $16,500,000 of Class C Notes, $1,700,000 of Class D Notes, and U.S.$9,400,000 of Subordinated Notes due 2031 (collectively, the "Repack A Underlying Components")) (current outstanding balance $17,883,345.14) (the "Repack A Rated Notes"), Upgraded to Aaa (sf); previously on February 5, 2024 Upgraded to Aa2 (sf) US$32,600,000 Rated Repack B Notes (composed of components representing $11,800,000 of Class C Notes, $11,300,000 of Class D Notes, and U.S.$9,500,000 of Subordinated Notes due 2031 (collectively, the "Repack B Underlying Components")) (current outstanding balance $17,208,207.89) (the "Repack B Rated Notes"), Upgraded to Aa2 (sf); previously on February 5, 2024 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$20,100,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 7, 2020 Confirmed at Ba3 (sf) Nassau 2018-I Ltd., issued in June 2018, is a managed cashflow CLO. The CLO notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans, and the Repack A Rated Notes and Repack B Rated Notes are collateralized by their underlying components. 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 upgrade rating actions on the CLO notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2024. The Class A Notes have been paid down by approximately 52.0% or $154.5 million since that time. Based on Moody's calculation, the OC ratios for the Class A/B and Class C Notes are currently 144.61% and 126.58%, respectively, versus February 2024 levels of 127.97% and 118.48% respectively. The upgrade rating actions on the Repack A Rated Notes and Repack B Rated Notes are primarily the result of reductions of their respective note balances. The Repack A Rated Notes have been paid down by $1.35 million or by 7.0%, and the Repack B Rated Notes have been paid down by $1.42 million or by 7.6% since February 2024. Additionally, the Repack A Rated Notes are now fully collateralized by the portion of the Repack A Underlying Components comprised by Class B Notes and Class C Notes, and the Repack B Rated Notes are now fully collateralized by the portion of the Repack B Underlying Components comprised by Class C Notes and Class D Notes. The downgrade rating action on the Class E Notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculation, the OC ratio for the Class E Notes is currently 103.10% versus 104.34% in February 2024. No actions were taken on the Class A Notes and Class D Notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in 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: $287,001,634 Defaulted par: $1,628,973 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2703 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.41% Weighted Average Recovery Rate (WARR): 46.9% Weighted Average Life (WAL): 3.8 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. NASSAU LTD 2018-II: Moody's Cuts Rating on $30.3MM E Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Nassau 2018-II Ltd.: US$69,600,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on Aug 18, 2023 Upgraded to Aa1 (sf) US$29,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa3 (sf); previously on Aug 18, 2020 Confirmed at A2 (sf) Moody's have also downgraded the rating on the following notes: US$30,300,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on Aug 18, 2023 Downgraded to B1 (sf) RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since October 2023. The Class A Notes have been paid down by approximately 40.6% or $154.9 million since that time. Based on the trustee's October 2024 [1] report, the OC ratios for the Class A/B and Class C Notes are reported at 130.53% and 120.27%, respectively, versus October 2023 [2] levels of 126.70% and 118.96%, respectively. Moody's note that the October 2024 trustee-reported OC ratios do not reflect the October 2024 payment distribution, when $46.3 million of principal proceeds were used to pay down the Class A Notes. The downgrade rating action on the Class E Notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's October 2024 [3] report, the OC ratio for the Class E Notes is reported at 101.54% versus the October 2023 [4] level of 104.05%. Moody's note that the OC ratio for the Class E Notes has failed to satisfy the test level of 104.20% since July 2023[5]. Moreover, the Class D OC ratio of 108.99% [6] compared to the test level of 109.01% points to a material possibility that a Class D OC test failure could occur and result in available interest and principal collections being diverted away from payments to the Class E Notes until the test is cured. Finally, the trustee-reported weighted average spread (WAS) has been deteriorating, and the current level is 3.55% [7] versus 3.77% in October 2023[8], failing the minimum WAS test level of 3.70%[9]. No actions were taken on the Class A Notes and Class D Notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in 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: $401,015,608 Defaulted par: $3,531,938 Diversity Score: 58 Weighted Average Rating Factor (WARF): 2746 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 3.8 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. NEUBERGER BERMAN 29: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 29, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 29, Ltd. - Reset 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 NR(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Neuberger Berman Loan Advisers CLO 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers LLC that originally closed in September 2018 and was not rated by Fitch. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.5 versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.56% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.84% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 44% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-1R, between 'BBBsf' 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, 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-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, 'AAsf' for class C-R, 'Asf' for class D-1R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 29, 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NIAGARA PARK CLO: Moody's Assigns B3 Rating to $250,000 F-RR Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Niagara Park CLO, Ltd. (the Issuer): US$288,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2038, 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 85% of the portfolio must consist of first lien loans, senior secured bonds, cash and eligible investments; and up to 15.0% of the portfolio may consist of assets that are not first lien loans, senior secured bonds, cash or eligible investments. Blackstone Liquid Credit Strategies LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the eight other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3110 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 8.16 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. NIAGARA PARK: Fitch Assigns 'BB+sf' Rating on Class E-RR Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Niagara Park CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Niagara Park CLO, Ltd. X LT AAAsf New Rating A-1-RR LT AAAsf New Rating A-2-RR LT AAAsf New Rating B-1-RR LT AAsf New Rating B-2-RR LT AAsf New Rating C-RR LT Asf New Rating D-1-RR LT BBB+sf New Rating D-2-RR LT BBB-sf New Rating E-RR LT BB+sf New Rating F-RR LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Niagara Park CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Blackstone Liquid Credit Strategies LLC. The deal originally closed in June 2019 and underwent its first refinancing in July 2021. The second refinancing is scheduled for Nov. 19, 2024. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $450 million, primarily consisting of first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.16% first-lien senior secured loans and has a weighted average recovery assumption of 74.9%. 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1-RR, between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BBB-sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-RR and class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1-RR, 'Asf' for class D-2-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Niagara Park CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. OCEAN TRAILS XVI: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned ratings to Ocean Trails CLO XVI Ltd./Ocean Trails CLO XVI 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 Five Arrows Managers North America 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Ocean Trails CLO XVI Ltd./Ocean Trails CLO XVI LLC Class A-1, $216.00 million: AAA (sf) Class A-2, $9.90 million: AAA (sf) Class B, $47.70 million: AA (sf) Class C (deferrable), $21.60 million: A (sf) Class D-1 (deferrable), $18.00 million: BBB (sf) Class D-2 (deferrable), $7.20 million: BBB- (sf) Class E (deferrable), $10.80 million: BB- (sf) Subordinated notes, $37.40 million: Not rated OCP CLO 2017-13: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R2, A-R2, B-1R2, B-2R2, C-R2, D-1R2, D-2R2, and E-R2 replacement debt from OCP CLO 2017-13 Ltd./OCP CLO 2017-13 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in 2017 and was previously refinanced in 2021. At the same time, S&P withdrew its ratings on the class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R debt following payment in full on the Nov. 26, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The weighted average cost of debt of the replacement debt is lower than the 2021 debt. -- The new class X-R2 debt was issued in connection with this refinancing. These notes will be paid down using interest proceeds during the first 12 payment dates, beginning with the payment date in April 2025. -- The sequential class A-1b-R and A-2-R debt was replaced by the pari passu replacement class B-1R2 and B-2R2 debt. -- The class C-R debt was replaced by the sequential replacement class D-1R2 and D-2R2 debt. -- The non-call period was extended 4.7 years to November 2026. -- The reinvestment period and stated maturity were extended 7.3 years to November 2029 and November 2037, respectively. -- Additional subordinated notes and preference shares 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned OCP CLO 2017-13 Ltd./OCP CLO 2017-13 LLC Class X-R2, $2.00 million: AAA (sf) Class A-R2, $288.00 million: AAA (sf) Class B-1R2, $45.00 million: AA (sf) Class B-2R2, $9.00 million: AA (sf) Class C-R2 (deferrable), $27.00 million: A (sf) Class D-1R2 (deferrable), $23.63 million: BBB (sf) Class D-2R2 (deferrable), $7.88 million: BBB- (sf) Class E-R2 (deferrable), $13.50 million: BB- (sf) Ratings Withdrawn OCP CLO 2017-13 Ltd./OCP CLO 2017-13 LLC Class A-1a-R to NR from 'AAA (sf)' Class A-1b-R to NR from 'AA+ (sf)' Class A-2-R to NR from 'AA (sf)' Class B-R to NR from 'A (sf)' Class C-R to NR from 'BBB- (sf)' Class D-R to NR from 'BB- (sf)' Other Debt OCP CLO 2017-13 Ltd./OCP CLO 2017-13 LLC Subordinated notes, $82.90 million: NR (i)Includes 53,457 preference shares that will have a principal amount of $1,000 per share. NR--Not rated. OHA CREDIT 3: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X-R2, A-R2, B-1-R2, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2 replacement debt from OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC, a CLO managed by Oak Hill Advisors LP, that was originally issued in July 2019, and underwent a first refinancing in July 2021. The preliminary ratings are based on information as of Nov. 21, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 3, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the July 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the July 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the July 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 replacement class B-1-R2, C-R2, D-1-R2, and E-R2 debt is expected to be issued at a lower spread over three-month term SOFR than the July 2021 debt. -- The replacement class X-R2, A-R2, and D-2-R2 debt is expected to be issued at a higher floating spread, replacing the current spread. -- The reinvestment period and non-call period will be extended three and half years, and the stated maturity will be extended by approximately two and half years. -- Of the identified underlying collateral obligations, 99.99% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 98.05% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC Class X-R2, $1.00 million: AAA (sf) Class A-R2, $430.50 million: AAA (sf) Class B-1-R2, $85.50 million: AA (sf) Class B-2-R2, $16.00 million: AA (sf) Class C-R2 (deferrable), $42.00 million: A (sf) Class D-1-R2 (deferrable), $42.00 million: BBB- (sf) Class D-2-R2 (deferrable), $5.25 million: BBB- (sf) Class E-R2 (deferrable), $22.75 million: BB- (sf) Other Debt OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC Subordinated notes, $64.50 million: Not rated PROVIDENT FUNDING 2021-J1: Moody's Ups Cl. B-5 Certs Rating to Ba3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of seven bonds from two US residential mortgage-backed transactions (RMBS), backed by agency eligible and non-agency jumbo mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=n6W15B 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: Provident Funding Mortgage Trust 2021-J1 Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 7, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 24, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 24, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 24, 2024 Upgraded to B1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2021-2 Trust Cl. B-3, Upgraded to A3 (sf); previously on Sep 28, 2021 Definitive Rating Assigned Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 28, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Sep 28, 2021 Definitive Rating Assigned Ba2 (sf) 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 pools. The transactions continue to display strong collateral performance, with cumulative loss for the transactions below 0.02% and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pool amortize relatively quickly. The credit enhancement for each tranche upgraded has grown by, an average, 18.0% since closing. 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 because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in 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 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. RR LTD 24: Moody's Assigns (P)B3 Rating to $700,000 Cl. E-R2 Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of CLO refinancing notes (the Refinancing Notes) to be issued by RR 24 LTD (the Issuer): US$428,050,000 Class A-1a-R2 Senior Secured Floating Rate Notes due 2037, Assigned (P)Aaa (sf) US$700,000 Class E-R2 Secured Deferrable Floating Rate Notes due 2037, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. Redding Ridge Asset Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and eight 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: $700,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 7.25% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SIXTH STREET 27: S&P Assigns Prelim BB- (sf) Rating Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sixth Street CLO 27 Ltd./Sixth Street CLO 27 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 Sixth Street CLO 27 Management LLC (initially organized under the name Meadowvest Management IV LLC), a subsidiary of Sixth Street Advisers. The preliminary ratings are based on information as of Nov. 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 collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sixth Street CLO 27 Ltd./Sixth Street CLO 27 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $50.00 million: Not rated SYMPHONY CLO 39: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement notes and the new class A-L loans from Symphony CLO 39 Ltd./Symphony CLO 39 LLC, a CLO originally issued in 2023 that is managed by Symphony Alternative Asset Management LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D-1, D-2, and E debt following payment in full on the Nov. 27, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R and E-R debt will be issued at a lower spread over three-month SOFR than the original notes. The new floating spread will replace the current floating spread. -- Class A-L loans will be issued as part of this refinancing, on a pro-rata basis with the class A-R notes. -- The non-call period was extended two years. -- The stated maturity was extended to January 2038. -- The reinvestment period was extended to January 2030. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Symphony CLO 39 Ltd./Symphony CLO 39 LLC Class A-R, $166.00 million: AAA (sf) Class A-L loans, $90.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.60 million: BBB (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $12.50 million: BB- (sf) Ratings Withdrawn Symphony CLO 39 Ltd./Symphony CLO 39 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Symphony CLO 39 Ltd./Symphony CLO 39 LLC Subordinated notes, $38.60 million: NR NR--Not rated. VALLEY STREAM: S&P Assigns BB- (sf) Rating on Class E-2-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class B-RR, C-RR, D-RR, E-1-RR, and E-2-RR replacement debt from Valley Stream Park CLO Ltd./Valley Stream Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in November 2022 and underwent a refinancing in October 2023. The class A-RR replacement debt is not rated by S&P Global Ratings. At the same time, S&P withdrew its ratings on the class B-R, C-R, D-R and E-R debt following payment in full on the Nov. 27, 2024, refinancing date. The class A-R loans and A-R notes were 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 replacement class A-RR, B-RR, C-RR, D-RR, E-1-RR, and E-2-RR debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The reinvestment period, non-call period, and weighted average life test date will be extended two years, and the stated maturity will be extended by approximately 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." Ratings Assigned Valley Stream Park CLO Ltd./Valley Stream Park CLO LLC Class A-RR, $352.00 million: NR Class B-RR, $66.00 million: AA (sf) Class C-RR (deferrable), $33.00 million: A (sf) Class D-RR (deferrable), $33.00 million: BBB- (sf) Class E-1-RR (deferrable), $20.63 million: BB- (sf) Class E-2-RR (deferrable), $1.38 million: BB- (sf) Ratings Withdrawn Valley Stream Park CLO Ltd./Valley Stream Park CLO LLC Class B-R to NR from AA (sf) Class C-R (deferrable) to NR from A (sf) Class D-R (deferrable) to NR from BBB- (sf) Class E-R (deferrable) to NR from BB- (sf) Other Debt Valley Stream Park CLO Ltd./Valley Stream Park CLO LLC Subordinated notes, $45.90 million: NR NR--Not rated. WCORE COMMERCIAL 2024-CORE: Moody's Assigns B1 Rating to HRR Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by WCORE Commercial Mortgage Trust 2024-CORE, Commercial Mortgage Pass-Through Certificates, Series 2024-CORE: 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 Ba3 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The certificates are collateralized by single loan backed by a first lien commercial mortgage related to a portfolio of 19 primarily industrial properties. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Portfolio offers a total of 6,895,003 SF of aggregate area with an average facility size of 362,895 SF. Clear heights for properties range between 12 feet and 40 feet, with a weighted average maximum clear height for the Portfolio of 32 feet. The Portfolio is geographically diverse as the 19 properties are located across 10 MSAs in six states. California is the largest state concentration, representing 56.4% of NRA and 57.6% of ALA. The Inland Empire MSA is the largest market concentration, representing 38.1% of NRA and 38.7% of ALA. The Portfolio facilities are generally of a newer vintage, exhibiting a weighted average year built of 2010 (average age of 14 years). Nine properties were built since 2015. Development dates across the Portfolio vary widely between 1932 and 2024, but the functionality of the offering appears to be well suited for the existing tenancy. Additionally, the property condition assessments provided for review showed minimal immediate repairs were necessary. As of October 1, 2024, the Portfolio was 99.4% leased to an economically diverse tenant roster of over 120 tenants operating across a variety of industries. The 10 largest tenants total approximately 5.0 million SF and represent 72.9% of NRA. 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 first mortgage actual DSCR is 0.95X and Moody's first mortgage actual stressed DSCR is 0.73X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $686,000,000 represents a Moody's LTV ratio of 118.2% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 108.5%, compared to 108.1% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for 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 pool's weighted average property quality grade is 1.00. Notable strengths of the transaction include: the proximity to global gateway markets, good industrial facility functionality, geographic diversity, strong occupancy and experienced sponsorship. Notable concerns of the transaction include: the Portfolio's lease rollover profile, small share of industrial facilities in infill locations, high Moody's LTV ratio, floating-rate/interest-only mortgage loan profile, low DSCR and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. [*] Fitch Affirms & Withdraws 43 Classes Across 4 US CMBS Deals --------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 43 distressed rated classes across four U.S. CMBS transactions and has subsequently withdrawn the ratings. Entity/Debt Rating Prior ----------- ------ ----- COMM 2012-CCRE2 G 12624KBC9 LT Dsf Downgrade Csf G 12624KBC9 LT WDsf Withdrawn Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16 D 07388YAW2 LT Dsf Downgrade Csf D 07388YAW2 LT WDsf Withdrawn E 07388YAY8 LT Dsf Affirmed Dsf E 07388YAY8 LT WDsf Withdrawn F 07388YBA9 LT Dsf Affirmed Dsf F 07388YBA9 LT WDsf Withdrawn G 07388YBC5 LT Dsf Affirmed Dsf G 07388YBC5 LT WDsf Withdrawn H 07388YBE1 LT Dsf Affirmed Dsf H 07388YBE1 LT WDsf Withdrawn J 07388YBG6 LT Dsf Affirmed Dsf J 07388YBG6 LT WDsf Withdrawn K 07388YBJ0 LT Dsf Affirmed Dsf K 07388YBJ0 LT WDsf Withdrawn L 07388YBL5 LT Dsf Affirmed Dsf L 07388YBL5 LT WDsf Withdrawn M 07388YBN1 LT Dsf Affirmed Dsf M 07388YBN1 LT WDsf Withdrawn N 07388YBQ4 LT Dsf Affirmed Dsf N 07388YBQ4 LT WDsf Withdrawn O 07388YBS0 LT Dsf Affirmed Dsf O 07388YBS0 LT WDsf Withdrawn P 07388YBU5 LT Dsf Affirmed Dsf P 07388YBU5 LT WDsf Withdrawn Q 07388YBW1 LT Dsf Affirmed Dsf Q 07388YBW1 LT WDsf Withdrawn J. P. Morgan Chase Commercial Mortgage Securities Corp. 2006-LDP9 A-J 46629PAF5 LT Dsf Affirmed Dsf A-J 46629PAF5 LT WDsf Withdrawn A-JS 46629PAR9 LT Dsf Affirmed Dsf A-JS 46629PAR9 LT WDsf Withdrawn B 46629PAG3 LT Dsf Affirmed Dsf B 46629PAG3 LT WDsf Withdrawn B-S 46629PAS7 LT Dsf Affirmed Dsf B-S 46629PAS7 LT WDsf Withdrawn C 46629PAH1 LT Dsf Affirmed Dsf C 46629PAH1 LT WDsf Withdrawn C-S 46629PAT5 LT Dsf Affirmed Dsf C-S 46629PAT5 LT WDsf Withdrawn D 46629PAJ7 LT Dsf Affirmed Dsf D 46629PAJ7 LT WDsf Withdrawn D-S 46629PAU2 LT Dsf Affirmed Dsf D-S 46629PAU2 LT WDsf Withdrawn E 46630AAA6 LT Dsf Affirmed Dsf E 46630AAA6 LT WDsf Withdrawn E-S 46630AAC2 LT Dsf Affirmed Dsf E-S 46630AAC2 LT WDsf Withdrawn F 46630AAE8 LT Dsf Affirmed Dsf F 46630AAE8 LT WDsf Withdrawn F-S 46630AAG3 LT Dsf Affirmed Dsf F-S 46630AAG3 LT WDsf Withdrawn G 46630AAJ7 LT Dsf Affirmed Dsf G 46630AAJ7 LT WDsf Withdrawn G-S 46630AAL2 LT Dsf Affirmed Dsf G-S 46630AAL2 LT WDsf Withdrawn H 46630AAN8 LT Dsf Affirmed Dsf H 46630AAN8 LT WDsf Withdrawn H-S 46630AAQ1 LT Dsf Affirmed Dsf H-S 46630AAQ1 LT WDsf Withdrawn J 46630AAS7 LT Dsf Affirmed Dsf J 46630AAS7 LT WDsf Withdrawn K 46630AAU2 LT Dsf Affirmed Dsf K 46630AAU2 LT WDsf Withdrawn L 46630AAW8 LT Dsf Affirmed Dsf L 46630AAW8 LT WDsf Withdrawn M 46630AAY4 LT Dsf Affirmed Dsf M 46630AAY4 LT WDsf Withdrawn N 46630ABA5 LT Dsf Affirmed Dsf N 46630ABA5 LT WDsf Withdrawn P 46630ABC1 LT Dsf Affirmed Dsf P 46630ABC1 LT WDsf Withdrawn Merrill Lynch Mortgage Trust 2008-C1 G 59025WAV8 LT Dsf Downgrade Csf G 59025WAV8 LT WDsf Withdrawn H 59025WAW6 LT Dsf Affirmed Dsf H 59025WAW6 LT WDsf Withdrawn J 59025WAX4 LT Dsf Affirmed Dsf J 59025WAX4 LT WDsf Withdrawn K 59025WAY2 LT Dsf Affirmed Dsf K 59025WAY2 LT WDsf Withdrawn L 59025WAZ9 LT Dsf Affirmed Dsf L 59025WAZ9 LT WDsf Withdrawn M 59025WBA3 LT Dsf Affirmed Dsf M 59025WBA3 LT WDsf Withdrawn N 59025WBB1 LT Dsf Affirmed Dsf N 59025WBB1 LT WDsf Withdrawn P 59025WBC9 LT Dsf Affirmed Dsf P 59025WBC9 LT WDsf Withdrawn Q 59025WBD7 LT Dsf Affirmed Dsf Q 59025WBD7 LT WDsf Withdrawn S 59025WBE5 LT Dsf Affirmed Dsf S 59025WBE5 LT WDsf Withdrawn Fitch has withdrawn the ratings for COMM 2012-CCRE2, J. P. Morgan Chase Commercial Mortgage Securities Corp. 2006-LDP9 (JPMCC 2006-LDP9), Merrill Lynch Mortgage Trust 2008-C1 (MLMT 2008-C1) and Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16 (BSCMS 2007-PW16) as they are no longer considered relevant to the agency's coverage due to the transactions no longer being outstanding and no collateral remaining. KEY RATING DRIVERS Fitch has downgraded the following classes due to principal losses incurred on the classes and has subsequently withdrawn the ratings: - Class G to 'Dsf' from 'Csf' in COMM 2012-CCRE2 due to a realized loss of $98,548; - Class G to 'Dsf' from 'Csf' in MLMT 2008-C1 due to realized losses of $4.5 million; - Class D to 'Dsf' from 'Csf' in BSCMS 2007-PWR16 due to realized losses of $17.0 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Negative rating sensitivities are not applicable as the ratings have been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Positive rating sensitivities are not applicable as the ratings have been withdrawn. 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. Following the withdrawal of ratings for COMM 2012-CCRE2, J. P. Morgan Chase Commercial Mortgage Securities Corp. 2006-LDP9, Merrill Lynch Mortgage Trust 2008-C1 and Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16, Fitch will no longer be providing the associated ESG Relevance Scores. [*] Moody's Upgrades Ratings on 9 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of nine bonds from six US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=eWHUYu 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: CWABS Asset-Backed Certificates Trust 2006-20 Cl. 1-A, Upgraded to Aaa (sf); previously on Dec 18, 2023 Upgraded to Baa2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-21 Cl. 1-A, Upgraded to A1 (sf); previously on Dec 18, 2023 Upgraded to Ba2 (sf) Cl. 2-A-4, Upgraded to Ba1 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-22 Cl. 1-A, Upgraded to Caa1 (sf); previously on Oct 17, 2016 Confirmed at Caa3 (sf) Cl. 2-A-4, Upgraded to A1 (sf); previously on Dec 18, 2023 Upgraded to Ba2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-3 Cl. 1-A, Upgraded to Aaa (sf); previously on Dec 18, 2023 Upgraded to Baa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-9 Cl. 2A4, Upgraded to A1 (sf); previously on Dec 18, 2023 Upgraded to Ba3 (sf) Issuer: Saxon Asset Securities Trust 2007-3 Cl. 2-A3, Upgraded to A1 (sf); previously on Mar 10, 2023 Upgraded to Ba1 (sf) Cl. 2-A4, Upgraded to A2 (sf); previously on Mar 10, 2023 Upgraded to Ba1 (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 upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. Each of the upgraded bonds have displayed improved collateral performance and credit enhancement levels, since 12 months ago, have grown on average by 10%. Moody's analysis also reflects 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. In addition, 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. 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. [*] S&P Takes Various Actions on 117 ratings from 12 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on 117 classes from 12 U.S. RMBS non-qualified mortgage (non-QM) transactions. The review yielded 34 upgrades and 45 affirmations, and 38 ratings were placed on CreditWatch with negative implications. These CreditWatch negative placements are related to missed interest payments. A list of Affected Ratings can be viewed at: https://tinyurl.com/yhb4bnbu 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. 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. CreditWatch Negative Placements S&P said, "We are placing 38 classes from Galton Funding Mortgage Trust Series 2019-1 on CreditWatch with negative implications. The CreditWatch negative placements reflect interest shortfalls reported in recent months and the potential impact on creditworthiness should this trend continue given the low pool factor and serious delinquency pipeline. Based on correspondence with the trustee to date, the interest shortfalls were caused by a loan modification that resulted in zero available funds in the September distribution period and reduced available funds in the October distribution period. We typically resolve CreditWatch placements within three months of initial placement after additional information is gathered and analyzed. "In reviewing ratings on classes with interest shortfalls, we consider our criteria, "S&P Global Ratings Definitions," published Oct. 15, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we look to see if the applicable class receives additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid or reoccur. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, like the classes impacted in this review, our analysis focuses on our expectations regarding the length of the interest payment interruptions to assign the rating on the class. "For example, under our criteria, if a class experiences an interest shortfall in May, and is not repaid, or not expected to be repaid, in full until December (seven months duration), the applicable maximum potential rating (MPR), per our rating definitions, would be 'BBB-'." MPR AND INTEREST SHORTFALL PERIODS The applicable MPR and maximum amount of time until full interest repayment is detailed below: -- AA+: two months or fewer -- AA-: three months or fewer -- A-: six months or fewer -- BBB-: nine months or fewer -- B: 12 months or fewer 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 or tail risk. [*] S&P Takes Various Actions on 70 classes from 12 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of the ratings on 70 classes from 12 U.S. RMBS non-qualified mortgage transactions. The review yielded 29 upgrades and 41 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/bdz8w3x2 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 composition." 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 our projected credit support on these classes remains relatively consistent with it 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; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large-balance loan exposure/tail risk. [*] S&P Takes Various Actions on 70 Classes From 18 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 70 ratings from 18 U.S. RMBS transactions issued between 2002 and 2009. The review yielded nine upgrades, five downgrades, 11 withdrawals, one discontinuance, and 44 affirmations. A list of Affected Rating can be viewed at: https://tinyurl.com/bdfbswxa Analytical Considerations S&P incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments or interest shortfalls; -- Small loan count; -- Available subordination and/or overcollateralization; and -- Reduced interest payments due to loan modifications. Rating Actions The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. S&P said, "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. The lowered ratings due to interest shortfalls are consistent with our "S&P Global Ratings Definitions," published Oct. 15, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. One class from one transaction was affected in this review. "We lowered our rating on class 4A2 from Citigroup Mortgage Loan Trust 2009-7 to reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "We discontinued our 'D (sf)' rating on class MF-2 from CWABS Asset Backed Certificates Trust 2005-7. This class was previously lowered due to missed interest payments, and we view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria within this review. "We withdrew our ratings on 10 classes from two transactions due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. In addition, we withdrew our rating on class MV-1 from CIT Home Equity Loan Trust 2002-2 due to a lack of market interest." ********* 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. 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