/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/241208.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 8, 2024, Vol. 28, No. 342 Headlines ABPCI DIRECT XI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes ABPCI DIRECT XI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AGL CLO 22: Fitch Assigns 'BB+sf' Rating on Class E-R Notes AGL CLO 22: Moody's Assigns B3 Rating to $1.125MM Class F-R Notes AGL CLO 34: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Debt AGL CLO 34: Moody's Assigns B3 Rating to $250,000 Class F Notes AGL CLO 35: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes AIMCO CLO 2018-A: S&P Assigns B- (sf) Rating on Class F-R Notes AMCR ABS 2023-1: DBRS Confirms BB(low) Rating on Class C Notes AMMC CLO 24: Moody's Assigns Ba3 Rating to $20.2MM Class E-R Notes AMSR 2024-SFR2: DBRS Finalizes BB(low) Rating on Class F2 Certs ANCHORAGE CREDIT 8: Moody's Ups Rating on Class E Notes From Ba1 ARES CLO XXVIi: Moody's Assigns Ba3 Rating to $26.5MM E-R3 Notes BALLYROCK CLO 28: S&P Assigns Prelim BB- (sf) Rating on D Notes BATTALION CLO XVI: S&P Assigns Prelim BB-(sf) Rating on E-R2 Notes BBCMS MORTGAGE 2024-5C31: Fitch Assigns B-(EXP) Rating on 2 Classes BENEFIT STREET XXXVI: Fitch Assigns BB+sf Final Rating on E-1 Notes BFLD TRUST 2020-EYP: S&P Lowers X-EXT Certs Rating to 'CCC (sf)' BIRCH GROVE 10: Fitch Assigns 'BB-sf' Rating on Class E Notes BMO 2024-5C8: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs BPR COMMERCIAL 2024-PARK: DBRS Finalizes BB Rating on E Certs BX COMMERCIAL 2024-GPA2: DBRS Finalizes B Rating on HRR Certs BX COMMERCIAL 2024-GPA3: S&P Assigns Prelim BB+ Rating on HRR Certs BX TRUST 2024-FNX: Fitch Assigns 'BB-sf' Rating on Class HRR Certs CARLYLE US 2024-6: Fitch Assigns 'BB-sf' Rating on Class E Notes CARVANA AUTO 2024-P4: S&P Assigns Prelim BB+(sf) Rating on N Notes CBAM LTD 2018-5: Moody's Affirms Ba3 Rating on $45MM Class E Notes CEDAR FUNDING XI: S&P Affirms B- (sf) Rating on Class F Notes CHASE HOME 2024-10: Fitch Assigns 'B-sf' Final Rating on B-5 Certs CIFC FUNDING 2022-VII: Fitch Assigns BB-sf Rating on Cl. E-R Notes CITIGROUP 2017-P8: S&P Cuts Class V-3D Certs Rating to 'B- (sf)' CITIGROUP 2019-C7: Fitch Affirms B-sf Rating on 2 Tranches COLT 2024-7: Fitch Gives 'B(EXP)sf' Rating on Class B2 Certificates COMM 2013-CCRE8: Moody's Upgrades Rating on Cl. X-C Certs to Ba3 COMM 2014-CCRE20: DBRS Cuts Class E Certs Rating to D COMM 2014-UBS3: DBRS Confirms C Rating on 2 Classes CORNHUSKER FUNDING 1A: DBRS Confirms B Rating on Class C Notes CORNHUSKER FUNDING 1B: DBRS Confirms B Rating on Class C Notes CQS US 2021-1: Fitch Assigns 'BB-sf' Rating on Class E Notes CSAIL 2020-C19: Fitch Lowers Rating on Cl. F-RR Debt to 'B-sf' DT AUTO OWNER: DBRS Confirms 11 Ratings From 5 Transactions EFMT 2024-CES1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs ELEVATION CLO 2014-2: Moody's Cuts Rating on $9MM F-R Notes to Ca ELLINGTON CLO I: Moody's Cuts Rating on $43MM Cl. E-R Notes to Ca ELMWOOD CLO 24: S&P Assigns Prelim B- (sf) Rating on Cl. F-R Notes ELMWOOD CLO 35: S&P Assigns BB- (sf) Rating on Class F Debt GENERATE CLO 9: S&P Assigns Prelim BB- (sf) Rating on E-R Notes GOLDENTREE LOAN 11: S&P Affirms 'B- (sf)' Rating on Class F Notes GS MORTGAGE 2016-GS4: Fitch Affirms 'Bsf' Rating on Two Tranches GS MORTGAGE 2024-PJ10: Moody's Assigns B3 Rating to Cl. B-5 Certs GS MORTGAGE 2024-RPL7: Fitch Gives 'Bsf' Rating on Class B-2 Certs GSF 2021-1: DBRS Confirms BB(low) Rating on Class E Notes INV 2024-IND MORTGAGE: Moody's Gives B1 Rating to Class HRR Certs JP MORGAN 2012-C8: DBRS Cuts Rating on 2 Tranches to CCC JP MORGAN 2024-11: Moody's Assigns B3 Rating to Cl. B-5 Certs JP MORGAN 2024-CCM1: DBRS Gives Prov. B(low) Rating on B-5 Certs JP MORGAN 2024-CCM1: Moody's Assigns B1 Rating to Cl. B-5 Certs JP MORGAN 2024-CES2: Fitch Assigns 'B-sf' Final Rating on B-2 Certs JPMBB 2015-C33: Fitch Affirms 'B-sf' Rating on Class F Certificates KKR CLO 53: Moody's Assigns B3 Rating to $200,000 Class F Notes KRR CLO 53: Fitch Assigns 'BB+sf' Rating on E Notes, Outlook Stable MADISON PARK LXVIII: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes MAGNETITE XLVII: Fitch Assigns 'BB+sf' Rating on Class E Notes MAGNETITE XXXIX: S&P Assigns Prelim 'BB-' Rating on E-2-R Notes MARBLE POINT XI: Moody's Ups Rating on $31.25MM D Notes from Ba1 MARBLE POINT XII: Moody's Cuts Rating on $24.2MM Cl. E Notes to B1 MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs MCR TRUST 2024-HF1: Moody's Assigns B3 Rating to Cl. F Certs MELLO MORTGAGE 2021-INV2: Moody's Ups Rating on B-4 Certs to Ba1 MILL CITY 2024-RS2: Fitch Assigns 'BB+sf' Rating on Class A-2 Notes MKT 2020-525M: Fitch Affirms 'BBsf' Rating on Class D Certificates MORGAN STANLEY 2013-C11: DBRS Confirms C Rating on Class B Certs MORGAN STANLEY 2013-C11: Fitch Cuts Rating on 5 Tranches to Dsf MORGAN STANLEY 2021-ILP: DBRS Confirms B(low) Rating on F Certs NEUBERGER BERMAN 58: Fitch Assigns 'BB-sf' Rating on Class E Notes NXT CAPITAL 2024-1: S&P Assigns Prelim BB- (sf) Rating Cl. E Notes OAKTREE CLO 2021-1: S&P Assigns Prelim B- (sf) Rating on F-R Notes OAKTREE CLO 2024-28: S&P Assigns Prelim BB- (sf) Rating on E Notes OBRA CLO 1: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON INVESTMENT 48: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes OHA CREDIT 3: S&P Assigns BB- (sf) Rating on Class E-R2 Notes PALMER SQUARE 2022-4: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes PIKES PEAK 17: Fitch Assigns 'BB-sf' Rating on Class E Notes POST CLO VI: Fitch Assigns 'BB-sf' Rating on Class E Notes PRPM LLC 2024-RPL3: Moody's Assigns Ba2 Rating to Cl. M-2 Certs RAD CLO 17: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RATE MORTGAGE 2024-J4: Moody's Assigns B3 Rating to Cl. B-5 Certs REGATTA XXI: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes REGATTA XXI: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes RR 33 LTD: Fitch Assigns 'BB+(EXP)sf' Rating on Class D Notes RR 33 LTD: Fitch Assigns 'BB+sf' Rating on D Notes, Outlook Stable RR LTD 33: Moody's Assigns B3 Rating to $500,000 Class E Notes SELF COMMERCIAL 2024-STRG: Fitch Assigns 'B-sf' Rating on HRR Certs SEQUOIA 2024-INV1: Fitch Assigns 'Bsf' Final Rating on Cl. B5 Certs SHELTER GROWTH 2021-FL3: DBRS Confirms B(low) Rating on H Notes SILVER POINT 6: Fitch Assigns 'BB+sf' Rating on Class E Notes SLM STUDENT 2003-11: Fitch Lowers Rating on Cl. A-7 Notes to 'Bsf' SOUND POINT VIII-R: Moody's Cuts Rating on Class E Notes to B3 SYCAMORE TREE 2021-1: S&P Assigns 'BB-' Rating on Class E-R Notes TEXAS DEBT 2024-II: Fitch Assigns BB-sf Final Rating on Cl. E Notes TOWD POINT 2024-5: DBRS Finalizes B(low) Rating on Class B3 Notes TOWD POINT 2024-CES6: DBRS Gives Prov. B(high) Rating on B2 Notes TOWD POINT 2024-CES6: Fitch Assigns 'B-sf' Rating on Cl. B2 Notes TRINITAS CLO VIII: Moody's Affirms B1 Rating on $26MM Cl. E Notes TRINITAS CLO XI: Moody's Lowers Rating on $31.8MM E-R Notes to B1 US CAPITAL II: Fitch Affirms 'B-sf' Rating on Two Tranches VERUS SECURITIZATION 2024-9: S&P Assigns Prelim B-(sf) on B-2 Notes VIBRANT CLO XIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes WARWICK CAPITAL 5: S&P Assigns Prelim BB- (sf) Rating on E Notes WELLFLEET CLO 2016-2: Moody's Cuts $19.2MM D-R Notes Rating to B3 WELLS FARGO 2024-5C2: Fitch Assigns 'B-sf' Rating on Cl. J-RR Certs WESTLAKE AUTOMOBILE 2023-4: S&P Assigns BB (sf) Rating on E Notes WHITEBOX CLO II: Fitch Assigns 'BB+sf' Rating on Class E-1R2 Notes WHITEBOX CLO II: Moody's Assigns B3 Rating to $1.5MM E-2R2 Notes WILLIS ENGINE V: Fitch Affirms BB Rating on C Debt [*] DBRS Reviews 68 Classes From 15 US RMBS Transactions [*] Fitch Affirms 95 Classes on 13 CMBS Deals on 2006-2012 Vintages [*] Fitch Affirms Three US CMBS BBCMS 2022 Vintage Transactions [*] Moody's Takes Action on 18 Bonds from 11 US RMBS Deals [*] Moody's Upgrades Ratings on 25 Bonds from 3 US RMBS Deals [*] Moody's Upgrades Ratings on 52 Bonds from 6 US RMBS Deals [*] Moody's Upgrades Ratings on 52 Bonds from 6 US RMBS Deals ********* ABPCI DIRECT XI: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to ABPCI Direct Lending Fund CLO XI LP reset transaction. Entity/Debt Rating ----------- ------ ABPCI Direct Lending Fund CLO XI LP A-1-R LT AAA(EXP)sf Expected Rating A-1L-R LT AAA(EXP)sf Expected Rating A-1L-S LT AAA(EXP)sf Expected Rating A-2-L LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-R LT BBB(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary ABPCI Direct Lending Fund CLO XI LP (the issuer) is a middle-market (MM) collateralized loan obligation (CLO) that will be managed by AB Private Credit Investors, LLC and originally closed in September 2022. This is the first refinancing, with the original notes to be refinanced in whole on Dec. 3, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured MM 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 30.53 versus a maximum covenant, in accordance with the initial expected matrix point of 31.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.49% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 64.37% versus a minimum covenant, in accordance with the initial expected matrix point of 63.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 52.5% of the portfolio balance in aggregate while the top five obligors can represent up to 15% of the portfolio balance in aggregate. The level of diversity resulting from the 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 Ratings' analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural conditions and inability to reinvest after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A-1-R, class A-1L-R and A-1L-S, between 'BBB+sf' and 'AA+sf' for class A-2-R and A-2L, between 'BB+sf' and 'AAsf' for class B-R, between 'B+sf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-R, and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R, A-1L-R, A-1L-S, class A-2-R and class A-2L notes as these notes are in the highest rating category of 'AAAsf'. For the remaining classes, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R, 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 ABPCI Direct Lending Fund CLO XI LP. 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. ABPCI DIRECT XI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to ABPCI Direct Lending Fund CLO XI LP reset transaction. Entity/Debt Rating Prior ----------- ------ ----- ABPCI Direct Lending Fund CLO XI LP A-1-R LT AAAsf New Rating AAA(EXP)sf A-1L-R LT AAAsf New Rating AAA(EXP)sf A-1L-S LT AAAsf New Rating AAA(EXP)sf A-2-L LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-R LT BBBsf New Rating BBB(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary ABPCI Direct Lending Fund CLO XI LP (the issuer) is a middle-market (MM) collateralized loan obligation (CLO) that will be managed by AB Private Credit Investors, LLC and originally closed in September 2022. This is the first refinancing, with the original notes to be refinanced in whole on Dec. 3, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured MM 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 30.53 versus a maximum covenant, in accordance with the initial expected matrix point of 31.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.49% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 64.37% versus a minimum covenant, in accordance with the initial expected matrix point of 63.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 52.5% of the portfolio balance in aggregate while the top five obligors can represent up to 15% of the portfolio balance in aggregate. The level of diversity resulting from the 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 Ratings' analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural conditions and inability to reinvest after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A-1-R, class A-1L-R and A-1L-S, between 'BBB+sf' and 'AA+sf' for class A-2-R and A-2L, between 'BB+sf' and 'AAsf' for class B-R, between 'B+sf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-R, and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R, A-1L-R, A-1L-S, class A-2-R and class A-2L notes as these notes are in the highest rating category of 'AAAsf'. For the remaining classes, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R, 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 ABPCI Direct Lending Fund CLO XI LP. 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. AGL CLO 22: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the AGL CLO 22 LTD. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 22 LTD. X LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-1 00118XAG1 LT PIFsf Paid In Full AAsf B-2 00118XAJ5 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 00118XAC0 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 00118XAE6 LT PIFsf Paid In Full BBB-sf D-1R LT BBB+sf New Rating D-2R LT BBB-sf New Rating E 00118YAA2 LT PIFsf Paid In Full BB-sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary AGL CLO 22 LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) which is managed by AGL CLO Credit Management LLC that originally closed in October 2022. The secured notes will be refinanced in whole on Nov. 26, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', 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 99.72% first-lien senior secured loans and has a weighted average recovery assumption of 74.61%. 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 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'AA-sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 22 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. AGL CLO 22: Moody's Assigns B3 Rating to $1.125MM Class F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by AGL CLO 22 LTD. (the Issuer): US$2,000,000 Class X Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$283,500,000 Class A-1R Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$1,125,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of permitted obligations. AGL CLO Credit 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 the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3348 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. AGL CLO 34: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Debt ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 34 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 34 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating 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 to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf(EXP)' and 'AA+sf(EXP)' for class A-2, between 'BB+sf(EXP)' and 'A+sf(EXP)' for class B, between 'B+sf(EXP)' and 'BBB+sf(EXP)' for class C, between less than 'B-sf(EXP)' and 'BB+sf(EXP)' for class D-1, between less than 'B-sf(EXP)' and 'BB+sf(EXP)' for class D-2, and between less than 'B-sf(EXP)' and 'BB-sf(EXP)' 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(EXP)'. 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(EXP)' for class B, 'AA+sf(EXP)' for class C, 'A+sf(EXP)' for class D-1, 'A-sf(EXP)' for class D-2, and 'BBB+sf(EXP)' 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 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. AGL CLO 34: Moody's Assigns B3 Rating to $250,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by AGL CLO 34 Ltd. (the Issuer or AGL 34): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. AGL CLO 34 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds or senior secured notes. The portfolio is approximately 97% ramped as of the closing date. AGL CLO Credit Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3013 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. AGL CLO 35: Fitch Assigns 'BB+(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 35 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 35 LTD. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-L LT NR(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB+(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary AGL CLO 35, 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', 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 35 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. AIMCO CLO 2018-A: S&P Assigns B- (sf) Rating on Class F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, E-R, and F-R replacement debt from AIMCO CLO Series 2018-A/AIMCO CLO Series 2018-A LLC, a CLO originally issued in March 2018 that is managed by Allstate Investment Management Co. and was not rated by S&P Global Ratings. 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 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. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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 AMCR ABS 2023-1: DBRS Confirms BB(low) Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed three credit ratings from AMCR ABS Trust 2023-1 as detailed in the ratings table below: -- Class A Notes A (sf) Confirmed -- Class B Notes BBB (low)(sf) Confirmed -- Class C Notes BB (low)(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- The transaction parties' capabilities regarding originating, underwriting, and servicing. -- The credit rating actions are the result of performance to date, Morningstar DBRS' assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transaction's capital structure and form and sufficiency of available credit enhancement. Although losses are tracking above Morningstar DBRS' initial base case CNL expectations, due to the transaction structure, credit enhancement has increased for all classes mitigating the weaker than expected collateral performance. The current level of hard credit enhancement and estimated future excess spread are sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumptions at multiples of coverage commensurate with the credit ratings. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distributable Amount, and the related Note Balance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. AMMC CLO 24: Moody's Assigns Ba3 Rating to $20.2MM Class E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by AMMC CLO 24, Limited (the "Issuer"). Moody's rating actions are as follows: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$45,500,000 Class B-R Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$21,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$25,300,000 Class D-R Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$20,200,000 Class E-R Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. American Money Management Corporation (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing including reinstatement and extension of the stated non-call period 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 "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: $395,800,146 Defaulted par: $2,666,621 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2976 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.89% Weighted Average Life (WAL): 5.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. AMSR 2024-SFR2: DBRS Finalizes BB(low) Rating on Class F2 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by AMSR 2024-SFR2 Trust: -- $208.3 million Class A at AAA (sf) -- $37.2 million Class B at AA (sf) -- $29.3 million Class C at A (sf) -- $41.3 million Class D at BBB (sf) -- $17.6 million Class E1 at BBB (sf) -- $23.3 million Class E2 at BBB (low) (sf) -- $16.3 million Class F1 at BB (high) (sf) -- $23.3 million Class F2 at BB (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Class A certificates reflects 52.01% of credit enhancement provided by subordinate certificates. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (high) (sf), and BB (low) (sf) credit ratings reflect 43.43%, 36.68%, 23.12%, 17.74%, 13.98% and 8.60% of credit enhancement, respectively. The AMSR 2024-SFR2 certificates are supported by the income streams and values from 1,443 rental properties. The properties are distributed across 15 states and 37 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 56.6% of the portfolio is concentrated in three states: Tennessee (20.3%), Texas (18.3%), and Florida (18.0%). The average BPO value is $323,408. The average age of the properties is roughly 28 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $434.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. ANCHORAGE CREDIT 8: Moody's Ups Rating on Class E Notes From Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 8, Ltd.: US$52,000,000 Class B-R Senior Secured Fixed Rate Notes, Upgraded to Aaa (sf); previously on Feb 8, 2024 Upgraded to Aa1 (sf) US$18,000,000 Class C-R Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Feb 8, 2024 Upgraded to Aa3 (sf) US$14.400,000 Class D-R Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa3 (sf); previously on Feb 8, 2024 Upgraded to A2 (sf) US$27.600,000 Class E Junior Secured Deferrable Fixed Rate Notes, Upgraded to Baa2 (sf); previously on Feb 8, 2024 Upgraded to Ba1 (sf) Moody's have also affirmed the ratings on the following notes: US$167,000,000 Class A Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jun 6, 2019 Assigned Aaa (sf) Anchorage Credit Funding 8, Ltd., originally issued in June 2019 and refinanced in July 2021, is a managed cashflow CBO The portfolio is managed by Anchorage Capital Group, L.L.C. The transaction's reinvestment period ended in July 2024. RATINGS RATIONALE The rating upgrades on the Class B-R, Class C-R, Class D-R and Class E notes are primarily a result the benefit of the transaction having reached the end of the reinvestment period in July 2024. The affirmation on the rating on the Class A notes is primarily a result of the expected losses on the notes remaining consistent with their current rating level, after taking into account the CBO's latest portfolio, its relevant structural features and its actual over-collateralisation ratio. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. In particular, Moody's noted that the deal currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the deal's exposure to approximately 32% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 4.45%. Additionally, Moody's assumed that the deal will benefit from a lower weighted average rating factor (WARF) compared to its current covenant level. Moody's modeled a WARF of 3006 compared to a current covenant level of 3140. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD361.9m Defaulted Securities: USD 4.7m Diversity Score: 63 Weighted Average Rating Factor (WARF): 3006 Weighted Average Life (WAL): 5.14 years Weighted Average Spread (WAS): 4.45% Weighted Average Coupon (WAC): 5.82% Weighted Average Recovery Rate (WARR): 33.74% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the November 2024 trustee report was published at the time Moody's were completing Moody's analysis of the October 2024 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ARES CLO XXVIi: Moody's Assigns Ba3 Rating to $26.5MM E-R3 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by Ares XXVII CLO Ltd. (the "Issuer"). US$2,000,000 Class X-R3 Senior Floating Rate Notes due 2034, Assigned Aaa (sf) US$320,000,000 Class A-R3 Senior Floating Rate Notes due 2034, Assigned Aaa (sf) US$55,000,000 Class B-R3 Senior Floating Rate Notes due 2034, Assigned Aa2 (sf) US$25,500,000 Class C-R3 Mezzanine Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$33,000,000 Class D-R3 Mezzanine Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$26,500,000 Class E-R3 Mezzanine Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. 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. Ares CLO 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 remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a couple of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period and change of the Benchmark definition. 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: $496,601,676 Defaulted par: $281,744 Diversity Score: 79 Weighted Average Rating Factor (WARF): 2987 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 46.05% Weighted Average Life (WAL): 6 years For the deals with upgrade pressure and if you ran the sensitivity scenarios, consider adding selections from the following paragraph that are applicable 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 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 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. BALLYROCK CLO 28: S&P Assigns Prelim BB- (sf) Rating on D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 28 Ltd./Ballyrock CLO 28 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 Ballyrock Investment Advisors LLC. The preliminary ratings are based on information as of Dec. 3, 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 Ballyrock CLO 28 Ltd./Ballyrock CLO 28 LLC Class A-1a, $304.00 million: AAA (sf) Class A-1b, $9.50 million: AAA (sf) Class A-2, $47.50 million: AA (sf) Class B (deferrable), $28.50 million: A (sf) Class C-1 (deferrable), $28.50 million: BBB- (sf) Class C-2 (deferrable), $4.75 million: BBB- (sf) Class D (deferrable), $14.25 million: BB- (sf) Subordinated notes, $46.60 million: Not rated BATTALION CLO XVI: S&P Assigns Prelim BB-(sf) Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 replacement debt from Battalion CLO XVI Ltd., a CLO managed by Brigade Capital Management L.P. that was originally issued in December 2019 and underwent a first refinancing in December 2021. The preliminary ratings are based on information as of Dec. 3, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 12, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the December 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the December 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the December 2021 debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Jan. 20, 2027. -- The reinvestment period will be extended to Jan. 20, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Jan. 20, 2038. -- Additional assets will be purchased on the Dec. 12, 2024, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Battalion CLO XVI Ltd./Battalion CLO XVI LLC Class A-1-R2, $240.0 million: AAA (sf) Class A-2-R2, $14.0 million: AAA (sf) Class B-R2, $50.0 million: AA (sf) Class C-R2 (deferrable), $24.0 million: A (sf) Class D-1-R2 (deferrable), $20.0 million: BBB (sf) Class D-2-R2 (deferrable), $6.0 million: BBB- (sf) Class E-R2 (deferrable), $12.0 million: BB- (sf) Other Debt Battalion CLO XVI Ltd./Battalion CLO XVI LLC Subordinated notes(i), $71.9 million: Not rated (i)The notional amounts of subordinated notes will be increased to $71.9 million from $38.5 million in connection with the proposed refinancing. BBCMS MORTGAGE 2024-5C31: Fitch Assigns B-(EXP) Rating on 2 Classes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and ratings outlooks to BBCMS Mortgage Trust 2024-5C31 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $676,000a class A-1 'AAAsf'; Outlook Stable; - $125,000,000ab class A-2 'AAAsf'; Outlook Stable; - $485,070,000ab class A-3 'AAAsf'; Outlook Stable; - $610,746,000ac class X-A 'AAAsf'; Outlook Stable; - $97,065,000a class A-S 'AAAsf'; Outlook Stable; - $41,444,000a class B 'AA-sf'; Outlook Stable; - $37,081,000a class C 'A-sf'; Outlook Stable; - $175,590,000acd class X-B 'A-sf'; Outlook Stable; - $18,540,000ad class D 'BBBsf'; Outlook Stable; - $8,725,000ad class E 'BBB-sf'; Outlook Stable; - $27,265,000acd class X-D 'BBB-sf'; Outlook Stable; - $16,359,000ad class F 'BB-sf'; Outlook Stable; - $16,359,000acd class X-F 'BB-sf'; Outlook Stable; - $10,907,000ad class G 'B-sf'; Outlook Stable; - $10,907,000acd class X-G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $31,628,000ade class H-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention (VRR) interest, which is expected to be approximately 3.63% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $610,070,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $250,000,000, and the expected class A-3 balance range is $360,070,000 to $610,070,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the midpoint of their respective ranges. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Class H-RR certificates, excluding the portion included in the VRR interest, comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of Nov. 30, 2024. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 39 loans secured by 55 commercial properties having an aggregate principal balance of $872,495,000 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Starwood Mortgage Capital LLC, German American Capital Corporation, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., Bank of Montreal, KeyBank National Association, Zions Bancorporation, N.A, Société Générale Financial Corporation, Greystone Commercial Mortgage Capital LLC, and LMF Commercial LLC. The master servicer is expected to be Midland Loan Services and the special servicer is expected to be LNR Partners, LLC. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 26 loans totaling 90.5% of the pool by balance. Fitch's resulting aggregate trust net cash flow (NCF) of $85.6 million represents a 10.4% decline from the issuer's underwritten NCF of $95.5 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The transaction has higher Fitch leverage than recent five-year multiborrower transactions. The pool's Fitch weighted average (WA) trust loan-to-value ratio (LTV) of 96.0% is higher than the YTD 2024 and 2023 multiborrower five-year averages of 94.8% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.8% is lower than both the YTD 2024 and 2023 averages of 10.2% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Three loans totaling 14.9% of the pool received an investment grade credit opinion on a standalone basis. Queens Center (9.7% of the pool) received a standalone credit opinion of 'BBBsf*'. Linx (2.9% of the pool) received a standalone credit opinion of 'BBB-sf*'. ICONIQ Multifamily Portfolio (2.3%) received a standalone credit opinion of 'A-sf'. The pool's total credit opinion percentage is above the YTD 2024 and 2023 multiborrower five-year averages of 11.7% and 14.6%, respectively. The pool's Fitch LTV and DY, excluding credit opinion loans, are 99.5% and 9.8%, respectively. Higher Retail Concentration: The largest property type concentration is retail (34.7% of the pool), followed by multifamily (33.8%) and office (18.0%). The pool's retail loan concentration is higher than YTD 2024 and 2023 five-year multiborrower averages of 23.6% and 31.6%, respectively. In particular, the retail concentration includes three of the 10 largest loans (37.4% of the pool). Pools that have a greater concentration by property type are at greater risk of losses, all else being equal. The pool's effective property type count is 3.7 is lower than the YTD 2024 and 2023 five-year multiborrower averages of 4.2 and 4.1, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow that decreases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, an improvement in cash flow that increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf' - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XXXVI: Fitch Assigns BB+sf Final Rating on E-1 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benefit Street Partners CLO XXXVI, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Benefit Street Partners CLO XXXVI, 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 BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E-1 LT BB+sf New Rating BB+(EXP)sf E-2 LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Benefit Street Partners CLO XXXVI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Benefit Street Partners L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99% first-lien senior secured loans and has a weighted average recovery assumption of 75.94%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BBsf' for class E-1. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E-1. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Benefit Street Partners CLO XXXVI, 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. BFLD TRUST 2020-EYP: S&P Lowers X-EXT Certs Rating to 'CCC (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BFLD Trust 2020-EYP. BFLD Trust 2020-EYP is a U.S. CMBS transaction backed by a floating-rate, interest-only mortgage loan secured by EY Plaza and a portion of an adjacent parking structure in Downtown Los Angeles. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a $275 million floating-rate, interest-only (IO) mortgage loan. The loan is secured by the borrower's fee simple interest in EY Plaza, a 1985-built, 41-story, 938,097-sq.-ft. class A office building located at 725 S. Figueroa St. in the Downtown Los Angeles office submarket, and a portion (1,480 parking spaces) of an adjacent 13-level, 2,400-space parking structure. Rating Actions The downgrades on the class B, C, and D certificates to 'D (sf)' reflect S&P's view of the magnitude and duration of the interest shortfalls due to a significant revision in the appraisal reduction amount (ARA) and its belief that, based on the new appraisal value of $150.0 million as of August 2024, recent office comparable sales in the area, and total loan exposure of $315.8 million (as of the November 2024 trustee remittance report), these classes would incur principal losses upon the eventual resolution of the specially serviced loan. The ARA, which was revised to $170.0 million from $104.7 million, resulted in a higher appraisal subordinate entitlement reduction (ASER) amount commencing with the October 2024 payment date. As of the Nov. 15, 2024, trustee remittance report, classes B through HRR (classes E, F, G, and HRR are not rated by S&P Global Ratings) have experienced interest shortfalls for at least two consecutive months, and the monthly interest shortfalls are primarily due to ASER amounts totaling $1.3 million and the accumulated interest shortfalls totaling $11.5 million. The special servicer, Situs Holdings LLC, said that it recently received court approval to hire a broker to market the office property for sale with a targeted resolution timing in first quarter 2025. The downgrade of class A to 'CCC (sf)' reflects S&P's qualitative consideration that its repayment is currently dependent upon favorable business, financial, and economic conditions and that the class is vulnerable to default. Specifically, based on the new August 2024 appraised value, a 28.8% decline from the October 2023 appraised value of $210.7 million and 66.4% lower than the issuance appraised value of $446.0 million, recent office comparable sales in the area, total loan exposure, and the special servicer's estimated liquidation timing, S&P's current analysis indicates a potential principal loss on this class. Additionally, according to the November 2024 trustee remittance report, class A has $950 of liquidity support. The downgrade on the class X-EXT IO certificates reflects S&P's 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-EXT certificates references class A. The loan exposure increased $8.5 million to $315.8 million since our July 2024 review. The outstanding advances and accruals totaling $40.8 million included: -- Interest advances totaling $17.1 million, -- Other expenses advances totaling $10.9 million, -- Accrued unpaid interest totaling $1.3 million, and -- Cumulative ASER amounts totaling $11.4 million. In S&P's current analysis, it also considered that, according to CoStar, the adjacent 777 Tower, a 1.0 million-sq.-ft., 1991-built office building owned by the sponsor, sold for $120.0 million ($120 per sq. ft.) in July 2024. In addition, according to recent news articles, L.A. County is in the process of purchasing the 1.4 million-sq.-ft. Gas Company Tower, another downtown Los Angeles office building owned by the sponsor, for about $200.0 million ($145 per sq. ft.). The property was reappraised in March 2024 at $214.5 million, or $156 per sq. ft., and secures the sole loan in GCT Commercial Mortgage Trust 2021-GCT (not rated by S&P Global Ratings). Further, CoStar noted that the nearby 1.4 million-sq.-ft., 1974-built, Bank of America Plaza office tower, also owned by the sponsor, was reappraised in July 2024 for $188.9 million, or $132 per sq. ft. The property was 67.2% occupied, according to the Situs-provided December 2024 rent roll, and had a reported net operating income of $16.7 million as of the trailing-12-months ended Sept. 30, 2024, which is consistent with the performance figures noted in S&P's last review. Ratings Lowered BFLD Trust 2020-EYP Class A to 'CCC (sf)' from 'BB- (sf)' Class B to 'D (sf)' from 'B- (sf)' Class C to 'D (sf)' from 'CCC (sf)' Class D to 'D (sf)' from 'CCC (sf)' Class X-EXT to 'CCC (sf)' from 'BB- (sf)' BIRCH GROVE 10: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 10 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 10 Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Birch Grove CLO 10 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.41, 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 95.18% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.1% versus a minimum covenant, in accordance with the initial expected matrix point of 73.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 6% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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 '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 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 Birch Grove CLO 10 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BMO 2024-5C8: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and ratings outlooks to BMO 2024-5C8 Mortgage Trust commercial mortgage pass-through certificates. - $1,065,000 class A-1 'AAAsf'; Outlook Stable; - $340,000,000 class A-2 'AAAsf'; Outlook Stable; - $353,222,000 class A-3 'AAAsf'; Outlook Stable; - $694,287,000 class X-A 'AAAsf'; Outlook Stable; - $112,822,000 class A-S 'AAAsf'; Outlook Stable; - $48,352,000 class B 'AA-sf'; Outlook Stable; - $36,748,000 class C 'A-sf'; Outlook Stable; - $197,922,000 class X-B 'A-sf'; Outlook Stable; - $9,928,000 class D 'BBB+sf'; Outlook Stable; - $9,928,000 class X-D 'BBB+sf'; Outlook Stable; - $20,273,000 class E-RR 'BBB-sf'; Outlook Stable; - $19,837,000 class F-RR 'BB-sf'; Outlook Stable; - $12,398,000 class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $37,194,388 class J-RR. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 40 loans secured by 98 commercial properties with an aggregate principal balance of $991,839,388 as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., UBS AG, Société Générale Financial Corporation, Greystone Commercial Mortgage Capital LLC, Barclays Capital Real Estate Inc. and Natixis Real Estate Capital LLC. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Greystone Servicing Company LLC. The trustee and certificate administrator 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 performed cash flow analyses on 29 loans totaling 88.9% by balance. Fitch's resulting net cash flow (NCF) of $333.7 million represents a 14.6% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 96.4% is higher than the 2024 YTD and 2023 averages of 91.7% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is lower than the 2024 YTD and 2023 averages of 10.8% and 10.9%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 16.1% of the pool received an investment-grade credit opinion. Queens Center (7.2% of pool) received a standalone credit opinion of 'BBBsf*', ICONIQ Multifamily Portfolio (6.5% of pool) received a standalone credit opinion of 'AA-sf*', Atrium Hotel Portfolio 24-Pack (1.5% of pool) received a standalone credit opinion of 'BBB+sf*', and Linx (1.0% of pool) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is higher than the 2024 YTD average and lower than the 2023 average of 14.6% and 17.8%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 101.1% and 9.6%, respectively, compared with the 2023 conduit LTV and DY averages of 93.3% and 10.4%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 54.6% of the pool, lower than the 2024 YTD and 2023 averages of 60.7% and 63.7%, respectively. The pool's effective loan count of 26.3 is above the 2024 YTD and 2023 average of 22.2 and 20.6, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down 0.1%, which is below the 2024 YTD and 2023 averages of 1.0% and 1.4%, respectively. The pool has 39 interest-only loans, or 97.0% of pool by balance, which is above the 2024 YTD and 2023 averages of 89.0% and 84.5%, respectively. Average Concentration of Pari Passu Loans: Fifteen loans representing 50.4% of the pool are pari passu loans, which is higher than the 2024 YTD average of 45.2% and below the 2023 average of 60.1%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'B-sf'/'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 list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'Asf'/'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 recomputation of certain characteristics with respect to each mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BPR COMMERCIAL 2024-PARK: DBRS Finalizes BB Rating on E Certs ------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-PARK (the Certificates) issued by BPR Commercial Mortgage Trust 2024-PARK (the Trust): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The BPR 2024-PARK single-asset/single-borrower transaction is collateralized by the borrower's leasehold and subleasehold interest in the Shops at Merrick Park, an 848,280-sf open-air shopping center located in Coral Gables, Florida. Coral Gables is a Miami suburb located approximately five miles southwest of the Miami CBD. The collateral is made up of three components: Shops at Merrick Park, a three-story, open-air shopping center anchored by Nordstrom and Neiman Marcus; Offices at Merrick, a five-story, 126,201-sf office building located adjacent to Shops at Merrick Park; and several subleased parcels that contain residential buildings and parking. Shops at Merrick Park is well located in Coral Gables close to Miami. The mall has benefited from the growing south Florida population as evidenced by the center's growth in in-line sales psf, which surged to $1,024 for the T-12 ended July 31, 2024, period from $718 in 2019. The property is currently 93.8% leased and has had strong occupancy historically, averaging 97% from 2016 to 2023. The property is leased to a mix of 101 tenants offering a mixture of luxury aspirational products, as well as a movie theater and full-service restaurants. Brookfield executed 67 new and renewal leases totaling nearly 250,000 sf from 2019 to October 2024. Recently, the property has experienced leasing momentum particularly with luxury tenants, as evidenced by the opening of Louis Vuitton and Tory Burch at the property in 2023 and the anticipated opening of David Yurman, Vuori, and Rhone in the coming months. The property is anchored by Nordstrom and Neiman Marcus, which generated $405 psf and $1,062 psf of sales in 2023, respectively, and both recently renewed their leases. Considering the property's strong sponsorship, asset quality, and favorable location, evidence of increasing in-line sales, and generally consistent occupancy trends, Morningstar DBRS has a generally positive view of the collateral's credit characteristics. Although brick-and-mortar retailers are facing secular headwinds and the continued proliferation of e-commerce continues to gain traction, the collateral has displayed consistent improvement in performance, and sales at the property continue to rise. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2024-GPA2: DBRS Finalizes B Rating on HRR Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-GPA2 (the Certificates) to be issued by BX Commercial Mortgage Trust 2024-GPA2 (the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (sf) All trends are Stable. The collateral for BX 2024-GPA2 (the Trust) includes the borrower's fee-simple interest in 13 student housing properties totaling 11,029 beds located in New York, Florida, Texas, Michigan, Kentucky, North Carolina, and Mississippi. Transaction proceeds of $945.5 million will be used to refinance $926.5 million of debt across the portfolio, including mezzanine debt, and debt for noncollateral. The five-year loan is interest-only (IO) for the full term. Blackstone acquired American Campus Communities (ACC), the largest student housing owner, operator, and developer in the country, in August 2022. The various debt transactions used to take ACC private included BX 2022-GPA, which this transaction will be partially refinancing. This transaction will include only 13 of the original 51 properties financed as part of the BX 2022-GPA deal. Comparing the same 13 assets, the portfolio has observed an NOI increase of 48.7% compared with the prior securitization in 2022. There has been continued implementation of revenue generators at the property since the acquisition in 2022, including utility income, upfront leasing fees, parking, and landlord liability insurance, resulting in a total Other Income increase of 86.0% from 2021 to the budgeted figures for the upcoming 2024/2025 school year. Additionally, Blackstone and ACC have driven significant rent growth with an average rent per occupied bed (RPOB) increase from $734 in the 2022/2023 school year to a current RPOD of $924 as of September 2024. They have managed to compress operating expenses over the same period, down from 44.9% in 2021 to 40.7% as of the May 2024 TTM reporting period. Occupancy has trailed slightly behind budgeted preleasing estimates. The portfolio is 95.4% occupied as of September 2024 compared with the estimated occupancy of 97.9% for the 2024/2025 school year. This figure is down from the 2023/2024 school-year occupancy of 99.5%. While the occupancy has shown some decline, there is a 13.6% increase in gross potential income (GPI) YOY driven by the increased RPOB. The subject portfolio consists of 13 assets spread across nine universities in seven states and has a weighted average year built of 2010 and an average distance to campus of 0.28 miles. Most of the assets were built after 2010 and feature modern amenities, including fitness centers, study rooms, club rooms, and pools. Unit interiors feature beds, dressers, kitchen tables, couches, coffee tables, and standard appliance packages. Since 2012, the portfolio has received $95.1 million in capital improvements. All universities represented are either Power 5, Carnegie R1, or Carnegie R2. Approximately 58.2% of the Issuer's UW NCF is derived from universities in Power 5 conferences, including Florida State University, University of Kentucky, Michigan State University, Texas A&M University, and University of Mississippi. The portfolio has demonstrated consistently strong rent growth and occupancy metrics, as the portfolio has never been below a weighted average occupancy of 89.9% dating back to 2012. The universities at which these properties serve have strong enrollment trends and brand recognition. As of the 2023/2024 academic year, the universities represented in the portfolio had an average enrollment of 37,000 students and have seen a 14.9% growth in enrollment since 2013. The Power 5 and Carnegie R1 universities have seen a higher growth rate in enrollment historically when compared to the national average. Additionally, new supply in the student housing sector has begun slow post-COVID. New supply each year, represented as a percentage of total university enrollment, was 2.2% between 2013 and 2019. Between 2021 and forward 2026 estimates, the new supply is estimated to be 0.9% of university enrollment. The lack of new supply provides the sponsor a strong opportunity to see continued rent growth and low vacancy throughout the loan term. The portfolio is owned and primarily managed by ACC (10 of the 13 properties managed by ACC), the largest student housing developer and operator in the country, who was acquired by Blackstone in August 2022. ACC was founded in 1993 and currently has over 3,000 team members and a portfolio of assets spread across 93 campuses. The company was awarded the 2023 NAHB Property Management Firm of the Year and was featured in Newsweek's 2022, 2023, and 2024 lists of America's most trusted companies. Since the acquisition, Blackstone has kept ACC involved in the property management due to its strong historical performance and expertise. Morningstar DBRS has a favorable view on the portfolio, driven by strong historical performance, consistent NOI growth, university representation, and institutional sponsorship and management. The portfolio has a weighted average occupancy of 98.1% dating back to 2019 (excluding Fall 2020). Between the acquisition in August 2022 and the latest rent roll as of September 2024, the portfolio has observed NOI growth of 48.7% driven by increased rental rates and ancillary income initiatives. In addition to the strong growth and performance metrics, the properties are ideally located on well-established university campuses. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2024-GPA3: S&P Assigns Prelim BB+ Rating on HRR Certs ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BX Commercial Mortgage Trust 2024-GPA3's commercial mortgage pass-through certificates. The certificate issuance is a CMBS securitization backed by a commercial mortgage loan secured by the borrowers' fee simple and/or leasehold interests in 32 student housing properties totaling 6,017 units (18,502 beds) located near 19 university markets across 11 U.S. states. The loan is also secured by a leasehold interest in an offsite parking facility related to one of the properties and is expected to be secured by a PILOT lessor's fee simple interest in two of the properties. The preliminary ratings are based on information as of Dec. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historic and projected performance, the sponsor's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. We determined that the mortgage loan has a beginning and ending loan-to-value (LTV) ratio of 80.8%, based on S&P Global Ratings' value." Preliminary Ratings Assigned BX Commercial Mortgage Trust 2024-GPA3 Class A, $618,800,000: AAA (sf) Class B, $139,900,000: AA- (sf) Class C, $103,900,000: A- (sf) Class D, $87,400,000: BBB- (sf) Class HRR(i), $50,000,000: BB+ (sf) (i)Horizontal risk retention interest. BX TRUST 2024-FNX: Fitch Assigns 'BB-sf' Rating on Class HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks to BX Trust 2024-FNX, Commercial Mortgage Pass-Through Certificates, Series 2024-FNX. - $520,600,000 class A 'AAAsf'; Outlook Stable; - $69,200,000 class B 'AA-sf'; Outlook Stable; - $64,200,000 class C 'A-sf'; Outlook Stable; - $90,500,000 class D 'BBB-sf'; Outlook Stable; - $72,500,000 class E 'BBsf'; Outlook Stable; - $43,000,000a class HRR 'BB-sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes Since Fitch published its expected ratings on Oct. 24 2024, classes X-CP and X-NCP were removed from the transaction structure by the issuer. Fitch has withdrawn the expected 'BBB-(EXP)sf' ratings from each of the class X-CP and X-NCP because the classes were removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold an $860 million, two-year, floating-rate, interest-only mortgage loan with three, one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 44 industrial facilities, comprising approximately 7.5 million sf located in 10 states and nine markets. Loan proceeds will be used to refinance approximately $557.2 million of existing debt, pay $25.8 million in closing costs, return approximately $135.7 million of equity to the sponsor and recapitalize six unencumbered assets for approximately $141.3 million. The certificates will follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior-sequential paydown thereafter. The borrower has a one-time right to obtain a mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default is continuing, voluntary prepayments would be applied pro rata between the mortgage and the mezzanine loan. The loan is originated by Morgan Stanley Mortgage Capital Holdings LLC; Barclays Capital Real Estate Inc.; Bank of America, National Association; Goldman Sachs Mortgage Company; and JPMorgan Chase Bank, National Association. KeyBank National Association is the servicer with Situs Holdings, LLC. as special servicer. Deutsche Bank National Trust company will act as the Trustee and Computershare Trust Company, N.A. as the certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is scheduled to close on Nov. 15, 2024 Since Fitch published its expected ratings on Oct. 24 2024, classes X-CP and X-NCP were removed from the transaction structure by the issuer. Fitch has withdrawn the expected 'BBB-(EXP)sf' ratings from each of the class X-CP and X-NCP because the classes were removed from the final deal structure by the issuer. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio at $63.5 million. This is 5.8% lower than the issuer's NCF and 0.9% lower than trailing 12 months (TTM) ended August 2024 NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $875.9 billion. High Fitch Leverage: The $860 million whole loan equates to debt of approximately $114 psf with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.90x, 98.2% and 7.4%, respectively. The loan represents approximately 67.4% of the appraised value of approximately $1.275. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic and Tenant Diversity: The portfolio exhibits strong geographic diversity, with 44 industrial properties (7.5 million sf) located across 10 states and 10 markets, per CoStar. The three largest state concentrations are Minnesota (2.8 million sf; 22 properties), Georgia (1.5 million sf; five properties) and Colorado (1.5 million sf; four properties). The three largest MSAs are Minneapolis, MN (37.7% of NRA; 28.3% of allocated loan amount [ALA]); Atlanta, GA (20.1% of NRA; 15.3% of ALA); and Denver, CO (20.1% of NRA; 15.6% of ALA). The Fitch effective geographic count for the pool is 5.6. The portfolio also exhibits significant tenant diversity, as it features 143 distinct tenants. Institutional Sponsorship and Management: The loan is sponsored by Blackstone Real Estate Partners, an affiliate of Blackstone Inc. The Blackstone Real Estate segment had approximately $332 billion of assets under management as of Sept. 30, 2023, per its quarterly reports. It is the largest owner of commercial real estate globally and has acquired over 600 million sf of industrial space globally since 2010, including the subject. The portfolio in this transaction is managed by Link Logistics Real Estate Management LLC, an affiliate of the borrowers. Link Logistics operates the largest industrial-only real estate portfolio (at 538 million sf) in the U.S. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'BB-+sf'; - 10% NCF Decline: 'AA-sf'/'BBB+sf '/'BBB-sf'/'BBsf'/'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'BB-+sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBBsf'/'BBB-sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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 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. CARLYLE US 2024-6: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2024-6, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2024-6, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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. Date of Relevant Committee 12 November 2024 PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS 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-P4: S&P Assigns Prelim BB+(sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2024-P4's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of Dec. 4, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of 15.25%, 13.04%, 9.97%, 6.34%, and 7.72% credit support (hard credit enhancement and haircut to excess spread) for the class A (class A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.33x, 2.00x, and 1.73x coverage of S&P's expected cumulative net loss (ECNL) of 2.40% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB (sf)', and 'BB+ (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which we believe are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC (Bridgecrest) as servicer, as well as the backup servicing agreement with Vervent Inc. (Vervent). -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Carvana Auto Receivables Trust 2024-P4(i) Class A-1, $68.57 million: A-1+ (sf) Class A-2, $177.00 million: AAA (sf) Class A-3, $217.00 million: AAA (sf) Class A-4, $115.69 million: AAA (sf) Class B, $16.25 million: AA+ (sf) Class C, $20.00 million: A+ (sf) Class D, $10.63 million: BBB (sf) Class N(ii), $19.40 million: BB+ (sf) (i) Class XS notes will be issued, which are unrated and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CBAM LTD 2018-5: Moody's Affirms Ba3 Rating on $45MM Class E Notes ------------------------------------------------------------------ Moody's Ratingshas upgraded the ratings on the following notes issued by CBAM 2018-5, Ltd.: US$89.684M Class B-1 Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 23, 2023 Upgraded to Aa1 (sf) US$30.316M Class B-2 Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 23, 2023 Upgraded to Aa1 (sf) US$52.5M Class C Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Feb 23, 2023 Upgraded to A1 (sf) US$62.5M Class D Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Sep 23, 2020 Confirmed at Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$640M (Current outstanding amount US$ 352,290,866) Class A Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 29, 2018 Assigned Aaa (sf) US$45M Class E Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 23, 2020 Confirmed at Ba3 (sf) CBAM 2018-5, Ltd., issued in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by CBAM CLO Management LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrades on the Class B-1, Class B-2, Class C and Class D notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the payment date in October 2023. The affirmations on the ratings on the Class A and Class E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD257.16 million (40.18%) in the last 12 months. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated October 2024 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 138.09%, 125.85%, 113.83% and 106.51% compared to October 2023 [2] levels of 127.66%, 119.37%, 110.80% and 105.35%, respectively. Moody's note that the October 2024 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD678.6m Defaulted Securities: USD9.9m Diversity Score: 66 Weighted Average Rating Factor (WARF): 2977 Weighted Average Life (WAL): 3.6 years Weighted Average Spread (WAS): 3.23% Weighted Average Recovery Rate (WARR): 47.23% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the November 2024 trustee report was published at the time Moody's were completing Moody's analysis of the October 2024 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios (after taking into consideration the October 2024 payment date) exhibit little or no change between these dates. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CEDAR FUNDING XI: S&P Affirms B- (sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned ratings to the class A-1R2, A-2R2, and B-2R2 replacement debt from Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC, a CLO managed by Aegon USA Investment Management LLC that was originally issued in April 2019 and underwent its first refinancing in June 2021. At the same time, S&P withdrew its ratings on the class A-1R, A-2R, and B-2R debt following payment in full on the Nov. 29, 2024, refinancing date. S&P also affirmed its ratings on the class B-1, C, D, E, and F 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 2025. -- No additional assets were purchased on the Nov. 29, 2024, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Feb. 28, 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. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E and F debt (which was not refinanced) than today's rating action on the debt reflects. However, we affirmed our 'BB- (sf)' and 'B- (sf)' ratings on the class E and F debt, respectively, after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has recently entered its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class E and F debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our guidance criteria." Replacement And June 2021 Debt Issuances Replacement debt -- Class A-1R2, $236.07 million(i): Three-month CME term SOFR + 1.06% -- Class A-2R2, $20.00 million: Three-month CME term SOFR + 1.30% -- Class B-2R2, $14.50 million: Three-month CME term SOFR + 1.60% June 2021 debt -- Class A-1R, $240.00 million: Three-month CME term SOFR + 1.05% + CSA(ii) -- Class A-2R, $20.00 million: Three-month CME term SOFR + 1.35% + CSA(ii) -- Class B-2R, $14.50 million: Three-month CME term SOFR + 1.60% + CSA(ii) (i)Due to an amortization amount on the Nov. 29, 2024, payment date, the balance of the class A-1R2 notes was reduced on the closing date to reflect the amortization. (ii)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Class A-1R2, $236.07 million: AAA (sf) Class A-2R2, $20.00 million: AAA (sf) Class B-2R2, $14.50 million: AA (sf) Ratings Withdrawn Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Class A-1R to NR from 'AAA (sf)' Class A-2R to NR from 'AAA (sf)' Class B-2R to NR from 'AA (sf)' Ratings Affirmed Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Class B-1: AA (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB- (sf) Class F: B- (sf) Class R Combination: A-p (sf) Other Debt Cedar Funding XI CLO Ltd./Cedar Funding XI CLO LLC Subordinated notes, $30.50 million: NR NR--Not rated. CHASE HOME 2024-10: Fitch Assigns 'B-sf' Final Rating on B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-10 (Chase 2024-10). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-10 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to 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 ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2022-VII: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2022-VII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2022-VII, Ltd. A-1 12569EAN7 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating A-2A 12569EAA5 LT PIFsf Paid In Full AAAsf A-2B 12569EAC1 LT PIFsf Paid In Full AAAsf B-1 12569EAE7 LT PIFsf Paid In Full AAsf B-2 12569EAG2 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 12569EAJ6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 12569EAL1 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 12569GAA0 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary CIFC Funding 2022-VII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC. The CLO originally closed in 2022, and its secured notes were refinanced on Nov. 15, 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 23.26, versus a maximum covenant, in accordance with the initial expected matrix point of 25.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.47% versus a minimum covenant, in accordance with the initial expected matrix point of 71.60%. Portfolio Composition (Positive): The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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 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 'A-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, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2022-VII, 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. CITIGROUP 2017-P8: S&P Cuts Class V-3D Certs Rating to 'B- (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on 17 classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2017-P8, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on four other classes from the transaction. Rating Actions The downgrades on the class A-S, B, C, D, E, and F certificates and the affirmations on the class A-2, A-3, A-4, and A-AB certificates reflect: -- S&P's lower revised S&P Global Ratings' values for properties securing three loans (14.2% of the pooled trust balance) that has deteriorating performance: 225 & 233 Park Avenue South (5.9%), Corporate Woods Portfolio (4.2%), and Starwood Capital Hotel Portfolio (4.1%). -- S&P's revised loss assumptions on the specially serviced Bank of America Plaza (4.2%) and Grant Building (3.5%) loans. -- S&P's higher revised capitalization rates for four loans (9.2%) in accordance with its revised capitalization rates for class B office buildings. The four loans are Ann Arbor Mixed Use Portfolio (3.3%), 440 Mamaroneck Avenue (2.9%), 1450 Veterans (1.7%), and 215 & Town Center (1.3%). S&P said, "The downgrade on class D to 'B- (sf)' reflects the bond's susceptibility to future reduced liquidity support and credit support erosion, while the downgrades on classes E and F to 'CCC (sf)' reflect our qualitative consideration that the repayment of these classes is currently dependent upon favorable business, financial, and economic conditions and that these classes are currently vulnerable to default. Specifically, we expect these classes to experience credit support erosion from expected losses upon the ultimate resolution of the specially serviced loans as well as the increase in S&P Global Ratings' loan-to-value (LTV) ratio on the Starwood Capital Group Hotel Portfolio loan and 225 & 233 Park Avenue South loan to 143.0% and 108.2%, respectively. Classes E and F are also susceptible to interest shortfalls in the event that appraisal reduction amounts (ARA) are implemented or increased on any of the specially serviced loans. "The downgrades on the class X-A, X-B, X-D, X-E, and X-F interest-only (IO) certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references classes A-1, A-2, A-3, A-4, A-AB, and A-S; class X-B references class B; class X-C references class C; class X-D references class D; class X-E references class E; and class X-F references class F. "In addition, we downgraded our ratings on the exchangeable classes V-2A, V-2B, V-2C, V-2D, V-3AC, and V-3D. These exchangeable classes represent a certain percentage, as defined in the transaction documents, of the vertical risk retention interest. The exchangeable classes' interest distribution is based on a formula referencing the aggregate amount of interest distributed to the principal- and interest-paying classes. The notional amount for exchangeable class V-2A references classes A-1, A-2, A-3, A-4, A-AB, X-A, and A-S; class V-2B references classes B and X-B; class V-2C references class C; class V-2D references classes D and X-D; class V-3AC references classes A-1, A-2, A-3, A-4, A-AB, X-A, X-B, A-S, B, and C; and class V-3D references classes D and X-D. "At issuance and at last review, we used lower LTV recovery thresholds at each rating category because the loans contributed by Principal Commercial Capital allow for property insurance coverage from insurers who are not rated by S&P Global Ratings. Rather, they require any insurance providers to be rated by any credit rating agency, including S&P Global Ratings. However, at the current review, we removed the negative LTV threshold adjustments for these loans because we considered our recently released criteria for determining ratings-based inputs, which we consider public ratings assigned by other credit rating agencies as an indication of secondary rating risk. We continue to maintain a positive LTV threshold adjustment for the Starwood Capital Group Hotel Portfolio loan to account for the geographic diversity of the properties. "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans for which we have revised our net cash flows and values and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we determine necessary." Loan Details 225 & 233 Park Avenue South ($60.0 million, 5.9 % of the pooled trust balance) The loan is the largest loan in the pool. It is secured by two contiguous class B office buildings comprising 675,756 sq. ft. in Gramercy Park office submarket of Manhattan. The property offers easy access to multiple subway and bus lines and is close to various parks, theatres, and tourist attractions including Madison Square Park, Gramercy Park, the Gramercy theatre, and the Flatiron building. The trust loan represent a pari-passu portion within a larger whole loan. As of November 2024 trustee remittance report, the trust and whole loan balances totaled $60.0 million and $235.0 million, respectively, the same as at our last review. The whole loan pays a fixed interest rate of 3.64% and matures on June 6, 2027. There is also $195.0 million in mezzanine debt. The loan, which has a reported paid-through date of Nov. 6, 2024, was transferred to special servicing on March 21, 2024, due to imminent monetary default. As per the special servicer, Argentic Services Company L.P., some of the key terms proposed for loan modification include that the borrower and/or mezzanine lender will contribute approximately $35.0 million to reserve balance or the mezzanine lender will buy a portion of borrower's equity interest; however, no resolution has been finalized yet. There are currently $57.7 million in reserves, which includes tenant reserve of approximately $41.7 million. The property's occupancy rate dropped to 40.0% as of June 30, 2024, from 98.6% in 2023 primarily due to the largest tenant, Facebook (266,460 sq. ft., 39.4% of the net rentable area [NRA]), terminating its lease in 2022 by paying a termination fee of $33.0 million and the third-largest tenant, STV (133,200 sq. ft., 19.7% of NRA), vacating the property upon its lease expiration in May 2024. In recognition of the amount of reserves held, in our current analysis, we utilized a 16.8% vacancy rate based on the Gramercy Park CoStar submarket, a $72.20-per-sq.-ft. S&P Global Ratings gross rent, and a 47.0% operating expense ratio to derive a long-term sustainable net cash flow (NCF) of $17.9 million on the whole loan, which is down from $25.0 million at last review in September 2022. S&P said, "We also increased our capitalization rate to 8.25% from 6.25% at last review to reflect our updated capitalization rate for class B office properties. As a result, we arrived at an S&P Global Ratings expected case value of $217.1 million for the property, 45.6% lower than our $399.5 million value at our last review and 71.0% below the $750.0 million appraisal value at issuance." Corporate Woods Portfolio ($43.5 million, 4.4% of the pooled trust balance) The loan is the fifth-largest loan in the pool. The loan is secured by a 16- building office and retail complex in Overland Park, Kan., 17 miles south of the Kansas City central business district. Within the office park, there are also five other office buildings and a hotel property that are not owned by the borrower and are not part of the collateral. The trust loan represents a pari-passu portion within a larger whole loan. As of November 2024 trustee remittance report, the trust balance totaled $43.5 million, down from $45.8 million at last review. The loan amortizes on a 30-year schedule, pays a fixed interest rate of 4.43%, and matures on Sept. 6, 2027. The loan is currently on the master servicer's watchlist due to the debt service coverage ratio (DSCR) falling below the required threshold as of 2023. The decline in reported performance is due to decrease in occupancy at the portfolio, primarily due to tenant Coventry Health (Aetna) downsizing its space from approximately 79,000 sq. ft. to 9,705 sq. ft. in one of the buildings, 40 Corporate Woods. Per watchlist comments, the space remains vacant, and leasing updates are awaited from the borrower. The servicer-reported occupancy and NCF are 75.0% and $7.1 million, respectively, for the six-months ended June 30, 2024, and 83.0% and $17.2 million, respectively, for 2023. The servicer-reported DSCR was 1.06x in June 2024, 1.29x in 2023, and 1.25x in 2022. S&P said, "In our current analysis, we lowered our NCF to $17.2 million based on the 2023 servicer-reported NCF, which is 6.39% lower than our NCF at last review. The servicer-reported NCF has been declining since 2020. We also increased our capitalization rate to 8.50% from 8.00% at last review and issuance to reflect our updated capitalization rates for the class B office component in the portfolio. As a result, we arrived at an S&P Global Ratings' expected case value of $202.4 million, which is 11.9% lower than our $229.8 million value at last review and 32.3% below the $299.1 million appraisal value at issuance." Bank of America Plaza ($42.6 million; 4.2% of the pooled trust balance) The loan is the seventh-largest in the pool. It is secured by a six-story, class B, 1988-built office building totaling 438,996 sq. ft. in Troy, Mich. The property served as the regional headquarters of Bank of America. The loan has a trust balance of $42.6 million (down from $44.7 million at issuance) and a total exposure of $42.8 million as of the November 2024 trustee remittance report. It amortizes on a 30-year schedule, pays a fixed interest rate of 4.70%, and matured on Sept. 6, 2024. There is also $7.5 million in mezzanine debt. The loan, which has a reported paid-through date of Oct. 6, 2024, was transferred to special servicing on Aug. 1, 2024, due to imminent maturity default. Per the special servicer comments, the borrower has executed a pre- negotiation agreement and is in discussion with the special servicer, KeyBank Real Estate Capital (KeyBank), on a resolution. The occupancy at the property declined to 53.0% in 2023 from 91.0% in 2022 after the largest tenant at the property, Bank of America (144,701 sq. ft., 33.0% of NRA), vacated the property in December 2022. As a result, the servicer-reported cash flow also declined to $3.6 million as of 2023, down from $7.7 million in 2022. S&P said, "In our current analysis, we revised our NCF to be in line with the 2023 servicer-reported NCF of $3.6 million, which is reflective of the current occupancy of 53.0%. We also increased our capitalization rate to 9.75% from 8.75% at last review to reflect our updated capitalization rates for the class B office properties. As a result, we arrived at an S&P Global Ratings' expected case value of $37.3 million, which is 32.8% lower than our $55.6 million value at last review and 52.8% below the $79.2 million appraisal value at issuance. Based on the revised expected-case value, we expect a minimal loss (less than 25.0%) upon the eventual resolution of the loan." Starwood Capital Group Hotel Portfolio (4.0% of the pooled trust balance) The loan is the eighth-largest loan in the pool. It is secured by the borrower's fee simple and leasehold interests in 65 limited-service and extended-stay lodging properties totaling 6,366 rooms in 21 states. The hotels are operated under 16 different franchises affiliated with either Larkspur Landing (11 hotels; 34.4% by allocated loan amount), Marriott (21 hotels; 28.1%), Hilton (19 hotels; 25.0%), IHG (11 hotels; 11.1%), Choice (two hotels; 1.0%), or Carlson (one hotel; 0.4%). The trust loan represents a pari passu portion within a larger whole loan. As of the November 2024 trustee remittance report, the trust and whole loan balances totaled $41.8 million and $577.3 million, respectively. The whole loan is IO, pays an annual fixed interest rate of 4.486%, and matures on June 1, 2027. The loan allows for mezzanine debt, subject to certain performance thresholds, but has not incurred mezzanine debt to date. S&P recently reviewed the transaction that holds the $59.3 million pari-passu portion of the loan in the BANK 2017-BNK6 transaction. Grant Building ($36.1 million; 3.5% of the pooled trust balance) The loan is the ninth-largest loan in the pool. It is secured by a 37-story, 461,000 sq. ft. office building in downtown Pittsburgh, adjacent to the County Courthouse, the City/County Building, and the Allegheny County Family and Juvenile Courts. The loan has a trust balance of $36.1 million (down from $37.4 million at last review) and a total exposure of $37.0 million as of the November 2024 trustee remittance report. It amortizes on a 30-year schedule, pays a fixed interest rate of 4.70%, and matures on Aug. 6, 2027. An ARA of $15.0 million is in effect against the loan. The loan, which has a reported paid-through date of May 6, 2024, was transferred to special servicing on Sept. 18, 2023, due to imminent monetary default. The special servicer, KeyBank, filed the lender's foreclosure complaint, and a receiver was appointed on March 3, 2024. S&P said, "In our current analysis, we revised our loss expectation on the loan based on the April 4, 2024, appraisal value of $23.5 million reported by the servicer, which is 59.5% below the issuance appraisal value of $58.1 million. Based on our revised expected-case value, we expect moderate loss (26.0%-59.0%) upon the eventual resolution of the loan." Transaction Summary As of the Nov. 18, 2024, trustee remittance report, the collateral pool balance was $1.02 billion, which is 94.3% of the pool balance at issuance. The pool currently includes 52 fixed-rate loans, down from 53 loans at issuance. Three loans ($138.7 million; 13.5% of the pooled trust balance) are with the special servicer, eight loans ($188.8 million; 18.4%) are on the master servicer's watchlist, and seven loans ($93.8 million; 9.2%) are defeased. Excluding two specially serviced loans (Bank of America Plaza and Grant Building) and seven defeased loans and adjusting the servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSCR of 1.89x and an S&P Global Ratings weighted average LTV ratio of 89.3% using a 7.96% S&P Global Ratings weighted average capitalization rate. According to the Nov. 18, 2024, trustee remittance report, the trust incurred monthly interest shortfalls totaling $86,417 primarily from an appraisal subordination entitlement reduction amount of $60,257 and a special servicing fee of $29,880. The current shortfalls affected the interest on the class G, which is not rated by S&P Global Ratings. The trust has not experienced any principal losses to date. S&P expects losses to reach approximately 2.3% of the original pool trust balance upon the eventual resolution of the specially serviced Bank of America Plaza (4.2%) and Grant Building (3.5%) loans. Ratings Lowered Citigroup Commercial Mortgage Trust 2017-P8 Class A-S to 'AA+ (sf)' from 'AAA (sf)' Class B to 'AA- (sf)' from 'AA (sf)' Class C to 'BBB (sf)' from 'A (sf)' Class D to 'B- (sf)' from 'BBB- (sf)' Class E to 'CCC (sf)' from 'BB- (sf)' Class F to 'CCC (sf)' from 'B+ (sf)' Class X-A to 'AA+ (sf)' from 'AAA (sf)' Class X-B to 'AA- (sf)' from 'AA (sf)' Class X-D to 'B- (sf)' from 'BBB- (sf)' Class X-E to 'CCC (sf)' from 'BB- (sf)' Class X-F to 'CCC (sf)' from 'B+ (sf)' Class V-2A to 'AA+ (sf)' from 'AAA (sf)' Class V-2B to 'AA- (sf)' from 'AA (sf)' Class V-2C to 'BBB (sf)' from 'A (sf)' Class V-2D to 'B- (sf)' from 'BBB- (sf)' Class V-3AC to 'BBB (sf)' from 'A (sf)' Class V-3D to 'B- (sf)' from 'BBB- (sf)' Ratings Affirmed Citigroup Commercial Mortgage Trust 2017-P8 Class A-2: AAA (sf) Class A-3: AAA (sf) Class A-4: AAA (sf) Class A-AB: AAA (sf) CITIGROUP 2019-C7: Fitch Affirms B-sf Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2018-C5 commercial mortgage pass-through certificates, series 2018-C5. The Rating Outlooks on three classes remain Negative. Fitch has affirmed 18 classes of Citigroup Commercial Mortgage Trust 2019-C7 (CGCMT 2019-C7). The Outlooks on eight classes remain Negative. Fitch has also affirmed 15 classes of GS Mortgage Securities Trust 2020-GC47 commercial mortgage pass-through certificates, series 2020-GC47 (GSMS 2020-GC47). The Outlooks on 15 classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2019-C7 A-AB 17328CAE2 LT AAAsf Affirmed AAAsf A2 17328CAB8 LT AAAsf Affirmed AAAsf A3 17328CAC6 LT AAAsf Affirmed AAAsf A4 17328CAD4 LT AAAsf Affirmed AAAsf AS 17328CAF9 LT AAAsf Affirmed AAAsf B 17328CAG7 LT AA-sf Affirmed AA-sf C 17328CAH5 LT A-sf Affirmed A-sf D 17328CAV4 LT BBBsf Affirmed BBBsf E 17328CAX0 LT BBB-sf Affirmed BBB-sf F 17328CAZ5 LT BB+sf Affirmed BB+sf G 17328CBB7 LT BB-sf Affirmed BB-sf H 17328CBD3 LT B-sf Affirmed B-sf X-A 17328CAJ1 LT AAAsf Affirmed AAAsf X-B 17328CAK8 LT AA-sf Affirmed AA-sf X-D 17328CAM4 LT BBB-sf Affirmed BBB-sf X-F 17328CAP7 LT BB+sf Affirmed BB+sf X-G 17328CAR3 LT BB-sf Affirmed BB-sf X-H 17328CAT9 LT B-sf Affirmed B-sf CGCMT 2018-C5 A-3 17291DAC7 LT AAAsf Affirmed AAAsf A-4 17291DAD5 LT AAAsf Affirmed AAAsf A-AB 17291DAE3 LT AAAsf Affirmed AAAsf A-S 17291DAF0 LT AAAsf Affirmed AAAsf B 17291DAG8 LT AA-sf Affirmed AA-sf C 17291DAH6 LT A-sf Affirmed A-sf D 17291DAJ2 LT BBB-sf Affirmed BBB-sf E-RR 17291DAL7 LT BBB-sf Affirmed BBB-sf F-RR 17291DAN3 LT BB-sf Affirmed BB-sf G-RR 17291DAQ6 LT B-sf Affirmed B-sf X-A 17291DAU7 LT AAAsf Affirmed AAAsf X-B 17291DAV5 LT AA-sf Affirmed AA-sf X-D 17291DAW3 LT BBB-sf Affirmed BBB-sf GSMS 2020-GC47 A-1 36258RAY9 LT AAAsf Affirmed AAAsf A-4 36258RAZ6 LT AAAsf Affirmed AAAsf A-5 36258RBA0 LT AAAsf Affirmed AAAsf A-AB 36258RBB8 LT AAAsf Affirmed AAAsf A-S 36258RBE2 LT AAAsf Affirmed AAAsf B 36258RBF9 LT AA-sf Affirmed AA-sf C 36258RBG7 LT A-sf Affirmed A-sf D 36258RAA1 LT BBBsf Affirmed BBBsf E 36258RAE3 LT BBB-sf Affirmed BBB-sf F 36258RAJ2 LT BB-sf Affirmed BB-sf G 36258RAN3 LT B-sf Affirmed B-sf X-A 36258RBC6 LT AAAsf Affirmed AAAsf X-E 36258RAG8 LT BBB-sf Affirmed BBB-sf X-F 36258RAL7 LT BB-sf Affirmed BB-sf X-G 36258RAQ6 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance since Fitch's prior rating action. Fitch's current ratings reflect a deal-level 'Bsf' rating case loss of 4.4% in CGCMT 2018-C5, 3.0% in GSMS 2020-GC47, and 5.2% in CGCMT 2019-C7. The CGCMT 2018-C5 transaction has five Fitch Loans of Concern (FLOCs; 22.2% of the pool), with no loans in special servicing. The GSMS 2020-GC47 transaction has six FLOCs (32.4%), with no loans in special servicing. The CGCMT 2019-C7 transaction has six FLOCs (14.5%), including one loan (4.5%) in special servicing. The Negative Outlooks in CGCMT 2018-C5 incorporate an additional sensitivity scenario on FLOCs Santa Fe Springs Marketplace (3.4%), Oak Portfolio (2.5%), and Champlain Mill (1.9%) that considers a heightened probability of default due to upcoming lease rollover concerns. In addition, the Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the 650 South Exeter Street (4.4% of the pool) and 636 11th Avenue FLOCs (11.5%). The Negative Outlooks in CGCMT 2019-C7 incorporate an additional sensitivity scenario on FLOCs Alrig Portfolio (3.1%) and Park Central Tower (3.0%) that considers a heightened probability of default due to upcoming lease rollover concerns. In addition, the Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the 805 Third Avenue loan (4.5%) and 490-504 Myrtle Avenue FLOCs (4.5%). The pool also has an office concentration of 29%. FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in CGCMT 2018-C5 is the 650 South Exeter Street loan, secured by a 206,335-sf mixed used property with office and parking components located in Baltimore, MD. The loan was flagged as a FLOC due to continued low occupancy and DSCR following the loss of the two largest tenants. Laureate Education Inc. (50% of NRA and 60% of base rent; original loan expiration June 2027) vacated in June 2022 after exercising its termination right in 2021. The second largest tenant, Morgan Stanley Smith Barney (18% NRA and 23% base rent), vacated at its September 2022 lease expiration. The largest remaining tenants include DLA Piper (16.9%; November 2033) and JP Morgan (5.8%; November 2029). The property was 37.6% occupied as of the September 2024 rent roll, compared to 30% at YE 2023, 32% at YE 2022, and 83% at YE 2021. The servicer-reported NOI DSCR was -0.25x as of June 2024, compared with -1.23x at YE 2023 and down from 2.20x at YE 2022. Fitch's 'Bsf' rating case loss of 29.5% (prior to concentration adjustments) reflects a 9.6% cap rate, a 20% stress to the YE 2022 NOI, and a higher probability of default to account for the declining performance trends since issuance. The second largest contributor to overall loss expectations in CGCMT 2018-C5 is the 636 11th Avenue loan, which is secured by a 564,004-sf office building along the east side of 11th Avenue between West 46th and West 47th Streets in the Hell's Kitchen neighborhood of Manhattan. The property was 100% occupied by The Ogilvy Group, Inc. on a lease through June 2029. The tenant vacated the property in 2021 and it remains dark. Ogilvy continues to pay its rental obligations, and the loan has remained current. Per CoStar, the entire building is listed for sublease. There have been no additional leasing updates from the servicer. The servicer reported NOI DSCR was 2.42x at YE 2023, compared to 2.39x at YE 2022, 2.29x at YE 2021, and 2.23x at YE 2020. Fitch's 'Bsf' rating case loss of 4.8% (prior to concentration adjustments) reflects a 9.25% cap rate and a 15% stress to the YE 2022 NOI. The largest contributor to overall loss expectations in GSMS 2020-GC47 is the PNC Center loan (4.2%), which is secured by a 498,905-sf office property located in Cincinnati, OH. PNC Bank (23.6% of NRA; lease expires in February 2030) has been in occupancy at the property since 1979 which serves as its regional headquarters. Other large tenants at the property include Core Specialty Insurance (7.4%; May 2027), Fund Evaluation Group (7.3%; December 2031), and PWC (6.1%; May 2025). There are seven tenants, representing 12.4% of the NRA, scheduled to roll in 2025. As of Q3 2024, the property remains 92% occupied, unchanged from YE 2023, up from 97% at YE 2022, 81% at YE 2021, and 81% at YE 2020. Fitch's 'Bsf' rating case loss of 11.4% (prior to concentration adjustments) reflects a 10.25% cap rate, a 20% stress to the YE 2023 NOI, and a heightened probability of default due to the secondary market location and upcoming rollover risk. The second largest contributor to overall loss expectations in GSMS 2020-GC47 is the Grand Street Plaza loan (3.6%), which is secured by two adjacent office buildings (totaling 208,586 sf) in downtown White Plains, NY. The largest tenants at the properties include Legal Aid Society of DC (13.4%; January 2032), New York State Unified Court System (12.2%; February 2037, after recently extending its October 2024 lease expiry), County of Westchester (8.5%; August 2029), and Miller Zeidermann (6.6%; June 2026). Occupancy at the subject has been steadily decreasing since YE 2020. As of the September 2024 rent roll, the property was 78% occupied, unchanged from YE 2023, down from 80% at YE 2022, 89% at YE 2021, and 92% at YE 2020. Fitch's 'Bsf' rating case loss of 13.3% (prior to concentration adjustments) reflects a 10% cap rate, 20% stress to the YE 2023 NOI, and a heightened probability of default due to upcoming rollover and declining occupancy. The third largest contributor to overall loss expectations in GSMS 2020-GC47 is the 1427 7th Street loan (3.6%), which is secured by a 50-unit multifamily property located in Santa Monica, CA. The property benefits from its strong location, situated in a very infill and densely populated location less than one block south of Santa Monica Boulevard. Per the June 2024 rent roll, the property was 88% occupied with an average rental rate of $4,135 per unit. The servicer-reported NOI DSCR at YE 2023 was 1.49x, compared to 1.36x at YE 2022, 1.15x at YE 2021, and 1.13x at YE 2020. Fitch's 'Bsf' rating case loss of 6.5% (prior to concentration adjustments) reflects an 8% cap rate and a 7.5% stress to the YE 2023 NOI. The second largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in CGCMT 2019-C7 is the 805 Third Avenue loan, which is secured by a 596,100-sf office property located in the Grand Central submarket of Manhattan. The largest tenant, Meredith Corporation (35.7%; December 2026), subleases the majority of its space on a co-terminus basis. The largest subleased tenants are Kroll Bond Rating Agency, NewsMax and Gen II Fund Services, LLC. The loan transferred to special servicing in September 2024 and is currently over 30 days delinquent. Cash flow has significantly declined since issuance due to the large decline in occupancy when several tenants vacated upon lease expirations in 2021 and 2022. As of the June 2024 rent roll, the property was 57.1% occupied, compared to 62% at YE 2022, 83% at YE 2021, and 81% at YE 2020. In-place rents at the property of approximately $51 psf are well below submarket rents of $90 psf, according to CoStar. Fitch's 'Bsf' rating case loss of 30.0% (prior to concentration adjustments) reflects an 8.50% cap rate and an updated Fitch sustainable cash flow based on leasing the building up to 72%. The cap rate is an increase from a 7.50% cap rate at issuance. The elevated loss also reflects the current delinquency status as the loan is over 30 days delinquent. The largest increase in loss since the prior rating action and the second largest contributor to overall loss expectations in CGCMT 2019-C7 is the 490-504 Myrtle Avenue loan, secured by a two-property multifamily portfolio totaling 236 units, located in Brooklyn, NY. The subject properties have 48 units (20% of total units) designated as affordable housing. Occupancy has remained stable at the subject properties. As of June 2024, the portfolio was 95% occupied, compared to 96% at YE 2023, 97% at YE 2022, 99% at YE 2021, and 77% at YE 2020. The servicer-reported NOI DSCR was 1.70x as of Q2 2024, up from 1.46x at YE 2023, 1.54x at YE 2022, 1.15x at YE 2021, and 1.32x at YE 2020. Fitch's 'Bsf' rating case loss of 8.6% (prior to concentration adjustments) reflects an 8% cap rate and no additional stress to the YE 2023 NOI. Increased Credit Enhancement (CE): As of the November 2024 distribution date, the pool's aggregate balance in CGCMT 2018-C5 has been paid down by 17.5% to $551.3 million from $668.2 million at issuance. Six loans (16.3% of the pool) are fully defeased. There are 14 loans (56.6%) that are full-term interest-only, and the remaining 23 loans (43.4%) are now amortizing. As of the November 2024 distribution date, the pool's aggregate balance in GSMS 2020-GC47 has been paid down by 0.4% to $768.7 million from $771.9 million at issuance. There are 19 loans (86.4%) that are full-term interest-only, four loans (6.1%) remain in its partial interest-only period, and the remaining six loans (7.5%) are now amortizing. As of the November 2024 distribution date, the pool's aggregate balance in CGCMT 2019-C7 has been paid down by 3.1% to $1.22 billion from $1.26 billion at issuance. Two loans (2.5% of the pool) are fully defeased. There are 29 loans (61.8%) that are full-term interest-only, three loans (8.1%) remain in its partial interest-only period, and the remaining 23 loans (30.1%) are now amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes. - Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, may occur with outsized loss expectations on FLOCs, including 650 South Exeter Street and 636 11th Avenue in CGCMT 2018-C5, 805 Third Avenue and 490-504 Myrtle Avenue in CGCMT 2019-C7, and PNC Center and Grand Street Plaza in GSMS 2020-GC47, that increase beyond expectations, and with limited to no improvement in these classes' CE. - Downgrades to the 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to distressed ratings would occur should additional loans transfer to special servicing and/or default or as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilized performance on 650 South Exeter Street and 636 11th Avenue in CGCMT 2018-C5, 805 Third Avenue and 490-504 Myrtle Avenue in CGCMT 2019-C7, and PNC Center and Grand Street Plaza in GSMS 2020-GC47. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. - Upgrades to distressed ratings are not expected, but possible with better than expected recoveries on specially serviced loans or significantly improved performance of the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLT 2024-7: Fitch Gives 'B(EXP)sf' Rating on Class B2 Certificates ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-7 Mortgage Loan Trust (COLT 2024-7). Entity/Debt Rating ----------- ------ COLT 2024-7 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-7 Mortgage Loan Trust as indicated above. The certificates are supported by 591 nonprime loans with a total balance of approximately $434.6 million as of the cutoff date. Loans in the pool were originated by multiple originators, including The Loan Store Inc., Foundation Mortgage Corporation, Northpointe Bank (NPB) and various others. The loans were aggregated by Hudson Americas L.P. and are currently serviced by Fay Servicing LLC (Fay), Select Portfolio Servicing, Inc. (SPS) and NPB. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% since last quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices have increased 4.3% yoy nationally as of August 2024 despite modest regional declines but are still being supported by limited inventory. COLT 2024-7 has a combined original LTV (cLTV) of 72.8%, slightly lower than that of the previous Hudson transaction, COLT 2024-6. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 81.0%, compared with 83.0% for the previous transaction. Non-QM Credit Quality (Negative): The collateral consists of 591 loans totaling $434.63 million and seasoned at approximately three months in aggregate as calculated by Fitch. The borrowers have a moderate credit profile, consisting of a 740 model FICO, and moderate leverage with an 81.0% sLTV and a 72.8% cLTV. Of the pool, 61.2% of the loans are of a primary residence, while 34.5% comprise an investor property. Additionally, 60.9% are non-qualified mortgages (non-QMs, or NQMs), 4.1% are safe-harbor qualified mortgages (SHQM), 0.6% are rebuttable presumption qualified mortgage loans, and the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 19.50%. This is mainly driven by the NQM/Non-Prime collateral and the concentration of investor cash flow product (debt service coverage ratio [DSCR]) loans. Loan Documentation and DSCR Loans (Negative): About 91.2% of loans in the pool were underwritten to less than full documentation and 64.1% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. Fitch's treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 745bps, compared with a deal of 100% fully documented loans. 7.1% (54 loans) were originated through the originators' investor cash flow program that targets real estate investors qualified on a DSCR basis. These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Fitch's average expected losses for DSCR loans is 31.2% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans serviced by SPS, Fay and NPB for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then the securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. However, the additional stress on the structure represents downside risk, as there is limited liquidity in the event of large and extended delinquencies. COLT 2024-7 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bp increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Evolve, Selene, Clarifii, Opus, Clayton and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 50bps reduction to the 'AAA' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2013-CCRE8: Moody's Upgrades Rating on Cl. X-C Certs to Ba3 ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and upgraded the ratings on three classes in COMM 2013-CCRE8 Mortgage Trust, Commercial Pass-Through Certificates, Series 2013-CCRE8 as follows: Cl. B, Affirmed Aaa (sf); previously on Aug 4, 2023 Upgraded to Aaa (sf) Cl. C, Affirmed Aaa (sf); previously on Aug 4, 2023 Upgraded to Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Aug 4, 2023 Upgraded to Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Aug 4, 2023 Upgraded to A1 (sf) Cl. F, Upgraded to A1 (sf); previously on Aug 4, 2023 Upgraded to Ba1 (sf) Cl. X-C*, Upgraded to Ba3 (sf); previously on Aug 4, 2023 Upgraded to B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes, Cl. B, Cl. C and Cl. D, were affirmed due to the Moody's LTV on the sole remaining loan, the 375 Park Ave Loan, which now represents 100% of the pool. The sole underlying loan is secured by the pari passu portion of the senior most portion of the whole mortgage loan and the senior portion included in the trust has a structured credit assessment of aaa (sca.pd). The loan's initial maturity date of May 2023 was recently extended to May 2025, after an initial one-year extension option to May 2024 and the property occupancy has returned to pre-pandemic levels. The rating on two P&I classes, Cl. E and Cl. F, were upgraded due to significant increase in credit support since Moody's last review from loan payoffs and the performance of the sole remaining loan in the pool. The rating of A1 (sf) on Cl. F reflects the lack of sufficient balance from the non-rated subordinate class to protect from the risk of interest shortfalls due to possible extraordinary non-recoverable trust expenses. The ratings on the Interest Only (IO) Class, Cl. X-C was upgraded due to improvement in credit quality of its reference classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or an increase in the pool's share of defeasance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. DEAL PERFORMANCE As of the November 13, 2024, distribution date, the transaction's aggregate certificate balance has decreased by 86% to $191.5 million from $1.38 billion at securitization. The certificates are collateralized by one mortgage loan that has an investment-grade structured credit assessment. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $4.9 million (for an average loss severity of 38%). The sole remaining loan is the 375 Park Avenue Loan ($191.5 million – 100% of the pool), which represents a pari passu portion of a $383 million A-note, a $364.8 million B-note and a $217.3 million Mezzanine loan. As of the November 2024 remittance date the A-note has paid down $35 million as part of the loan modification. The loan is backed by a Class A, trophy office building located in Midtown Manhattan also known as the "Seagram Building", encompassing the eastern block of Park Avenue between East 52nd and East 53rd Streets. The building has 38 stories with a net rentable area (NRA) of approximately 830,928 square feet (SF). Prior to the pandemic, property performance had stable performance with a tenant roster of blue-chip financial and legal tenants. Between 2020 and 2021, occupancy fell from 94% to 67%, and the 2021 net operating income (NOI) was less than half of the underwritten NOI. However, occupancy has improved since and the property was 95% leased as of June 2024 as a result of new leases. The NOI for the trailing twelve-month period ending June 2024 is still below underwritten levels but is expected to increase as rent abatements for newly signed tenants burn off. The loan transferred to the special servicer in May 2023 for maturity default and was subsequently modified to include a one-year extension to May 2024, with an option for another year. The borrower has exercised this option, extending the loan maturity to May 2025. Moody's structured credit assessment is aaa (sca.pd). COMM 2014-CCRE20: DBRS Cuts Class E Certs Rating to D ----------------------------------------------------- DBRS Limited downgraded its credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE20 issued by COMM 2014-CCRE20 Commercial Mortgage Trust as follows: -- Class E to D (sf) from C (sf) Following the credit rating downgrade, Morningstar DBRS will discontinue and withdraw its credit rating on Class E. The credit rating action on Class E follows a loss to the trust that was realized with the October 2024 remittance. The trust incurred a loss of $11.7 million, fully eroding the remainder of the Class F certificate and part of Class E. This loss was attributed to nonrecoverable advances on the Harwood Center (Prospectus ID#4, 17.2% of the pool) loan. The special servicer has deemed outstanding advances previously made for this loan as nonrecoverable. Notes: The principal methodology is North American CMBS Surveillance Methodology (March 1, 2024). COMM 2014-UBS3: DBRS Confirms C Rating on 2 Classes ---------------------------------------------------- DBRS Limited downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS3 issued by COMM 2014-UBS3 Mortgage Trust as follows: -- Class B to BBB (low) (sf) from A (sf) -- Class X-B to BB (sf) from BBB (sf) -- Class C to BB (low) (sf) from BBB (low) (sf) -- Class PEZ to BB (low) (sf) from BBB (low) (sf) -- Class D to C (sf) from BB (sf) -- Class E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class F at C (sf) -- Class G at C (sf) The Negative trends on Classes B, X-B, PEZ and C were maintained with this review. Classes D, E, F, and G now have credit ratings that generally do not carry a trend in commercial mortgage backed securities (CMBS) credit ratings. All other classes have a Stable trend. The credit rating downgrades reflect Morningstar DBRS' increased loss projections as the pool enters wind-down following the repayment of the bulk of the original pool. Since the last credit rating action, 31 loans have left the trust, contributing to significant deleveraging and concentration of largely higher credit risk collateral as performing loans reached maturity and ultimately repaid from the pool. There are five loans remaining in the pool as of the October 2024 remittance, all of which are secured by office properties and are in special servicing. Given the adverse selection and high concentration of defaulted assets, Morningstar DBRS considered liquidation scenarios for all remaining loans to determine recoverability for the remaining classes. In addition to concerns with increased projected losses, there is also ongoing shorted interest to credit rated bonds, which is expected to continue building until the loans are disposed or resolved. As of the October 2024 remittance, cumulative unpaid interest totalled $5.7 million, up from $2.8 million at the last the credit rating action in December 2023. Class C has not received full interest since September 2024 and Class D has not received full interest since April 2024. Morningstar DBRS' tolerance for unpaid interest is limited to three to four remittance periods at the BBB (sf) credit rating category and six remittance periods at the BB (sf) and B (sf) credit rating categories. The Negative trends are reflective of increased propensity for interest shortfalls, as well as the potential for Morningstar DBRS' loss expectations to further increase should the underlying collateral values further deteriorate or the workout periods extend beyond the near to moderate term, exposing the trust to increased property protection and other expenses accruing over the workout periods. The largest loan, State Farm Portfolio (Prospectus ID#2, 32.4% of the pool), is pari passu with notes held in the COMM 2014-UBS4 and COMM 2014-UBS5 transactions, both of which are rated by Morningstar DBRS, and the non-Morningstar DBRS rated MSBAM 2014-C16 transaction and is secured by a portfolio of 14 cross-collateralized, cross-defaulted office properties in 11 different states. The loan transferred to the special servicer in September 2023 and remains delinquent. Although the workout strategy has been noted as full payoff for the past year, there has been limited progress in the loan's resolution since the last credit rating action, which is now noted to be determined. Morningstar DBRS remains cautious about the refinance prospects given the underlying assets are leased but not occupied by State Farm Mutual Automobile Insurance Company (State Farm), with all but two of the leases running through 2028. While State Farm continues to make rent payments, it has physically vacated every property. The loan had an anticipated repayment date in April 2024, and is now hyper amortizing until April 2029 with annual resets of the interest rate. Recent servicer commentary indicates that one property is expected to be released in the near term. Although the continued rent payments are expected to continue to amortize the outstanding debt, Morningstar DBRS believes the current value deficiency to be significant given the dark status of the properties and the tertiary locations that will likely mean low investor demand. As such, a liquidation scenario was considered based on a stressed value analysis, which resulted in a loss severity approaching 35%. The second largest loan is Equitable Plaza (Prospectus ID#3, 28.6% of the pool), which is secured by a 688,292-square-foot (sf) office property in Los Angeles. The loan transferred to the special servicer in April 2024 after the borrower indicated the loan would not be repaid by maturity in June 2024. The special servicer is dual-tracking the loan for maturity extension and foreclosure. Occupancy has been in decline over the last several years, dropping to 56% as of September 2023 from 67% at YE2021 and 82% at YE2020. According to the September 2023 rent roll, leases representing 29.0% of the net rentable area (NRA) were scheduled to expire through the next 12 months, posing risk for significant additional vacancy. The most recent financials available are for the trailing nine month period ended September 30, 2023, and indicate that cash flow has also been in year-over-year decline. At issuance, the subject was valued at $150.5 million and, although a new valuation has yet to be completed, Morningstar DBRS expects that the property's value has declined considerably given the drop in performance. In its analysis, Morningstar DBRS liquidated this loan from the pool based on a stress to the issuance appraisal for an implied loss severity in excess of 40%. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1A: DBRS Confirms B Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1A LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows: -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; September 19, 2024; https://dbrs.morningstar.com/research/439759). The Reinvestment Period ends April 8, 2030. The Stated Maturity is September 15, 2036. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan as the Collateral Manager. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of September 30, 2024, the transaction is in compliance with all performance metrics, and the performing collateral par is greater than the reinvestment target par. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmations on the Notes, as per the Level I surveillance analysis in the CLO Methodology. No predictive model is utilized in the Level I surveillance process. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: actual 137.62%; threshold 124.50% Class B Overcollateralization Ratio Test: actual 127.49%; threshold 116.80% Class C Overcollateralization Ratio Test: actual 122.96%; threshold 113.40% Class A Interest Coverage Ratio Test: actual 197.50%; threshold 115.00% Class B Interest Coverage Ratio Test: actual 173.78%; threshold 110.00% Class C Interest Coverage Ratio Test: actual 162.09%; threshold 105.00% Collateral Quality Tests: Minimum Diversity Score Test: actual 24.14; threshold 21.00 Minimum Weighted Average Spread Test: actual 5.48%; threshold 5.10% Maximum DBRS Risk Score Test: actual 31.02%; threshold 34.20% Minimum Weighted Average DBRS Recovery Rate Test: actual 66.00%; threshold 64.30% Some strengths of the transaction are (1) collateral quality that consists of at least 95% senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges are (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. As of September 30, 2024, the Borrower is in compliance with all Coverage and Collateral Quality Tests, and there were no defaulted obligations registered in the underlying portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1B: DBRS Confirms B Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1B LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows: -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of Morningstar DBRS' annual review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; September 19, 2024; https://dbrs.morningstar.com/research/439759). The Reinvestment Period ends April 8, 2030. The Stated Maturity is September 15, 2036. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan as the Collateral Manager. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of September 30, 2024, the transaction is in compliance with all performance metrics, and the performing collateral par is greater than the reinvestment target par. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmations on the Notes, as per the Level I surveillance analysis in the CLO Methodology. No predictive model is utilized in the Level I surveillance process. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: actual 137.40%; threshold 124.50% Class B Overcollateralization Ratio Test: actual 127.28%; threshold 116.80% Class C Overcollateralization Ratio Test: actual 122.77%; threshold 113.40% Class A Interest Coverage Ratio Test: actual 198.74%; threshold 115.00% Class B Interest Coverage Ratio Test: actual 174.87%; threshold 110.00% Class C Interest Coverage Ratio Test: actual 163.11%; threshold 105.00% Collateral Quality Tests: Minimum Diversity Score Test: actual 24.87; threshold 21.00 Minimum Weighted Average Spread Test: actual 5.43%; threshold 5.10% Maximum DBRS Risk Score Test: actual 31.03%; threshold 34.20% Minimum Weighted Average DBRS Recovery Rate Test: actual 66.00%; threshold 64.30% Some strengths of the transaction are (1) collateral quality that consists of at least 95% senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges are (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. As of September 30, 2024, the Borrower is in compliance with all Concentration Limitations, Coverage and Collateral Quality Tests, and there were no defaulted obligations registered in the underlying portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. CQS US 2021-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 2021-1 Ltd.'s refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- CQS US CLO 2021-1, Ltd. A 12659UAA0 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-R LT NRsf New Rating C-R LT NRsf New Rating D-1-R LT NRsf New Rating E 12661TAA9 LT BB-sf Affirmed BB-sf Transaction Summary CQS US CLO 2021-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CQS (US), LLC, which originally closed in December 2021. The CLO's secured debt will be partially refinanced on Nov. 27, 2024 from the proceeds of the issuance of new secured debt. 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. 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 27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.48% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.1% versus a minimum covenant, in accordance with the initial expected matrix point of 73%. 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 2.1-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 three 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. Key Provision Changes - The class A, B, C, and D1 notes (the refinanced notes) are being refinanced by the class AR, BR, CR and D1R notes (collectively, the first refinancing notes) with lower spreads while the notional balance of the notes remains unchanged. The spreads for the class AR, BR, CR and D1R notes are 1.20%, 1.75%, 2.25% and 3.40%, respectively, compared to the spread of 1.48%, 2.14%, 2.65% and 3.81% for the class A, B, C, and D1 notes, respectively, before refinancing. - The non-call period for the refinancing notes will end in November 2025. - The reinvestment period and stated maturity on refinanced notes remained the same as compared to the original notes. Fitch Analysis The current portfolio presented to Fitch includes 284 assets from 266 primarily high yield obligors. The portfolio balance was approximately $395.9 million. As per the latest trustee report, the transaction passes all of its coverage tests. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 50.7% of the current portfolio par balance; ratings for 49.3% of the portfolio were derived from Fitch's IDR equivalency map. Analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the current portfolio for the existing notes, and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or Fitch's assumption: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15%, 12% and 12%, respectively; - Assumed risk horizon of 6.0 years; - Minimum weighted average spread of 3.30%; - Fixed rate Assets: 5.0%. The FSP assumes a 27.0 WARF and 73.0% WARR, in line with the current matrix point as of the October 2024 trustee report. Projected default and recovery statistics for the performing collateral of the FSP were generated using Fitch's portfolio credit model (PCM). The PCM default rate output for the FSP at the 'AAAsf' rating stress was 51.3%. The PCM recovery rate output for the FSP at the 'AAAsf' rating stress was 39.0%. In the analysis of the FSP, the class AR notes passed the rating threshold in all nine cash flow scenarios with minimum cushions of 5.7%. In addition to testing the base case matrix point, Fitch tested all permitted matrix points from the matrix provided to the manager at the original closing. Fitch tested across the matrix to ensure the projected cash flow performance of the Fitch-rated notes remains consistent with the ratings assigned. The PCM default rate output for the current portfolio at the 'AAAsf' rating stress and the 'BB-sf' rating stress was 42.8% and 22.8%, respectively. The PCM recovery rate output for the current portfolio at the 'AAAsf' rating stress and the 'BB-sf' rating stress was 40.2% and 74.1%, respectively. In the analysis of the current portfolio, the class AR and class E notes both passed the rating threshold in all nine cash flow scenarios with minimum cushions of 15.8% and 11.5%, respectively. Fitch assigned a 'AAAsf' rating to the class AR notes. Fitch also affirmed the class E notes at 'BB-sf'. The Outlooks for all notes are Stable. The rating actions reflect that the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class AR, 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 AR 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, and 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 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority- registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CQS US CLO 2021-1, 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. CSAIL 2020-C19: Fitch Lowers Rating on Cl. F-RR Debt to 'B-sf' -------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 11 classes of CSAIL 2020-C19 Commercial Mortgage Trust. Classes E, F-RR and X-D were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes A-S, B, C, X-A, and X-B were revised to Negative from Stable, and the Outlook for class D remains Negative. Additionally, Fitch has affirmed 13 classes of CSAIL 2021-C20 Commercial Mortgage Trust. All classes remain on Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2020-C19 A-1 12597NAQ6 LT AAAsf Affirmed AAAsf A-2 12597NAR4 LT AAAsf Affirmed AAAsf A-3 12597NAS2 LT AAAsf Affirmed AAAsf A-S 12597NAW3 LT AAAsf Affirmed AAAsf A-SB 12597NAT0 LT AAAsf Affirmed AAAsf B 12597NAX1 LT AA-sf Affirmed AA-sf C 12597NAY9 LT A-sf Affirmed A-sf D 12597NAC7 LT BBBsf Affirmed BBBsf E 12597NAE3 LT BBsf Downgrade BBB-sf F-RR 12597NAG8 LT B-sf Downgrade B+sf G-RR 12597NAJ2 LT CCCsf Affirmed CCCsf X-A 12597NAU7 LT AAAsf Affirmed AAAsf X-B 12597NAV5 LT AA-sf Affirmed AA-sf X-D 12597NAA1 LT BBsf Downgrade BBB-sf CSAIL 2021-C20 Commercial Mortgage Trust A-2 22945EAT8 LT AAAsf Affirmed AAAsf A-3 22945EAU5 LT AAAsf Affirmed AAAsf A-S 22945EAY7 LT AAAsf Affirmed AAAsf A-SB 22945EAV3 LT AAAsf Affirmed AAAsf B 22945EAZ4 LT AA-sf Affirmed AA-sf C 22945EBA8 LT A-sf Affirmed A-sf D 22945EAC5 LT BBBsf Affirmed BBBsf E 22945EAE1 LT BBB-sf Affirmed BBB-sf F-RR 22945EAG6 LT BB-sf Affirmed BB-sf G-RR 22945EAJ0 LT B-sf Affirmed B-sf X-A 22945EAW1 LT AAAsf Affirmed AAAsf X-B 22945EAX9 LT AA-sf Affirmed AA-sf X-D 22945EAA9 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 6.4% in CSAIL 2020-C19 and 3.6% in CSAIL 2021-C20. Fitch Loans of Concern (FLOCs) comprise six loans (18.8% of the pool) in CSAIL 2020-C19, including two specially serviced loans (10.2%), and four loans (11.6%) in CSAIL 2021-C20. The downgrades in CSAIL 2020-C19 reflect increased pool loss expectations since Fitch's prior rating action driven by the specially serviced loans, ArciTerra Portfolio (7.0%) and APX Morristown (3.2%), and the FLOC Selig Office Portfolio (7.4%). The Negative Outlooks reflect the office concentration of 30.6% in the pool and the potential for downgrades without performance stabilization of the aforementioned specially serviced loans and FLOCs. The affirmations in CSAIL 2021-C20 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. Largest Contributors to Loss: The largest contributor to overall pool loss expectations in the CSAIL 2020-C19 transaction is the Selig Office Portfolio loan, secured by an urban office portfolio consisting of three properties all located in downtown Seattle, WA. The June 2024 rent roll reflects an occupancy of 61% compared to 70% at YE 2023, 65% at YE 2022, and 99% at YE 2019. Near-term tenant rollover includes 0.7% in 2024, 4.1% in 2025, and 0.2% in 2026 with the next largest concentration of leases (20.6%) expiring in 2028. The servicer-reported NOI DSCR has declined to 1.25x as of YE 2023, compared with 1.32x at YE 2022 and 1.76x at YE 2020. Fitch's 'Bsf' rating case loss of 17.3% (prior to concentration add-on) is based on a 9.75% cap rate and no additional stress to YE 2022 NOI. The second largest contributor to overall loss expectations in CSAIL 2020-C19 is the specially serviced APX Morristown asset, secured by a 486,742 SF suburban office property located in Morristown, NJ. The loan transferred to special servicing in July 2023 due to imminent monetary default. Occupancy has declined at the property to 60.6% as of June 2024 due to the departure and downsizing of several tenants. The largest tenant, Louis Berger (NRA 22.3%), which was acquired by WSP in late 2018, vacated in 2022 ahead of its lease expiration in 2026. The mezzanine lender was the winning bidder at the June 2024 UCC Foreclosure sale and is finalizing a loan modification with the special servicer. Fitch's 'Bsf' rating case loss of 34% (prior to concentration add-on) reflects a stressed cap rate of 10% to account for the office property quality and suburban location and no additional stress to the YE 2023 NOI. It also factors in a higher probability of default to account for the transfer to special servicing, deteriorated occupancy, and high submarket vacancy. The largest increase in loss expectations since the prior rating action and the third largest contributor to overall pool loss expectations in the CSAIL 2020-C19 is the ArciTerra Portfolio, secured by 13 retail and one office property across multiple states with 642,256 SF. The loan was transferred to special servicing in October 2023 due to fraud charges against ArciTerra Companies LLC and the loans sponsor, Jonathan Larmore. The SEC alleges that more than $35 million from private real estate investment funds and other investment vehicles that ArciTerra managed were misappropriated since January 2017. All of the properties within the portfolio have been appointed a receiver. The servicer-reported NOI DSCR has declined to 1.27x as of TTM June 2024, compared with 2.04x at YE 2022 and 1.74x at YE 2020. Fitch's 'Bsf' rating case loss of 13.4% (prior to a concentration adjustment) is based on a 9.5% cap rate and TTM June 2024 NOI. 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 the fraud charges against the sponsor and not the portfolio's performance. The largest contributor to overall pool loss expectations in the CSAIL 2021-C20 transaction is the 880 Technology Drive (2%) loan, secured by a 85,833 SF office property located in Ann Arbor, MI. The June 2024 occupancy was 67% compared to 50% in December 2022 and 90% in December 2021. The decline in occupancy was due to the largest tenant Audatex North America (42% of NRA) vacating at the December 2021 lease expiration. The NOI DSCR as of June 2024 was 1.15x compared to .88x at YE 2023, 1.42x at YE 2022, and 2.24x at YE 2021. Fitch's 'Bsf' rating case loss of 29% (prior to concentration add-on) is based on a 10% cap rate and a 15% additional stress to the annualized June 2024 NOI. Changes in Credit Enhancement (CE): As of the November 2024 distribution date, the aggregate balances of the CSAIL 2020-C19 and CSAIL 2021-C20 transactions have been reduced by 2.2% and 2.9%, respectively, since issuance. The CSAIL 2020-C19 transaction includes one loan (5.2% of the pool) that has fully defeased and CSAIL 2021-C20 has two defeased loans (3.3%). Cumulative interest shortfalls of $243,687 are affecting the non-rated class NR-RR in CSAIL 2020-C19 and $55,818 is affecting the non-rated class NR-RR in CSAIL 2021-C20. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, especially those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Selig Office Portfolio, ArciTerra Portfolio and APX Morristown in CSAIL 2020-C19; and 888 Figueroa and 880 Technology Drive in CSAIL 2020-C21. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed rating of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' categories are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Selig Office Portfolio, ArciTerra Portfolio and APX Morristown in CSAIL 2020-C19; and 888 Figueroa and 880 Technology Drive in CSAIL 2020-C21. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed rating is not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DT AUTO OWNER: DBRS Confirms 11 Ratings From 5 Transactions ----------------------------------------------------------- DBRS, Inc. confirmed 11 credit ratings and upgraded six credit ratings from five DT Auto Owner Trust Transactions. The Affected Ratings are available at https://bit.ly/4iopp31 The Issuers are: DT Auto Owner Trust 2021-1 DT Auto Owner Trust 2023-2 DT Auto Owner Trust 2022-3 DT Auto Owner Trust 2022-1 DT Auto Owner Trust 2021-3 The credit rating actions are based on the following analytical considerations: -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- For DT Auto Owner Trust 2021-1 and DT Auto Owner Trust 2021-3, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For DT Auto Owner Trust 2022-1, DT Auto Owner Trust 2022-3, and DT Auto Owner Trust 2023-2, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- The transaction's parties' capabilities regarding originating, underwriting, and servicing. -- The transaction's capital structures and form and sufficiency of available credit enhancement. -- The Transaction's assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (August 06, 2024). EFMT 2024-CES1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to EFMT 2024-CES1. Entity/Debt Rating ----------- ------ EFMT 2024-CES1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The EFMT 2024-CES1 residential mortgage-backed certificates are backed by 100% closed-end second-lien (CES) loans on residential properties. This is the first transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The pool consists of 2,450 non-seasoned, performing, CES loans with a current outstanding balance (as of the cutoff date) of $203.05 million. One hundred percent of the pool is originated and serviced by PennyMac Loan Services (PennyMac). Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicer, PennyMac, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1, A-2, and A-3 certificates with respect to any distribution date prior to the distribution date in January 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. On and after January 2029 the pass-through rate will be a per annum rate equal to the lesser of (i) the sum of (a) the applicable fixed rate set forth in the table above for such class of certificates and (b) the step-up rate (1.0%), and (ii) the net WAC rate for the related distribution Date. The pass-through rate on class M-1, B-1, and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.4% above a long-term sustainable level (vs. 11.6% on a national level as of 2Q24, up 0.1% since the prior 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 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 2,450 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]), townhouses and condominiums totaling $203.05 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of five months, according to Fitch, and four months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 744, as determined by Fitch, indicative of very high credit-quality borrowers. About 42.6% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 67.8%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 76.7%. The transaction documents stated a WA original LTV of 18.8% and a WA CLTV of 66.4%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 92.1% were originated by a retail channel with the remaining 7.9% originated by a broker channel. Based on Fitch's documentation review, it considers 94.8% of the loans to be fully documented. Of the pool, 100.0% of the loans are owner occupied. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 97.5% of the pool; condominiums make up 2.5%. The pool consists of loans with the following loan purposes: cashout refinances (99.95%) and rate-term refinances (0.05%), which is consistent with other CES transactions. None of the loans in the pool have a current balance that is over $1.0 million. Of the pool of loans, 17.9% are concentrated in California. The largest MSA concentration is the Los Angeles MSA (5.4%), followed by the Washington, D.C. MSA (5.3%) and the Atlanta MSA (4.2%). The top three MSAs account for 18.4% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. SecondLien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by PennyMac . Fitch assumed no recovery and 100% loss severity (LS) on second-lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first, to the A-1 class, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then unpaid cap carryover interest shortfalls. A realized loss will occur if after giving effect to the allocation of the principal remittance amount and monthly excess cashflow on any distribution date, the aggregate the collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses being allocated first to class B-3. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge-off, the mortgage loan with the approval of the controlling holder (based on an equity analysis review performed by the servicer) if the review indicates no significant recovery is likely in respect of such mortgage loan. The servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans. Fitch views this as positive, because the servicer and controlling holder are acting in the best interest of the certificate holders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national 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 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 42.4%, at 'AAA'. The analysis indicates 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 analysis 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 Consolidated Analytics. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.73%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Consolidated Analytics 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 that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ELEVATION CLO 2014-2: Moody's Cuts Rating on $9MM F-R Notes to Ca ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Elevation CLO 2014-2, Ltd.: US$30,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the Class "D-R Notes"), Upgraded to Aaa (sf); previously on June 13, 2024 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$9,000,000 Class F-R Secured Deferrable Floating Rate Notes due 2029 (the Class "F-R Notes") (current outstanding balance of $9,053,123.84), Downgraded to Ca (sf); previously on June 12, 2023 Downgraded to Caa3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2024. The Class B-R notes have been paid down by approximately 81.1% or $18.6 million since May 2024. Based on Moody's calculation, the OC ratios for the Class B-R, Class C-R, Class D-R and Class E-R notes are currently 2123.62%, 294.06%, 150.24% and 109.27%, respectively, versus May 2024 levels of 236.01%, 167.67%, 126.86% and 106.91%, respectively. The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on Moody's calculation the OC ratio for the Class F-R notes is currently 98.68% versus 100.71% in May 2024. Furthermore, the Moody's calculated weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are 2788 and 3.04%, respectively, compared to 2733 and 3.34%, respectively, in May 2024. Moody's also note that according to the trustee's October 2024 report [1], the IC ratio for the Class E-R Notes is reported at 102.97%, failing the trigger of 105%. No actions were taken on the Class B-R, Class C-R and Class E-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: $91,983,952 Defaulted par: $1,323,477 Diversity Score: 31 Weighted Average Rating Factor (WARF): 2788 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.04% Weighted Average Recovery Rate (WARR): 46.25% Weighted Average Life (WAL): 2.36 years Par haircut in OC tests and interest diversion test: 2% 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. ELLINGTON CLO I: Moody's Cuts Rating on $43MM Cl. E-R Notes to Ca ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Ellington CLO I, Ltd.: US$29,400,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes") (current outstanding balance of $18,460,614.59), Upgraded to Aaa (sf); previously on June 22, 2023 Upgraded to Aa1 (sf) Moody's have also downgraded the ratings on the following notes: US$43,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes") (current outstanding balance of $54,732,430.21), Downgraded to Ca (sf); previously on June 22, 2023 Downgraded to Caa1 (sf) US$12,400,000 Class F-R Secured Deferrable Floating Rate Notes due 2029 (the "Class F-R Notes") (current outstanding balance of $16,227,689.09), Downgraded to C (sf); previously on June 22, 2023 Downgraded to Ca (sf) Ellington CLO I, Ltd., originally issued in June 2017, refinanced fully in August 2018 and partially refinanced in March 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2021. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratio since November 2024. The Class AR and Class B2R notes have been paid off completely and Class C notes have been paid down by approximately 37.2% or $10.9 million since then. Based on the trustee's November 2024 report[1], the OC ratio for the Class CR notes is reported at 383.35%, versus November 2023 level[2] of 155.22%. The downgrade rating action on the Class ER and Class FR 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 November 2024 report[3], the OC ratio for the Class ER notes is reported at 62.08% versus November 2023 level[4] of 93.52%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 6534 compared to 4954 in November 2023[5], and failing the triggers of 4228. No action was taken on the Class DR notes because its expected loss remain commensurate with its current rating, 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: $83,502,195 Defaulted par: $47,359,451 Diversity Score: 17 Weighted Average Rating Factor (WARF): 5662 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.33% Weighted Average Coupon (WAC): 0.50% Weighted Average Recovery Rate (WARR): 44.11% Weighted Average Life (WAL): 2.4 years Par haircut in OC tests and interest diversion test: 22.05% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ELMWOOD CLO 24: S&P Assigns Prelim B- (sf) Rating on Cl. F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt and proposed new class F-R debt from Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC, a CLO originally issued in December 2023 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Dec. 2, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "On the Dec. 11, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The reinvestment period will be extended to Jan. 17, 2030. -- The non-call period will be extended to Dec. 11, 2026. -- The replacement class B-R, C-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the original notes. -- The original class A-1 and A-2 debt is being replaced by one new class: A-R. -- The original class D debt is being replaced by two new classes: D-1R and D-2R. -- The new class F-R debt is expected to be issued. -- No new subordinated notes will be issued, and the stated maturity of the original subordinated notes will be extended to Jan. 17, 2038. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC Class A-R, $315.00 million: AAA (sf) Class B-R, $65.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $30.00 million: BBB- (sf) Class D-2R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $16.00 million: BB- (sf) Class F-R (deferrable), $8.50 million: B- (sf) Other Debt Elmwood CLO 24 Ltd./Elmwood CLO 24 LLC Subordinated notes, $42.00 million: Not rated ELMWOOD CLO 35: S&P Assigns BB- (sf) Rating on Class F Debt ----------------------------------------------------------- S&P Global Ratings assigned its 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 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 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) Subordinated notes, $48.00 million: Not rated GENERATE CLO 9: S&P Assigns Prelim BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt and proposed new class X-R debt from Generate CLO 9 Ltd./Generate CLO 9 LLC, a CLO managed by Generate Advisors LLC that was originally issued in November 2021. The preliminary ratings are based on information as of Dec. 4, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 10, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original notes. -- The new end of the reinvestment period will be Jan. 20, 2030, the end of the non-call period will be Jan. 20, 2027, and the stated maturity will be Jan. 20, 2038. -- Of the identified underlying collateral obligations, 100.00% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 95.82% 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 Generate CLO 9 Ltd./Generate CLO 9 LLC Class X-R, $4.00 million: AAA (sf) Class A-R, $283.50 million: AAA (sf) Class B-R, $58.50 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1R (deferrable), $24.75 million: BBB (sf) Class D-2R (deferrable), $5.63 million: BBB- (sf) Class E-R (deferrable), $14.63 million: BB- (sf) Other Debt Generate CLO 9 Ltd./Generate CLO 9 LLC Subordinated notes, $43.30 million: Not rated GOLDENTREE LOAN 11: S&P Affirms 'B- (sf)' Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, E-R, and E-J-R replacement debt from GoldenTree Loan Management US CLO 11 Ltd./GoldenTree Loan Management US CLO 11 LLC, a CLO originally issued in December 2021 that is managed by GoldenTree Loan Management II L.P. At the same time, S&P withdrew its ratings on the original class A, B, C, D, E, and E-J debt following payment in full on the Dec. 3, 2024, refinancing date. S&P also affirmed its ratings on the class X and F debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Dec. 3, 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. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F debt (which was not refinanced) than the rating action on the debt reflects. However, we affirmed our 'B- (sf)' rating on the class F debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class F debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our guidance criteria." Replacement And Original Debt Issuances Replacement debt -- Class A-R, $403.00 million: Three-month CME term SOFR + 1.08% -- Class B-R, $91.00 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $39.00 million: Three-month CME term SOFR + 1.80% -- Class D-R (deferrable), $39.00 million: Three-month CME term SOFR + 2.80% -- Class E-R (deferrable), $16.25 million: Three-month CME term SOFR + 4.90% -- Class E-J-R (deferrable), $8.125 million: Three-month CME term SOFR + 6.00% -- Class Subordinated notes, $39.00 million: Not applicable Original debt -- Class X(i), $3.90 million: Three-month CME term SOFR + 1.06%(i) -- Class A, $403.00 million: Three-month CME term SOFR + 1.39%(i) -- Class B, $91.00 million: Three-month CME term SOFR + 1.86%(i) -- Class C (deferrable), $39.00 million: Three-month CME term SOFR + 2.21%(i) -- Class D (deferrable), $39.00 million: Three-month CME term SOFR + 3.26%(i) -- Class E (deferrable), $16.25 million: Three-month CME term SOFR + 5.61%(i) -- Class E-J (deferrable), $8.125 million: Three-month CME term SOFR + 8.01%(i) -- Class F (deferrable), $12.025 million: Three-month CME term SOFR + 7.76%(i) -- Class Subordinated notes, $39.00 million: Not applicable (i)Includes a credit spread adjustment of 0.26%. S&P said, "As mentioned above, our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned GoldenTree Loan Management US CLO 11 Ltd./ GoldenTree Loan Management US CLO 11 LLC Class A-R, $403.00 million: AAA (sf) Class B-R, $91.00 million: AA (sf) Class C-R (deferrable), $39.00 million: A (sf) Class D-R (deferrable), $39.00 million: BBB- (sf) Class E-R (deferrable), $16.25 million: BB+ (sf) Class E-J-R (deferrable), $8.125 million: BB- (sf) Subordinated notes, $39.00 million: NR Ratings Withdrawn GoldenTree Loan Management US CLO 11 Ltd./ GoldenTree Loan Management US CLO 11 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB+ (sf)' Class E-J (deferrable) to NR from 'BB- (sf)' Ratings Affirmed GoldenTree Loan Management US CLO 11 Ltd./ GoldenTree Loan Management US CLO 11 LLC Class X: 'AAA (sf)' Class F (deferrable): 'B- (sf)' NR--Not rated. GS MORTGAGE 2016-GS4: Fitch Affirms 'Bsf' Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of GS Mortgage Securities Trust 2016-GS3 (GSMS 2016-GS3). The Rating Outlooks remain Negative for five affirmed classes. Fitch has also affirmed 13 classes of GS Mortgage Securities Trust 2016-GS4 (GSMS 2016-GS4). The Outlooks were revised to Negative from Stable for four affirmed classes. The Outlooks also remain Negative for four affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2016-GS3 A-3 36251PAC8 LT AAAsf Affirmed AAAsf A-4 36251PAD6 LT AAAsf Affirmed AAAsf A-AB 36251PAE4 LT AAAsf Affirmed AAAsf A-S 36251PAH7 LT AAAsf Affirmed AAAsf B 36251PAJ3 LT AA-sf Affirmed AA-sf C 36251PAL8 LT A-sf Affirmed A-sf D 36251PAM6 LT BBsf Affirmed BBsf E 36251PAR5 LT B-sf Affirmed B-sf F 36251PAT1 LT CCCsf Affirmed CCCsf PEZ 36251PAK0 LT A-sf Affirmed A-sf X-A 36251PAF1 LT AAAsf Affirmed AAAsf X-B 36251PAG9 LT AA-sf Affirmed AA-sf X-D 36251PAP9 LT BBsf Affirmed BBsf GSMS 2016-GS4 A-3 36251XAQ0 LT AAAsf Affirmed AAAsf A-4 36251XAR8 LT AAAsf Affirmed AAAsf A-AB 36251XAS6 LT AAAsf Affirmed AAAsf A-S 36251XAV9 LT AAAsf Affirmed AAAsf B 36251XAW7 LT AA-sf Affirmed AA-sf C 36251XAY3 LT BBBsf Affirmed BBBsf D 36251XAA5 LT Bsf Affirmed Bsf E 36251XAE7 LT CCCsf Affirmed CCCsf F 36251XAG2 LT CCsf Affirmed CCsf PEZ 36251XAX5 LT BBBsf Affirmed BBBsf X-A 36251XAT4 LT AAAsf Affirmed AAAsf X-B 36251XAU1 LT AA-sf Affirmed AA-sf X-D 36251XAC1 LT Bsf Affirmed Bsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The affirmations in both transactions reflect generally stable pool performance since Fitch's prior rating action. Deal-level 'Bsf' rating case loss is 4.9% in GSMS 2016-GS3 and 9.4% in GSMS 2016-GS4. The GSMS 2016-GS3 transaction has eight Fitch Loans of Concern (FLOCs; 35.6% of the pool), with no loans currently in special servicing. The GSMS 2016-GS4 transaction has eight FLOCs (40.2%), including two loans (7.7%) in special servicing. The Negative Outlooks in GSMS 2016-GS3 incorporate an additional sensitivity scenario on the Panorama Corporate Center office FLOC (6.6%) that considers a heightened probability of default due to upcoming lease rollover concerns. In addition, the Negative Outlooks reflect the potential for downgrades with further performance deterioration and/or lack of stabilization on the Hamilton Place retail FLOC (6.1%) and the Cool Spring Commons office FLOC (4.1%). The pool also has an office concentration of 29.2%, whereby 10.1% of the pool are office FLOCs. The Negative Outlooks in GSMS 2016-GS4 reflects possible future downgrade with continued performance declines on the FLOCs, particularly Simon Premium Outlets (7.3%) and Westchester Office Portfolio 2500-2700 Series (3.2%), and/or lower recovery prospects on the specially serviced loan, Westchester Office Portfolio 700 Series (6.8%). In addition, the Negative Outlooks incorporate an additional sensitivity scenario on two retail FLOCs, Quad at Whittier (9.3%) and Village Square (4.7%), that considers a heightened probability of default due to increased property vacancies following recent tenant lease rollover. The largest tenant at Quad at Whittier, Burlington Stores (20.2% NRA), vacated upon its lease expiration in September 2024. Two tenants at Village Square, Burlington Coat Factory (18.2%) and Spirit Halloween (11.9%), also vacated upon their respective lease expirations in March 2024 and November 2023. The pool also has an office concentration of 25.2%, whereby 10.9% of the pool are office FLOCs. Largest Loss Contributors: The largest contributor to overall loss expectations in GSMS 2016-GS3 and the fourth largest contributor to overall loss expectations in GSMS 2016-GS4 is the Hamilton Place loan, which is secured by a super-regional mall located in Chattanooga, TN. The loan transferred to special servicing in April 2020 for imminent monetary default at the borrower's request due to the pandemic and was returned to the master servicer in May 2022. Non-collateral anchors include Dillard's, Belk and JCPenney. The larger collateral tenants include Barnes & Noble (7.6% collateral NRA; through January 2029) and H&M (5.9%; January 2028). As of June 2024, overall mall occupancy was 97.3% and collateral occupancy was 94.1%, compared with 98.0% and 92.0%, respectively, in March 2023, and 98.2% and 94.6% in March 2022. The June 2024 servicer-reported NOI DSCR was 1.70x compared with 1.83x at YE 2023. An updated tenant sales report was requested by Fitch, but not provided. According to the latest sales figures provided, in-line tenant sales were $465 psf in 2021, compared with $418 psf in 2019 and $406 psf in 2018. Fitch's 'Bsf' rating case loss of 23% (prior to concentration add-ons) reflects a 15% cap rate, 7.5% stress to the YE 2023 NOI and a higher probability of default to account for the declining performance trends since issuance and anticipated refinance concerns. The loan matures in June 2026. The second largest contributor to overall loss expectations in GSMS 2016-GS3 is the Cool Springs Common loan, which is secured by a 301,697-sf suburban office located in Brentwood, TN, approximately 15 miles south of the Nashville CBD. This loan is a FLOC due to declining performance and elevated vacancy at the property. According to the September 2024 rent roll, the property was 28.1% occupied and has remained depressed since Community Health Systems (66% of NRA) and Comprehensive Health Management (6%) vacated at their lease expirations in 2021. The TTM June 2024 servicer-reported NOI DSCR was 0.07x. The previous largest tenant at the property, Community Health Systems, built a 240,000-sf facility in Antioch, TN which was completed in 2017. The borrower deposited $2.5 million into a critical tenant reserve fund to avoid a cash trap requirement due to a major tenant vacating. The balance of this reserve fund remained at $2.5 million, as of November 2024. According to the servicer, the borrower continues to market the property vacancies, with recent positive leasing traction as discussions are ongoing for a number of leases being negotiated with various tenants that could potentially increase property occupancy to approximately 70%. Fitch's 'Bsf' rating case loss of 31% (prior to concentration add-ons) is based upon a 10% cap rate and 50% stress to the YE 2020 NOI to reflect Fitch's view of sustainable performance, and factors a higher probability of default to account for the low DSCR and anticipated refinance concerns. The loan matures in June 2026. Another large FLOC in GSMS 2016-GS3 is Panorama Corporate Center, which is secured by a 780,648-sf suburban office complex located in Centennial, CO. The loan is interest only for the full loan term. While property occupancy has remained at approximately 98% since issuance, this full-term, interest-only loan is designated as a FLOC due to upcoming rollover risk in 2025, prior to the loan's February 2026 maturity. Largest tenants include United Launch Alliance (59.2% NRA; through February 2027), Comcast (combined, 48.1% NRA and consisting of 36.9% rolling in February 2029 and 11.3% in December 2025) and Travelport (15.5% NRA; through November 2025). The expiring 2025 leases for Comcast and Travelport collectively represent approximately 27% of the NRA. Fitch's 'Bsf' rating case loss of 1.4% (prior to concentration add-ons) reflects a 9% cap rate and a 10% stress to the YE 2023 NOI. Additionally, Fitch also ran an additional sensitivity scenario which assumes a 100% probability of default to account for the elevated refinance risk, where loan-level 'Bsf' sensitivity case loss increases to 17.9% (prior to concentration add-ons). The largest contributor to overall loss expectations in GSMS 2016-GS4 is the specially serviced Westchester Office Portfolio 700 Series loan, which is secured by a portfolio of suburban office properties consisting of five buildings totaling 671,330-sf located in White Plains, NY. The loan transferred to special servicing in May 2023 for imminent monetary default as the borrower was no longer able to fund shortfalls. According to the servicer, the note was marketed for sale with the borrower cooperating for a sale of the property. A buyer has been selected, with contract negotiations and loan restructuring discussions ongoing. The portfolio has experienced declining occupancy and cash flow since issuance. Portfolio occupancy was 49.7% as of the July 2024 rent roll, compared with 67% at YE 2022, 64.5% in March 2022, 67.2% in March 2021 and 73.9% in December 2020 due to several tenants vacating or downsizing at or ahead of their scheduled lease expirations. Major current in-place tenants include NY Life (4.9%; January 2025) and Pentegra (4.4%; July 2027). According to the servicer, NY Life will be vacating at lease expiration, dropping occupancy further to below 45%. Recent tenant departures including Citrin Cooperman & Company (5.1%) in October 2024 and UBS (4.4%) in August 2024. Fitch's 'Bsf' rating case loss of 39% (prior to concentration add-ons) reflects a stressed value of approximately $49 psf. The second largest contributor to overall loss expectations in GSMS 2016-GS4 is the Simon Premium Outlets loan, which is secured by two cross collateralized and cross defaulted outlet centers totaling 436,987sf and located in Queenstown, MD (289,667 sf) and Pismo Beach, CA (148,009 sf). Major tenants at the Pismo Beach Premium Outlets include Polo Ralph Lauren (2.3% of total portfolio NRA leased through January 2026), Nike Factory Store (1.7%; February 2025), and Skechers (1.5%; January 2029). Major tenants at the Queenstown Premium Outlets include Nike Factory Store (3%; May 2027), Old Navy (3%; June 2026) and Polo Ralph Lauren (2.3%; July 2026). Total portfolio occupancy was 79.0% as of June 2024, compared with 74.4% as of June 2023, 74.7% as of March 2022, 76.5% in March 2021, 80.7% in August 2020 and 87.9% in December 2019. The downward trending occupancy has been attributed to several tenants vacating at or prior to their lease expirations. Occupancy of the Pismo Beach property was 92.4%, compared with 86.0%, 72.7%, 75.9%, 81.6% and 87.9% over the same period; for the Queenstown property, occupancy was 72.4%, compared with 68.5%, 75.6%, 76.9%, 80.3% and 86.1%. According to the June 2024 rent roll, upcoming rollover at the Pismo Beach property includes 6.7% in 2024 and 25.2% in 2025; for the Queenstown property, it consists of 9.9% in 2024 and 14.6% in 2025. However, according to the servicer, a number of these tenants with upcoming rollover through first half of 2025 have already renewed their leases. Fitch's 'Bsf' loss of 24.2% (prior to concentration adjustments) utilized a 15% cap rate, 10% haircut to the YE 2023 NOI, and factors an increased probability of default due to anticipated refinance concerns. The loan matures in September 2026. The third largest contributor to overall loss expectations in GSMS 2016-GS4 is the Westchester Office Portfolio 2500-2700 Series loan, which is secured by two suburban office properties totaling 291,265 sf located in Westchester, NY. This FLOC was flagged for declining occupancy and DSCR. The servicer-reported YE 2023 NOI DSCR was 0.31x, compared with 0.77x at YE 2022, 0.61x at YE 2021, 1.09x at YE 2020, and 1.61x at YE 2019. Portfolio occupancy was 57.1% as of June 2024 rent roll, compared with 59.0% at YE 2023, 63% at YE 2022, 61.2% in March 2022, 68.4% in March 2021, 78.4% in March 2020 and 79.7% in December 2019. Prior occupancy declines were attributable to the former largest tenant, Westchester Medical Group (13.9% of NRA), vacating the majority of its space (31,662 sf; 11% of NRA; 15% of total base rent) at expiration in August 2020; the tenant continues to occupy the remaining 8,529 sf (3% of NRA) through August 2025. Additionally, four other tenants totaling 6.7% of the portfolio NRA vacated at expiration in 2021, the largest of which was Ammann & Whitney, Inc. (2.2%). The largest in-place tenants include Quorum Federal Credit Union (7.5%; December 2029), Wells Fargo Clearing Services, LLC (7.3%; May 2027), and Wells Fargo Bank (6.0%; December 2031). Upcoming lease rollover includes 8.8% of the NRA in 2024 and 8.4% in 2025. Fitch's 'Bsf' loss of 50.4% (prior to concentration adjustments) utilized a 10% cap rate, 10% haircut to the YE 2023 NOI, and factors an increased probability of default due to anticipated refinance concerns given the low DSCR and occupancy. The loan matures in November 2026. Changes in Credit Enhancement (CE): As of the November 2024 distribution date, the pool's aggregate balance for GSMS 2016-GS3 has been reduced by 15.7% to $946.5 million from $1.1 billion at issuance. Seventeen loans (17.0% of pool) have been defeased. As of the November 2024 distribution date, the pool's aggregate balance for GSMS 2016-GS4 has been reduced by 39.4% to $751.8 million from $1.2 billion at issuance. Two loans (1.3%) have been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes, particularly those with Negative Outlooks, are expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to the 'AAsf' and 'Asf' rated categories could occur should performance of the FLOCs, most notably from Hamilton Place, Cool Springs Commons, The Falls (7.8%), and Panorama Corporate Center in GSMS 2016-GS3 and Westchester Office Portfolio 700 Series, Simon Premium Outlets, Westchester Office Portfolio 2500-2700 Series, Quad at Whittier, and Village Square in GSMS 2016-GS4, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned office and retail FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to the 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' rated 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. This includes Hamilton Place, Cool Springs Commons, The Falls, and Panorama Corporate Center in GSMS 2016-GS3 and Westchester Office Portfolio 700 Series, Simon Premium Outlets, Westchester Office Portfolio 2500-2700 Series, Quad at Whittier, and Village Square in GSMS 2016-GS4; - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the distressed 'CCCsf' and 'CCsf' rated classes are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2024-PJ10: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) 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. In addition, Moody's has corrected the display on its websites for the following classes to reflect the correct CUSIPs: Cl. A-X-25, CUSIP 36273ACB5; Cl. B-2, 36273ACF6; Cl B-X-1, CUSIP 36273ACQ2; Cl. B-2A, CUSIP 36273ACG4; Cl. B-X-2, CUSIP 36273ACH2; Cl. B-3, CUSIP 36273ACJ8; Cl. B-4, CUSIP 36273ACK5; Cl. B-5, CUSIP 36273ACL3; Cl. B-6, CUSIP 36273ACM1 and Cl. A-R, CUSIP 36273ACN9. Due to an internal administrative error these CUSIPs were not previously linked to the correct classes. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ10 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans, and Class A-3L Loans, assigned on November 19, 2024, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.40%, 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. GS MORTGAGE 2024-RPL7: Fitch Gives 'Bsf' Rating on Class B-2 Certs ------------------------------------------------------------------ Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2024-RPL7 (GSMBS 2024-RPL7) as follows: Entity/Debt Rating ----------- ------ GSMBS 2024-RPL7 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating A-4 LT Asf New Rating A-5 LT BBBsf New Rating M-1 LT Asf New Rating M-2 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating B LT NRsf New Rating X LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating RETAINED LT NRsf New Rating SA LT NRsf New Rating Transaction Summary The notes are supported by 1,770 seasoned reperforming loans with a total balance of approximately $342 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 12.0% above a long-term sustainable level versus 11.6% on a national level as of 2Q24, up 0.1% since last quarter. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.3% yoy nationally as of August 2024 despite modest regional declines, but are still being supported by limited inventory. RPL Credit Quality (Negative): The collateral consists of 1,770 seasoned performing and re-performing first lien loans. As of the cutoff date, the pool was 95.8% current and 4.2% DQ. Approximately 57.2% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 65% of loans have a prior modification. The borrowers have a moderate credit profile (689 FICO and 45% DTI) and moderate leverage (63% sLTV). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 125bps. ESG Considerations GSMBS 2024-RPL7 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to due to the adjustment for the Rep & Warranty framework without other operational mitigants, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GSF 2021-1: DBRS Confirms BB(low) Rating on Class E Notes --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of notes issued by GSF 2021-1 (the Issuer) as follows: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class X Notes at A (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the continued performance of most of the underlying collateral, which generally remains in line with Morningstar DBRS' expectations since the last credit rating action. The transaction benefits from a relatively well distributed concentration of property types that collateralize the underlying loans as well as the overall steady financial performance of most of the remaining loans in the pool. There are currently no loans on the servicer's watchlist or in special servicing. As of the October 2024 remittance, the pool consists of 22 performing loans secured by traditional commercial real estate properties with a combined balance of $482.1 million. Since the last credit rating action, one loan was repaid from the trust through a property sale. The repayment contributed an overall collateral reduction of approximately $14.5 million. At closing in November 2021, the transaction featured a funding period whereby the Issuer could contribute loans to the pool up to the expected maximum balance of $500.0 million. The pool was originally intended to be funded within the first year with an allowable six-month extension option. Although the Issuer did not fund the pool within the originally expected time frame, the 100% funding target was reached with the July 2023 remittance when the trust reached a balance of $496.6 million, representing 99.3% of the originally planned $500 million pool balance. The transaction now pays sequentially. The fully funded transaction is concentrated by property type with office, multifamily, and industrial properties representing 24.7%, 23.4%, and 19.8% of the current pool balance, respectively. Morningstar DBRS notes a continued elevated risk profile for the Westview loan (Prospectus ID#12; 8.1% of the pool), which is secured by a 100,182-square foot (sf) office building in Austin, adjacent to the Texas State Capitol. As of the June 2024 reporting, the subject was 51.6% occupied, a significant decline from 92.4% in June 2023. The decline is attributable to the former largest tenant, WeWork, which accounted for 46.3% of the net rentable area (NRA), vacating its space in April 2024. The largest remaining tenants include Cushing Terrell (15.0% of NRA, lease expiry in July 2026), Texas Association of Business (10.0% of NRA, lease expiry in April 2031), and Wynden Stark LLC (7.0% of NRA, lease expiry in April 2028) and only 1.0% of NRA with an upcoming lease expiration in the next 12 months. According to a Q3 2024 Reis report, office vacancy in the downtown Austin submarket was 30.4%, up from 24.5% as of Q3 2023. The reported net cash flow for the trailing 12 months ended June 30, 2024, was $2.8 million; however, Morningstar DBRS expects this figure will drop considerably when factoring in the full departure of WeWork. As a result of the elevated credit risk, Morningstar DBRS analyzed the loan with an elevated probability of default for an expected loss that was approximately three times greater than the pool average. Notes: All figures are in U.S. dollars unless otherwise noted. INV 2024-IND MORTGAGE: Moody's Gives B1 Rating to Class HRR Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by INV 2024-IND Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2024-IND. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple ownership or leased fee interests in 17 commercial properties located in Minnesota. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. Fifteen properties in the portfolio consist of industrial facilities that collectively account for 89.0% of ALA and 88.1% of base rent. Industrial subtypes represented vary, and include a mix of warehouse (72.1% of ALA, 70.5% of base rent), bulk warehouse (4.1%, 4.0%), and flex facilities (12.9%, 14.6%). The remaining two properties consists of one office property (5.9% of ALA, 5.9% of base rent) and one leased fee property (5.0% of ALA, 4.7% of base rent). The office property is leased to Cargill Incorporated, which uses the facility for research and development, and the leased fee property is leased to Home Depot, which owns the improvements consisting of a Home Depot retail location. 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 1.03x and Moody's first mortgage actual stressed DSCR is 0.79x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $210,000,000 represents a Moody's LTV ratio of 110.7%. Moody's LTV ratio is based on Moody's Value. The adjusted Moody's LTV ratio for the first mortgage balance is 101.6% 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 considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's quality grade is 1.00. Notable strengths of the transaction include: the proximity to global gateway and infill markets, infill locations, strong occupancy with granular tenancy, multiple property pooling and strong sponsorship. Notable concerns of the transaction include: Shari'ah compliant lease structure, OpCo-PropCo master lease loan structure, property age, high Moody's LTV (MLTV) ratio, floating-rate interest-only loan profile, non-sequential prepayment provision, and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. JP MORGAN 2012-C8: DBRS Cuts Rating on 2 Tranches to CCC -------------------------------------------------------- DBRS Limited downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C8 issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 as follows: -- Class X-B to CCC (sf) from B (sf) -- Class G to CCC (sf) from B (low) (sf) Classes G and X-B have credit ratings that do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating downgrades reflect the elevated risk of potential loss to the trust given the further decline in the appraised value reported for the office collateral that secures the remaining loan in the pool, Ashford Office Complex (Prospectus ID#5), which is likely to be further stressed by the elevated tenant rollover risk during the next 12 months. In addition, Morningstar DBRS has concerns over the increased propensity for interest shortfalls, as the non-rated Class NR has accumulated $0.5 million of interest shortfalls as of the October 2024 reporting, only collecting 5.0% of its interest payments during the month. The loan transferred to special servicing in August 2022 for maturity default and has been deemed a nonperforming matured balloon as of the August 2024 reporting. Per the servicer's most recent update, the sale and loan assumption strategy that Morningstar DBRS noted at last review is no longer active, and there is now another buyer pursuing the sale at a lower price. While the sale price has not been disclosed, Morningstar DBRS considered a liquidation scenario for the loan to test the recoverability of the remaining certificates, and applied a conservative haircut to the most recent appraised value and concluded that losses will erode the majority of the balance for Class NR, leaving minimal cushion for Class G. The Ashford Office Complex is secured by three eight-story Class B office buildings totaling 570,000 square feet in the Energy Corridor of Houston. The property has reported sustained decline in performance since 2017 due to volatility in the oil and gas industry, further exacerbated by the effects of the Coronavirus Disease pandemic. As of the trailing three-month period ended March 31,2024, the property reported a negative cash flow, and was 56.6% occupied, with an in-place rental rate that is well below the asking rent of the submarket. In addition, the largest tenant, CH2M HILL (14.5% of the net rentable area), which accounts for 41.2% of the property's total base rent and subleases a portion of its space, has a lease expiration at the end of November 2024. An updated appraisal, dated September 2023, valued the property at $32.5 million, nearly half the former value from November 2022 of $59.7 million and significantly below the issuance value of $80.2 million. While the recent appraised value could be reduced by more than half before a loss fully erodes the unrated Class NR, the property is located the West/Kay Freeway submarket, which has reported one of the highest vacancy rates in the U.S. for the last several years, signaling the lack of investor appetite for office properties in the area, as highlighted by the discussion on the disposition of the asset above. As a result, Morningstar DBRS anticipates a prolonged workout period, which may result in increased property protection and other expenses accruing over the workout period, increasing the propensity for interest shortfalls. As such, Morningstar DBRS factored in additional stress in deriving the liquidated value, resulting in a loss severity of 76.0%, which erodes more than 95.0% of the Class NR balance, supporting the rating actions. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-11: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2024-11, and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (93.68% by balance) and GSE-eligible (6.32% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 9.03% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-11 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes After the provisional ratings were assigned on November 22, 2024. The current loan amount of 4 loans from the pool have updated. 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 0.42%, in a baseline scenario-median is 0.19% and reaches 6.57% 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. JP MORGAN 2024-CCM1: DBRS Gives Prov. B(low) Rating on B-5 Certs ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-CCM1 (the Certificates) to be issued by the J.P. Morgan Mortgage Trust 2024-CCM1 (JPMMT 2024-CCM1): -- $363.9 million Class A-1 at (P) AAA (sf) -- $325.9 million Class A-2 at (P) AAA (sf) -- $325.9 million Class A-3 at (P) AAA (sf) -- $325.9 million Class A-3-X at (P) AAA (sf) -- $244.4 million Class A-4 at (P) AAA (sf) -- $244.4 million Class A-4-A at (P) AAA (sf) -- $244.4 million Class A-4-X at (P) AAA (sf) -- $81.5 million Class A-5 at (P) AAA (sf) -- $81.5 million Class A-5-A at (P) AAA (sf) -- $81.5 million Class A-5-X at (P) AAA (sf) -- $195.5 million Class A-6 at (P) AAA (sf) -- $195.5 million Class A-6-A at (P) AAA (sf) -- $195.5 million Class A-6-X at (P) AAA (sf) -- $130.4 million Class A-7 at (P) AAA (sf) -- $130.4 million Class A-7-A at (P) AAA (sf) -- $130.4 million Class A-7X at (P) AAA (sf) -- $48.9 million Class A-8 at (P) AAA (sf) -- $48.9 million Class A-8-A at (P) AAA (sf) -- $48.9 million Class A-8-X at (P) AAA (sf) -- $38.0 million Class A-9 at (P) AAA (sf) -- $38.0 million Class A-9-A at (P) AAA (sf) -- $38.0 million Class A-9-X at (P) AAA (sf) -- $363.9 million Class A-X-1 at (P) AAA (sf) -- $363.9 million Class A-X-2 at (P) AAA (sf) -- $363.9 million Class A-X-3 at (P) AAA (sf) -- $363.9 million Class A-X-4 at (P) AAA (sf) -- $363.9 million Class A-X-5 at (P) AAA (sf) -- $6.1 million Class B-1 at (P) AA (low) (sf) -- $6.5 million Class B-2 at (P) A (low) (sf) -- $3.3 million Class B-3 at (P) BBB (low) (sf) -- $1.5 million Class B-4 at (P) BB (low) (sf) -- $575.0 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, A-X-4, and A-X-5 are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-X-1, and A-X-5 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-9 and A-9-A) with respect to loss allocation. The (P) AAA (sf) ratings on the Certificates reflect 5.10% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) ratings reflect 3.50%, 1.80%, 0.95%, 0.55%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-CCM1 (the Certificates). The Certificates are backed by 301 loans with a total principal balance of $383,428,253 as of the Cut-Off Date (November 1, 2024). This is the first transaction to be issued under the JPMMT CCM shelf. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 85.2% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 14.8% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related report. In addition, all of the loans in the pool were originated in accordance with the new general qualified mortgage (QM) rule. CrossCountry Mortgage, LLC is the originator for all of the loans in pool. Shellpoint Mortgage Servicing will act as the Interim Servicer. As of the Servicing Transfer Date (March 1, 2025), all of the loans will be serviced by JPMorgan Chase Bank, N.A. For this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-CCM1: Moody's Assigns B1 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 32 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2024-CCM1 ("JPMMT 2024-CCM1"), and sponsored by J.P. Morgan Mortgage Acquisition Corporation (JPMMAC). The securities are backed by a pool of prime jumbo (84.9% by balance) and GSE-eligible (15.1% by balance) residential mortgages aggregated by JPMMAC originated by CrossCountry Mortgage, LLC and serviced by JPMorgan Chase Bank, National Association (JPMCB). The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-CCM1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-5*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.11% and reaches 4.72% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JP MORGAN 2024-CES2: Fitch Assigns 'B-sf' Final Rating on B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2024-CES2 (JPMMT 2024-CES2). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2024-CES2 A-1-A LT AAAsf New Rating AAA(EXP)sf A-1-B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates backed by 100% closed-end second lien (CES) loans on residential properties to be issued by J.P. Morgan Mortgage Trust 2024-CES2 (JPMMT 2024-CES2) as indicated above. This is the second transaction to be rated by Fitch that includes 100% CES loans off the JPMMT shelf. The pool consists of 5,024 non-seasoned, performing, CES loans with a current outstanding balance (as of the cutoff date) of $419.66 million. The main originators in the transaction are Newrez LLC (Newrez), PennyMac Loan Services (PennyMac) and Amerisave Mortgage Corporation (Amerisave). All other originators make up less than 15% of the pool. The loans are serviced by Newrez and PennyMac. Distributions of principal and interest (P&I) are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicers, Newrez and PennyMac, will not be advancing delinquent monthly payments of P&I. The collateral comprises 100% fixed-rate loans. Class A-1A, A-1B, A-2, A-3 and M-1 certificates with respect to any distribution date prior to the distribution date (and the related accrual period) will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. The pass-through rate on class B-1 and B-2 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. The pass-through rate on class B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the net WAC for such distribution date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.4% above a long-term sustainable level (vs. 11.6% on a national level as of 2Q24, up 0.1% since the prior 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 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 5,024 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments), condominiums, a townhouse and a site condo, totaling $419.66 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of nine months, according to Fitch, and six months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 739, as determined by Fitch, indicative of very high credit-quality borrowers. About 39.7% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 65.9%, as determined by Fitch, translates to a sustainable LTV ratio (sLTV) of 73.5%. The transaction documents stated a WA original LTV of 18.4% and a WA CLTV of 64.1%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 80.4% were originated by a retail channel or correspondent channel with the remaining 19.6% originated by a broker channel. Based on Fitch's documentation review, it considers 79.7% of the loans to be fully documented. Of the pool, 96.4% of the loans are of a primary or secondary residence, and the remaining 3.6% are investor loans. Single-family homes, planned unit developments (PUDs), townhouses and single-family attached dwellings constitute 95.2% of the pool; condominiums make up 3.7%, while multifamily homes make up 1.1%. The pool consists of loans with the following loan purposes, according to Fitch: cashout refinances (99.4%), rate-term refinances (0.3%) and purchases (0.3%). The transaction documents also show 99.4% of the pool to be cashouts. None of the loans in the pool are over $1.0 million. Of the pool loans, 24.2% are concentrated in California. The largest MSA concentration is Los Angeles MSA (10.9%), followed by the New York MSA (4.8%) and the Atlanta MSA (4.3%). The top three MSAs account for 20% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by Newrez, PennyMac, Amerisave and other originators. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first, pro rata, to the A-1A and A-1B classes, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flows that are used to repay any realized losses incurred, and then unpaid interest shortfalls. A realized loss will occur if the collateral balance is less than the unpaid balance of the outstanding classes. Realized losses will be allocated reverse sequentially with the losses being allocated first to class B-3. Once the A-2 class is written off, principal will be allocated first to class A-1B, and then to class A-1A. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): For any mortgage loan 180 or more days delinquent (DQ; or earlier, in accordance with the related servicer's servicing practices, other than due to such mortgage loan being or becoming subject to a forbearance plan), the related servicer will perform an equity analysis review and may charge off such mortgage loan (each such mortgage loan, a "charged-off loan") with the approval of the controlling holder if such review indicates no significant recovery is likely in respect of such mortgage loan. If the controlling holder does not approve such chargeoff, then the related servicer will continue monitoring the lien status of such mortgage loan, in which case, the related servicer will provide the controlling holder with prompt written notice if such servicer obtains actual knowledge that the associated first lien mortgage loan is subject to payoff, foreclosure, short sale or similar event. Fitch views the fact that the servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely DQ loans to be a positive, as the servicer and controlling holder are acting in the best interest of the noteholders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. 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 42.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Per Fitch's "U.S. RMBS Rating Criteria," originators over 15% are to have an assessment by Fitch. Amerisave represents 15.7% of the loans in the pool and Fitch did not conduct an assessment. Fitch did receive a presentation from Amerisave describing its management structure and details about its operations, which Fitch would typically obtain during an operation risk review. Fitch also confirmed that the loans were underwritten to fit into JPMMT's credit box. Fitch was comfortable having 15.7% of the pool originated by Amerisave due to the information provided by the firm, as the loans fit into JPMMT's credit box, the percentage of loans contributed is just over 15% and JPMMT is an 'Above Average' aggregator that conducts its own operational risk reviews of the originators that they purchase loans from. There was no impact to the losses due to this variation, since an 'Acceptable' originator receives the same treatment as an unreviewed originator with an 'Above Average' aggregator. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, and Clayton. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and data integrity. Additionally, 33.5% loans had a due diligence review performed on valuations that was performed by Clayton. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.90% at the 'AAAsf' stress due to 100% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, and Clayton were engaged to perform the reviews. Loans under this engagement were given compliance and credit reviews and assigned initial and final 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 the auditor (Deloitte), and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JPMBB 2015-C33: Fitch Affirms 'B-sf' Rating on Class F Certificates ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed four classes of JPMBB Commercial Mortgage Securities Trust 2015-C32 (JPMBB 2015-C32) commercial mortgage pass-through certificates. Classes A-S, B, X-A and X-B were assigned Negative Rating Outlooks following their downgrades. The Outlook for class A-5 was revised to Negative from Stable. Fitch has also affirmed 14 classes of JPMBB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2015-C33 (JPMBB 2015-C33). The Outlook for classes C, D-1, D-2, D, and X-D were revised to Negative from Stable. The Outlook on classes E and F remains Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2015-C33 A-3 46645JAC6 LT AAAsf Affirmed AAAsf A-4 46645JAD4 LT AAAsf Affirmed AAAsf A-S 46645JAF9 LT AAAsf Affirmed AAAsf A-SB 46645JAE2 LT AAAsf Affirmed AAAsf B 46645JAG7 LT AAsf Affirmed AAsf C 46645JAH5 LT A-sf Affirmed A-sf D 46645JAS1 LT BBB-sf Affirmed BBB-sf D-1 46645JBG6 LT BBBsf Affirmed BBBsf D-2 46645JBJ0 LT BBB-sf Affirmed BBB-sf E 46645JAU6 LT BB-sf Affirmed BB-sf F 46645JAW2 LT B-sf Affirmed B-sf X-A 46645JAJ1 LT AAAsf Affirmed AAAsf X-B 46645JAL6 LT AAsf Affirmed AAsf X-D 46645JAQ5 LT BBB-sf Affirmed BBB-sf JPMBB 2015-C32 A-3 46590JAU1 LT AAAsf Affirmed AAAsf A-4 46590JAV9 LT AAAsf Affirmed AAAsf A-5 46590JAW7 LT AAAsf Affirmed AAAsf A-S 46590JBA4 LT Asf Downgrade AAsf A-SB 46590JAX5 LT AAAsf Affirmed AAAsf B 46590JBB2 LT BBB-sf Downgrade A-sf X-A 46590JAY3 LT Asf Downgrade AAsf X-B 46590JAZ0 LT BBB-sf Downgrade A-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 27.5% for JPMBB 2015-C32 and 4.7% in JPMBB 2015-C33. The JPMBB 2015-C32 transaction includes 13 Fitch Loans of Concern (FLOCs; 50.5% of the pool), five of which are specially serviced (31.1%). The JPMBB 2015-C33 transaction has four FLOCs (27.1%), including one specially serviced loan (1.4%). Due to the near-term loan maturities and increasing pool concentrations, Fitch performed a look-through analysis including the likelihood of repayment to determine expected loan recoveries and losses. Higher probabilities of default were assigned to loans anticipated to default at maturity due to performance declines and/or rollover concerns. JPMBB 2015-C32: The downgrades on classes A-S, B, X-A and X-B reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by the specially serviced loans and FLOCs particularly, the Civic Opera Building Springs (9.6%), Gateway Business Park (6.6%), One Shell Square (4.3%) and Palmer House Retail Shops (8.1%) loans. Deal-level 'Bsf' rating case losses were 21.9% at the prior rating action. The Negative Outlooks in JPMBB 2015-C32 reflect possible further downgrades if there is continued degradation of value and a prolonged workout for the specially serviced loans, as well as refinance concerns for the FLOCs in the pool. JPMBB 2015-C33: The affirmations in JPMBB 2015-C33 reflect generally stable performance since Fitch's prior rating action. The Negative Outlooks in JPMBB 2015-C33 reflect the potential for downgrades should loans fail to refinance at maturity, particularly the 32 Avenue of the Americas loan (FLOC; 20.7%), as well as with continued performance deterioration of the other FLOCs, DoubleTree Anaheim - Orange County (4.2%), Fort Wayne Retail Portfolio (1.4%) and 1106 Euclid Apartments (0.8%). Largest Increase in Loss: The largest increase in loss in JPMBB 2015-C32 since the last rating action is the Civic Opera Building (9.6%) loan, which is secured by a 915,162-sf office property located in downtown Chicago, IL. The property's major tenants include; Teamworking COB LLC (5.2% of the NRA, leased through April 2028), TechNexus Facilities (5.2%, December 2026) and Natural Resources Defense Council (2.8%, March 2038). According to media reports, Teamworking COB LLC recently expanded its space in the property to approximately 10.0% of NRA. The loan transferred to special servicing in July 2020 for imminent monetary default as a result of the impacts of the coronavirus pandemic. The special servicer has initiated the foreclosure process, and a receiver is currently managing the property. The property was 50.4% occupied as of YE 2023 and the NOI DSCR was 0.38x for the same period. Near term lease rollover includes 6.4% of NRA in 2025 across 14 leases, and 7.2% in 2026 across nine leases. The loan reported $641,091 or $0.7 psf in total reserves as of the October 2024 loan level reserve report. Per CoStar, the property lies within the West Loop office submarket of the Chicago, IL market. As of 3Q24, submarket asking rents averaged $30.54 psf and the submarket vacancy rate was 20.7%. Fitch's 'Bsf' rating case loss of 70.3% (prior to a concentration adjustment) is based on a discount to the most recent appraisal and reflects a stressed value of $83.40 psf. The second largest increase in loss in JPMBB 2015-C32 is the Gateway Business Park (6.6%) loan, which is secured by a 514,047-sf suburban office building located in Mount Laurel, NJ. The borrower has not provided the servicer with financial statements and rent rolls since YE 2022. Per CoStar, the property lies within the North Burlington County office submarket of the Philadelphia, PA market. As of 3Q24, submarket asking rents averaged $32.82 psf and the submarket vacancy rate was 9.6%. Fitch's 'Bsf' rating case loss of 23.5% (prior to a concentration adjustment) is based on a 10.0% cap rate and 25.0% stress to the YE 2022 NOI, and factors in an increased probability of default due to the limited financial reporting and refinance concerns. The loan matures in September 2025. Fitch is also monitoring the performance of the One Shell Square (4.3%) loan, which is secured by a 1.2 million-sf office building located in New Orleans, LA. The property's major tenants include, Shell Oil Company (24.5% of the NRA, leased through December 2026), Hancock Whitney Bank (17.4%, December 2037) and Adams & Reese (6.9%, November 2024). The property was 80.1% occupied as of the trailing-six-months ended June 2024 and the servicer-reported NOI DSCR was 1.74x for the same period. According to media reports, Shell Oil Company is expected to vacate the property and relocate to a new 142,000-sf office tower located in the River District. Fitch's 'Bsf' rating case loss of 25.6% (prior to a concentration adjustment) is based on a 10.0% cap rate and 30.0% stress to the annualized trailing-six-months ended June 2024 NOI, and factors in an increased probability of default due to lease rollover and refinance concerns. The loan matures in July 2025. The largest increase in loss in JPMBB 2015-C33 since the last rating action is the 32 Avenue of the Americas (20.7%) loan, which is secured by a 1.2 million-sf office property/data center in New York, NY. Property occupancy has declined to 57.3% as of Q1 2024 from 60.5% at YE 2023, and remains lower than 70% at YE 2022 and 89% at YE 2020. Due to the occupancy declines, NOI DSCR remains slightly above a 1.00x coverage for the Q1 2024 and YE 2023 reporting periods. Per updates from the servicer, Dentsu (5.9% of the NRA) has been gradually vacating their space ahead of their August 2025 lease expiration. Cedar Cares (5.7% of the NRA) and Industrious (4.9% of the NRA), which have previously shown interest in expanding at the subject property, have also since retracted their plans. In addition to the decline in occupancy, operating expenses have increased at the property. Compared to issuance levels, real estate taxes have risen 41.8% and general and administrative expenses have increased 170%, contributing to a 28.3% increase in total operating expenses. Overall, YE 2023 NOI has declined 39.7% yoy and remains 42.7% below the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 13.1% (prior to a concentration adjustment) is based on a 9.0% cap rate to the YE 2023 NOI and factors an increased probability of default due to refinance concerns. The loan matures in November 2025. The second largest increase in loss in JPMBB 2015-C33 is the DoubleTree Anaheim - Orange County (4.2%) loan, which is secured by a 461-key, full-service hotel located in downtown Anaheim, CA. The property was 66% occupied as of YE 2023 and the NOI DSCR was 1.49x for the same period. Fitch's 'Bsf' rating case loss of 2.5% (prior to a concentration adjustment) is based on an 11.25% cap rate to the YE 2023 NOI. Increase in Credit Enhancement (CE): As of the November 2024 distribution date, the aggregate pool balances of the JPMBB 2015-C32 and JPMBB 2015-C33 transactions have been reduced by 38.3% and 21.4%, respectively, since issuance. The JPMBB 2015-C32 transaction includes six loans (5.7% of the pool) that has been fully defeased. 13 loans (19.5%) are fully defeased in JPMBB 2015-C33. Principal loss and Interest Shortfalls: To date, the JPMBB 2015-C32 transaction has incurred $13.7 million in realized principal losses which has been absorbed by the NR class. The JPMBB 2015-C33 transaction has not incurred any realized principal losses. Interest shortfalls totaling $21.7 million are impacting the non-rated classes C, D, E, F, G and NR in the JPMBB 2015-C32 transaction, and interest shortfalls totaling $169,850 are impacting the non-rated class NR in the JPMBB 2015-C33 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated class A-5 with Negative Outlook in JPMBB 2015-C32 may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to the senior 'AAAsf' rated classes in JPMBB 2015-C33 are not expected in due to the position in the capital structure and expected continued amortization and loan repayments. Downgrades to junior 'AAAsf' rated classes are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity, particularly for the 32 Avenue of the Americas loan in JPMBB 2015-C33. Downgrades to the 'BBBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, in particular office loans with deteriorating performance or with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible in JPMBB 2015-C33 with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there were the likelihood of interest shortfalls. Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 53: Moody's Assigns B3 Rating to $200,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by KKR CLO 53 Ltd. (the Issuer or KKR 53): US$120,000,000 Class A-1L Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$128,000,000 Class A-1L Loans maturing 2038, Definitive Rating Assigned Aaa (sf) US$200,000 Class F Senior Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. KKR 53 is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted-non-loan assets. The portfolio is approximately 100% ramped as of the closing date. KKR Financial Advisors II, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3209 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 3.65% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. KRR CLO 53: Fitch Assigns 'BB+sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 53 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 53, Ltd. A-1L LT NRsf New Rating A-1L Loan LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 53 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.02% first-lien senior secured loans and has a weighted average recovery assumption of 74.44%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 53 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MADISON PARK LXVIII: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Madison Park Funding LXVIII, Ltd. Entity/Debt Rating ----------- ------ Madison Park Funding LXVIII, Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Madison Park Funding LXVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.95% first-lien senior secured loans and has a weighted average recovery assumption of 74.88%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXVIII, 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. MAGNETITE XLVII: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XLVII, Limited. Entity/Debt Rating ----------- ------ Magnetite XLVII, Limited A LT NRsf 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 F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XLVII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.05% first-lien senior secured loans and has a weighted average recovery assumption of 75.16%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XLVII, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MAGNETITE XXXIX: S&P Assigns Prelim 'BB-' Rating on E-2-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, E-1-R, and E-2-R replacement debt from Magnetite XXXIX Ltd./Magnetite XXXIX LLC, a CLO originally issued in October 2023 that is managed by BlackRock Financial Management Inc. The preliminary ratings are based on information as of Dec. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 13, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to December 2025. -- The reinvestment period will be extended to January 2028. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to January 2037. -- The target initial par amount will remain at $400.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is January 2025. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Magnetite XXXIX Ltd./Magnetite XXXIX LLC Class A-R, $260.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-1-R (deferrable), $13.00 million: BB- (sf) Class E-2-R (deferrable), $1.00 million: BB- (sf) Other Debt Magnetite XXXIX Ltd./Magnetite XXXIX LLC Subordinated notes, $37.70 million: Not rated MARBLE POINT XI: Moody's Ups Rating on $31.25MM D Notes from Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Marble Point CLO XI Ltd.: US$30,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on December 18, 2017 Assigned A2 (sf) US$31,250,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on August 14, 2020 Downgraded to Ba1 (sf) Marble Point CLO XI Ltd., issued in December 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 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 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 63.25% or $148.4 million since then. Based on Moody's calculation, the OC ratios for the Class C and Class D notes are currently 138.89% and 117.05%, respectively versus January 2024 levels of 122.32% and 111.31%, respectively. No actions were taken on the Class A, Class B and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $230,218,032 Defaulted par: $4,832,770 Diversity Score: 40 Weighted Average Rating Factor (WARF): 2985 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.28% Weighted Average Recovery Rate (WARR): 46.54% Weighted Average Life (WAL): 3.4 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. MARBLE POINT XII: Moody's Cuts Rating on $24.2MM Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Marble Point CLO XII Ltd.: US$52,400,000 Class B Senior Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on May 22, 2018 Assigned Aa2 (sf) US$25,900,000 Class C Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa2 (sf); previously on May 22, 2018 Assigned A2 (sf) Moody's have also downgraded the rating on the following notes: US$24,200,000 Class E Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 31, 2020 Confirmed at Ba3 (sf) Marble Point CLO XII Ltd. issued in May 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 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 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 50.31% or $163.8 million since then. Based on the trustee's October 2024 report[1], the OC ratios for the Class A/B and Class C notes are reported at 135.81% and 123.81% respectively, versus October 2023 levels[2] of 126.58% and 118.45%, respectively. Moody's note that the October 2024 trustee-reported OC ratios do not reflect the October 2024 payment distribution, when $53.5 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 credit deterioration observed in the underlying CLO portfolio. Based on the trustee's October 2024 report[3], the weighted average rating factor (WARF) is reported a 3317 versus the October 2023 level[4] of 3102. Additionally, Moody's note that the October 2024 trustee-reported WARF, Diversity and WAL tests are currently failing. No actions were taken on the Class A 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: $307,878,957 Defaulted par: $4,753,631 Diversity Score: 51 Weighted Average Rating Factor (WARF): 3006 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 46.49% Weighted Average Life (WAL): 3.7 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in 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. MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs --------------------------------------------------------- DBRS Limited confirmed all credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by MCAP CMBS Issuer Corporation, Series 2014-1 (the Issuer) as follows: -- Class F at BBB (low) (sf) -- Class G at B (sf) All trends remain Stable. Since Morningstar DBRS' last credit action, the former largest loan in the pool, 3571-3609 Sheppard Ave East (Prospectus ID#11; formerly 50.7% of the pool), was fully paid off from the trust. As of the November 2024 reporting, only two loans remain in the pool. Both loans are current, with no updated appraisals reported since issuance, and have been granted short-term maturity extensions through December 2024 to secure take-out financing. To test the recoverability of the remaining certificates, Morningstar DBRS considered liquidation scenarios for both loans based on conservative haircuts to the issuance appraisal values and concluded that any losses are likely to be contained in the nonrated Class H certificate. Overall, Morningstar DBRS determined that the underlying assets would have to sustain significant declines in performance and/or reductions to the issuance appraised values of more than 60.0% in aggregate for the credit rated bonds to be at risk of default. The two remaining loans are the 175 Rue de Rotterdam (Prospectus ID#15; 80.4% of the pool), secured by an office/industrial property, and the 5498 Boulevard Henri-Bourassa loan (Prospectus ID#32; 19.6% of the pool), secured by an unanchored retail property, located in Saint Augustine de Desmaures and Montréal, respectively, in Québec. Both loans have full recourse and are fully occupied by single tenants on long-term leases, with no near-term termination options, benefiting from historically stable performances since issuance. Annual improvements in cash flow have primarily been driven by scheduled rent steps. Based on the YE2023 financials, the 175 Rue de Rotterdam and 5498 Boulevard Henri-Bourassa properties reported debt service coverage ratios and debt yields of 1.85 times (x) and 16.8%, and 1.22x and 11.0%, respectively. As such, Morningstar DBRS believes that these loans are well-positioned for refinance, supporting the credit rating action. Notes: All figures are in Canadian dollars unless otherwise noted. MCR TRUST 2024-HF1: Moody's Assigns B3 Rating to Cl. F Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by MCR Trust 2024-HF1, Commercial Mortgage Pass-Through Certificates, Series 2024-HF1: 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. F, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are backed by a first lien commercial mortgage loan collateralized by the Borrowers' fee simple interests in a portfolio of 22 hotels. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The Portfolio is comprised of 22 select-service and extended-stay hotel properties located across 14 states. The largest hotel represents 9.1% of the ALA. The largest state concentration is Illinois, representing 14.8% of the ALA and 16.1% of the TTM NCF (Four properties totaling 433 guestrooms). The Portfolio offers a total of 2,855 guestrooms. In terms of hotel mix, there are 15 select-service / limited service hotels totaling 2,123 keys (74.4% of ALA) and 7 extended-stay hotels totaling 732 keys (25.6% of ALA). All hotels operate under a global hotel franchise and benefit from the respective brand's reservation systems and national marketing efforts. Of the 22 hotels, 16 (74.5% of ALA) operate subject to franchise agreements with Hilton World Wide Holdings ("Hilton") franchise and are primarily flagged as Hilton Garden Inn, Homewood Suites, Hampton Inn, and Hampton Inn & Suites. Six hotels (25.5% of ALA) operate under the Marriott International Inc. ("Marriott") franchise and are primarily flagged as Springhill Suites, Residence Inn, Courtyard and TownePlace. The Portfolio's physical improvements were built at various points between 1991 and 2018, and exhibit a weighted average age of approximately 20 years. There are $660,585 in immediate repairs that were recorded in accordance with property condition reports. The sponsor has set aside $2,103,400 in PIP reserves to address this concern and has also previously demonstrated a willingness to invest across the portfolio since acquisition, spending approximately $65.6 million ($22,964 per key) between 2017 and March 2024. 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 1.08x, compared with 1.10x at Moody's provisional ratings due to an interest rate increase. Moody's first mortgage actual stressed DSCR is 0.96x. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $300,000,000 represents a Moody's Ratings LTV of 126.7%. Moody's Ratings LTV ratio is based on Moody's Ratings value. Moody's did not adjust Moody's Ratings value to reflect the current interest rate environment as part of Moody's analysis for this transaction. Moody's also grade properties on a scale of 0 to 5 (best to worst) and 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 2.25. Notable strengths of the transaction include: (i) margin growth, (ii) RevPAR penetration, (iii) portfolio diversity, (iv) multiple property pooling, (v) brand affiliations, and (vi) experienced sponsorship Notable concerns of the transaction include: (i) slow post-pandemic recovery, (ii) portfolio age and condition, (iv) property type volatility, (v) high MTV, (vi) floating rate, interest only loan profile and (vii) credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. MELLO MORTGAGE 2021-INV2: Moody's Ups Rating on B-4 Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds from one US residential mortgage-backed transaction (RMBS), backed by GSE eligible first-lien investment property mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-INV2 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 18, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 18, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 18, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 18, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 30, 2021 Definitive Rating Assigned B3 (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 pool. The transaction continues to display strong collateral performance, with no cumulative loss for the transaction 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, 16% since closing. 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. 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. 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 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. MILL CITY 2024-RS2: Fitch Assigns 'BB+sf' Rating on Class A-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings to Mill City Securities 2024-RS2 Ltd (MCMLT 2024-RS2). Entity/Debt Rating ----------- ------ MCMLT 2024-RS2 A-1 LT BBB-sf New Rating A-2 LT BB+sf New Rating M-1 LT NRsf New Rating Transaction Summary The transaction is a re-securitization of 37 underlying subordinate bonds and one senior AIOS strip from 29 transactions. This is the third Re-REMIC issued by Mill City Holdings (second this year) of a similar structure to Mill City 2024-RS1 which was rated by Fitch at issuance in September 2024. KEY RATING DRIVERS Re-REMIC Structure (Positive): MCMLT 2024-RS2 is a re-securitization of 38 RPL, SPL, and non-qualified mortgage (NQM) REMIC tranches with a contributing balance totaling approximately $266.41M. The class A notes benefit from hard credit enhancement in the form of an overcollateralization amount equal to the class M balance ($75.5 million). The A-1 Bond totals $169.8 million (36.25% Credit Enhancement [CE]); while the A-2 totals $21.0 million (28.35% CE). The Re-REMIC uses a supportive structure where all interest and principal collections from the underlying bonds, the available funds, are distributed sequentially. Available funds will first pay fees, then interest or shortfalls on the class A notes, and then pay principal sequentially. To the extent that there is excess cash flow available at the Re-REMIC level, it is distributed to the most senior bond then outstanding until reduced to zero. Given the spread between the Re-REMIC coupons and underlying bond coupons excess interest is expected to be available in both a stress and base case environment. This structure is highly supportive of the rated A-1 and A-2 notes and will turbo down the bonds faster. In Fitch's cash flow analysis, a scenario with higher prepays, midloaded losses and declining interest rates was the most strenuous; otherwise, the credit enhancement levels on the notes have significant subordination cushion. The deal is structured to a subordinated step-up coupon on the A-1 and A-2 classes. As the step-up is paid at the bottom of the waterfall and there are adequate disclosures in the offering docs and not included as an event of default (EoD), Fitch did not look for these amounts to be repaid which is consistent with its approach in its "Global Structured Finance Rating Criteria." As a result, Fitch's rating opinion only addresses the ultimate receipt of all accrued interest, available funds shortfalls and principal payments to which the class A noteholders are entitled and does not address the subordinated step-up interest amounts. Noteholder Liquidation Event gives A-1 and A-2 noteholders optionality and voting rights. The class A-1 noteholder is either fully protected against losses or requires 100% consent, consistent with investment-grade ratings. The class A-2 noteholders have rights to consent the liquation, but there is a risk that the class A-2 could be subject to losses if the class A-1 noteholders consent. Fitch views this risk to be commensurate with speculative-grade ratings. Strong Performance to Date (Positive): The underlying bonds are predominantly from seasoned and re-performing New Residential Mortgage (53.8%) and Mill City Transactions (22.2%). The remaining classes (24.0%) belong to other NQM transactions from various issuers. Of the total underlying contributing balance, $67,803,572.67 or 35.5% is rated by Fitch. Three transactions, NRZT 2019-RPL3, MCMLT 2023-NQM2, and MCMLT 2023-NQM1 make up 43.0% of the Re-REMIC's underlying allocated debt. Of the largest underlying transactions, the NRZT 2019-RPL3 was not rated by Fitch while the other Mill City NQM transactions were. The NRZ SPL and RPL cohort maintains a 12-month CPR of 5.7% and an average tranche factor of 80.0% which is entirely due to writedowns. Fitch expects these classes to continue to sustain writedowns of approximately 25% in the 'BBB-sf' stress scenarios. On average, the NRZ deals have also experienced 1.1% net losses and 4.1% are in the 90+ day significant delinquency bucket (including BK/FC/REO). - These pools have an average Probability of Default (PD) of 19.0% and 20.0% in the 'BB+sf' and 'BBB-sf' stress, respectively - These pools have an average Loss Severity (LS) of 17.9% and 19.6% in the 'BB+sf' and 'BBB-sf' stress, respectively Outside of the NRZT RPL, the remaining deals are all non-QM transactions from various issuers including Mill City, Hudson, Ellington and Invictus, among others. The collateral in these pools has experienced 0.03% net losses and 2.48% 90+ DQ concentration; approximately 110bps and 150bps lower average net losses and 90+ DQ concentration, respectively, compared to the RPL/SPL cohort. Most of these underlying tranches are subordinated classes within sequential or modified sequential waterfalls and as a result have yet to receive principal payments and amortize down outside of two tranches from MCMLT 2023-NQM2. They also have a 12-month CPR of 7.5%. - These transactions have an average PD of 31.7% and 33.8% in the 'BB+sf' and 'BBB-sf' stress, respectively. - These transactions have an average LS of 29.2% and 30.8% in the 'BB+sf' and 'BBB-sf' stress, respectively. For the Fitch-rated underlying deals in this transaction, the vast majority of transactions have experienced a decline in expected losses since issuance. Overall, losses are 6.6%; down 3.9% in the 'BBB-sf' rating stress since issuance due to low delinquencies and overall stable performance of the underlying collateral. Average 30+ DQ% is 5.7% across the Fitch rated pools. Only one Fitch rated transaction (MCMLT 2023-NQM2) has experienced an increase in expected losses since issuance, however losses remained stable in recent months. In this transaction, there are underlying bonds from 19 transactions that were not rated by Fitch. The losses for these transactions include an adjustment in expected losses to consider common operational adjustments that would have otherwise been captured during an initial rating assignment (R&W adjustment and Diligence penalties). The addition was derived by assuming adjustments in line with the most punitive additions seen for similar deals from the respective issuer in which Fitch has rated. Underlying Bonds and Cashflows (Positive): The underlying bonds consist of primarily of subordinate bonds, but also includes one AIOS class. In Fitch's stressed scenarios the repayment of Re-REMIC notes is primarily based on principal and interest cash flows on the underlying subordinate bonds. Of the underlying tranches, seven pass the 'BBB-sf' stress with 100% principal recovery expectations and 11 have a 0% principal recovery expectation in the most conservative scenario (Midloadbench-Down) which are mostly the most subordinate, first-loss, pieces of the underlying transactions. In Fitch's BBB- stress, Fitch expects a principal recovery of 62.5% of the underlying principal amount. Excess spread provides additional funds that can be used as support to turbo down the senior bonds and pay down principal. Updated Sustainable Home Prices (Negative): Fitch haircuts property values based on overvaluation at a local level to determine long-term sustainable values and determine sustainable loan-to-value's (sLTV). Fitch views the home price values on a national level as 11.5% above a long-term sustainable level as of 1Q24. The underlying pools in this transaction maintain a current wAVG base-case Fitch calculated sLTV ratio of 56.9%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected declines. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. At the 'BBB-sf' rating, a 10% MVD could result in a downgrade to 'B+sf', while a 20% or 30% MVD could result in a downgrade to a distressed rating. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. The analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices could result in an upgrade from 'BBB-sf' to 'BBB+sf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MKT 2020-525M: Fitch Affirms 'BBsf' Rating on Class D Certificates ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed two classes of MKT 2020-525M Mortgage Trust, commercial mortgage pass-through certificates, series 2020-525M. Classes A, B and X-A have been assigned Negative Rating Outlooks following their downgrades. The Outlooks for affirmed classes C and D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- MKT 2020-525M A 55316PAA5 LT AAsf Downgrade AAAsf B 55316PAE7 LT Asf Downgrade AA-sf C 55316PAG2 LT BBBsf Affirmed BBBsf D 55316PAJ6 LT BBsf Affirmed BBsf X-A 55316PAC1 LT Asf Downgrade AA-sf KEY RATING DRIVERS Declining Occupancy and Cash Flow; Weaker Submarket: The downgrades reflect Fitch's reassessment of a lower long-term sustainable net cash flow (NCF) since the last rating action and expectation that property performance will not return to issuance levels due to the continued leasing challenges and deterioration of submarket fundamentals in San Francisco. The Negative Outlooks reflect possible further downgrades should property NCF and/or market conditions deteriorate beyond Fitch's updated view of sustainable performance. Following the sponsor's recent capital investment and with 20% of the NRA scheduled to expire in 2025 and 2026, Fitch will continue to monitor both property and submarket leasing traction. Fitch has further revised its sustainable NCF downward to $47.8 million from $50.3 million at the last rating action, which is also 10% below Fitch's issuance NCF of $53.1 million. While Fitch's long-term stabilized occupancy expectation of 80% remains unchanged since the last rating action, Fitch's lower sustainable NCF primarily reflects a reduction in the achievable rent assumption for the near-term rolling Wells Fargo space that expires in June 2025 (8.1% of the NRA), currently paying $101 psf. In total, Wells Fargo leases 13.7% of the NRA; the remaining 5.6% of the NRA expires in 2026 and has a rental rate of $90 psf for the office component. The borrower reported that Wells Fargo has listed all of its space on the sublease market and expects the tenant will vacate upon its various lease expirations between June 2025 and June 2026. The Fitch NCF also reflects a lease up of a portion of the vacant spaces, including the Wells Fargo space expiring in 2025, assuming rents of $75 psf for the lower floors and $85 psf for the higher floors; these rental rates represent a discount from in-place rents at the property of approximately $94 psf, but are higher than the average submarket asking rates. The assumed rental rates consider the recent leasing activity at the property, including two new leases with law firms, Goodwin & Proctor (floors 31 and 32, combined 5.6% of the NRA) and Jenner & Block (floor 29, 2.8% of the NRA), and a short-term lease renewal by Wells Fargo for 2.7% of the NRA through June 2026. Fitch's analysis incorporated a higher stressed capitalization (cap) rate of 8.00%, up from 7.25% at issuance, to factor increased office sector and submarket performance concerns, resulting in a Fitch-stressed valuation decline that is approximately 53% below the issuance appraisal and 18.5% below Fitch's issuance value. Fitch revised lower its cap rate from 8.25% at the last rating action, reflecting the sponsor's strength and commitment to the property. The sponsor spent $23 million on a new amenity floor, known as The Cove, and indicates it is scheduled to open in January 2025, with features that include a wellness center, café, lounge/bar, podcast room, and various conference and meeting/event spaces. This new amenity space is anticipated to be a draw for new tenants and help boost the property's market position, allowing it to attract and retain above average submarket occupancy and rental rates. Property occupancy was 70.9% as of the September 2024 rent roll which factors the 7th floor new amenity space as vacant; historically, the property had been 74.5% occupied in September 2023 at Fitch's last rating action, 88.8% in September 2022, 91.4% at YE 2021 and 97.3% at issuance. According to Costar and as of 3Q24, the office submarket vacancy, availability rate and asking rents were 28.1%, 32.5% and $54.92 psf, respectively, which have deteriorated further from 25.3%, 31.3% and $59.56 psf at the last rating action; the metrics have significantly worsened from the 5.3% submarket vacancy and $73.94 psf asking rents at the time of issuance. The largest tenant at the property is Amazon (totaling 39.5% of NRA, of which 17.3% expires in Jan. 31, 2028; 2.8% expires in April 30, 2029 that includes a Feb. 28, 2027 termination option with 12 months' notice; 11.1% expires in Feb. 28, 2030 that includes a Feb. 28, 2027 termination option; and 8.3% expires in Jan. 31, 2031 that includes a Jan. 31, 2029 termination option). There are termination fees and a cash flow sweep associated with the termination options for the Amazon spaces. Notably, Amazon had a termination option in January 2025 for 17% of the NRA, but the notice period has already lapsed. It was reported at issuance that Amazon spent $95 psf above landlord contribution to build out the original premises and first expansion premises. The majority of the leases expire during the loan term, with the highest rollover concentrations in 2025 consisting of 11.7% of the NRA (including Wells Fargo) and in 2028, comprising 17.5% of the NRA (including Amazon). High-Quality Office Collateral in Prime Location; The 525 Market Street property is a 38-story, class A office building located in the South Financial District office submarket of San Francisco, per CoStar. The property is the third largest office building in San Francisco by square footage. It is certified as LEED Platinum by the U.S. Green Building Council, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. At issuance, Fitch assigned a property quality grade of 'A-'. Low Risk of Term Default; Full Term, Low-Interest Loan: The loan is interest only for the 10-year term, maturing February 2030, with a fixed rate coupon of 2.95%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the sub-3% coupon. Strong Institutional Sponsorship: The sponsor, NYSTRS (51.0% of ownership) acquired the property in 1998 and DWS (formerly RREEF; 49.0% of ownership) acquired a 49.0% interest in the sponsor as part of the transaction at issuance. Fitch Leverage: The $682.0 million mortgage whole loan ($659 psf) has a Fitch-stressed debt service coverage ratio (DSCR) and LTV of 0.78x and 114.2%, respectively, compared to 0.80x and 110.2% at the last rating action and 0.94x and 93.1% at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible should property NCF and occupancy and/or market conditions deteriorate beyond Fitch's reassessed view of sustainable performance, which could occur if the Wells Fargo and other vacancies are not leased at or above current Fitch assumptions, and/or if there is sustained property occupancy declines indicating a change to the property's position in the market. Additionally, further downgrades are possible with additional clarity on the termination options for Amazon. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given the current ratings reflect Fitch's view of sustainable performance, but may be possible with significant and sustained improvement in Fitch NCF, positive leasing to occupancy levels and rates above market and with greater certainty on the borrower's ability to refinance the loan. The Negative Outlooks could be revised to Stable if property performance stabilizes, including continued leasing momentum and stabilizing submarket performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations MKT 2020-525M has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's LEED Platinum Certification and lower environmental site risk and associated remediation/liability costs along with sustainable building practices including Green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2013-C11: DBRS Confirms C Rating on Class B Certs ---------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on both classes of Commercial Mortgage Pass-Through Certificates, Series 2013-C11 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 as follows: -- Class A-S at BBB (high) (sf) -- Class B at C (sf) The trend on Class A-S is Stable while Class B has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Since the previous Morningstar DBRS credit rating action in December 2023, there has been no resolution to the last three outstanding loans, which were the only loans remaining in the transaction at that time. The servicer has provided updated appraisals for two of the three loans, however, Morningstar DBRS' loss expectations remain unchanged and are primarily driven by the largest loan, Westfield Countryside (Prospectus ID#1; 70.2% of the pool balance). The loan is secured by the in-line space of a 1.3 million-square foot regional mall in Clearwater, Florida. The mall's noncollateral anchors are Nordstrom Rack, Macy's, Dillard's, and JC Penney. A fifth anchor pad previously occupied by Sears closed in 2018 but has been partially backfilled by Whole Foods. The occupancy rate and net cash flow have improved over the past year, as of the YE2023 reporting, at 71.0% and $9.2 million, respectively. The loan transferred to special servicing in June 2020 for imminent default and a receiver was appointed in January 2021. The sponsor, Unibail-Rodamco-Westfield, is reportedly cooperating in a friendly foreclosure action and, according to investor reporting, the special servicer is marketing the asset for sale. Recent servicer commentary indicates a potential buyer has been identified, but it is unclear when a sale of the asset may be executed. An October 2023 appraisal valued the subject at $116.0 million, below the outstanding whole-loan balance of $136.1 million. Given the concentration of defaulted loans remaining, Morningstar DBRS considered liquidation scenarios based on conservative stresses to the most recent appraised values to determine the recoverability of the remaining bonds. Morningstar DBRS concluded projected losses for the remaining loans are likely to be contained to the Class B certificate, currently rated C (sf). Morningstar DBRS remains concerned, however, about the increased propensity for interest shortfalls, which could affect Class A-S should the resolution periods for the defaulted loans extend beyond the near to medium term, further exposing the trust to increased fees and expenses. Since the previous credit rating action, cumulative interest shortfalls have increased by approximately $1.0 million. Neither of the remaining Morningstar DBRS-rated bonds are being shorted interest due as of the October 2024 remittance. Should Morningstar DBRS' loss expectations increase, or should Class A-S experience full or partial untimely interest payments, Morningstar DBRS may consider an additional credit rating action. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-C11: Fitch Cuts Rating on 5 Tranches to Dsf --------------------------------------------------------------- Fitch has downgraded six and affirmed two classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) 2013-C11. The Rating Outlook remains Negative for the affirmed class A-S. Fitch Ratings has also affirmed two classes of MSBAM 2013-C8 and two classes of MSBAM 2013-C13. The Outlook for class E in MSBAM 2013-C8 remains Negative. The Outlook for class F in MSBAM 2013-C13 has been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2013-C11 A-S 61762TAG1 LT Bsf Affirmed Bsf B 61762TAH9 LT Csf Downgrade CCsf C 61762TAK2 LT Dsf Downgrade Csf D 61762TAN6 LT Dsf Downgrade Csf E 61762TAQ9 LT Dsf Downgrade Csf F 61762TAS5 LT Dsf Downgrade Csf G 61762TAU0 LT Dsf Affirmed Dsf PST 61762TAJ5 LT Dsf Downgrade Csf MSBAM 2013-C13 F 61763BAG9 LT BB-sf Affirmed BB-sf G 61763BAJ3 LT CCCsf Affirmed CCCsf MSBAM 2013-C8 E 61761QAQ6 LT BBsf Affirmed BBsf F 61761QAS2 LT CCsf Affirmed CCsf KEY RATING DRIVERS Pool Concentration; Adverse Selection: The transactions are concentrated with four or fewer loans remaining, the majority of which are Fitch Loans of Concern (FLOCs), including specially serviced loans. Fitch conducted a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). MSBAM 2013-C11: The downgrades to class C through F in MSBAM 2013-C11 reflects higher than expected losses from the disposition of the specially serviced The Mall at Tuttle Crossing loan since Fitch's last rating action; actual realized losses on the loan totaled $70.4 million, resulting in class C taking a partial loss and classes D through G incurring full losses. The downgrade to class B reflects default that is now considered inevitable as pool loss expectations on the three remaining loans, all of which are specially serviced, affect the class. The Negative Outlook on class A-S in MSBAM 2013-C11 reflect possible future downgrades should recovery expectations on the specially serviced loans worsened due to continued performance declines, prolonged workouts and/or growing loan exposures. MSBAM 2013-C8 and MSBAM 2013-C13: The affirmations reflect the adverse selection and generally stable performance of these pools since the last rating action. The Negative Outlook on class E in MSBAM 2013-C8 reflects performance concerns and the upcoming February 2025 maturity of The Atrium at Fashion Center loan. While there is another one-year option to extend the loan, it needs to meet a minimum DSCR threshold; without materially improved leasing and property occupancy to support loan refinanceability and/or extension, a downgrade of this class is possible. The Rating Outlook revision for class F to Stable from Negative in MSBAM 2013-C13 reflects the class' high CE, improved recovery expectations for the remaining pool since the last rating action and expected continued amortization from the performing 13017-13045 Ventura Boulevard loan. FLOCs/Specially Serviced Loans: The largest loan in MSBAM 2013-C8 is The Atrium at Fashion Center (45.4% of pool), which is secured by a 173,073-sf community shopping center located in Paramus, NJ. The loan originally transferred to special servicing in January 2023 due to imminent default, ahead of the initial February 2023 loan maturity. A loan modification was executed in 2023, which featured a one-year extension with two additional one-year extension options subject to DSCR requirements. The borrower exercised the first of the two additional options through February 2025 with one remaining option, which is subject to a minimum 1.25x DSCR. Occupancy has remained at 71% since Bed Bath & Beyond vacated its 48,000-sf ground floor space prior to lease expiration due to bankruptcy. Per the servicer's update, the borrower is in the process of finalizing a lease with a national retailer and reviewing prospective tenants, which could generate leasing the property back to full occupancy. Fitch's loss expectation of approximately 50% considers a haircut to the most recent appraisal value, reflecting a stressed value of $39 psf. The largest loan in MSBAM 2013-C11 is Westfield Countryside (70.2% of pool), which is secured by a 464,836-sf underperforming regional mall located in Clearwater, FL. The collateral was approximately 79% occupied as of the September 2024 rent roll. The loan transferred to special servicing in June 2020 due to imminent monetary default. The sponsor, a joint venture between Westfield and O'Connor Capital Partners, indicated that they would no longer support the asset. A receiver was appointed in January 2021. Per the latest servicer update, the workout strategy remains to pursue a sale of the asset with an assumption of the debt. Fitch's loss expectation of approximately 74% considers a haircut to the most recent appraisal value, reflecting a stressed value of $87 psf. The largest loan in MSBAM 2013-C13 is 940 Ridgebrook Road (44.3% of pool), which is secured by a 210,002-sf previously single-tenanted suburban office property located in Sparks, MD. The loan transferred to special servicing for maturity default in December 2023 as a result of the sole tenant, Element Vehicle Management Services LLC, vacating the building at lease expiration in February 2024. Foreclosure proceedings are in process. Fitch's loss expectation of approximately 70% considers a haircut to the most recent appraisal value, reflecting a stressed value of $36 psf. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of FLOCs, or with greater certainty of losses on the specially serviced loans; - Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better than expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2021-ILP: DBRS Confirms B(low) Rating on F Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-ILP issued by Morgan Stanley Capital I Trust 2021-ILP as follows: -- Class A Certificates at AAA (sf) -- Class B Certificates at AA (low) (sf) -- Class C Certificates at A (sf) -- Class D Certificates at BBB (sf) -- Class E Certificates at BBB (low) (sf) -- Class F Certificates at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the underlying collateral, which remains healthy, as the YE2023 reported net cash flow (NCF) of $38.7 million is above the Morningstar DBRS NCF of $32.9 million derived at issuance. The collateral consists of the borrower's fee-simple and leasehold interest in a portfolio of 61 industrial properties totaling approximately 6.9 million square feet (sf) in urban areas across eight markets and five states, with approximately 69.0% of the portfolio's net rentable area (NRA) in Chicago, Phoenix, Dallas-Fort Worth, Philadelphia, Houston, and San Antonio. The average size of the properties in the portfolio is 113,596 sf, with a weighted-average (WA) build year of 1983. The proportion of office space across the portfolio totals 19.2%. The tenant roster features a wide array of industries and sectors, ranging from food production to large-scale medical supply manufacturing, with no single tenant representing more than 2.5% of NRA. The subject financing was part of a larger $673.0 million recapitalization of the collateral. The sponsorship group, which includes Investcorp and GIC, contributed $247.4 million of cash equity to facilitate the recapitalization, representing 33.7% of the purchase price. Morningstar DBRS generally views financings involving significant amounts of cash equity contributions from the transaction sponsors favorably given the stronger alignment of economic incentives when compared with cash-out financings. Based in New York, London, and Bahrain, Investcorp had more than $50.0 billion in assets under management as of 2023, spread across multiple asset classes including commercial real estate, private equity, and credit management. GIC is a Singapore-based investment firm with more than $750 billion in assets under management across various asset classes as of 2023. GIC was founded by the Government of Singapore to manage its foreign reserves. The interest-only floating-rate loan had an initial two-year term with three one-year extension options. The loan is scheduled to mature in November 2024; however, servicer commentary indicates that the borrower has exercised the second extension option, extending loan maturity to November 2025. There are no performance triggers, financial covenants, or fees required for the borrower to exercise any of the three one-year extension options, but each option is conditional upon, among other things, no events of default and the borrower's purchase of an interest rate cap agreement for each extension term. The borrower will be required to maintain a debt yield above 6.0% throughout the loan term or cash management provisions will be triggered. The transaction features a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the original principal balance, where individual properties may be released from the trust at a price of 105.0% of the allocated loan amount (ALA). Proceeds are applied sequentially for the remaining 70.0% of the pool balance with the release price increasing to 110.0% of the ALA. Morningstar DBRS applied a penalty to the transaction's capital structure to account for the pro rata nature of certain prepayments and for the weak deleveraging premium. The release provisions require the pool to maintain a minimum debt yield of 8.8% after each property release. Prior to the last review, the outstanding trust balance was reduced nominally by $1.5 million because of a prepayment related to the release of one small property totaling 0.3% of the ALA at issuance. Historically, the portfolio has demonstrated strong occupancy trends, with a WA occupancy rate of 94.8% at issuance. As of the YE2023 reporting, the portfolio was 97.0% occupied compared with the YE2022 figure of 99.0%. Morningstar DBRS' initial analysis of the portfolio indicates that leases representing 11.9% of portfolio NRA are set to expire in 2024, followed by 13.5% collectively in 2025 and 2026. Based the YE2023 reporting, the NCF of $38.6 million reflected a debt service coverage ratio (DSCR) of 1.25 times (x), compared with the YE2022 NCF of $34.4 million, reflecting a DSCR of 2.47x. The decline in the DSCR is primarily driven by the significant increase in debt service due to the loan's floating-rate nature, as effective gross income remains 8.2% above the Morningstar DBRS figure while expenses have only increased by 7.9%. In the analysis for this review, Morningstar DBRS applied a standard surveillance haircut to the YE2023 NCF and maintained the capitalization rate of 7.25% applied at issuance, which resulted in a Morningstar DBRS value of $522.6 million, a variance of -29.9% from the issuance appraised value of $745.7 million for the remaining collateral. The updated Morningstar DBRS value implies a loan-to-value ratio (LTV) of 85.1%, compared with the LTV of 59.6% on the issuance appraised value for the remaining collateral and the 98.3% Morningstar DBRS LTV at issuance. To evaluate the potential for credit rating upgrades given the increases in cash flow, Morningstar DBRS applied a conservative haircut to the YE2023 NCF and a 7.25% capitalization rate, resulting in a stressed value of $426.6 million. The LTV sizing benchmarks resulting from that stressed analysis indicated that credit rating upgrades were not warranted with this review. The implied Morningstar DBRS LTV for the stressed scenario is 104.2%. As part of the analysis, Morningstar DBRS maintained positive qualitative adjustments totaling 4.0% in the LTV sizing benchmark to reflect the low historical vacancy, low cash flow volatility, and desirable property quality. The credit ratings assigned to the Class C, D, E, and F Certificates are lower than the results implied by the LTV sizing benchmarks by three or more notches. These variances are warranted given the lack of demonstrated sustained loan performance trends. Although the improvement in NCF since issuance is notable, based on the conservative upgrade stress applied, the LTV sizing benchmarks indicated that upgrades were not warranted with this review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN 58: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 58, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 58, Ltd. A 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 Neuberger Berman Loan Advisers CLO 58, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.1, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.58% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.6% versus a minimum covenant, in accordance with the initial expected matrix point of 74.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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, 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 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 Neuberger Berman Loan Advisers CLO 58, 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. NXT CAPITAL 2024-1: S&P Assigns Prelim BB- (sf) Rating Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NXT Capital CLO 2024-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by NXT Capital Investment Advisers LLC., a subsidiary of ORIX Corporation USA. The preliminary ratings are based on information as of Dec. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P views of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned NXT Capital CLO 2024-1 LLC Class A, $174.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $18.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $37.47 million: Not rated OAKTREE CLO 2021-1: S&P Assigns Prelim B- (sf) Rating on F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, E-R, and F-R debt replacement debt and proposed new class X-R debt from Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC, a CLO originally issued in July 2021 that is managed by Oaktree Capital Management L.P. The preliminary ratings are based on information as of Dec. 2, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 6, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at a lower weighted average cost of debt than the previous debt. -- The replacement class C and D debt will be split into the class C-1-R and C-2-R debt and class D-1-R and D-2-R debt, respectively, which will be sequential in payment. -- The non-call period will be extended to Dec. 6, 2026. -- The reinvestment period will be extended to Jan. 15, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Jan. 15, 2038. -- The target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- Proposed new class X-R debt issued in connection with this refinancing is expected to be paid down using interest proceeds during 16 payment dates beginning with the payment date in July 2025. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC Class X-R, $4.0 million: AAA (sf) Class A-1-R, $248.0 million: AAA (sf) Class A-2-R, $16.0 million: AAA (sf) Class B-R, $40.0 million: AA (sf) Class C-1-R (deferrable), $20.0 million: A+ (sf) Class C-2-R (deferrable), $12.0 million: A (sf) Class D-1-R (deferrable), $14.0 million: BBB+ (sf) Class D-2-R (deferrable), $6.0 million: BBB- (sf) Class E-R (deferrable), $12.0 million: BB- (sf) Class F-R (deferrable), $6.0 million: B- (sf) Other Outstanding Debt Oaktree CLO 2021-1 Ltd./Oaktree CLO 2021-1 LLC Subordinated notes, $35.3 million: Not rated OAKTREE CLO 2024-28: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Oaktree CLO 2024-28 Ltd./Oaktree CLO 2024-28 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree CLO Management Co. LLC. The preliminary ratings are based on information as of Dec. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Oaktree CLO 2024-28 Ltd./Oaktree CLO 2024-28 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $43.85 million: Not rated OBRA CLO 1: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Obra CLO 1 Ltd./Obra CLO 1 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 Obra CLO 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 Obra CLO 1 Ltd./Obra CLO 1 LLC Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $35.75 million: Not rated OCTAGON INVESTMENT 48: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon Investment Partners 48, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Octagon Investment Partners 48, Ltd. A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1AR2 LT BBB-sf New Rating D-1BR2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Octagon Investment Partners 48, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. The secured notes will be refinanced in whole on Nov. 26, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.81, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.89% 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 72.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1AR2, between less than 'B-sf' and 'BB+sf' for class D-1BR2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1AR2, 'Asf' for class D-1BR2, 'A-sf' for class D-2R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Octagon Investment Partners 48, 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. OHA CREDIT 3: 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-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 L.P., that was originally issued in July 2019, and underwent a first refinancing in July 2021. At the same time, S&P withdrew its ratings on the class X-R, A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Dec. 3, 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 B-1-R2, C-R2, D-1-R2, and E-R2 debt was issued at a lower spread over three-month term SOFR than the July 2021 notes. -- The replacement class X-R2, A-R2, and D-2-R2 debt was issued at a higher floating spread, replacing the current spread. -- The reinvestment period and non-call period were 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." 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) Ratings Withdrawn OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt OHA Credit Funding 3 Ltd./OHA Credit Funding 3 LLC Subordinated notes, $64.50 million: Not rated PALMER SQUARE 2022-4: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Palmer Square CLO 2022-4, Ltd. Entity/Debt Rating ----------- ------ Palmer Square CLO 2022-4, Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Palmer Square CLO 2022-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.42, versus a maximum covenant, in accordance with the initial expected matrix point of 24.00. 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 96.71% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.4% versus a minimum covenant, in accordance with the initial expected matrix point of 67.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Palmer Square CLO 2022-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PIKES PEAK 17: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 17 Ltd. Entity/Debt Rating ----------- ------ Pikes Peak CLO 17 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 BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Pikes Peak CLO 17 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.65, versus a maximum covenant, in accordance with the initial expected matrix point of 25.2. 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 98.22% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.6% versus a minimum covenant, in accordance with the initial expected matrix point of 70.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 17 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. POST CLO VI: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Post CLO VI Ltd. Entity/Debt Rating ----------- ------ Post CLO VI Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Post CLO VI Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Post Advisory Group, 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 22.33, 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 99.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.1% versus a minimum covenant, in accordance with the initial expected matrix point of 72.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 43.5% 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-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Post CLO VI 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. PRPM LLC 2024-RPL3: Moody's Assigns Ba2 Rating to Cl. M-2 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of residential mortgage-backed securities (RMBS) issued by PRPM 2024-RPL3, LLC and sponsored by PRP-LB IV, LLC. The securities are backed by a pool of seasoned performing and re-performing residential mortgages serviced by SN Servicing Corporation (SNSC) and Nationstar Mortgage LLC d/b/a Rushmore Servicing (Rushmore). The complete rating actions are as follows: Issuer: PRPM 2024-RPL3, LLC Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. M-2, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings are based on the credit quality and historical performance of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario is 2.60%, and reaches 14.95% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The methodologies used in these ratings were "Non-performing and Re-performing Loan Securitizations" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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. RAD CLO 17: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the RAD CLO 17, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 17, Ltd. A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-1 75009JAB7 LT PIFsf Paid In Full AAsf B-2 75009JAE1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 75009JAC5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 75009JAD3 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating BBB(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E 75009KAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary RAD CLO 17, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) which is managed by Irradiant Partners, LP that originally closed in October 2022. The secured notes will be refinanced in whole on Nov. 21, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.51, versus a maximum covenant, in accordance with the initial expected matrix point of 27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.12% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.07% versus a minimum covenant, in accordance with the initial expected matrix point of 73.5%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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 'BBBsf' 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 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-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 RAD CLO 17, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RATE MORTGAGE 2024-J4: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by RATE Mortgage Trust 2024-J4, and sponsored by Guaranteed Rate, Inc. (GRI). The securities are backed by a pool of prime jumbo (100% by balance) residential mortgages originated by GRI and serviced by ServiceMac, LLC. The complete rating actions are as follows: Issuer: RATE Mortgage Trust 2024-J4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans, and Class A-3L Loans, assigned on November 11, 2024, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.31%, in a baseline scenario-median is 0.13% and reaches 4.49% 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. REGATTA XXI: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Regatta XXI Funding Ltd.; reset transaction. Entity/Debt Rating ----------- ------ Regatta XXI Funding Ltd._Reset X LT NR(EXP)sf Expected Rating A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Regatta XXI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP that originally closed in October 2021. The CLO's secured notes will be refinanced on November 26, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $399.96 million of primarily first lien senior secured leveraged loans excluding defaulted obligations. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.94, versus a maximum covenant, in accordance with the initial expected matrix point of 26.4. 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 97.38% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.31% versus a minimum covenant, in accordance with the initial expected matrix point of 69.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1R, 'A-sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XXI Funding 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. REGATTA XXI: Fitch Assigns 'BB-sf' Final Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the Regatta XXI Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXI Funding Ltd._Reset X LT NRsf New Rating NR(EXP)sf A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Regatta XXI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP that originally closed in October 2021. The CLO's secured notes will be refinanced on Nov. 26, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $399.96 million of primarily first-lien senior secured leveraged loans excluding defaulted obligations. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.97 versus a maximum covenant, in accordance with the initial expected matrix point of 26.4. 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 97.38% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.19% versus a minimum covenant, in accordance with the initial expected matrix point of 69.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XXI Funding 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. RR 33 LTD: Fitch Assigns 'BB+(EXP)sf' Rating on Class D Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to RR 33 LTD. Entity/Debt Rating ----------- ------ RR 33 LTD A-1a LT NR(EXP)sf Expected Rating A-1b LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating B LT A+(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB+(EXP)sf Expected Rating E LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary RR 33 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.4% first-lien senior secured loans and has a weighted average recovery assumption of 74.72%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C, and between less than 'B-sf' and 'BB-sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AA+sf' for class B, 'A+sf' for class C, and 'BBB+sf' for class D. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 RR 33 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. RR 33 LTD: Fitch Assigns 'BB+sf' Rating on D Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 33 LTD. Entity/Debt Rating Prior ----------- ------ ----- RR 33 LTD A-1a LT NRsf New Rating NR(EXP)sf A-1b LT AAAsf New Rating AAA(EXP)sf A-2 LT AA+sf New Rating AA+(EXP)sf B LT A+sf New Rating A+(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BB+sf New Rating BB+(EXP)sf E LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary RR 33 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.4% first-lien senior secured loans and has a weighted average recovery assumption of 74.72%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C, and between less than 'B-sf' and 'BB-sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AA+sf' for class B, 'A+sf' for class C, and 'BBB+sf' for class D. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 21 November 2024 ESG Considerations Fitch does not provide ESG relevance scores for RR 33 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. RR LTD 33: Moody's Assigns B3 Rating to $500,000 Class E Notes -------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by RR 33 LTD (the Issuer or RR 33): US$315,000,000 Class A-1a Senior Secured Floating Rate Notes, Definitive Rating Assigned Aaa (sf) US$500,000 Class E Secured Deferrable Floating Rate Notes, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RR 33 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds, high yield bonds, and senior secured notes. The portfolio is approximately 94% ramped as of the closing date. Redding Ridge Asset Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 45 Weighted Average Rating Factor (WARF): 2892 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 4.00% 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 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. SELF COMMERCIAL 2024-STRG: Fitch Assigns 'B-sf' Rating on HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to SELF Commercial Mortgage Trust 2024-STRG, Commercial Mortgage Pass-Through Certificates, Series 2024-STRG: - $135,900,000 class A at 'AAAsf'; Outlook Stable; - $22,800,000 class B at 'AA-sf'; Outlook Stable; - $18,000,000 class C at 'A-sf'; Outlook Stable; - $25,200,000 class D at 'BBB-sf'; Outlook Stable; - $38,800,000 class E at 'BB-sf'; Outlook Stable; - $20,550,000 class F at 'Bsf'; Outlook Stable; - $13,750,000a class HRR at 'B-sf'; Outlook Stable. (a) HRR - Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. The ratings are based on information provided by the issuer as of Nov. 15, 2024. Transaction Summary The certificates represent the beneficial ownership interest in SELF Commercial Mortgage Trust 2024-STRG, a New York common law trust which holds two promissory notes comprising a $275.0 million, two-year, floating-rate, IO commercial mortgage loan with three one-year extension options. The mortgage loan was co-originated by Wells Fargo Bank, National Association and Goldman Sachs Bank USA. It has been secured by cross-collateralized and cross defaulted first priority lien mortgages on the borrowers' fee simple interests in a portfolio of 43 self-storage properties located across 11 states. Mortgage loan proceeds, together with $40.0 in mezzanine debt and approximately $10.5 million of sponsor equity, were used to refinance $313.2 million of existing debt and pay $12.3 million of closing costs. Wells Fargo Bank, National Association and Goldman Sachs Mortgage Company act as mortgage loan sellers. KeyBank National Association serves as the master servicer and 3650 REIT Loan Servicing LLC serves as the special servicer. Computershare Trust Company, National Association serves as trustee and certificate administrator. Park Bridge Lender Services LLC serves as operating advisor. The certificates follow a pro rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. KEY RATING DRIVERS Net Cash Flow: Fitch's net cash flow (NCF) for the portfolio is estimated at $19.6 million; this is 6.1% lower than the issuer's NCF. Fitch applied an 8.0% capitalization rate to derive a Fitch value of $244.8 million for the portfolio. High Fitch Leverage: The $275.0 million mortgage loan equates to debt of about $88 per square foot (psf), with a Fitch stressed loan-to-value ratio (LTV) of 112.3%, debt service coverage ratio (DSCR) of 0.79x and debt yield of 7.1%. Inclusive of the $40.0 million mezzanine loan, total debt would amount to $101.21 psf with a Fitch DSCR, LTV and DY of 0.69, 128.7% and 6.2%, respectively. Geographic Diversity: The portfolio exhibits geographic diversity, with 43 self-storage properties located across 11 states and 24 unique markets. The four states with the largest concentrations, by allocated loan amount (ALA), are Texas (15 properties; 26.5% of ALA), Florida (11; 25.1%), Arizona (5; 19.5%), and North Carolina (5, 10.6%). No other state accounts for more than 4.2% of ALA. The properties are generally located in densely populated infill areas. Experienced Sponsorship and Management: The sponsorship is a joint venture between affiliates of TPG Angelo Gordon and Andover LLC (Andover). TPG Angelo Gordon is a global investment firm with about $229 billion of AUM. Andover owns, manages, and operates its facilities under the brand Storage King USA, which it founded in 2003. The firm owns and manages about 162 self-storage facilities, totaling over 13.5 million square feet, in 18 states. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Decrease: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf'/'Bsf'/'CCCsf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf'/'BBsf'/'BB-sf'/'B+sf'. 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. SEQUOIA 2024-INV1: Fitch Assigns 'Bsf' Final Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-INV1 (SEMT 2024-INV1). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2024-INV1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-INV1 (SEMT 2024-INV1) as indicated. The certificates are supported by 643 loans with a total balance of approximately $308.6 million as of the cutoff date. SEMT 2024-INV1 is the first deal this year under the Redwood shelf that features collateral that is entirely comprised of investor and second-home occupancy. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated tape, which consisted of seven loan drops and updated cutoff balances. Fitch re-ran both its asset and cash flow analysis, and there were no changes to the loss feedback or the expected ratings. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 12.2% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 4.3% yoy nationally as of August 2024, despite modest regional declines, but are still being supported by limited inventory. Non-Owner-Occupied Loans (Negative): The pool consists of 76.6% investor properties and 23.4% of second homes. All investor property loans were underwritten to the borrower's credit risk, unlike investor cash flow loans, which are underwritten to the property's income. Fitch applies a 1.25x probability of default (PD) penalty for agency investor loans (67.7% of the total pool), which is less than the standard 1.60x PD penalty for non-agency investor loans. For the loss analysis of this pool, Fitch used a customized version of the U.S. RMBS loan loss model that has a 1.25x PD penalty for the agency investor cohort and a 1.60x PD penalty for non-agency investor loans. All of the loans are still underwritten to the borrower's credit risk. Post-crisis performance indicates that loans underwritten to DU/LPA guidelines have relatively lower default rates compared to normal investor loans used in regression data with all other attributes controlled. The implied penalty has been reduced to approximately 25% for investor agency loans in the customized model from approximately 60% for regular investor loans in the production model. High-Quality Mortgage Pool (Positive): The collateral consists of 643 loans totaling approximately $308.6 million and seasoned at about seven months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 774 and a 35.9% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with an 79.7% sustainable loan-to-value (sLTV) ratio and a 69.6% mark-to-market combined LTV (cLTV) ratio. Single-family homes make up approximately 74.3% of the pool; condos, 16.6%; and multifamily homes, 9.1%. Cash-out loans constitute only 8.5% of the pool, while purchases represent 89.6% and rate refinances account for 1.9%. Roughly 80.5% of the pool being originated by a retail channel. Of the loans, 60.2% are exempt from the qualified mortgage (QM) rule standards, as they are loans on investor occupied homes that are for business purposes, 38.3% are able to qualify as Average Prime Offer Rate [APOR] or QM safe-harbor loans and remaining 1.5% are either Non-QM or QM Rebuttable Presumption. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially to the senior classes, which is more beneficial for the super-senior classes (A-9, A-12 and A-18). SEMT 2024-INV1 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. CE Floor (Positive): A CE or senior subordination floor of 1.95% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the 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 42.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton and SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 37bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2024-INV1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-INV1 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SHELTER GROWTH 2021-FL3: DBRS Confirms B(low) Rating on H Notes --------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by Shelter Growth CRE 2021-FL3 Issuer Ltd (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C to at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BBB (low) (sf) -- Class G at BB (low) (sf) -- Class H at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the increased credit support available to the bonds as a result of successful loan repayments, with collateral reduction of 48.4% since issuance. While the paydown is a positive development, Morningstar DBRS also notes that the transaction is somewhat exposed to adverse selection as four of the remaining 10 loans, representing nearly half of the current trust balance, are in special servicing. The issues with those loans are primarily summarized as an inability to execute on the respective business plans, with varying levels of increased risk observed for those loans as a result. To account for those increased risks, Morningstar DBRS' analysis for this review considered stressed scenarios to increase the loan level expected losses (ELs), generally reflective of stressed values for the collateral properties or upward probability of default (POD) adjustments based on the level and source of the increased stress. For further information on the driver loans for the transaction, please see the loan writeups in the Surveillance Performance Update Report that accompanies this press release. While this approach increased the pool EL by nearly a full percentage point from the prior credit rating action's analysis, there was no downward pressure for the credit ratings as the transaction benefits from an unrated first-loss bond of $32.9 million, as well as two below investment-grade bonds, i.e., Class G and Class H, totaling $36.9 million, which combine for significant cushion against realized losses should the increased risks for those loans ultimately result in dispositions. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. The initial collateral consisted of 20 floating-rate mortgages secured by 26 transitional properties with a cut-off date balance totaling approximately $453.9 million. As of the October 2024 remittance, the pool comprised 10 loans secured by 15 properties with a cumulative trust balance of $234.3 million. Most of the loans are backed by collateral in a period of transition with plans to stabilize performance and improve the asset value. The collateral pool for the transaction is static with no reinvestment period; however, the Issuer did have the right to use principal proceeds to acquire fully funded future funding participations during the Permitted Funded Companion Participation Acquisition period, which expired in September 2023. Since issuance, 10 loans have been repaid from the pool, including three loans with a former cumulative trust balance of $36.8 million that repaid since the previous Morningstar DBRS credit rating action in November 2023. The transaction is concentrated by loans secured by multifamily properties with seven loans, representing 78.8% of the current pool balance, secured by apartment property types, while the remaining three loans are secured by three different property types in senior-housing, student-housing, and office. Leverage across the pool has remained generally consistent with the issuance metrics as of the October 2024 reporting, as the current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 71.7%, with a current WA stabilized LTV of 61.9%. In comparison, these figures were 71.5% and 65.6%, respectively, at issuance. Most of the individual property appraisals for the remaining collateral were completed in 2021 and as such, may not fully reflect the effects of increased interest rates and/or widening capitalization rates since that time. To account for this factor, Morningstar DBRS applied upward LTV adjustments to increase the loan level ELs where applicable. Notes: All figures are in US dollars unless otherwise noted. SILVER POINT 6: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 6, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 6, Ltd. A-1 Loans LT NRsf New Rating A-1 Notes LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Silver Point CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point CLO 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', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.19% first-lien senior secured loans and has a weighted average recovery assumption of 74.13%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 20 November 2024 ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SLM STUDENT 2003-11: Fitch Lowers Rating on Cl. A-7 Notes to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has affirmed 46 FFELP SLABS ratings from 20 transactions at their current levels. Fitch has revised the Rating Outlook on the class B notes of SLM Student Loan Trust (SLM) 2003-11 to Stable from Negative and revised the Outlooks on the class A-4 notes of SLM 2005-4 and the class A-5 notes of SLM 2005-5 to Negative from Stable. Fitch has also downgraded three FFELP SLABS ratings from three transactions. The class A-7 notes of SLM 2003-11 were downgraded to 'Bsf' from 'BBsf' and assigned a Stable Outlook. The class A-8 notes of SLM 2004-10 were downgraded to 'BBBsf' from 'Asf' and assigned a Negative Outlook. The class B notes of SLM 2004-3 were downgraded to 'BBBsf' from 'Asf' and assigned a Stable Outlook. Fitch has upgraded the class B notes of SLM 2005-6 to 'AAsf' from 'Asf' and assigned a Stable Outlook. The affirmations of ratings in the 'Bsf' category are supported by qualitative factors such as the ability of the sponsor to call the notes upon reaching 10% pool factor or evidence of sponsor support such as a revolving credit agreement, which allows the servicer to purchase loans from the trusts. Although the sponsor has the option but not the obligation to lend to the trust, Fitch does not give quantitative credit to these agreements. However, these agreements provide qualitative comfort that the sponsor is committed to limiting investors' exposure to maturity risk. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2003-11 A-7 78442GJT4 LT Bsf Downgrade BBsf B 78442GJY3 LT Bsf Affirmed Bsf SLM Student Loan Trust 2004-1 A-5 78442GKU9 LT BBBsf Affirmed BBBsf A-6 78442GKW5 LT BBBsf Affirmed BBBsf B 78442GKV7 LT BBsf Affirmed BBsf SLM Student Loan Trust 2003-4 A-5A 78442GGD2 LT Bsf Affirmed Bsf A-5B 78442GGE0 LT Bsf Affirmed Bsf A-5C 78442GGF7 LT Bsf Affirmed Bsf A-5D 78442GGG5 LT Bsf Affirmed Bsf A-5E 78442GGN0 LT Bsf Affirmed Bsf B 78442GGM2 LT Bsf Affirmed Bsf SLM Student Loan Trust 2004-2 A-6 78442GLC8 LT BBsf Affirmed BBsf B 78442GLB0 LT Bsf Affirmed Bsf SLM Student Loan Trust 2004-8 A-6 78442GMT0 LT AA+sf Affirmed AA+sf B 78442GMR4 LT Asf Affirmed Asf SLM Student Loan Trust 2005-4 A-4 78442GPH3 LT AA+sf Affirmed AA+sf B 78442GPL4 LT Asf Affirmed Asf SLM Student Loan Trust 2003-12 A-6 78442GKF2 LT AA+sf Affirmed AA+sf B 78442GKD7 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2003-14 A-7 78442GKG0 LT AA+sf Affirmed AA+sf B 78442GKP0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2005-3 A-6 78442GPC4 LT AA+sf Affirmed AA+sf B-1 78442GPD2 LT Asf Affirmed Asf SLM Student Loan Trust 2005-8 A-5 78442GQS8 LT AA+sf Affirmed AA+sf B 78442GQT6 LT Asf Affirmed Asf SLM Student Loan Trust 2004-3 A-6A 78442GLK0 LT AA+sf Affirmed AA+sf A-6B 78442GLL8 LT AA+sf Affirmed AA+sf B 78442GLJ3 LT BBBsf Downgrade Asf SLM Student Loan Trust 2005-7 A-5 78442GQK5 LT AA+sf Affirmed AA+sf B 78442GQL3 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2004-10 A-8 78442GNL6 LT BBBsf Downgrade Asf B 78442GND4 LT BBsf Affirmed BBsf SLM Student Loan Trust 2003-1 A-5A 78442GFK7 LT Bsf Affirmed Bsf A-5B 78442GFL5 LT Bsf Affirmed Bsf A-5C 78442GFM3 LT Bsf Affirmed Bsf B 78442GFJ0 LT Bsf Affirmed Bsf SLM Student Loan Trust 2004-5 A-6 78442GLY0 LT BBsf Affirmed BBsf B 78442GLW4 LT BBsf Affirmed BBsf SLM Student Loan Trust 2003-10 A-4 78442GJH0 LT AA+sf Affirmed AA+sf B 78442GJF4 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2003-7 A-5A 78442GHH2 LT Bsf Affirmed Bsf A-5B 78442GHJ8 LT Bsf Affirmed Bsf B 78442GHK5 LT Bsf Affirmed Bsf SLM Student Loan Trust 2005-5 A-5 78442GPR1 LT AA+sf Affirmed AA+sf B 78442GPS9 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2005-6 A-7 78442GQE9 LT AA+sf Affirmed AA+sf B 78442GQA7 LT AAsf Upgrade Asf SLM Student Loan Trust 2005-9 A-7A 78442GRA6 LT AA+sf Affirmed AA+sf A-7B 78442GRB4 LT AA+sf Affirmed AA+sf B 78442GRC2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS U.S. Sovereign: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. All notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and special allowance payments (SAP) provided by the ED. Fitch currently rates the U.S. sovereign 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, the claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cash flow modeling. Fitch is revising the sustainable constant default rates (sCDR) upward for the following transactions: - SLM 2003-1 to 3.00% from 2.00%; - SLM 2003-4 to 3.00% from 2.50%; - SLM 2003-7 to 3.00% from 2.70%; - SLM 2003-11 to 2.50% from 2.30%; - SLM 2003-12 to 3.00% from 2.75%; - SLM 2003-14 to 2.50% from 2.40%; - SLM 2004-2 to 2.50% from 2.10%; - SLM 2004-3 to 3.00% from 2.75%; - SLM 2004-5 to 3.00% from 2.40%; - SLM 2004-8 to 3.00% from 2.50%; - SLM 2005-3 to 2.50% from 1.50%; - SLM 2005-4 to 2.50% from 2.00%; - SLM 2005-5 to 3.00% from 2.70%; - SLM 2005-6 to 3.00% from 2.50%; - SLM 2005-8 to 3.00% from 2.70%; - SLM 2005-9 to 3.00% from 2.70%. For the remaining transactions, Fitch is maintaining the sCDR assumptions ranging from 2.50% to 3.00%. For all transactions, Fitch is assuming sustainable constant prepayment rates (sCPR; voluntary and involuntary prepayments) of 9.00%. The 'AA+sf' default rates range from approximately 40.37% to 76.50%, and the 'Bsf' default rates range from 13.50% to 25.50%. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) range from 1.62% to 3.04%, 7.71% to 18.01%, and 14.46% to 39.31%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefits range from 0.01% to 0.31%, based on information provided by the sponsor. Basis and Interest Rate Risks: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. Fitch applies its standard basis and interest rate stresses to these transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread where available and for the class A notes, subordination provided by the class B notes where available. As of the most recent distribution, reported total parity ratios range from 100.00% to 102.27%. Liquidity support is provided by reserve accounts that are at their floors for all transactions. All transactions are releasing cash as of the latest distribution except for SLM 2003-1, 2003-4, 2003-7, and 2003-12 which have fallen below 10% of their initial pool balances. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 50% over the base case. The credit stress sensitivity is viewed by increasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by increasing remaining term and IBR usage and decreasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible current and model-implied ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the notes affirmed at 'Bsf' and below, the current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead to positive rating action. CRITERIA VARIATION The rating of the class A-5 notes of SLM 2004-1 is more than one category lower than their lowest model-implied rating of 'AA+sf'. Per Fitch's "U.S. Federal Family Education Loan Program Student Loan ABS Rating Criteria," if the final ratings are different from the model results by more than one category, it would constitute a criteria variation. An upgrade is not warranted at this time due to the temporary support provided to the notes as a result of principal paydown due to loan consolidation. The notes continue to face increased maturity risk despite this benefit. Had Fitch not applied this variation, according to Fitch's FFELP criteria, the class A-5 notes of SLM 2004-1 could not have been rated 'BBBsf'. 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. SOUND POINT VIII-R: Moody's Cuts Rating on Class E Notes to B3 -------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO VIII-R, Ltd.: US$25M Class C-1-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Mar 1, 2024 Upgraded to Aa1 (sf) US$6M Class C-2-R Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aaa (sf); previously on Mar 1, 2024 Upgraded to Aa1 (sf) US$29M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B3 (sf); previously on Jul 10, 2020 Downgraded to B1 (sf) US$13M (Current outstanding balance US$16,725,595) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Ca (sf); previously on Sep 20, 2023 Downgraded to Caa3 (sf) Moody's have also affirmed the ratings on the following notes: US$396M (Current outstanding amount US$51,330,641) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 23, 2021 Assigned Aaa (sf) US$63M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 20, 2023 Upgraded to Aaa (sf) US$20M Class D-1 Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa2 (sf); previously on Mar 1, 2024 Upgraded to Baa2 (sf) US$14M Class R2-D2 Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa2 (sf); previously on Mar 1, 2024 Upgraded to Baa2 (sf) Sound Point CLO VIII-R, Ltd., issued April 2019 and partially refinanced in February 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class C-1-R and C-2-R notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in March 2024. The rating downgrades on the Class E and Class F notes reflect the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio since the last rating action in March 2024. The Class A-R notes have been paid down by approximately 24.6% or $ 97.3 million since the last rating action in March 2024. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated November 2024 [1] the Class A/B, Class C and Class D OC ratio is reported at 185.15%, 145.66% and 118.04%, compared to February 2024 [2] levels of 148.15%, 129.22% and 113.34%, respectively. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF). According to the trustee report dated February 2024 [2], the WARF was 3052, compared with 3299 in November 2024 [1]. Additionally, the Class E OC ratio decreased from 102.59% in February 2024 [2] to 101.61% in November 2024 [1], and is currently failing. While the transaction doesn't have an explicit Class F OC ratio, its implicit level has decreased following the loss of par to 96.21% from 99.76% in February 2024 [2]. Moody's also note that the Class F deferred interest has increased to $3,725,595 from $1,997,445 reported in February 2024 [2]. The affirmations on the ratings on the Class A-R, B-R, D-1 and R2-D2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Key model inputs: The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: $ 216.0m Defaulted Securities: $ 3.4m Diversity Score: 50 Weighted Average Rating Factor (WARF): 3247 Weighted Average Life (WAL): 3.01 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.64% Weighted Average Recovery Rate (WARR): 46.01% Par haircut in OC tests and interest diversion test: 2.30% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SYCAMORE TREE 2021-1: S&P Assigns 'BB-' Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt and the new class X-R debt from Sycamore Tree CLO 2021-1 Ltd./Sycamore Tree CLO 2021-1 LLC, a CLO originally issued in November 2021 that is managed by Sycamore Tree CLO Advisors L.P. At the same time, S&P withdrew its ratings on the original class AL, AN, B-1, B-2, C-1, C-2, D, and E debt following payment in full on the Dec. 3, 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 stated maturity and reinvestment period were each extended by 3.25 years. -- The non-call period was extended to December 2026. -- The proposed new class X-R debt issued in connection with this refinancing will be paid down using interest proceeds during the first 12 payment dates beginning with the payment date in July 2025. -- Additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sycamore Tree CLO 2021-1 Ltd./Sycamore Tree CLO 2021-1 LLC Class X-R, $5.00 million: AAA (sf) Class A-R, $300.00 million: AAA (sf) Class B-R, $80.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $25.00 million: BBB (sf) Class D-2R (deferrable), $10.00 million: BBB- (sf) Class E-R (deferrable), $14.75 million: BB- (sf) Ratings Withdrawn Sycamore Tree CLO 2021-1 Ltd./Sycamore Tree CLO 2021-1 LLC Class AL to NR from 'AAA (sf) ' Class AN to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Sycamore Tree CLO 2021-1 Ltd./Sycamore Tree CLO 2021-1 LLC Subordinated notes, $45.74 million: NR NR--Not rated. TEXAS DEBT 2024-II: Fitch Assigns BB-sf Final Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Texas Debt Capital CLO 2024-II, Ltd. Entity/Debt Rating Prior ----------- ------ ----- TEXAS DEBT CAPITAL CLO 2024-II, LTD. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Texas Debt Capital CLO 2024-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 24.23 versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.23% versus a minimum covenant, in accordance with the initial expected matrix point of 72.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 Texas Debt Capital CLO 2024-II, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TOWD POINT 2024-5: DBRS Finalizes B(low) Rating on Class B3 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Securities, Series 2024-5 (the Notes) issued by Towd Point Mortgage Trust 2024-5 (the Trust) as follows: -- $874.0 million Class A1A at AAA (sf) -- $162.8 million Class A1B at AAA (sf) -- $1.0 billion Class A1 at AAA (sf) -- $21.9 million Class A2 at AA (low) (sf) -- $12.6 million Class M1 at A (low) (sf) -- $7.6 million Class M2 at BBB (low) (sf) -- $4.4 million Class B1 at BB (sf) -- $2.7 million Class B2 at B (high) (sf) -- $2.2 million Class B3 at B (low) (sf) Classes A1A and A1B are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit ratings reflect 5.10% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and B (low) (sf) credit ratings reflect 3.10%, 1.95%, 1.25%, 0.85%, 0.60%, and 0.40% of credit enhancement, respectively. The Trust is a securitization of a portfolio of predominantly seasoned performing and reperforming first-lien mortgages funded by the issuance of asset-backed notes (the Notes). The Notes are backed by 2,147 loans with a total scheduled principal balance of $1,092,554,873 as of the Cut-Off Date (October 1, 2024). The portfolio is approximately 81 months seasoned with 98.3% of the pool seasoned for more than 24 months. The portfolio contains 0.9% modified loans, and modifications happened more than two years ago for 94.7% of the modified loans in the pool. Within the pool, 59 of the mortgages have non-interest-bearing deferred amounts. As of the Cut-Off Date, 99.7% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method. Approximately 92.2% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. Morningstar DBRS assumed approximately 14.4% of the pool is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. Additionally, Morningstar DBRS assumed 9.7% of the loans are designated as Temporary QM Safe Harbor or QM Safe Harbor, less than 0.1% to be QM Rebuttable Presumption, and 75.8% to be Non-QM based on the results of the third-party due diligence. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. (Cerberus). Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, FirstKey, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. All of the loans will be serviced by Select Portfolio Servicing, Inc. (SPS). The SPS aggregate servicing fee rate for each payment date is 0.1100% per annum. In its analysis, Morningstar DBRS applied a higher servicing fee rate. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until the loans become 180 days delinquent under the MBA delinquency method or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make certain advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain nonperforming loans or real estate-owned (REO) properties to unaffiliated third parties individually or in bulk sales. Such sales require an asset sale price to at least equal a minimum reserve amount of the product of (1) 91.27% and (2) the current principal amount of the mortgage loans or REO properties as of the sale date. When the aggregate pool balance of the mortgage loans is reduced to less than 20% of the Cut-Off Date balance, the Call Option Holder (an affiliate of the Sponsor, the Seller, the Asset Manager, the Depositor, and the Risk Retention Holder) will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the Call Option Holder may purchase all of the mortgage loans, REO properties, and other properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction allows for the issuance of Class A1 Loans in which the Issuer may enter into a Credit Agreement to borrow up to the balance of the Class A1 Loans from Class A1 Lenders on the Closing Date. For the TPMT 2024-5 transaction, the Class A1 Loans will not be issued at closing. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and more subordinate bonds will not be paid from principal proceeds until the Class A1A and A1B Notes are retired. Notes: All figures are in US dollars unless otherwise noted. TOWD POINT 2024-CES6: DBRS Gives Prov. B(high) Rating on B2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2024-CES6 (the Notes) to be issued by Towd Point Mortgage Trust 2024-CES6 (TPMT 2024-CES6 or the Trust): -- $303.1 million Class A1 at (P) AAA (sf) -- $27.6 million Class A2 at (P) AA (high) (sf) -- $20.1 million Class M1 at (P) A (high) (sf) -- $17.9 million Class M2 at (P) BBB (high) (sf) -- $12.7 million Class B1 at (P) BB (high) (sf) -- $7.5 million Class B2 at (P) B (high) (sf) -- $27.6 million Class A2A at (P) AA (high) (sf) -- $27.6 million Class A2AX at (P) AA (high) (sf) -- $27.6 million Class A2B at (P) AA (high) (sf) -- $27.6 million Class A2BX at (P) AA (high) (sf) -- $27.6 million Class A2C at (P) AA (high) (sf) -- $27.6 million Class A2CX at (P) AA (high) (sf) -- $27.6 million Class A2D at (P) AA (high) (sf) -- $27.6 million Class A2DX at (P) AA (high) (sf) -- $20.1 million Class M1A at (P) A (high) (sf) -- $20.1 million Class M1AX at (P) A (high) (sf) -- $20.1 million Class M1B at (P) A (high) (sf) -- $20.1 million Class M1BX at (P) A (high) (sf) -- $20.1 million Class M1C at (P) A (high) (sf) -- $20.1 million Class M1CX at (P) A (high) (sf) -- $20.1 million Class M1D at (P) A (high) (sf) -- $20.1 million Class M1DX at (P) A (high) (sf) -- $17.9 million Class M2A at (P) BBB (high) (sf) -- $17.9 million Class M2AX at (P) BBB (high) (sf) -- $17.9 million Class M2B at (P) BBB (high) (sf) -- $17.9 million Class M2BX at (P) BBB (high) (sf) -- $17.9 million Class M2C at (P) BBB (high) (sf) -- $17.9 million Class M2CX at (P) BBB (high) (sf) -- $17.9 million Class M2D at (P) BBB (high) (sf) -- $17.9 million Class M2DX at (P) BBB (high) (sf) -- $12.7 million Class B1A at (P) BB (high) (sf) -- $12.7 million Class B1AX at (P) BB (high) (sf) -- $12.7 million Class B1B at (P) BB (high) (sf) -- $12.7 million Class B1BX at (P) BB (high) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 24.75% of credit enhancement provided by subordinate Notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 17.90%, 12.90%, 8.45%, 5.30%, and 3.45% of credit enhancement, respectively. TPMT 2024-CES6 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 5,537 mortgage loans with a total principal balance of $402,803,290 as of the Cut-Off Date (November 1, 2024). The portfolio, on average, is four months seasoned, though seasoning ranges from one to eleven months. Borrowers in the pool represent prime and near-prime credit quality weighted-average Morningstar DBRS-calculated FICO score of 729, Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 72.9%, and 100.0% originated with Issuer-defined full documentation. All the loans are current and none has been delinquent since origination. TPMT 2024-CES6 represents the eighth CES securitization by FirstKey Mortgage, LLC and fifth by CRM 1 Sponsor, LLC. Spring EQ, LLC (52.1%) and Nationstar Mortgage LLC doing business as (dba) Mr. Cooper (Nationstar; 47.9%) are the originators for the mortgage pool. Newrez, LLC dba Shellpoint Mortgage Servicing (52.1%) and Nationstar (47.9%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Administrative Trustee, Note Registrar, and Administrator. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as the Custodian. CRM 1 Sponsor, LLC (CRM) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 1 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to Towd Point Mortgage Grantor Trust 2024-CES6 (the Grantor Trust). The Grantor Trust will issue two classes of certificates: P&I Grantor Trust Certificate and IO Grantor Trust Certificate. The Grantor Trust certificates will be issued in the name of the Issuer. The Issuer will pledge P&I Grantor Trust Certificate with the Indenture Trustee and will be the primary asset of the Trust. As a Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 26.3% of the loans are designated as non-QM, 45.0% are designated as QM Rebuttable Presumption, and 27.3% are designated as QM Safe Harbor. Approximately 1.4% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The Servicers will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 95.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the related servicer is obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. On or after (1) the payment date in November 2027 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the real estate owned (REO) properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder will have the option to purchase P&I Grantor Trust Certificate so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (1) class balances of the Notes plus the accrued interest and unpaid interest, (2) any fees, expenses and indemnification amounts, and (3) accrued and unpaid amounts owed to the Class X Certificates minus the Class AX distributable amount. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase P&I Grantor Trust Certificate at the minimum price (Cleanup Call). The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2024-CES6: Fitch Assigns 'B-sf' Rating on Cl. B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2024-CES6 (TPMT 2024-CES6). Entity/Debt Rating Prior ----------- ------ ----- TPMT 2024-CES6 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf A2C LT AA-sf New Rating AA-(EXP)sf A2CX LT AA-sf New Rating AA-(EXP)sf A2D LT AA-sf New Rating AA-(EXP)sf A2DX LT AA-sf New Rating AA-(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M1C LT A-sf New Rating A-(EXP)sf M1CX LT A-sf New Rating A-(EXP)sf M1D LT A-sf New Rating A-(EXP)sf M1DX LT A-sf New Rating A-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf M2D LT BBB-sf New Rating BBB-(EXP)sf M2DX LT BBB-sf New Rating BBB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf AX LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 5,537 newly originated, closed-end second lien (CES) loans with a total balance of $403 million as of the cutoff date. Spring EQ, LLC (Spring EQ) and Nationstar Mortgage LLC dba Mr. Cooper (Nationstar) originated approximately 52% and 48% of the loans, respectively. Shellpoint Mortgage Servicing (SMS) and Nationstar will service the loans. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 60 days (under the Office of Thrift Supervision [OTS] methodology) or until deemed nonrecoverable. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. Excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. In addition, the structure includes a senior IO class, which represents a senior interest strip of 1.50%, with such interest strip entitlement being senior to the net interest amounts paid to the P&I certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to an updated view on sustainable home prices, Fitch views the home price values of this pool as 11.6% above a long-term sustainable level, compared with 11.6% on a national level as of 2Q24, up 0.1% qoq. Housing affordability is at its worst levels in decades, driven by high interest rates and elevated home prices. Home prices increased 5.9% yoy nationally as of May 2024, despite modest regional declines, but are still being supported by limited inventory. Closed-End Second Liens (Negative): The entirety of the collateral pool comprises newly originated CES mortgages. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied. Strong Credit Quality (Positive): The pool consists of new-origination CES loans, seasoned at approximately six months (as calculated by Fitch), with a relatively strong credit profile — a weighted average (WA) model credit score of 729, a 38% debt-to-income ratio (DTI) and a moderate sustainable loan-to-value ratio (sLTV) of 78%. Roughly 99% of the loans were treated as full documentation in Fitch's analysis. Approximately 69% of the loans were originated through a retail channel. Sequential-Pay Structure with Realized Loss and Writedown Feature (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. With respect to any loan that becomes DQ for 150 days or more under the OTS methodology, the related servicer will review, and may charge off, such loan with the approval of the asset manager, based on an equity analysis review performed by the servicer, causing the most subordinated class to be written down. Fitch views the writedown feature positively, despite the 100% LS assumed for each defaulted second lien loan, as cash flows will not be needed to pay timely interest to the 'AAAsf' rated notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the writedown at 150 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. The structure does not allocate excess cashflow to turbo down the bonds but includes a step-up coupon feature whereby the fixed interest rate for classes A1, A2 and M1 will increase by 100 bps, subject to the net WAC, after four years. In addition, the structure includes a senior IO class certificate (class AX), which represents a senior interest strip of 1.50% per annum based off the related mortgage rate of each mortgage loan, with such interest strip entitlement being senior to the net interest amounts paid to the notes and paid at the top of the waterfall. Notably, the inclusion of this senior IO class reduces the collateral WAC and effectively diminishes the excess spread. Given that it is a strip-off of the entire collateral balance and accrual amounts will be reduced by any losses on the collateral pool, class AX cannot be rated by Fitch. Overall, in contrast to earlier TPMT CES transactions, this transaction has less excess spread available and its application offers diminished support to the rated classes, requiring a higher level of credit enhancement (CE). Separately, while Fitch has previously analyzed CES transactions using an interest rate cut, this stress is not being applied for this transaction. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this re-emerges as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. Limited Servicer P&I Advances (Neutral): The transaction is structured with three months of servicer advances for DQ P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Fitch is indifferent to the advancing framework since, given its projected 100% LS, no credit would be given to advances on the structure side and no additional adjustment would be made in relation to LS. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis shows how ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 42.6%, at 'AAAsf'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with model projections. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. CRITERIA VARIATION Per Fitch's "U.S. RMBS Rating Criteria," originators or aggregators representing more than 15% of a portfolio are expected to be deemed 'Acceptable' by Fitch. However, Nationstar, which originated 48% of the pool, has not been assessed as an originator by Fitch. Mortgage originators and aggregators, as transaction participants, can influence the performance of the assets backing an RMBS transaction. This variation is addressed through Fitch's Loan Loss Model, which, in the absence of an originator assessment, takes into account the aggregator's quality and adjusts the default expectation for newly originated loans accordingly, applying either a credit or a penalty. Additionally, the 100% due diligence review, which includes a review of regulatory compliance with a focus on predatory lending practices and reported no material exceptions, helps to mitigate this variation by serving as an additional check for originator quality. This variation had no rating impact. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC (AMC), Clayton, LLC (Clayton) and Consolidated Analytics. A third-party due diligence review was completed on 100% of the loans. The scope, as described in Form 15E, focused on credit, regulatory compliance and property valuation reviews, consistent with Fitch criteria for new originations. The results of the reviews indicated low operational risk with no loans receiving a final grade of C/D. Fitch applied a credit for the high percentage of loan-level due diligence, which reduced the 'AAAsf' loss expectation by 86bps. 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. TRINITAS CLO VIII: Moody's Affirms B1 Rating on $26MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Trinitas CLO VIII, Ltd.: US$55,000,000 Class B Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 15, 2023 Upgraded to Aa1 (sf) US$26.500,000 Class C Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Dec 15, 2023 Upgraded to A1 (sf) US$32.500,000 Class D Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Jul 13, 2018 Assigned Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$320,000,000 (current outstanding amount US$121,817,123.38) Class A Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 13, 2018 Assigned Aaa (sf) US$26,000,000 Class E Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Dec 15, 2023 Downgraded to B1 (sf) Trinitas CLO VIII, Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Trinitas Capital Management, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrades on the Class B, C and D notes are primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in December 2023. The affirmations on the ratings on the Class A and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD 167.1 million (52.2%) since the last rating action in December 2023 and USD 198.2 million (61.9%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior and mezzanine rated notes. According to the trustee report dated October 2024 [1], the Class A/B, Class C and Class D OC ratios are reported at 153.19%, 133.22% and 114.86% compared to October 2023 [2] levels of 129.63%, 120.36% and 110.65%, respectively. Moody's note that the Class E OC test is currently failing. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD271.84m Defaulted Securities: USD 11.28m Diversity Score: 51 Weighted Average Rating Factor (WARF): 3371 Weighted Average Life (WAL): 3.64 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 46.71% Par haircut in OC tests and interest diversion test: 2.40% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. TRINITAS CLO XI: Moody's Lowers Rating on $31.8MM E-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has assigned rating to one class of refinancing notes (the "Refinancing Notes") issued by Trinitas CLO XI, Ltd. (the "Issuer"). Moody's rating action is as follows: US$378,000,000 Class A-1-RR Floating Rate Notes due 2034 (the "Class A-1-RR Notes"), Assigned Aaa (sf) Additionally, Moody's have taken rating action on the following outstanding notes: US$31,800,000 Class E-R Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on September 15, 2021 Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. 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. Trinitas Capital 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 remaining reinvestment period. The Issuer previously issued seven other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, other changes include extension of the non-call period. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the total collateral par balance, including recoveries from defaulted securities, is $581.5 million, or $18.5 million less than the $600 million initial par amount targeted during the deal's ramp-up. Furthermore, based on the trustee's October 2024 report[1], the weighted average rating factor (WARF) is reported at 2791 failing the reported trigger level of 2420. Additionally, trustee's reported exposure to issuers with credit quality of Caa1 or below has increased to 7.76%[2], versus 4.56% in October 2023[3]. No actions were taken on the Class X Notes, Class A-2-R Notes, Class B-R Notes, Class C-R Notes, Class D-1-R Notes and Class D-2-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: $575,911,018 Defaulted par: $11,283,849 Diversity Score: 82 Weighted Average Rating Factor (WARF): 2726 Weighted Average Spread (WAS): 2.83% Weighted Average Recovery Rate (WARR): 45.98% Weighted Average Life (WAL): 5.64 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 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 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. US CAPITAL II: Fitch Affirms 'B-sf' Rating on Two Tranches ---------------------------------------------------------- Fitch Ratings has affirmed the ratings of 12 classes from four U.S. trust preferred collateralized debt obligations (CDOs). The Rating Outlooks for seven of the classes remain Stable. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. Entity/Debt Rating Prior ----------- ------ ----- Preferred Term Securities VIII, Ltd./Inc. A-2 74041PAB6 LT AAsf Affirmed AAsf B-1 74041PAC4 LT Csf Affirmed Csf B-2 74041PAD2 LT Csf Affirmed Csf B-3 74041PAE0 LT Csf Affirmed Csf U.S. Capital Funding I, Ltd./Corp. B-1 903329AE0 LT B+sf Affirmed B+sf B-2 903329AG5 LT B+sf Affirmed B+sf U.S. Capital Funding II, Ltd./Corp. A-2 90390KAB0 LT AAsf Affirmed AAsf B-1 90390KAC8 LT B-sf Affirmed B-sf B-2 90390KAD6 LT B-sf Affirmed B-sf ALESCO Preferred Funding III, Ltd./Inc. A-2 01448MAB5 LT AAsf Affirmed AAsf B-1 01448MAC3 LT Csf Affirmed Csf B-2 01448MAD1 LT Csf Affirmed Csf Transaction Summary The CDOs are collateralized primarily by trust preferred securities (TruPS) issued by banks. KEY RATING DRIVERS Two of the transactions deleveraged from collateral redemptions and excess spread, which led to the senior classes of notes receiving paydowns. In U.S. Capital Funding I, Ltd./Corp. (US Cap I), the class A-2 notes were paid in full and the next senior-most classes, the pro-rata classes B-1 and B-2, were paid down 19% of their last review note balances. In U.S. Capital Funding II, Ltd./Corp. (US Cap II), the senior class of notes received a paydown of 96% of its last review balance. The remaining two deals did not have any paydowns. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For two transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, deteriorated, with the other two exhibiting stable or positive credit migration. One bank issuer in Preferred Term Securities VIII, Ltd./Inc. (PreTSL VIII), representing 5% of the pool, deferred for the second time. The issuer had previously deferred in 2009 and cured in 2014. No new cures or defaults have been reported since last review. The ratings for the class B-1 and B-2 (together, the class B) notes in US Cap II are one notch higher than their model-implied rating (MIR), which was driven by the outcome of the sensitivity analysis. The Stable Outlooks on seven tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with the classes' ratings. Fitch considered the rating of the issuer account bank in the ratings for the class A-2 notes in Alesco Preferred Funding III, Ltd./Inc., PreTSL VIII and US Cap II due to the transaction documents not conforming to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria". These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of its TAB. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. VERUS SECURITIZATION 2024-9: S&P Assigns Prelim B-(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2024-9's mortgage-backed notes. The note issuance is an RMBS securitization backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Dec. 2, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, prior credit events, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- S&P said, "One key change in our baseline forecast since September, where-in we expect the Federal Reserve to reduce the federal funds rate more gradually and reach an assumed neutral rate of 3.1% by fourth-quarter 2026 (it was previously fourth-quarter 2025). We now expect the federal funds rate to reach 3.50%-3.75% by the end of next year (versus 3.00%-3.25% in our September outlook) as inflation is likely to be above the 2.00% target for longer than we previously thought. Heading into 2025, the U.S. economy is expanding at a solid pace and while President-elect Donald Trump outlined numerous policy proposals during his campaign, S&P Global Ratings' economic outlook for 2025 hasn't changed appreciably, partly because we have taken a probabilistic approach and are assuming partial implementation of campaign promises. It will take time for changes in fiscal, trade, and immigration policy to be implemented and affect the economy. Therefore, we maintain our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency of 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned(i) Verus Securitization Trust 2024-9 Class A-1, $399,827,000: AAA (sf) Class A-2, $50,514,000: AA (sf) Class A-3, $73,781,000: A (sf) Class M-1, $37,350,000: BBB- (sf) Class B-1, $20,512,000: BB- (sf) Class B-2, $18,062,000: B- (sf) Class B-3, $12,246,806: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated Nov. 29, 2024; the preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. VIBRANT CLO XIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Vibrant CLO XIII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Vibrant CLO XIII, Ltd. A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-2-R LT WDsf Withdrawn AA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBBsf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Vibrant CLO XIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Vibrant Capital Partners, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. The final rating of 'BBBsf' on the class D-1-R notes is higher than the expected rating of 'BBB-(EXP)sf' assigned on Oct. 22, 2024. The rating change is due to updated final deal covenants compared to assumptions used in the assignment of the expected ratings. When assigning the expected ratings, Fitch anticipated one class of floating-rate B-1-R notes and one class of fixed B-2-R notes, both pari passu. Instead, the classes were combined into one class of floating-rate B-R notes. Fitch has withdrawn the expected rating for class B-2-R. 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 23.71, versus a maximum covenant, in accordance with the initial expected matrix point of 25.7. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.11% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.6% versus a minimum covenant, in accordance with the initial expected matrix point of 76.6%. 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 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-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 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Vibrant CLO XIII, 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. WARWICK CAPITAL 5: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Warwick Capital CLO 5 Ltd./Warwick Capital CLO 5 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 Warwick Capital CLO Management LLC--Management Series, a subsidiary of Warwick Capital Partners LLP. The preliminary ratings are based on information as of Dec. 4, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the 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 Warwick Capital CLO 5 Ltd./Warwick Capital CLO 5 LLC Class A-1, $256 million: AAA (sf) Class A-2, $6 million: AAA (sf) Class B, $42 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D-1 (deferrable), $24 million: BBB- (sf) Class D-2 (deferrable), $4 million: BBB- (sf) Class E (deferrable), $12 million: BB- (sf) Subordinated notes, $35 million: Not rated WELLFLEET CLO 2016-2: Moody's Cuts $19.2MM D-R Notes Rating to B3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by Wellfleet CLO 2016-2, Ltd.: US$26,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on February 1, 2022 Upgraded to Baa1 (sf) Moody's have also downgraded the rating on the following notes: US$19,200,000 Class D-R Junior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Downgraded to B3 (sf); previously on May 30, 2024 Downgraded to B1 (sf) Wellfleet CLO 2016-2, Ltd., originally issued in November 2016 and refinanced in November 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 2020. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2024. The Class A-2-R notes have been paid down in full by $26.2 million, and the Class B-R notes have been paid down by $8.2 million or approximately 45%, since that time. Based on Moody's calculation, the OC ratio for the Class C-R notes is currently 164.19% (before applying any haircuts), versus a May 2024 level of 125.24%. The downgrade rating action on the Class D-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's October 2024 report[1], the OC ratio for the Class D-R notes is reported at 90.51% versus a May 2024 level[2] of 96.96%. No action was taken on the Class B-R notes because its expected loss remains commensurate with its current rating, 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: $57,294,779 Defaulted par: $6,322,998 Diversity Score: 21 Weighted Average Rating Factor (WARF): 3886 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.16% Weighted Average Recovery Rate (WARR): 46.93% Weighted Average Life (WAL): 2.47 years Par haircut in OC tests and interest diversion test: 17.15% 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 Actions 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. WELLS FARGO 2024-5C2: Fitch Assigns 'B-sf' Rating on Cl. J-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2024-5C2, Commercial Mortgage Pass-Through Certificates Series 2024-5C2 as follows: - $3,921,000 class A-1 'AAAsf'; Outlook Stable; - $130,000,000 class A-2 'AAAsf'; Outlook Stable; - $370,082,000 class A-3 'AAAsf'; Outlook Stable; - $504,003,000a class X-A 'AAAsf'; Outlook Stable; - $141,301,000a class X-B 'AAAsf'; Outlook Stable; - $95,401,000 class A-S 'AAAsf'; Outlook Stable; - $23,400,000 class B 'AAsf'; Outlook Stable; - $22,500,000 class C 'Asf'; Outlook Stable; - $9,160,000ab class X-D 'A-sf'; Outlook Stable; - $9,160,000b class D 'A-sf'; Outlook Stable; - $10,640,000bc class E-RR 'BBBsf'; Outlook Stable; - $8,100,000bc class F-RR 'BBB-sf'; Outlook Stable; - $16,201,000bc class G-RR 'BB-sf'; Outlook Stable; - $7,200,000bc class J-RR 'B-sf'; Outlook Stable. Fitch does not rate the following class: - $23,400,339bc class K-RR. a) Notional amount and interest only. b) Privately placed pursuant to Rule 144A. c) Horizontal risk retention interest. Entity/Debt Rating Prior ----------- ------ ----- Wells Fargo Commercial Mortgage Trust 2024-5C2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT A-sf New Rating A-(EXP)sf E-RR LT BBBsf New Rating BBB(EXP)sf F-RR LT BBB-sf New Rating BBB-(EXP)sf G-RR LT BB-sf New Rating BB-(EXP)sf J-RR LT B-sf New Rating B-(EXP)sf K-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT AAAsf New Rating A(EXP)sf X-D LT A-sf New Rating A-(EXP)sf Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 138 commercial properties having an aggregate principal balance of $720,005,340 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Goldman Sachs Mortgage Company, JPMorgan Chase Bank, National Association, UBS AG, Citi Real Estate Funding Inc., and LMF Commercial, LLC. The master servicer is Wells Fargo Bank, National Association and the special servicer is Rialto Capital Advisors, LLC. The trustee and certificate administrator is Computershare Trust Company, N.A. The certificates follow a sequential paydown structure. Since publishing its expected ratings on Nov. 12, 2024, Fitch revised the rating on class X-B to 'AAAsf' from 'Asf'. This reflects the rating of the lowest referenced tranche whose payable interest has an impact on the interest-only payments. Additionally, the balances for classes A-2, A-3, D, X-D and E-RR were finalized. The initial certificate balance of the class A-2 was expected to be in the range of $0 to $225,000,000, and the initial aggregate certificate balance of the class A-3 was expected to be in the range of $275,082,000 to $500,082,000. The final class balances for classes A-2 and A-3 are $130,000,000 and $370,082,000, respectively. The initial certificate balance of the class D was expected to be in the range of $7,200,000 to $9,900,000 and the initial certificate balance of the class E-RR was expected to be in the range of $9,900,000 to $12,600,000. The final class balances for classes D and E-RR are $9,160,000 and $10,640,000, respectively and the resulting credit support for the class D was 9.103%. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 23 loans totaling 96.8% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $74.4 million represents a 14.6% decline from the issuer's underwritten NCF of $87.2 million. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 93.2% is worse than the 2024 YTD and 2023 averages of 91.1% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 9.3% is lower than the 2024 YTD and 2023 averages of 11.0% and 10.9%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 100.0% and 9.6%, respectively, compared to the equivalent conduit 2024 YTD LTV and DY averages of 96.0% and 10.3%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit 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 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. Investment-Grade Credit Opinion Loans: Five loans representing 20.5% of the pool received an investment-grade credit opinion. Rockefeller Center (5.6%) received a standalone credit opinion of 'A+sf*'. Atrium Hotel Portfolio 24 Pack (4.9%) received a standalone credit opinion of 'BBB+sf*'. Queens Center (4.2%) received a standalone credit opinion of 'BBBsf*'. ICONIQ Multifamily Portfolio (3.6%) received a standalone credit opinion of 'AA-sf*'. BioMed 2024 Portfolio 2 (2.3%) received a standalone credit opinion of 'BBB+sf*'. The pool's total credit opinion percentage is higher than the 2024 YTD of 15.2% and in line with the 2023 average of 20.8%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 67.3% of the pool, which is higher than the 2024 YTD level of 60.3% and 2023 level of 63.7%. The pool's effective loan count of 22.5 is slightly higher than the 2024 YTD and 2023 average effective loan count of 22.4 and 20.6, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 0.7%, which is below the 2024 YTD and 2023 averages of 1.0% and 1.4%, respectively. The pool has 22 interest-only loans, or 78.0% of pool by balance, which is better than the 2024 YTD and 2023 averages of 88.0% and 84.5%, respectively but still high overall. Additionally, the average loan term of the pool is 60 months, which is shorter than the 2024 YTD and 2023 averages of 76.2 months and 87.8 months, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / 'AAsf' / 'Asf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AAsf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf' / 'AAsf' / 'Asf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A+sf' / 'A-sf' / 'BBB+sf' / '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 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. WESTLAKE AUTOMOBILE 2023-4: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on nine classes from Westlake Automobile Receivables Trust 2021-1 and 2023-4. The transactions are backed by subprime retail auto loan receivables originated and serviced by Westlake Services LLC. The rating actions reflect: S&P said, "Each transaction's collateral performance to date and our views regarding future collateral performance; Our remaining cumulative net loss (CNL) expectation for each transaction and its structure 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, we believe each notes' creditworthiness is consistent with the affirmed ratings. "The Westlake 2021-1 transaction, reviewed in August 2024, continues to experience higher back-end losses than our expectations. As such, we revised and raised our expected CNL for this transaction. The 2023-4 transaction, albeit early, is performing in line with our initial expectations, and our expected CNL for the transaction is unchanged." Table 1 Collateral Performance (%) Pool Current 60-plus day Series Month factor CNL delinq. Extensions 2021-1 44 13.38 8.23 2.08 10.12 2023-4 12 67.38 4.42 1.33 6.20 (i)As of November 2024 distribution date. Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL Expectation (%) Original Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2021-1 13.75 (13.50-14.00) 8.25 8.75 2023-4 12.50 N/A 12.50 (i)Revised in August 2024. (ii)Revised in December 2024. CNL exp.--Cumulative net loss expectation. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, which will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the November 2024 distribution date, each transaction is at its specified target overcollateralization level and specified reserve level. The affirmed ratings reflect S&P's view that the total credit support, as a percentage of the amortizing pool balance and compared with our expected remaining losses, is commensurate with the respective ratings. Table 3 Hard Credit Support (i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2021-1 D 10.85 84.83 2021-1 E 7.20 57.55 2021-1 F 1.50 14.95 2023-4 A-2 40.80 61.94 2023-4 A-3 40.80 61.94 2023-4 B 34.25 52.22 2023-4 C 23.55 36.34 2023-4 D 14.65 23.12 2023-4 E 9.50 15.48 (i)As of 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. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone without credit to the expected excess spread was sufficient, in our view, to support the rating actions. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given the transactions' performance to date. "In addition to our break-even cash flow analysis, we also conducted a sensitivity analyses 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 the current 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 performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS AFFIRMED Westlake Automobile Receivables Trust Series Class Rating 2021-1 D AAA (sf) 2021-1 E AAA (sf) 2021-1 F AA (sf) 2023-4 A-2 AAA (sf) 2023-4 A-3 AAA (sf) 2023-4 B AA (sf) 2023-4 C A (sf) 2023-4 D BBB (sf) 2023-4 E BB (sf) WHITEBOX CLO II: Fitch Assigns 'BB+sf' Rating on Class E-1R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Whitebox CLO II Ltd reset transaction. Entity/Debt Rating ----------- ------ Whitebox CLO II LTD_2024 A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AA+sf New Rating C-R2 LT A+sf New Rating D-1R2 LT BBB+sf New Rating D-2R2 LT BBBsf New Rating E-1R2 LT BB+sf New Rating E-2R2 LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Whitebox CLO II Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Whitebox Capital 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 96.88% first-lien senior secured loans and has a weighted average recovery assumption of 78.19%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-2R2, between 'BBB-sf' and 'AAsf' for class B-R2, between 'BB-sf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'BBsf' for class E-1R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, 'A+sf' for class D-2R2, and 'BBB+sf' for class E-1R2. 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 Whitebox CLO II Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WHITEBOX CLO II: Moody's Assigns B3 Rating to $1.5MM E-2R2 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Whitebox CLO II LTD (the Issuer): US$256,000,000 Class A-1R2 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$1,500,000 Class E-2R2 Secured Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. Whitebox Capital 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 the other six 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3103 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. WILLIS ENGINE V: Fitch Affirms BB Rating on C Debt -------------------------------------------------- Fitch Ratings affirmed the ratings of all classes of Willis Engine Structured Trust III (WEST III), Willis Engine Structured Trust IV (WEST IV), and Willis Engine Structured Trust V (WEST V). The Rating Outlooks on the WEST III notes as well as the subordinated notes of WEST V were revised to Positive from Stable, while the Outlook for the remaining notes remains Stable. Entity/Debt Rating Prior ----------- ------ ----- Willis Engine Structured Trust IV Series A 97064EAA6 LT Asf Affirmed Asf Series B 97064EAC2 LT BBBsf Affirmed BBBsf Willis Engine Structured Trust V Series A 97064FAA3 LT Asf Affirmed Asf Series B 97064FAB1 LT BBBsf Affirmed BBBsf Series C 97064FAC9 LT BBsf Affirmed BBsf Willis Engine Structured Trust III Series A 2017-A 97063QAA0 LT BBBsf Affirmed BBBsf Series B 2017-A 97063QAB8 LT BBsf Affirmed BBsf Transaction Summary The rating actions reflect current transaction performance, Fitch's cash flow projections, and its expectation for the structures to withstand rating-specific stresses. Rating considerations include lease terms, lessee credit quality and performance, engine values, and Fitch's assumptions and stresses, which inform its modeled cash flows and coverage levels. Rent collections over the past 12 months have remained approximately flat for WEST III, while increasing 21% for WEST IV and decreasing 8% for WEST V versus the prior 12 months. Engine utilization rates and lease rates impact rent collections, Average utilization rates were 2.4% lower for WEST III, 3.3% higher for WEST IV, and 10.0% lower for WEST V, since the previous review. Maintenance collections over the past 12 months have increased significantly as airlines are utilizing the engines at higher rates with inflows 33%, 75% and 13% higher than the prior 12 months for WEST III, IV, and V respectively. The debt-service coverage ratios (DSCRs) for WEST III, IV, and V are currently at 2.72x, 3.16x, and 2.64x respectively. The DSCRs are comfortably above the rapid amortization (1.1x) and the cash trapping (1.15x) trigger levels for all three transactions and the notes are on schedule or ahead of scheduled principal balances. After satisfying all levels of the waterfall, the transactions have released cash to the Issuer over the last 12 months totaling $23.0 million, $39.5 million, and $20.5 million for WEST III, IV, and V respectively. Overall Market Recovery Demand for air travel remains robust. Total passenger traffic is above 2019 levels with September revenue passenger kilometers (RPKs) up 7.1% compared to September 2023, per the International Air Transport Association (IATA). International traffic led the way with 9.2% yoy RPK growth while domestic traffic grew 3.7% yoy. September's load factor was 83.6%, up 1.0 percentage points compared to September 2023. Aircraft ABS transaction servicers are reporting strong demand for aircraft, particularly those with maintenance green time remaining, and increased lease rates. Market Risks While the commercial aviation market has recovered significantly over the past 12 months, it will continue to face risks including workforce shortages, supply chain issues, geopolitical risks, and recessionary concerns that would impact passenger demand. In addition, uncertainty regarding inflationary pressures remain despite some improvements. Most of these events would lead to greater credit risk due to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for engines that support older aircraft. All of these factors would cause downward pressure on future cash flows needed to meet debt service. KEY RATING DRIVERS Asset Quality and Appraised Pool Value Each transaction includes mostly in-demand engines that support narrow body (NB) airframes representing 87%, 70% and 74% of the WEST III, IV and V pools respectively by value as of October 2024. The remaining portion of each pool is split between engines that support widebody (WB) and regional jet (RJ) airframes, with WB engines representing 6%, 23 and 24% of each respective pool, and RJs engines representing 6%, 7% and 2% of each respective pool. Although Fitch only assigns tiers to aircraft and not the engines themselves, the engines in the WEST III, IV and V pools principally support Tier I and Tier II aircraft that are in high demand with large in-service fleets. On-lease assets (by value) decreased substantially for WEST III in October 2024 versus last year's review, to 73% from 83%, although the average utilization over the last year was 83%. The October 2024 decline was the result of two high-value engines going off lease. Both engines are desirable, in-demand engines and are expected to be released. Utilization rates for WEST IV and WEST V remain consistent with the prior review, 86% to 83% and 71% to 73%, respectively. WEST V has reported utilization rates consistently below the other transactions since November 2023. The Fitch values for the WEST III, IV, and V pools are $271 million, $334 million, and $331 million, respectively. Fitch used the most recent appraisal as of December 2023 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch uses an LMM (lesser of mean and median) of the appraiser values. Using the Fitch Value, the loan-to-value (LTV) ratio for each note has changed since Fitch's last review in November 2023 as follows: - WEST III: A note 61% to 60%; B note 70% to 69%; - WEST IV: A note 63% to 62%; B note 72% to 71%; - WEST V: A note 74% to 69%; B note 84% to 79%; C note 87% to 82%. For each of the transactions, the Maintenance Reserve Account is funded at 100% of target. Stable Lessee Credit The credit profiles of the airline and other engine lessees in the pools have remained stable or improved since the prior review in October 2023. Nevertheless, some lessees remain under stress. The proportion of lessees with assumed Issuer Default Ratings (IDRs) of 'CCC' or below (weighted by asset value) in WEST III decreased marginally from 30% to 28%; in WEST IV the proportion increased marginally from 30% to 31%; in WEST V it decreased from 25% to 18%. The IDR assumptions reflect the lessees' ongoing credit profiles and fleets in the current operating environment. Pool Concentration Geographically, all three transactions largest lessee concentration is in emerging Asia Pacific, 24%, 28%, and 30%, respectively. Asset count as of October 2024 is 46, 48, and 43 for WEST III, IV, and V, respectively. The pool asset count remained similar to last review for WEST III and IV. WEST III sold two engines; WEST IV sold six engines and purchased six replacement engines. WEST V had significant changes to its pool, selling 12 engines and using the sale proceeds to acquire two high-value engines. Operation and Servicing Risk Willis Lease Finance Corp. (WLFC, not rated by Fitch) acts as sponsor, servicer and administrative agent to the transactions. Fitch has found WLFC to be an effective servicer with a proven track-record in the areas of remarketing, underwriting, procuring and managing engine maintenance, and managing a portfolio. This is evidenced by the experience of their team, the servicing of their managed fleet, and securitization performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible if engine values and lease rates decline more than forecasted, if lessee payment performance deteriorates, thereby reducing cash flows, or if engine utilization rates decline. Fitch ran two down sensitivities, one regarding lessee credit quality and the other regarding values. For the first, Fitch assumed all future lessees have a 'CCC' rating. For the second, Fitch reduced the starting Fitch value by 10%. Assuming all future lessees are rated 'CCC' reduced the model-implied-rating (MIR) by one notch for the WEST IV and V notes. It had no impact on the MIR of the WEST III notes. Decreasing the Fitch value by 10% resulted in a two to four notch decrease in the MIRs across all three transactions. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Potential upgrades are possible if engine values and lease rates are stronger than forecasted and/or excess maintenance cashflows are used to deleverage the transactions. As noted above, the rating outlooks on the WEST III notes as well as the subordinated notes of WEST V were changed from neutral to positive. Cashflow generation across all three transactions has been strong, driven in large part by maintenance inflows. WEST III, however, has not de-levered. Fitch'd like to see continued strong performance before considering an upgrade. WEST V has de-levered as seen in the lower LTV versus last year. However, the engines in the pool have meaningfully changed over the past year. Fitch'd like to see how the reconfigured pool performs before considering an upgrade of the subordinated notes. Fitch ran an up sensitivity assuming a 10% increase in the starting Fitch value for the WEST III and WEST V transactions. This scenario resulted in a one to three notch increase in the MIRs. Rating upgrades are limited as Fitch caps the aircraft and engine ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and the transactions pronounced exposure to exogenous risks. 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 data used in determining the ratings was provide by the servicer. 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. [*] DBRS Reviews 68 Classes From 15 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 68 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 15 transactions reviewed, 14 are classified as ReREMICs of legacy RMBS and one is classified as a HELOC. Of the 68 classes reviewed, Morningstar DBRS upgraded its credit ratings on four classes and confirmed its credit ratings on 64 classes. The Affected Ratings are available at https://bit.ly/4fLuNex The Issuers are: APS Resecuritization Trust 2016-3 PRMI Securitization Trust 2023-CMG1 Morgan Stanley Resecuritization Trust 2015-R3 Morgan Stanley Resecuritization Trust 2015-R6 Citigroup Mortgage Loan Trust 2009-2 Citigroup Mortgage Loan Trust 2009-5 Citigroup Mortgage Loan Trust 2009-6 Citigroup Mortgage Loan Trust 2009-7 Citigroup Mortgage Loan Trust 2010-3 Citigroup Mortgage Loan Trust 2009-8 Citigroup Mortgage Loan Trust 2009-9 Structured Asset Securities Corporation Trust 2006-11 Citigroup Mortgage Loan Trust 2009-10 Citigroup Mortgage Loan Trust 2009-11 Citigroup Mortgage Loan Trust 2009-12 The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update" published on September 25, 2024 (https://dbrs.morningstar.com/research/439965). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Fitch Affirms 95 Classes on 13 CMBS Deals on 2006-2012 Vintages ------------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed 95 classes from 13 U.S. CMBS multiborrower transactions from the 2006 through 2012 vintages. All transactions are concentrated by the remaining number of loans/assets. The Rating Outlook was revised to Negative from Stable on one affirmed class and remains Negative on one affirmed class. One class was assigned a Negative Outlook following its downgrade. The Outlook remains Stable on one affirmed class. Entity/Debt Rating Prior ----------- ------ ----- CFCRE 2011-C2 D 12527DAF7 LT BBsf Affirmed BBsf E 12527DAG5 LT Csf Affirmed Csf F 12527DAH3 LT Csf Affirmed Csf G 12527DAJ9 LT Csf Affirmed Csf COMM 2010-C1 D 12622DAK0 LT BBsf Affirmed BBsf E 12622DAL8 LT CCCsf Affirmed CCCsf F 12622DAM6 LT CCsf Affirmed CCsf G 12622DAN4 LT Csf Affirmed Csf Morgan Stanley Capital I Trust 2011-C2 D 617459AJ1 LT CCCsf Affirmed CCCsf E 617459AK8 LT Csf Affirmed Csf F 617459AL6 LT Csf Affirmed Csf G 617459AM4 LT Csf Affirmed Csf H 617459AN2 LT Csf Affirmed Csf CGCMT 2012-GC8 C 17318UAH7 LT BBsf Affirmed BBsf D 17318UAJ3 LT Csf Affirmed Csf E 17318UAS3 LT Csf Affirmed Csf F 17318UAT1 LT Csf Affirmed Csf Citigroup Commercial Mortgage Trust 2006-C4 C 17309DAJ2 LT CCCsf Affirmed CCCsf D 17309DAK9 LT Csf Affirmed Csf E 17309DAM5 LT Dsf Affirmed Dsf F 17309DAN3 LT Dsf Affirmed Dsf G 17309DAP8 LT Dsf Affirmed Dsf H 17309DAQ6 LT Dsf Affirmed Dsf J 17309DAR4 LT Dsf Affirmed Dsf K 17309DAS2 LT Dsf Affirmed Dsf L 17309DAT0 LT Dsf Affirmed Dsf M 17309DAU7 LT Dsf Affirmed Dsf N 17309DAV5 LT Dsf Affirmed Dsf O 17309DAW3 LT Dsf Affirmed Dsf COMM 2012-CCRE1 D 12624BAL0 LT Csf Affirmed Csf E 12624BAN6 LT Csf Affirmed Csf F 12624BAQ9 LT Dsf Downgrade Csf G 12624BAS5 LT Dsf Affirmed Dsf J.P. Morgan Chase Mortgage Securities Trust 2007-LDP12 A-J 46632HAL5 LT CCCsf Affirmed CCCsf B 46632HAM3 LT Dsf Affirmed Dsf C 46632HAN1 LT Dsf Affirmed Dsf D 46632HAP6 LT Dsf Affirmed Dsf E 46632HAQ4 LT Dsf Affirmed Dsf F 46632HAR2 LT Dsf Affirmed Dsf G 46632HAS0 LT Dsf Affirmed Dsf H 46632HAU5 LT Dsf Affirmed Dsf J 46632HAW1 LT Dsf Affirmed Dsf K 46632HAY7 LT Dsf Affirmed Dsf L 46632HBA8 LT Dsf Affirmed Dsf M 46632HBC4 LT Dsf Affirmed Dsf N 46632HBE0 LT Dsf Affirmed Dsf P 46632HBG5 LT Dsf Affirmed Dsf Q 46632HBJ9 LT Dsf Affirmed Dsf T 46632HBL4 LT Dsf Affirmed Dsf Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 C 07388QAN9 LT Csf Affirmed Csf D 07388QAQ2 LT Dsf Downgrade Csf E 07388QAS8 LT Dsf Affirmed Dsf F 07388QAU3 LT Dsf Affirmed Dsf G 07388QAW9 LT Dsf Affirmed Dsf H 07388QAY5 LT Dsf Affirmed Dsf J 07388QBA6 LT Dsf Affirmed Dsf K 07388QBC2 LT Dsf Affirmed Dsf L 07388QBE8 LT Dsf Affirmed Dsf M 07388QBG3 LT Dsf Affirmed Dsf N 07388QBJ7 LT Dsf Affirmed Dsf O 07388QBL2 LT Dsf Affirmed Dsf P 07388QBN8 LT Dsf Affirmed Dsf Q 07388QBQ1 LT Dsf Affirmed Dsf Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 B 07401DAL5 LT Csf Affirmed Csf C 07401DAM3 LT Csf Affirmed Csf D 07401DAN1 LT Csf Affirmed Csf E 07401DAP6 LT Dsf Affirmed Dsf F 07401DAQ4 LT Dsf Affirmed Dsf G 07401DAR2 LT Dsf Affirmed Dsf H 07401DAS0 LT Dsf Affirmed Dsf J 07401DAT8 LT Dsf Affirmed Dsf K 07401DAU5 LT Dsf Affirmed Dsf L 07401DAV3 LT Dsf Affirmed Dsf M 07401DAW1 LT Dsf Affirmed Dsf N 07401DAX9 LT Dsf Affirmed Dsf O 07401DAY7 LT Dsf Affirmed Dsf P 07401DAZ4 LT Dsf Affirmed Dsf Q 07401DBA8 LT Dsf Affirmed Dsf Morgan Stanley Capital I Trust 2006-HQ10 B 61750HAH9 LT CCsf Affirmed CCsf C 61750HAJ5 LT Dsf Downgrade Csf D 61750HAK2 LT Dsf Downgrade Csf E 61750HAN6 LT Dsf Affirmed Dsf F 61750HAP1 LT Dsf Affirmed Dsf G 61750HAQ9 LT Dsf Affirmed Dsf H 61750HAR7 LT Dsf Affirmed Dsf J 61750HAS5 LT Dsf Affirmed Dsf K 61750HAT3 LT Dsf Affirmed Dsf L 61750HAU0 LT Dsf Affirmed Dsf M 61750HAV8 LT Dsf Affirmed Dsf N 61750HAW6 LT Dsf Affirmed Dsf O 61750HAX4 LT Dsf Affirmed Dsf UBS 2012-C1 E 90269GAQ4 LT Csf Affirmed Csf F 90269GAS0 LT Csf Affirmed Csf COMM 2012-CCRE5 E 12623SAU4 LT CCCsf Affirmed CCCsf F 12623SAW0 LT Csf Affirmed Csf G 12623SAY6 LT Csf Affirmed Csf COMM 2012-LC4 B 126192AF0 LT Bsf Downgrade BBsf C 126192AG8 LT CCsf Downgrade CCCsf D 126192AK9 LT Csf Affirmed Csf E 126192AL7 LT Csf Affirmed Csf F 126192AM5 LT Csf Affirmed Csf KEY RATING DRIVERS Significant Pool Concentration; Adverse Selection: These transactions are concentrated with fewer than eight loans/assets remaining, the majority of which are considered Fitch Loans of Concern (FLOCs). Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). In some cases, this analysis resulted in rating caps given the weak collateral quality of the remaining loans and concerns with ultimate refinanceability and/or workout resolutions. The affirmed classes reflect stable pool performance and loss expectations since the last rating action. The downgrade of classes B and C in COMM 2012-LC4 reflect higher pool loss expectations and greater certainty of losses since the last rating action, driven by the four remaining loans/assets, including a lower-tier regional mall FLOC (Square One Mall), a specially serviced retail loan secured by an underperforming lifestyle center (Alamance Crossing), and two REO assets (Susquehanna Valley Mall and Hickory Glen Apartments). Performance of these loans/assets has either not stabilized and/or the latest appraisal valuations have deteriorated further. While CE is high relative to loss expectations, the Negative Outlook on class B in COMM 2012-LC4 reflects the significant pool adverse selection and possible further downgrades should mall performance and/or valuations of the remaining loans/assets continue to deteriorate beyond Fitch's expectations, or specially serviced workouts are prolonged. The downgrades to 'Dsf' from 'Csf' in MSCI 2006-HQ10 (classes C and D), BSCMSI 2007-PWR17 (class D) and COMM 2012-CCRE1 (class F) reflect a principal loss to these classes. The Negative Outlooks on class C in CGCMT 2012-GC8 and class D in COMM 2010-C1 reflects the continued performance concerns on the REO Pinnacle at Westchase asset, specially serviced Gansevoort Park Avenue loan (CGCMT 2012-GC8) and the Fashion Outlets of Niagara Falls loan (COMM 2010-C1); downgrades are possible to these classes should recovery expectations diminish significantly. COMM 2012-LC4: The REO Hickory Glen Apartments asset (5% of pool) is a 129-unit multifamily property located in Springfield, IL. As of May 2024, the property was valued at $3.2 million, marking a significant 76% decline from its $13.2 million valuation in July 2022. Fitch's analysis on this asset incorporated a 20% stress to the most recent appraisal due to prolonged workout process and lack of progress on disposition of the REO asset. In addition, the appraisal of the Alamance Crossing loan has significantly declined to $34.2 million as of January 2024 from $45.0 million in November 2022. Regional Mall Exposure: Ten of the 13 transactions have significant exposure to lower-tier, underperforming regional malls that are designated as FLOCs and/or in special servicing, with deteriorated performance and/or high Fitch loss expectations. These include Eastview Mall and Commons, which is the sole loan comprising COMM 2012-CCRE5, with an approximate 70% loss; Poughkeepsie Galleria, which is the sole loan in UBS 2012-C1 with an approximate 73% loss; and Ingram Park Mall, which is the sole loan in MSC 2011-C2, with an approximate 46% loss. Eastview Mall and Commons comprises two retail properties in Victor, NY whose occupancy fell to 84% in June 2024, with a servicer-reported NOI DSCR of 1.52x for the same period. Poughkeepsie Galleria is a 1.1 million-sf regional mall located in Poughkeepsie, NY where June 2024 occupancy was reported at 70% with a servicer-reported NOI DSCR of 1.17x. The REO Ingram Park Mall asset is a 1.1 million-sf regional mall located in San Antonio, TX with a reported occupancy of 95% in June 2024 and servicer-reported NOI DSCR of 1.23x. Changes to CE: As of the November 2024 distribution date, the aggregate pool balance of the 13 U.S. CMBS conduit transactions has been reduced in excess of 85% on average (ranging between 85% and 99%) since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks in COMM 2012-LC4, CGCMT 2012-GC8 and COMM 2010-C1 reflect possible downgrades should further declines in performance and/or lower valuations of the specially serviced loans/assets result in increased loss expectations for the pool. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher than expected losses from continued performance of the FLOCs and with greater certainty of losses on the specially serviced loans/assets or other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better than expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Fitch Affirms Three US CMBS BBCMS 2022 Vintage Transactions --------------------------------------------------------------- Fitch Ratings has affirmed 53 classes from three U.S. CMBS 2022 vintage conduit transactions from the BBCMS shelf. The Rating Outlooks remain Negative for nine classes across the three transactions. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2022-C17 A-1 054976AA3 LT AAAsf Affirmed AAAsf A-2 054976AB1 LT AAAsf Affirmed AAAsf A-3 054976AC9 LT AAAsf Affirmed AAAsf A-4 054976AD7 LT AAAsf Affirmed AAAsf A-5 054976AE5 LT AAAsf Affirmed AAAsf A-S 054976AJ4 LT AAAsf Affirmed AAAsf A-SB 054976AF2 LT AAAsf Affirmed AAAsf B 054976AK1 LT AA-sf Affirmed AA-sf C 054976AL9 LT A-sf Affirmed A-sf D 054976AR6 LT BBBsf Affirmed BBBsf E 054976AT2 LT BBB-sf Affirmed BBB-sf F 054976AV7 LT B+sf Affirmed B+sf G-RR 054976AX3 LT B-sf Affirmed B-sf X-A 054976AG0 LT AAAsf Affirmed AAAsf X-B 054976AH8 LT A-sf Affirmed A-sf X-D 054976AM7 LT BBB-sf Affirmed BBB-sf X-F 054976AP0 LT B+sf Affirmed B+sf BBCMS 2022-C16 A-1 05552YAA4 LT AAAsf Affirmed AAAsf A-2 05552YAB2 LT AAAsf Affirmed AAAsf A-3 05552YAC0 LT AAAsf Affirmed AAAsf A-4 05552YAD8 LT AAAsf Affirmed AAAsf A-5 05552YAE6 LT AAAsf Affirmed AAAsf A-S 05552YAJ5 LT AAAsf Affirmed AAAsf A-SB 05552YAF3 LT AAAsf Affirmed AAAsf B 05552YAK2 LT AA-sf Affirmed AA-sf C 05552YAL0 LT A-sf Affirmed A-sf D 05552YAX4 LT BBBsf Affirmed BBBsf E 05552YAZ9 LT BBB-sf Affirmed BBB-sf F 05552YBB1 LT BB-sf Affirmed BB-sf G 05552YBD7 LT B-sf Affirmed B-sf X-A 05552YAG1 LT AAAsf Affirmed AAAsf X-B 05552YAH9 LT A-sf Affirmed A-sf X-D 05552YAM8 LT BBB-sf Affirmed BBB-sf X-F 05552YAP1 LT BB-sf Affirmed BB-sf X-G 05552YAR7 LT B-sf Affirmed B-sf BBCMS 2022-C14 A-1 07336AAA5 LT AAAsf Affirmed AAAsf A-2 07336AAB3 LT AAAsf Affirmed AAAsf A-3 07336AAC1 LT AAAsf Affirmed AAAsf A-4 07336AAD9 LT AAAsf Affirmed AAAsf A-5 07336AAE7 LT AAAsf Affirmed AAAsf A-S 07336AAJ6 LT AAAsf Affirmed AAAsf A-SB 07336AAF4 LT AAAsf Affirmed AAAsf B 07336AAK3 LT AA-sf Affirmed AA-sf C 07336AAL1 LT A-sf Affirmed A-sf D 07336AAP2 LT BBB+sf Affirmed BBB+sf E-RR 07336AAR8 LT BBBsf Affirmed BBBsf F-RR 07336AAT4 LT BBB-sf Affirmed BBB-sf G-RR 07336AAV9 LT BB+sf Affirmed BB+sf H-RR 07336AAX5 LT BB-sf Affirmed BB-sf J-RR 07336AAZ0 LT B-sf Affirmed B-sf X-A 07336AAG2 LT AAAsf Affirmed AAAsf X-B 07336AAH0 LT A-sf Affirmed A-sf X-D 07336AAM9 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 3.4% for BBCMS Mortgage Trust 2022-C14 (BBCMS 2022-C14), 3.7% for BBCMS Mortgage Trust 2022-C16 (BBCMS 2022-C16) and 4.7% for BBCMS Mortgage Trust (BBCMS 2022-C17). Fitch Loan of Concern (FLOC) concentration includes 15 loans (19.3% of the pool) in BBCMS 2022-C14 (one of which is a non-specially serviced delinquent loan, 0.5%), 10 loans (19.0%) in BBCMS 2022-C16 and 11 loans (18.1%) in BBCMS 2022-C17. BBCMS 2022-C14: The affirmations and Stable Outlooks reflect stable performance of loans in the pool, as well as limited exposure to non-credit opinion office loans. While the pool contains a higher concentration of office properties (37.0% of the pool), the performance of three credit opinion loans secured by office properties, Coleman Highline (7.7% of the pool), 1888 Century Park East (7.7%), and The Summit (5.5%) remains stable. BBCMS 2022-C16: The Negative Outlooks for classes F, G, X-F and X-G in reflect the office concentration of 28.6% and performance declines of multifamily and retail FLOCs, Houston Multifamily Portfolio (7.1% of the pool) and Perry Hall Center and Perry Hall Square (2.8%). BBCMS 2022-C17: The Negative Outlooks for classes E, F, G-RR, X-D and X-F in reflect the office concentration of 22.4% and performance declines of the A&R Hospitality Portfolio (4.4%) and Village Crossroads (2.6%) as well as the upcoming rollover concerns for the Bell Works (2.8% of the portfolio) and KB Portfolio (2.8%) loans. Largest FLOCs and Contributors to Loss: The largest FLOC in the BBCMS 2022-C14 transaction is the 1100 & 820 First Street NE loan (6.4%), which is secured by a portfolio of two office buildings totaling 655,071-sf in Washington D.C. Fitch identified the loan as a FLOC because the largest tenant, U.S Department of Veteran Affairs (20.0% of the NRA), exercised a lease termination option for approximately 9% of the total NRA. This caused occupancy to decline to 77% from 86% at YE 2023. Additionally, the second largest tenant, Turner Broadcasting (16.6%) has a lease termination option in December 2026, prior to lease expiration in December 2031. Fitch's 'Bsf' rating case loss of 4.8% (prior to concentration adjustments) reflects a 9.00% cap rate and a 20% stress to the YE 2023 NOI. The next largest FLOC in the BBCMS 2022-C14 transaction is the FLOC Nine + Eighteen Apartments loan (1.9%), which is secured by an 80-unit multifamily property located in Indianapolis, IN. While occupancy has improved to 87% as of June 2024 from 52% at YE 2023, performance remains below YE 2022 levels when occupancy was 95% and 100% at issuance. Additionally, operating expenses have increased approximately 68% between YE 2023 and YE 2022 due to a 480% increase in real estate taxes. Due to the declines in occupancy and elevated expenses, the loan's NOI DSCR declined to 0.98x for the YTD June 2024 reporting period, which is lower than 1.42x at YE 2023 and 1.34x at YE 2022. Fitch's 'Bsf' rating case loss of 9.8% (prior to concentration adjustments) reflects an 8.75% cap rate to the YE 2023 NOI. The largest FLOC is the BBCMS 2022-C16 transaction is the Houston Multifamily Portfolio loan (7.1% of the NRA). It is secured by five garden-style apartment properties totaling 1,558 units in Houston, TX. Performance of the portfolio deteriorated significantly as a result of the pandemic, but it is demonstrating signs of recovery. According to the borrower, numerous tenants were evicted for non-payment after the eviction moratorium elapsed. Additionally, the borrower is investing approximately $12.5 million to restore units to marketable condition, as they required extensive work following the evictions. While occupancy has improved to 90% as of March 2024, up from 74% at YE 2023 and in-line with issuance levels, cash flow remains an issue. The TTM March 2024 DSCR and YE 2023 NOI DSCR remain insufficient to cover debt service at 0.54x and 0.46x, respectively. Despite the performance declines, the loan has remained current. Fitch's 'Bsf' rating case loss of 3.8% (prior to concentration adjustments) reflects an 8.75% cap rate and 5% stress to Fitch's sustainable cash flow derived at issuance. The largest FLOC and contributor to loss expectations in the BBCMS 2022-C17 transaction is the A&R Hospitality Portfolio (4.4%), which is secured by a portfolio of eight extended stay hotels in Alabama and one extended stay hotel in Florida totaling 924 rooms. The loan was identified as a FLOC due to a decline in NOI driven by elevated expenses. Per the most recent servicer reporting, the TTM June 2024 and YE 2023 insurance expense increased 33.3% and 34.1%, respectively above issuance levels. As a result, TTM June NOI DSCR has declined to 1.37x from 1.56x as of YE 2023. Fitch's 'Bsf' rating case loss of 11.6% (prior to concentration adjustments) reflects an 11.50% cap rate to the TTM June 2024 NOI. The next largest FLOC in BBCMS 2022-C17 is the KB portfolio loan (2.8%), which is secured by eight medical office buildings and one retail building located in Las Vegas, NV. The retail building is occupied by Walgreens, with a lease expiration in March 2090. While the retail property comprises 6.4% of the total portfolio NRA, the tenant contributes 34.5% to overall base rents. Fitch requested updates regarding Walgreens status at the property, given recent store closure announcements, but did not receive a response. Fitch's 'Bsf' rating case loss of 9.8% (prior to concentration adjustments) reflects a 10% cap rate and 10% stress to the YE 2023 NOI. The next largest FLOC in BBCMS 2022-C17 is the Village Crossroads loan (2.6%), which is secured by a 183,202-sf retail center located in Lady Lake, FL. The collateral is anchored by Best Buy (16.4% of the NRA), Jo-Ann Fabrics (11.8%), and PetSmart (11.7%). The loan was identified as a FLOC after Bed Bath and Beyond (15.3% of the NRA) and Unforgettable Party (5.5%) vacated in 2023, causing occupancy and NOI DSCR to decline to 72% and 1.07x, respectively for the YTD June 2024 reporting period, down from 94% and 1.62x at YE 2022. Fitch's 'Bsf' rating case loss of 5.0% (prior to concentration adjustments) reflects a 9.25% cap rate and a 10% stress to the YE 2023 NOI. Minimal Changes to Credit Enhancement: As of the October 2024 distribution dates the BBCMS 2022-C14, BBCMS 2022-C16 and BBCMS 2022-C17 transactions have been paid down by 2.0%, 0.6% and 0.3%, respectively. There is one partially defeased loan (3.0% of the pool) in BBCMS 2022-C14. No loans have defeased in BBCMS 2022-C16 or BBCMS 2022-C17. Scheduled Amortization: There are 33 loans (64.1% of the pool) that are full-term interest only (IO), 18 loans (29.1%) that are amortizing and seven loans (6.9%) that are partial IO in BBCMS 2022-C14. There are 40 loans (74.9%) that are full-term IO, 12 loans (16.2%) that are amortizing and eight loans (8.9%) that are partial IO in BBCMS 2022-C16. There are 39 loans (75.9%) that are full-term IO, eight loans (10.8%) that are amortizing and nine loans (13.3%) that are partial IO in BBCMS 2022-C17. Realized Losses and Interest Shortfalls: There are no realized losses affecting the three transactions. Interest shortfalls of $15,062 are affecting the non-rated K-RR class in BBCMS 2022-C14 and $1,629, and $30,762 are affecting the non-rated vertical risk retention VRRC and non-rated class J, respectively in BBCMS 2022-C16. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' and 'AAsf'-rated classes are not expected due to their position in the capital structure and continued amortization and loan repayments, but could occur should deal-level losses increase significantly. Downgrades to 'AAAsf' rated classes are possible if interest shortfalls occur. Downgrades to 'Asf' and 'BBBsf'-rated classes could occur should more loans than anticipated experience performance declines and/or default at or prior to maturity. Downgrades to 'BBsf' and 'Bsf'-rated classes could occur with further performance deterioration of the FLOCs, loans transfer to special servicing and/or more loans than expected experience performance declines. Notable FLOCs include 1100 & 820 First Street NE and Nine + Eighteen Apartments in the BBCMS 2022-C14 transaction, Houston Multifamily in BBCMS 2022-C16, and A&R Hospitality Portfolio, KB Portfolio and Village Crossroads in the BBCMS 2022-C17 transaction. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf'-rated categories may be possible with improved credit enhancement and/or defeasance, coupled with stable pool-level loss expectations. Upgrades to 'BBBsf'-rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf'-rated categories would not occur until later years of the transaction and would require performance stabilization of the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Moody's Takes Action on 18 Bonds from 11 US RMBS Deals ---------------------------------------------------------- Moody's Ratings has upgraded the ratings of 17 bonds and downgraded the rating of one bond from 11 US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=qxPHQp 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: Argent Securities Trust 2006-W1 Cl. A-2C, Upgraded to Ba1 (sf); previously on Feb 6, 2024 Upgraded to B2 (sf) Cl. A-2D, Upgraded to Ba1 (sf); previously on Feb 6, 2024 Upgraded to B2 (sf) Issuer: Centex Home Equity Loan Trust 2002-A Cl. AF-5, Upgraded to Ba3 (sf); previously on Mar 4, 2014 Downgraded to B1 (sf) Cl. AF-6, Upgraded to Baa3 (sf); previously on Nov 4, 2016 Upgraded to Ba1 (sf) Cl. AV, Upgraded to Baa1 (sf); previously on Oct 11, 2022 Downgraded to Ba1 (sf) Issuer: CWABS, Inc. Asset-Backed Certificates, Series 2004-1 Cl. 1-A, Upgraded to Aa1 (sf); previously on Dec 21, 2016 Confirmed at Aa2 (sf) Issuer: Fannie Mae Grantor Trust 2004-T5 Cl. AB-4, Upgraded to Aa2 (sf); previously on Jun 4, 2019 Upgraded to Aa3 (sf) Issuer: Fremont Home Loan Trust 2005-D Cl. M1, Upgraded to Ba1 (sf); previously on Feb 6, 2024 Upgraded to Ba3 (sf) Issuer: Impac CMB Trust Series 2005-1 Collateralized Asset-Backed Bonds, Series 2005-1 Cl. 1-A-1, Upgraded to A2 (sf); previously on Nov 4, 2015 Upgraded to A3 (sf) Cl. 2-A-1, Upgraded to Aa3 (sf); previously on Nov 4, 2015 Upgraded to A2 (sf) Cl. 2-A-2, Upgraded to A2 (sf); previously on Nov 4, 2015 Upgraded to Ba1 (sf) Cl. M-1, Upgraded to B2 (sf); previously on Nov 4, 2015 Upgraded to B3 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCH1 Cl. M-5, Downgraded to Caa1 (sf); previously on May 5, 2017 Upgraded to B1 (sf) Issuer: RAMP Series 2004-RS8 Trust Cl. M-II-2, Upgraded to B1 (sf); previously on Jun 16, 2020 Downgraded to Caa1 (sf) Issuer: RASC Series 2003-KS7 Trust Cl. M-I-1, Upgraded to Ba3 (sf); previously on Jan 23, 2019 Upgraded to B3 (sf) Issuer: RASC Series 2005-AHL3 Trust Cl. M-1, Upgraded to Baa1 (sf); previously on Dec 10, 2019 Upgraded to Ba2 (sf) Issuer: Structured Asset Securities Corp Trust 2005-NC2 Cl. M6, Upgraded to Aaa (sf); previously on Feb 6, 2024 Upgraded to A1 (sf) Cl. M7, Upgraded to B1 (sf); previously on Feb 6, 2024 Upgraded to Caa1 (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. The credit enhancement since 12 months ago has grown, on average, by 7% for the tranches upgraded. 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. The upgrade actions on certain bonds are also driven by the projected availability and crossing of excess funds between two collateral pools in consideration of factors, such as the speed of paydown of the bonds and the expected timing of losses. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. The rating upgrade on Class AB-4 from the resecuritization transaction, Fannie Mae Grantor Trust 2004-T5, reflects the rating action on the underlying bond in CWABS, Inc. Asset-Backed Certificates, Series 2004-1. 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. The rating downgrade of Class M-5 issued by Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCH1 is the result of outstanding credit interest shortfalls that are unlikely to be recouped. The bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. 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 rating all deals except Fannie Mae Grantor Trust 2004-T5 was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades Ratings on 25 Bonds from 3 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 25 bonds from three US residential mortgage-backed transactions (RMBS). A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=SnQQjL 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: Mello Mortgage Capital Acceptance 2021-INV3 Cl. A-14, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 18, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 18, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 18, 2024 Upgraded to B2 (sf) Issuer: MFA 2021-AEINV1 Trust Cl. A-14, Upgraded to Aaa (sf); previously on Oct 18, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Oct 18, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Oct 18, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Oct 18, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Oct 18, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 18, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 18, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 18, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 18, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 18, 2024 Upgraded to B1 (sf) Issuer: MFA 2021-AEINV2 Trust Cl. A-14, Upgraded to Aaa (sf); previously on Dec 20, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Dec 20, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Dec 20, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 18, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 18, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 18, 2024 Upgraded to B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions continue to display strong collateral performance, with no cumulative losses to date. In addition, the credit enhancement for each tranche upgraded has grown by, an average, 14% 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 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. [*] Moody's Upgrades Ratings on 52 Bonds from 6 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 52 bonds from six US residential mortgage-backed transaction (RMBS), backed by agency-eligible mortgage loans issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=uLHPoE 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: New Residential Mortgage Loan Trust 2021-INV1 Cl. A3, Upgraded to Aaa (sf); previously on Aug 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A4, Upgraded to Aaa (sf); previously on Aug 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. AX1*, Upgraded to Aaa (sf); previously on Aug 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. AX3*, Upgraded to Aaa (sf); previously on Aug 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. AX10*, Upgraded to Aaa (sf); previously on Aug 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded to Aa3 (sf) Cl. B1, Upgraded to Aa1 (sf); previously on Jan 30, 2024 Upgraded to Aa2 (sf) Cl. B1A, Upgraded to Aa1 (sf); previously on Jan 30, 2024 Upgraded to Aa2 (sf) Cl. B3, Upgraded to A2 (sf); previously on Jan 30, 2024 Upgraded to A3 (sf) Cl. B4, Upgraded to Baa2 (sf); previously on Jan 30, 2024 Upgraded to Baa3 (sf) Cl. B5, Upgraded to Ba1 (sf); previously on Jan 30, 2024 Upgraded to Ba3 (sf) Cl. BX1*, Upgraded to Aa1 (sf); previously on Jan 30, 2024 Upgraded to Aa2 (sf) Issuer: New Residential Mortgage Loan Trust 2021-INV2 Cl. B, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded to Aa3 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded to Aa3 (sf) Cl. B2A, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded to Aa3 (sf) Cl. B3, Upgraded to A1 (sf); previously on Jan 30, 2024 Upgraded to A2 (sf) Cl. B4, Upgraded to Baa2 (sf); previously on Jan 30, 2024 Upgraded to Baa3 (sf) Cl. B5, Upgraded to Ba1 (sf); previously on Jan 30, 2024 Upgraded to Ba2 (sf) Cl. BX*, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded to Aa3 (sf) Cl. BX2*, Upgraded to Aa2 (sf); previously on Jan 30, 2024 Upgraded to Aa3 (sf) Issuer: UWM Mortgage Trust 2021-INV2 Cl. A-14, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Sep 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 30, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jan 30, 2024 Upgraded to B2 (sf) Issuer: UWM Mortgage Trust 2021-INV3 Cl. A-14, Upgraded to Aaa (sf); previously on Nov 5, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Nov 5, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Nov 5, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Nov 5, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Nov 5, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 5, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 30, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 30, 2024 Upgraded to B2 (sf) Issuer: UWM Mortgage Trust 2021-INV4 Cl. A-14, Upgraded to Aaa (sf); previously on Nov 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Nov 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Nov 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Nov 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Nov 24, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 24, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Nov 24, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 30, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Nov 24, 2021 Definitive Rating Assigned B3 (sf) Issuer: UWM Mortgage Trust 2021-INV5 Cl. B-1, Upgraded to Aa2 (sf); previously on Dec 21, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Dec 21, 2021 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 30, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Dec 21, 2021 Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative loss for each transaction under 0.03% and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown significantly as the pools amortized relatively quickly. The credit enhancement since closing has grown, on average, by 14% for the tranches upgraded. 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. 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. [*] Moody's Upgrades Ratings on 52 Bonds from 6 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 52 bonds from six US residential mortgage-backed transactions (RMBS). OBX 2021-J3 Trust and RATE Mortgage Trust 2021-J3 are backed by prime jumbo and agency eligible mortgage loans. OBX 2021-INV1 Trust, OBX 2021-INV2 Trust, OBX 2022-INV4 Trust and Bayview MSR Opportunity Master Fund Trust 2021-INV5 are backed by almost entirely agency eligible investor (INV) mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=iFBNIf 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: Bayview MSR Opportunity Master Fund Trust 2021-INV5 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Issuer: OBX 2021-INV1 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jan 8, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jan 8, 2024 Upgraded to B1 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-IO3*, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to A3 (sf) Issuer: OBX 2021-INV2 Trust Cl. A-18, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-19, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-IO-20*, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-IO-21*, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 8, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 8, 2024 Upgraded to B2 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-IO3*, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Issuer: OBX 2021-J3 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Jan 8, 2024 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jan 8, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jan 8, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jan 8, 2024 Upgraded to B1 (sf) Cl. B-X-1*, Upgraded to Aaa (sf); previously on Jan 8, 2024 Upgraded to Aa1 (sf) Issuer: OBX 2022-INV4 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Jun 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Jun 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-IO14*, Upgraded to Aaa (sf); previously on Jun 9, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Jun 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 8, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jan 8, 2024 Upgraded to B2 (sf) Cl. B-IO1*, Upgraded to Aa2 (sf); previously on Jun 9, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-IO2*, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-IO3*, Upgraded to A2 (sf); previously on Jan 8, 2024 Upgraded to Baa1 (sf) Issuer: RATE Mortgage Trust 2021-J3 Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 12, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Oct 12, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 8, 2024 Upgraded to A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Jan 8, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 8, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 8, 2024 Upgraded to B1 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Oct 12, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Jan 8, 2024 Upgraded to A2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions continue to display strong collateral performance, with no cumulative loss for the transactions and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 18% for the non-exchangeable tranches upgraded. Moody's analysis 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, 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, credit enhancement and other qualitative considerations. 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. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. 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