/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/241222.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 22, 2024, Vol. 28, No. 356 Headlines 522 FUNDING 2019-4(A): Moody's Affirms Ba3 Rating on Class E Notes 720 EAST 2022-I: S&P Assigns Prelim BB- (sf) Rating on E-R Notes A&D MORTGAGE 2024-NQM6:S&P Assigns Prelim 'B-' Rating on B-2 Certs AB BSL 5: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ARES CLO XLV: Moody's Assigns Ba3 Rating to $23.625MM E-R Notes ARES XLII CLOI: Moody's Assigns B3 Rating to $350,000 F-R2 Notes ARES XLIII: Fitch Assigns 'BBsf' Rating on Cl. E-R2 Debt ATLAS SENIOR X: S&P Affirms CCC+ (sf) Rating on Class F Notes BARINGS CLO 2019-III: S&P Assigns Prelim 'BB-'Rating on E-RR Notes BARINGS CLO 2024-V: Fitch Assigns 'BB-sf' Rating on Class E Notes BATTALION CLO XVI: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes BENCHMARK 2024-V12: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J Certs BENEFIT STREET XVI: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes BENEFIT STREET XXXVII: S&P Assigns BB-(sf) Rating on Class E Notes BLACKROCK MAROON XI: S&P Assigns Prelim 'BB-' Rating on E-R Notes BRAVO RESIDENTIAL 2024-NQM8: Fitch Assigns Bsf Rating on B-2 Notes BX COMMERCIAL 2024-GPA3: S&P Assigns BB+ (sf) Rating on HRR Certs CARVAL CLO II: Moody's Assigns Ba3 Rating to $41.75MM E-R2 Notes CARVANA AUTO 2024-P4: S&P Assigns BB+ (sf) Rating on Class N Notes CHASE HOME 2024-10: DBRS Finalizes B(low) Rating on B-5 Certs CHASE HOME 2024-11: Fitch Assigns B(EXP)sf Rating on Cl. B-5 Certs CITIGROUP COMMERCIAL 2020-555: DBRS Confirms B Rating on G Certs COLT 2024-7: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs COMM MORTGAGE 2013-CCRE12: Moody's Cuts Rating on 2 Tranches to Ca DIAMETER CAPITAL 3: S&P Assigns Prelim BB-(sf) Rating on D-R Notes DIAMETER CREDIT II: Moody's Ups Rating on $25.65MM E Notes From Ba2 DRYDEN 50 SENIOR: Moody's Affirms Ba3 Rating on $30MM Cl. E Notes EATON VANCE 2015-1: Moody's Cuts Rating on $8MM F-R Notes to Caa3 FLATIRON CLO 26: Fitch Assigns 'BB-sf' Rating on Class E Notes FORTRESS CREDIT VIII: S&P Affirms BB- (sf) Rating on Class E Notes FORTRESS CREDIT XXV: S&P Assigns BB- (sf) Rating on Class E Notes FORTRESS CREDIT XXVI: S&P Assigns Prelim BB-(sf) Rating on E Notes FREED MORTGAGE 2022-HE1: DBRS Confirms B(low) Rating on C Notes GALAXY 30: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes GLS AUTO 2023-4: S&P Affirms BB- (sf) Rating on Class E Notes GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Tranches GS MORTGAGE 2021-PJ11: Moody's Ups Rating on Cl. B-5 Certs to Ba2 GS MORTGAGE 2021-ROSS: DBRS Cuts Rating on 3 Tranches to C(sf) GS MORTGAGE 2024-PJ10: DBRS Finalizes B(low) Rating on B5 Notes GS MORTGAGE 2024-RPL7: DBRS Gives B(high) Rating on B-2 Notes HARVEST US 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes HMH TRUST 2017-NSS: S&P Lowers Class D Certs Rating to 'D (sf)' JP MORGAN 2021-410T: DBRS Confirms B Rating on Class D Certs JP MORGAN 2024-11: DBRS Finalizes B(low) Rating on B-5 Certs JP MORGAN 2024-CCM1: DBRS Finalizes B(low) Rating on B-5 Certs JPMCC 2012-CIBX: DBRS Confirms C Rating on 3 Classes KEYCORP STUDENT 2006-A: Moody's Ups Rating on II-C Certs to Caa2 KRR CLO 60: Fitch Assigns 'BB+sf' Rating on E Notes, Outlook Stable KSL COMMERCIAL 2024-HT2: DBRS Gives Prov. B(high) on HRR Certs LAKE SHORE V: S&P Assigns BB- (sf) Rating on Class C-R Notes MADISON PARK LXVI: Fitch Assigns 'BB+sf' Rating on Class E Notes MADISON PARK LXVI: Moody's Assigns B2 Rating to $350,000 F Notes MADISON PARK XLV: S&P Assigns BB- (sf) Rating on Class E-RR Notes MAGNETITE XXXIX: S&P Assigns BB- (sf) Rating on Class E-2-R Notes MENLO CLO I: S&P Assigns Prelim B- (sf) Rating on Class F Notes MF1 2020-FL4: DBRS Confirms B(low) Rating on Class G Notes MORGAN STANLEY 2017-ASHF: S&P Affirms 'CCC' Rating on Cl. F Certs NATIXIS COMMERCIAL 2019-NEMA: DBRS Confirms BB Rating on X Certs NEUBERGER BERMAN 29: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes NEW MOUNTAIN 2: Fitch Assigns 'B-sf' Rating on Class F-R Notes NEW RESIDENTIAL 2024-NQM3: Fitch Gives B-sf Rating on Cl. B-2 Notes NXT CAPITAL 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes OCEANVIEW MORTGAGE 2021-5: Moody's Ups Rating on B-5 Certs to Ba1 OCP CLO 2015-10: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes OHA CREDIT 4: S&P Assigns BB- (sf) Rating on Class E-R2 Notes PIKES PEAK 10: Fitch Assigns 'Bsf' Rating on Class F-R Notes PRESTIGE AUTO 2023-2: S&P Affirms BB- (sf) Rating on Class E Notes PRPM LLC 2024-RPL4: Moody's Assigns Ba2 Rating to Cl. M-2 Certs RALI TRUST 2007-QH1: Moody's Hikes Rating on Cl. A-1 Certs to B1 REALT 2016-1: Fitch Affirms 'Bsf' Rating on Class G Debt RIVERVIEW HECM 2007-1: S&P Affirms CCC (sf) on Class A Notes ROCKFORD TOWER 2021-3: Fitch Assigns BB-sf Rating on Cl. E-R Notes SAGARD-HALSEYPOINT 8: S&P Assigns Prelim 'BB-' Rating on E Notes SCULPTOR CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs SHACKLETON 2018-XII CLO: Moody's Affirms Ba3 Rating on Cl. E Notes SIGNAL PEAK 9: S&P Assigns BB- (sf) Rating on Class E-R Notes SIXTH STREET 27: S&P Assigns BB- (sf) Rating on Class E Notes SYMPHONY CLO 40: S&P Assigns Prelim BB- (sf) Rating on E-R Notes SYMPHONY CLO 46: Fitch Assigns 'BB-sf' Rating on Class E Notes TOWD POINT 2024-CES6: DBRS Finalizes BB(high) Rating on 5 Classes TRIMARAN CAVU 2024-1: S&P Assigns Prelim BB-(sf) Rating on E Notes TRINITAS CLO XXXI: S&P Assigns BB- (sf) Rating on Class E Notes UBS-BARCLAYS 2012-C4: DBRS Confirms C Rating on Class F Certs UPGRADE RECEIVABLES 2024-1: DBRS Finalizes B Rating on E Notes VERUS SECURITIZATION 2024-9: S&P Assigns 'B-' Rating on B-2 Notes WELLS FARGO 2022-C62: Fitch Lowers Rating on Cl. G-RR Debt to CCCsf WFRBS COMMERCIAL 2014-C21: Moody's Affirms Ba1 Rating on C Certs [*] Fitch Affirms Ratings on 4 Metronet Infrastructure Debt Series [*] Moody's Upgrades Ratings on 19 Bonds From 3 US RMBS Deals [*] S&P Discontinues 'D' Ratings on 11 Classes From Five US Deals [*] S&P Takes Various Actions on 65 Classes From 13 US RMBS Deals ********* 522 FUNDING 2019-4(A): Moody's Affirms Ba3 Rating on Class E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by 522 Funding CLO 2019-4(A), Ltd.: US$24,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Sep 19, 2024 Upgraded to A2 (sf) Moody's have also affirmed the ratings on the following notes: US$290,000,000 (current outstanding amount US$7,654,101) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 19, 2024 Affirmed Aaa (sf) US$52,000,000 Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 19, 2024 Affirmed Aaa (sf) US$25,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 19, 2024 Upgraded to Aaa (sf) US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 19, 2024 Affirmed Ba3 (sf) 522 Funding CLO 2019-4(A), Ltd., originally issued in February 2019 and partially refinanced in January 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by MS 522 CLO CM LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in September 2024. The affirmations on the ratings on the Class A-R, B-R, C-R 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-R notes have paid down by approximately USD25.0 million (8.6% of original balance) since the last rating action and USD282.3 million (97.4%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated November 2024 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 240.6%, 169.1%, 131.5% and 109.0% compared to August 2024 [2] levels of 195.8%, 150.9%, 123.6% and 105.8%, respectively. 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: USD145.2m Defaulted Securities: USD2.5m Diversity Score: 44 Weighted Average Rating Factor (WARF): 3306 Weighted Average Life (WAL): 3.32 years Weighted Average Spread (WAS): 3.55% Weighted Average Recovery Rate (WARR): 46.1% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" 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. 720 EAST 2022-I: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt from 720 East CLO 2022-I Ltd./720 East CLO 2022-I LLC, a CLO originally issued in December 2022 that is managed by Northwestern Mutual Investment Management Co. LLC. The preliminary ratings are based on information as of Dec. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 20, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, B-R, C-R, D-R, and E-R notes are expected to be issued at a lower spread over three-month SOFR than the original notes. -- The new class A-2-R notes are expected to be issued at a 1.60% floating rate above three-month CME term SOFR and rated 'AAA (sf)'. -- The reinvestment period will be extended to January 2030. -- The stated maturity will be extended to January 2038. -- A concentration limit of 2.0% of long-dated obligations is being added to the transaction. -- The concentration limit for current-pay securities is being reduced to 5.0% from 10.0%. 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 720 East CLO 2022-I Ltd./720 East CLO 2022-I LLC Class A-1-R, $272.00 million: AAA (sf) Class A-2-R, $20.50 million: AAA (sf) Class B-R, $30.50 million: AA (sf) Class C-R (deferrable), $25.50 million: A (sf) Class D-R (deferrable), $25.50 million: BBB- (sf) Class E-R (deferrable), $17.00 million: BB- (sf) Subordinated notes, $35.30 million: Not rated A&D MORTGAGE 2024-NQM6:S&P Assigns Prelim 'B-' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to A&D Mortgage Trust 2024-NQM6's mortgage-backed certificates. First- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, mixed-use properties, manufactured housing, five- to 10-unit multifamily residences, and condotels. The pool consists of 872 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption (average prime offer rate), non-QM/ability to repay (ATR)-compliant loans, and ATR-exempt loans. The preliminary ratings are based on information as of Dec. 12, 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 and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, A&D Mortgage LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- The expectation that the Federal Reserve will reduce the federal funds rate more gradually and reach an assumed neutral rate of 3.1% by fourth-quarter 2026, as opposed to our previous expectations of fourth-quarter 2025. S&P said, "We continue to expect real GDP growth to slow from above-trend growth this year to below-trend growth in 2025. 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 a 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. S&P Global Ratings announced on Oct. 16, 2024, that it is requesting comments on its proposal to update its criteria for rating U.S. RMBS transactions issued 2009 and later. The proposal, if implemented, would apply to the transaction discussed in this presale report." Preliminary Ratings Assigned(i) A&D Mortgage Trust 2024-NQM6 Class A-1A, $149,992,000: AAA (sf) Class A-1B, $30,394,000: AAA (sf) Class A-1, $180,386,000: AAA (sf) Class A-2, $34,953,000: AA- (sf) Class A-3, $40,575,000: A- (sf) Class M-1, $17,173,000: BBB- (sf) Class B-1A, $8,358,000: BB (sf) Class B-1B, $5,015,000: BB- (sf) Class B-2, $10,182,000: B- (sf) Class B-3, $7,294,810: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, not applicable: NR (i)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 and is initially $303,936,810. NR--Not rated. AB BSL 5: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to AB BSL CLO 5 Ltd./AB BSL CLO 5 LLC's floating-rate debt. The debt issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by AB Broadly Syndicated Loan Manager LLC, a subsidiary of Alliance Bernstein L.P. The preliminary ratings are based on information as of Dec. 19, 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 the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned AB BSL CLO 5 Ltd./AB BSL CLO 5 LLC Class A-1, $127.00 million: AAA (sf) Class A-L, $125.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.21 million: Not rated ARES CLO XLV: Moody's Assigns Ba3 Rating to $23.625MM E-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by Ares XLV CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$114,110,703 Class A-R Senior Floating Rate Notes due 2030 (the "Class A-R Notes"), Assigned Aaa (sf) US$53,813,000 Class B-R Senior Floating Rate Notes due 2030 (the "Class B-R Notes"), Assigned Aaa (sf) US$27,562,000 Class C-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Assigned Aaa (sf) US$36,750,000 Class D-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Assigned A3 (sf) US$23,625,000 Class E-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), 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. Ares CLO Management II LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. 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 the updates to alternative benchmark replacement provisions. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $282,074,615 Defaulted par: $138,893 Diversity Score: 52 Weighted Average Rating Factor (WARF): 3307 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.45% Weighted Average Recovery Rate (WARR): 47.12% Weighted Average Life (WAL): 3.11 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 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. ARES XLII CLOI: Moody's Assigns B3 Rating to $350,000 F-R2 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Ares XLIII CLO Ltd. (the Issuer): US$448,000,000 Class A-1-R2 Senior Floating Rate Notes due 2038, Assigned Aaa (sf) US$350,000 Class F-R2 Mezzanine Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured 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 five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $700,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3157 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.00% 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 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. ARES XLIII: Fitch Assigns 'BBsf' Rating on Cl. E-R2 Debt -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares XLIII CLO Ltd. Reset. Entity/Debt Rating Prior ----------- ------ ----- Ares XLIII CLO Ltd. A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating A-R 04016PAJ7 LT PIFsf Paid In Full AAAsf B-R2 LT AA+sf New Rating C-R2 LT A+sf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BBsf New Rating F-R2 LT NRsf New Rating Transaction Summary Ares XLIII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC. The CLO was originally closed in 2017 and refinanced in 2021. It is scheduled for a second refinancing on Dec. 12, 2024. The net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $700 million, primarily consisting of first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.92% first lien senior secured loans and has a weighted average recovery assumption of 74.04%. 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 that of 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-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, 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-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, 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-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Ares XLIII CLO Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ATLAS SENIOR X: S&P Affirms CCC+ (sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B and C debt from Atlas Senior Loan Fund X Ltd., and removed them from CreditWatch, where it placed them with positive implications on Oct. 9, 2024. At the same time, S&P affirmed its ratings on the class A, D, E, and F debt from the same transaction. The transaction is a U.S. CLO managed by Crescent Capital Group L.P. The rating actions follow S&P's review of the transaction's performance using data from the Oct. 3, 2024 trustee report. Since S&P's August 2023 rating actions, the class A notes have been paid down by $164.38 million. These paydowns resulted in the following improved reported overcollateralization (O/C) ratios since the Aug. 6, 2023 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 154.32% from 127.95%. -- The class C O/C ratio improved to 129.10% from 116.43%. -- The class D O/C ratio improved to 113.26% from 108.11%. -- The class E O/C ratio improved to 105.31% from 103.55%. All O/C ratios experienced a positive movement due to the lower balances of the senior notes; consequently, the credit support increased. Collateral obligations with ratings in the 'CCC' category are at $48.63 million as of the Oct.3, 2024 trustee report, compared with $52.57 million reported as of the Aug. 6, 2023 trustee report. Though the dollar value of the 'CCC' exposure has declined, the CLO's portfolio has amortized significantly since S&P's last rating action. Consequently, the percentage exposure of the 'CCC' balance increased, and is now more than the maximum allowed by the documents. As a result, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator. The current haircut is approximately 2.3% for this excess. The trustee also reported a decrease in defaulted assets to $3.10 million from $5.25 million over the same time period. However, despite the slightly larger concentrations in the 'CCC' category, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.16 years reported as of the October 2024 trustee report, compared with 3.81 years reported at the time of S&P's August 2023 rating actions. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. S&P said, "Though our cash flow analysis indicated higher ratings for the class C and D debt, our rating actions reflect additional sensitivity runs that considered the exposure to 'CCC' rated assets and distressed prices that we noticed in the portfolio." The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could results in further ratings changes. S&P said, "We note that although the cash flow analysis results indicate lower ratings for the class E and F debt, we view the overall credit seasoning as an improvement to the transaction. We also considered the class E's trustee O/C ratio, which is passing, and that its pure O/C ratio (without a haircut) is higher than the reported O/C. The class F debt does not have a O/C calculation, but based on its credit support and the CLO's exposure to 'CCC' obligations, we believe that the tranche is stable but continues to need favorable conditions for repayment as per our 'CCC' category definitions. Any increase in defaults or par losses could lead to negative rating actions on the class E and F debt in the future. "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. In addition, our analysis 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 all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Atlas Senior Loan Fund X Ltd. Class B to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C to 'AA (sf)' from 'A (sf)/Watch Pos' Ratings Affirmed Atlas Senior Loan Fund X Ltd. Class A: AAA (sf) Class D: BBB- (sf) Class E: B+ (sf) Class F: CCC+ (sf) BARINGS CLO 2019-III: S&P Assigns Prelim 'BB-'Rating on E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1 loans and A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from Barings CLO Ltd. 2019-III/Barings CLO 2019-III LLC, a CLO managed by Barings LLC that was originally issued in April 2019 and underwent a first refinancing in May 2021. The preliminary ratings are based on information as of Dec. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 23, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the May 2021 debt. At that time, S&P expects to withdraw its ratings on the May 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Dec. 23, 2025. -- The reinvestment period will be extended to Dec. 23, 2028. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Jan. 20, 2036. -- Class A-1 loans will be issued as part of this refinancing, on a pro-rata basis with the class A-1-RR debt. -- The previous floating-rate class D-R debt is expected to be replaced by the sequential floating-rate class D-1-RR and D-2-RR debt. -- The issuer is amending provisions related to workout assets. -- The concentration limitations of the collateral portfolio's investment guidelines will be amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Barings CLO Ltd. 2019-III/Barings CLO 2019-III LLC Class A-1-RR, $193.40 million: AAA (sf) Class A-1 Loans, $62.60 million: AAA (sf) Class A-2-RR, $12.00 million: AAA (sf) Class B-RR, $36.00 million: AA (sf) Class C-RR (deferrable), $24.00 million: A (sf) Class D-1-RR (deferrable), $21.00 million: BBB (sf) Class D-2-RR (deferrable), $7.00 million: BBB- (sf) Class E-RR (deferrable), $12.00 million: BB- (sf) Other Debt Barings CLO Ltd. 2019-III/Barings CLO 2019-III LLC Subordinated notes, $56.58 million: Not rated BARINGS CLO 2024-V: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2024-V. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2024-V X LT AAAsf New Rating AAA(EXP)sf 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 BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Barings CLO Ltd. 2024-V (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. 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 22.31, versus a maximum covenant, in accordance with the initial expected matrix point of 23. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.4% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.36% versus a minimum covenant, in accordance with the initial expected matrix point of 73.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and '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 X, 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 Barings CLO Ltd. 2024-V. 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. BATTALION CLO XVI: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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./Battalion CLO XVI LLC, a CLO managed by Brigade Capital Management L.P. that was originally issued in December 2019 and underwent a first refinancing in December 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and E-R debt following payment in full. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 20, 2027. -- The reinvestment period was extended to Jan. 20, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to Jan. 20, 2038. -- Additional assets were purchased on the Dec. 12, 2024, refinancing date, and the target initial par amount remains at $400 million. There was 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 were amended. -- Additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and 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 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) Ratings Withdrawn Battalion CLO XVI Ltd./Battalion CLO XVI LLC Class A-R, to NR from AAA (sf) Class B-R, to NR from AA (sf) Class C-R (deferrable), to NR from A (sf) Class D-R (deferrable), to NR from BBB+ (sf) Class E-R (deferrable), to NR from BB+ (sf) Other Debt Battalion CLO XVI Ltd./Battalion CLO XVI LLC Subordinated notes(i), $71.9 million: NR (i)The notional amount of subordinated notes was increased to $71.9 million from $38.5 million in connection with the refinancing. NR--Not rated. BENCHMARK 2024-V12: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2024-V12 Mortgage Trust Commercial Mortgage Pass-Through Certificates series 2024-V12 as follows: - $209,000 class A-1 'AAAsf'; Outlook Stable; - $100,000,000d class A-2 'AAAsf'; Outlook Stable; - $400,000,000d class A-3 'AAAsf'; Outlook Stable; - $73,245,000 class A-S 'AAAsf'; Outlook Stable; - $573,454,000a class X-A 'AAAsf'; Outlook Stable; - $36,623,000 class B 'AA-sf'; Outlook Stable; - $36,623,000a class X-B 'AA-sf'; Outlook Stable; - $27,690,000b class C 'A-sf'; Outlook Stable; - $15,185,000b class D 'BBBsf'; Outlook Stable; - $7,146,000b class E 'BBB-sf'; Outlook Stable; - $8,039,000b class F 'BBsf'; Outlook Stable; - $7,146,000b class G 'BB-sf'; Outlook Stable; - $9,825,000b class J 'B-sf'; Outlook Stable. Fitch does not expect to rate the follow classes: - $29,477,250b class K - $24,274,750c class RR Interest - $13,335,000c class RR Certificate (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Class RR Interest and class RR Certificate represent the transaction's vertical risk retention interest. (d) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $500,000,000 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 $200,000,000, and the expected class A-3 balance range is $300,000,000 to $7500,000,000. Fitch's certificate balances for classes A-2 and A-3 reflect the midpoint value of each range. The expected ratings are based on information provided by the issuer as of Dec. 12, 2024. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 fixed-rate commercial mortgage loans secured by fee simple and leasehold interests in 156 commercial properties with an aggregate principal balance of $752,195,000 as of the cutoff date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Citi Real Estate Funding Inc., German American Capital Corporation, Bank of Montreal and Barclays Capital Real Estate Inc. The master servicer is expected to be Wells Fargo Bank, N.A. and the special servicer is expected to be K-Star Asset Management LLC. Midland Loan Services, a Division of PNC Bank, National Association, is expected to act as primary servicer with respect to loans contributed by Citi, pursuant to a primary servicing agreement with the master servicer. The trustee and certificate administrator are expected to be Computershare Trust Company, N.A. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 17 loans totaling 81.1% of the pool balance. Fitch's aggregate net cash flow (NCF), including the pro-rated trust portion of any pari passu loan, is $75.1 million, which represents a 15.0% decline from the issuer's aggregate underwritten net cash flow NCF of $88.3 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.2% is worse than both the 2024 YTD and 2023 five-year multiborrower transaction averages of 94.8% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is weaker than both the 2024 YTD and 2023 averages of 10.2% and 10.6%, respectively. Investment- Grade Credit Opinion Loans: Three loans representing 16.6% of the pool balance received investment-grade credit opinions. Queens Center (10.0% of pool) received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. CBM Portfolio (4.0% of pool) received an investment-grade credit opinion of 'A-sf*' on a standalone basis. ICONIQ Multifamily Portfolio (2.7% of pool) received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than both the 2024 YTD average of 12.7% and the 2023 average of 14.6% for Fitch-rated five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 105.0% and 9.4%, respectively. High Loan Concentration: The pool is more concentrated than recently rated Fitch transactions. The largest 10 loans represent 62.8% of the pool, which is worse than both the 2024 YTD five-year multiborrower average of 60.0% but better than the 2023 average of 65.3%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.1. Property Type Concentration: The pool's effective property type count of 4.5 is slightly better than the 2024 YTD and 2023 averages of 4.3 and 4.0, respectively, but the transaction is modestly concentrated overall. The largest property type concentration is multifamily (30.1% of the pool), which is higher than the 2024 YTD and 2023 multifamily averages of 20.7% and 10.9%, respectively, for five-year multiborrower transactions rated by Fitch. The second largest property type is hotels, with six loans totaling 25.8% of the pool, including three of the largest 10 loans (Cheyenne Mountain Resort, Hotel Fort Des Moines, and CBM Portfolio). This is above the YTD 2024 and 2023 averages of 11.9% and 13.1%, respectively. The third largest property type concentration is retail (22.1% of the pool), which is higher than the 2024 YTD retail average of 19.7% but lower than the 2023 retail average of 31.6%. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributable to the shorter window of exposure to potentially adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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-f'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B+sf'/'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 table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: AAAsf/AA-sf/A-sf/BBBsf/BBB-sf/BBsf/BB-sf/B-sf - 10% NCF Increase: AAAsf/AA+sf/Asf/BBB+sf/BBBsf/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 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. BENEFIT STREET XVI: S&P Assigns Prelim 'BB-' 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 Benefit Street Partners CLO XVI Ltd./Benefit Street Partners CLO XVI LLC, a CLO managed by BSP CLO Management LLC that was originally issued in December 2018 and refinanced in June 2021. The previous transactions were not rated by S&P Global Ratings. The preliminary ratings are based on information as of Dec. 16, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 23, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the June 2021 debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at a lower weighted average spread than the original debt. -- The transaction will be collateralized by at least 90% senior secured loans, cash, and eligible investments. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Benefit Street Partners CLO XVI Ltd./ Benefit Street Partners CLO XVI LLC Class A-1-R2, $320.00 million: AAA (sf) Class A-2-R2, $10.00 million: AAA (sf) Class B-R2, $50.00 million: AA (sf) Class C-R2 (deferrable), $30.00 million: A (sf) Class D-1-R2 (deferrable), $30.00 million: BBB- (sf) Class D-2-R2 (deferrable), $5.00 million: BBB- (sf) Class E-R2 (deferrable), $15.00 million: BB- (sf) Other Debt Benefit Street Partners CLO XVI Ltd./ Benefit Street Partners CLO XVI LLC Subordinated notes, $83.82 million: Not rated BENEFIT STREET XXXVII: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Benefit Street Partners CLO XXXVII Ltd./Benefit Street Partners CLO XXXVII 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 Benefit Street Partners 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 Benefit Street Partners CLO XXXVII Ltd./ Benefit Street Partners CLO XXXVII 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), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $42.55 million: Not rated BLACKROCK MAROON XI: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-R, B-1R, B-2R, C-R, D-R, and E-R replacement debt from Blackrock Maroon Bells CLO XI LLC, a CLO originally issued in September 2022 that is managed by BlackRock Capital Investment Advisors LLC. The preliminary ratings are based on information as of Dec. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 19, 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 debt is expected to be issued at a lower coupon and a lower spread over three-month SOFR than the original debt, as applicable. -- The non-call period will be extended to December 2026. -- The reinvestment period will be extended to January 2030. -- The legal final maturity dates for the replacement debt and the existing variable dividend notes will be extended to January 2038. The target initial par amount will be upsized to $400.00 million. -- The class X-R debt is expected to be paid down using interest proceeds during the first 22 payment dates, beginning with the April 2025 payment date. -- The first payment date following the refinancing is April 2025. -- No additional variable dividend 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 BlackRock Maroon Bells CLO XI LLC Class X-R, $24.00 million: AAA (sf) Class A-R, $232.00 million: AAA (sf) Class B-1R, $30.00 million: AA (sf) Class B-2R, $10.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $26.00 million: BB- (sf) Other Debt BlackRock Maroon Bells CLO XI LLC Variable dividend notes, $53.70 million: Not rated BRAVO RESIDENTIAL 2024-NQM8: Fitch Assigns Bsf Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2024-NQM8 (BRAVO 2024-NQM8). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2024-NQM8 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The BRAVO 2024-NQM8 notes are supported by 533 loans with a total balance of approximately $226 million as of the cutoff date. Approximately 91.8% of the loans in the pool were originated by Citadel Servicing Corporation (dba Acra Lending) and 8.2% by First Guaranty Mortgage Corporation. Approximately 91.8% of the loans will be serviced by Citadel (primarily subserviced by ServiceMac) and the remaining approximately 8.2 % of the loans will be serviced by Nationstar Mortgage LLC (dba Rushmore). 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 9.9% above a long-term sustainable level versus 11.6% on a national level as of 2Q24, up 0.1% since later 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. Non-Qualified Mortgage Credit Quality (Mixed): The collateral consists of 533 loans totaling around $226 million and seasoned at around 39 months in aggregate, calculated by Fitch as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, a 731 model FICO and a 46% debt to income (DTI) ratio, including mapping for debt service coverage ratio (DSCR) loans, and low leverage of 62% for a sustainable loan to value (sLTV) ratio. Of the pool, 59.6% of loans are treated as owner-occupied, while 40.4% are treated as an investor property or second home, which include loans to foreign nationals or loans where the residency status was not confirmed. Additionally, 11.7% of the loans were originated through a retail channel. Of the loans, 60.2% are non-qualified mortgages (non-QMs), 1.6% are safe-harbor qualified mortgages (SHQM), while the Ability to Repay/Qualified Mortgage Rule (ATR) is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 92.2% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and approximately 39.8% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. Additionally, approximately 30.0% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12- or 24-month tax returns, award letter and written verification of employment (WVOE) products. Separately, 37 loans were originated to foreign nationals or the borrower residency status of the loans could not be confirmed. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes, while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature where the fixed interest rate for class A-1A, A-1B, A-2 and A-3 will increase by 125bps, subject to the net WAC, after four years. This eliminates the modest excess spread available to repay losses. Interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1A, A-1B, A-2 and A-3, prior to the payment of any current interest and interest carryover amounts due to the class B-3 notes on such payment date. The class B-3 notes will not be reimbursed for any amounts that were paid to the senior classes as cap carryover amounts. Starting from the payment date on and after December 2028, if the aggregate note amount of the senior notes is greater than zero or any current interest, interest carryforward amount, or cap carryover amount is owed to any class of senior notes, the note rate for the classes M-1, B-1 and B-2 notes will be a per annum rate equal to 0.000%. Following December 2028, it is unlikely these four bonds will receive any further interest payments due to the large expected cap carryover shortfalls on the senior bonds. No P&I Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement (CE) to pay timely interest to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 9.9% at the base case. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on regulatory compliance. Fitch considered this information in its analysis and, as a result, due to the clean diligence there was an immaterial impact to the transaction. ESG Considerations BRAVO 2024-NQM8 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to the R&W framework without offsetting 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. BX COMMERCIAL 2024-GPA3: S&P Assigns BB+ (sf) Rating on HRR Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to BX Commercial Mortgage Trust 2024-GPA3's commercial mortgage pass-through certificates. The issuance is a CMBS securitization backed by a $1.00 billion, two-year, interest-only, floating rate commercial mortgage loan with three successive one-year extension options. The loan is secured by the borrowers' (or, in the case of the two PILOT Lease Properties, the PILOT Lessor's) fee simple interests in 32 primarily 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. The 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. S&P 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. Since the issuance of S&P's preliminary ratings on Dec. 5, 2024, the mortgage loan's spread has been finalized at approximately 1.73%. This results in an S&P Global Ratings' debt service coverage ratio (DSCR) of 1.04x, based on the SOFR cap of 6.50% plus the spread and S&P Global Ratings' net cash flow. 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) Eligible horizontal residual interest. CARVAL CLO II: Moody's Assigns Ba3 Rating to $41.75MM E-R2 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by CarVal CLO II Ltd. (the "Issuer"). Moody's rating action is as follows: US$433,283,863 Class A-R2 Senior Secured Floating Rate Notes Due 2032, Assigned Aaa (sf) US$76,500,000 Class B-R2 Senior Secured Floating Rate Notes Due 2032, Assigned Aaa (sf) US$37,500,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes Due 2032, Assigned Aa3 (sf) US$46,500,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes Due 2032, Assigned Baa2 (sf) US$41,750,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes Due 2032, 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. CarVal CLO Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Issuer previously issued one other class 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. No action was taken on the Class F-R 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: $677,602,539 Defaulted par: $11,087,371 Diversity Score: 74 Weighted Average Rating Factor (WARF): 2852 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.23% Weighted Average Coupon (WAC): 4.30% Weighted Average Recovery Rate (WARR): 46.9% Weighted Average Life (WAL): 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 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. CARVANA AUTO 2024-P4: S&P Assigns BB+ (sf) Rating on Class N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of 15.66%, 13.48%, 10.31%, 6.55%, and 8.25% credit support (hard credit enhancement and haircut to excess spread) for the class A (class A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.33x, 2.33x, 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 '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 it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and 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 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. 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. CHASE HOME 2024-10: DBRS Finalizes B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-10 (the Certificates) issued by Chase Home Lending Mortgage Trust 2024-10 (CHASE 2024-10) as follows: -- $277.5 million Class A-2 at AAA (sf) -- $277.5 million Class A-3 at AAA (sf) -- $277.5 million Class A-3-X at AAA (sf) -- $208.1 million Class A-4 at AAA (sf) -- $208.1 million Class A-4-A at AAA (sf) -- $208.1 million Class A-4-X at AAA (sf) -- $69.4 million Class A-5 at AAA (sf) -- $69.4 million Class A-5-A at AAA (sf) -- $69.4 million Class A-5-X at AAA (sf) -- $166.5 million Class A-6 at AAA (sf) -- $166.5 million Class A-6-A at AAA (sf) -- $166.5 million Class A-6-X at AAA (sf) -- $111.0 million Class A-7 at AAA (sf) -- $111.0 million Class A-7-A at AAA (sf) -- $111.0 million Class A-7-X at AAA (sf) -- $41.6 million Class A-8 at AAA (sf) -- $41.6 million Class A-8-A at AAA (sf) -- $41.6 million Class A-8-X at AAA (sf) -- $40.6 million Class A-9 at AAA (sf) -- $40.6 million Class A-9-A at AAA (sf) -- $40.6 million Class A-9-X at AAA (sf) -- $138.7 million Class A-11 at AAA (sf) -- $138.7 million Class A-11-X at AAA (sf) -- $138.7 million Class A-12 at AAA (sf) -- $138.7 million Class A-13 at AAA (sf) -- $138.7 million Class A-13-X at AAA (sf) -- $138.7 million Class A-14 at AAA (sf) -- $138.7 million Class A-14-X at AAA (sf) -- $138.7 million Class A-14-X2 at AAA (sf) -- $138.7 million Class A-14-X3 at AAA (sf) -- $138.7 million Class A-14-X4 at AAA (sf) -- $456.8 million Class A-X-1 at AAA (sf) -- $13.7 million Class B-1 at AA (low) (sf) -- $13.7 million Class B-1-A at AA (low) (sf) -- $13.7 million Class B-1-X at AA (low) (sf) -- $7.8 million Class B-2 at A (low) (sf) -- $7.8 million Class B-2-A at A (low) (sf) -- $7.8 million Class B-2-X at A (low) (sf) -- $4.9 million Class B-3 at BBB (low) (sf) -- $3.2 million Class B-4 at BB (low) (sf) -- $1.5 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 6.70% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.90%, 2.30%, 1.30%, 0.65%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-10 (the Certificates). The Certificates are backed by 430 loans with a total principal balance of $515,426,108 as of the Cut-Off Date (November 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. Approximately 99.8% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 0.2% of the loans are conforming mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. Approximately 83.1% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool and Servicer of 100.0% of the pool. For this transaction, generally, 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. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. Notes: All figures are in US dollars unless otherwise noted. CHASE HOME 2024-11: Fitch Assigns B(EXP)sf Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2024-11 (Chase 2024-11). Entity/Debt Rating ----------- ------ Chase 2024-11 A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-6-X LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-8-X LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-X LT AAA(EXP)sf Expected Rating A-14-X2 LT AAA(EXP)sf Expected Rating A-14-X3 LT AAA(EXP)sf Expected Rating A-14-X4 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2024-11 (Chase 2024-11), as indicated above. The certificates are supported by 395 loans with a total balance of approximately $478.63 million as of the cutoff date. The scheduled balance as of the cutoff date is $478.42 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.4% 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 395 high quality, fixed-rate, fully amortizing loans with maturities of 15 to 30 years that total $478.42 million. In total, 100% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of 5.2 months, according to Fitch. The pool has a WA FICO score of 770, 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. Based on the transaction documents the updated FICO is 764. These high FICO scores are 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 78.1% 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 75.5%, which translates to a sustainable loan-to-value (sLTV) ratio of 83.3%. 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% of the loans are designated as Safe Harbor (APOR) QM loans. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (89.2% primary and 10.8% secondary). Single-family homes, and planned unit developments (PUDs) constitute 91.7% of the pool, condominiums make up 6.7%, and the remaining 1.6% are co-ops. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (93.3%), cashout refinances (1.3%) and rate-term refinances (5.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 24.9% are concentrated in Texas, followed by Florida and California. The largest MSA concentration is in the Dallas MSA (11.6%), followed by the Miami MSA (8.4%) and the New York MSA (6.7%). The top three MSAs account for 26.7% 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 class B-6). Once the B-1-A class is written off, losses will be allocated to class A-9-A first and then to the super senior classes pro-rata once class 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 class 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 1.50% 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 0.85% 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 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.14% at the 'AAAsf' stress due to 58.5% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58.5% 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 2024-11 has an ESG Relevance Score of '4' [+] for Transaction Parties and Operational Risk. Operational risk is well controlled in Chase 2024-11, including strong transaction due diligence. Additionally, the entire pool is originated by an 'Above Average' originator, and all of the pool loans are serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses 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. CITIGROUP COMMERCIAL 2020-555: DBRS Confirms B Rating on G Certs ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2020-555 issued by Citigroup Commercial Mortgage Trust 2020-555 as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X at AA (sf) -- Class D at AA (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which is secured by the leasehold interest in 555 Tenth Avenue, a Class A luxury high-rise apartment in the Midtown West submarket of Manhattan, New York, as illustrated by a high occupancy rate and healthy debt service coverage ratio (DSCR). According to the most recent servicer reported figures as of November 2024, net cash flow (NCF) for the subject collateral reflects steady year-over-year growth. The annualized trailing-six-month (T-6) NCF for the period ended June 2024 represents an increase of 2.0% and 8.6% over the YE2023 and YE2022 figures, respectively. Although expenses have increased since issuance, largely driven by repairs and maintenance costs and utility expenditures, revenue growth has outpaced the expense growth overall. In July 2023, the property suffered damages resulting in estimated losses exceeding $82.0 million after a construction crane atop a nearby building partially collapsed, crashing into the subject property before falling onto the street. The units and common areas affected were taken offline for repairs and the servicer has acknowledged receipt of at least $20 million in insurance proceeds. Morningstar DBRS posed a question to confirm the number of units affected and if all affected units and common areas have been repaired, re-leased, and covered by insurance proceeds; however, a response has not been received as of the date of this press release. According to the servicer reporting, the commercial units were fully occupied, and the residential units were 94.6% occupied as of June 2024, suggesting repairs have been completed and affected units are back online. Morningstar DBRS notes that Reis reports that the Q3 2024 average apartment vacancy for the Midtown West submarket is 4.3%, a marginal improvement from 4.6% a year prior, further supporting the property's ability to remain nearly fully occupied. The underlying collateral property consists of 598 apartment units, of which 150 are affordable housing under section 421-A; a charter school occupying nearly 110,000 square feet across eight floors; and ground-floor retail. The property offers high-end amenities, including a rooftop terrace, two fitness centers, a yoga studio, and a bowling alley. The apartment units feature luxurious finishes, including oversized windows, quartz countertops, and stainless-steel appliances. The building sits just north of the Hudson Yards development, with proximity to the Port Authority Bus Terminal and multiple subway lines. In exchange for providing affordable housing to the local community, the subject property benefits from a substantial tax abatement. The percentage of full taxes owed under the abatement declines gradually over time, and the abatement remains fully in place through 2053. In the first 10 years alone, full taxes would have been $135.1 million, while the abated taxes should approximate $1.8 million, or 1.3% of the full tax amount. The $400 million whole loan consists of $213.4 million of senior debt and $136.6 million of junior debt held in the trust, along with an additional $50.0 million of senior companion loan notes and $140 million of mezzanine debt held outside the trust. Whole-loan proceeds were used to repay existing debt, fund upfront reserves, and pay closing costs and stub interest. The interest-only (IO) loan has a fixed interest rate and is structured with a 10-year term. Given there are now three full years' worth of year-end reporting for this loan available, with consistent cash flow growth over the issuance expectations exhibited for a majority of those periods, Morningstar DBRS considered an updated NCF and Morningstar DBRS Value as part of the analysis for this loan. Morningstar DBRS derived an NCF of $26.7 million, which is based on a 2.0% haircut to the YE2023 figure. A capitalization rate of 5.85% was applied, based on the issuance analysis, resulting in a Morningstar DBRS value of $457.3 million and an implied Morningstar DBRS Loan-to-Value Ratio (LTV) of 87.5%. Morningstar DBRS maintained positive qualitative adjustments to the LTV sizing totaling 5.00% to account for limited cash flow volatility because of the property's historically high occupancy, as well as the property's above-average quality and desirable location within Midtown Manhattan. The resulting LTV sizing benchmarks supported the credit rating confirmations with this review. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2024-7: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2024-7 Mortgage Loan Trust (COLT 2024-7). Entity/Debt Rating Prior ----------- ------ ----- COLT 2024-7 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to 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 $434.9 million as of the cutoff date. Loans in the pool were originated by multiple originators, including The Loan Store Inc., Foundation Mortgage Corporation, Northpointe Bank (NPB) and various others. The loans were aggregated by Hudson Americas L.P. and are 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 MORTGAGE 2013-CCRE12: Moody's Cuts Rating on 2 Tranches to Ca ------------------------------------------------------------------ Moody's Ratings has affirmed the ratings on two classes and downgraded the ratings on three classes in COMM 2013-CCRE12 Mortgage Trust, Commercial Pass-Through Certificates, Series 2013-CCRE12 as follows: Cl. A-M, Affirmed B1 (sf); previously on Feb 28, 2024 Downgraded to B1 (sf) Cl. B, Downgraded to Ca (sf); previously on Feb 28, 2024 Downgraded to Caa3 (sf) Cl. C, Affirmed C (sf); previously on Feb 28, 2024 Affirmed C (sf) Cl. X-A*, Downgraded to B1 (sf); previously on Feb 28, 2024 Downgraded to Ba2 (sf) Cl. PEZ, Downgraded to Ca (sf); previously on Feb 28, 2024 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl A-M was affirmed because of the credit support and the expected principal paydowns from the remaining loans in the pool. The rating on Cl. B was downgraded due to the pool's expected losses resulting from the pool's significant exposure to delinquent specially serviced loans. Six of the remaining loans are in special servicing (96% of the pool) and five specially serviced loans, representing 73% of the pool, are all six months or more delinquent and have been deemed non-recoverable by the master servicer as of the November 2024 remittance statement. The non-recoverable loans include the largest specially serviced loan, 175 West Jackson (51% of the pool), which is secured by an office property that has experienced significant declines in value and net operating income (NOI) since securitization. The second largest specially serviced loan is the Oglethorpe Mall loan (20% of the pool), which failed to pay off at its July 2023 maturity date and has exhibited declining occupancy, revenue, and NOI since 2019. Due to the exposure to these defaulted loans that have experienced declines in performance since securitization, the pool remains at risk for higher anticipated losses. The rating on Cl. C was affirmed because the rating is consistent Moody's expected losses from the specially serviced loans. The ratings on one IO class, Cl. X-A, was downgraded due to the decline in the credit quality of its reference classes. The rating on the exchangeable class, Cl. PEZ, was downgraded due to a decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 68.2% of the current pooled loan balance, compared to 55.4% at Moody's last review. Moody's base expected loss plus realized losses is now 20.3% of the original pooled balance, compared to 20.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing or identified as a troubled loan. In this approach, Moody's determine a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the November 2024 distribution date, the transaction's aggregate certificate balance has decreased by 78% to $258 million from $1.12 billion at securitization. The certificates are collateralized by seven mortgage loans, all of which are in special servicing and/or have now passed their original scheduled maturity dates. The pool has recognized an aggregate realized loss of $67 million due to a combination of previously liquidated loans as well as master servicer recoveries of non-recoverable advances. Furthermore, the transaction is under-collateralized as the aggregate certificate balance is approximately $7 million greater than the pooled loan balance. As of the November 2024 remittance statement cumulative interest shortfalls were $31.6 million and impacted up to Cl. B. Over 95% of the monthly interest shortfalls are a result of the four loans with non-recoverable determinations. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), non-recoverable determinations, loan modifications, and extraordinary trust expenses. The largest specially serviced loan is the 175 West Jackson Loan ($134.2 million – 50.5% of the pooled certificate balance), which represents a pari passu portion of a $250 million mortgage loan. The loan is secured by a Class A, 22-story office building totaling 1.45 million square feet (SF) and located within the CBD of Chicago, Illinois. Property performance has declined steadily since 2015, with occupancy declining to 58% in June 2024 from 86% in 2015, and the year-end 2023 NOI was 56% lower than in 2013. The loan most recently transferred to special servicing in November 2021, and as of the November remittance statement was last paid through its March 2023 payment date. The most recent appraisal value was 52% below the outstanding loan balance. This loan has been deemed non-recoverable by the master servicer, and as of the November 2024 remittance statement, there was $5.4 million of advances reported to the trust portion of this loan. The special servicer commentary indicates a receiver has been appointed and the property is being marketed for sale and/or Deed-In-Lieu. Moody's expect a significant loss from this loan. The second largest specially serviced loan is the Oglethorpe Mall Loan ($52.7 million – 19.8% of the pooled certificate balance), which represents a pari passu portion of a $132 million mortgage loan. The loan is secured by a 627,000 SF portion of a 942,700 SF regional mall located in Savannah, GA. At securitization, the mall included four anchor tenants: Macy's, JC Penney, Belk, and Sears. Both the Belk and Sears spaces were non-collateral. Sears vacated in 2018 and the anchor space remains vacant. The loan has been in special servicing since it failed to pay off at its scheduled maturity date in July 2023. As of December 2022, the collateral was 95% leased, compared to 88% in September 2022 and 95% at securitization. The property's performance has generally declined since 2016, with the largest declines in rental revenue occurring since 2019. The year-end 2022 NOI is 17% below the 2019 NOI and 20% below the NOI in 2014. The loan has amortized over 12% since securitization and as of the November 2024 remittance statement, was last paid through October 2024. Per the servicer commentary, the special servicer is evaluating workout options with the borrower and a potential loan modification while dual tracking receivership and foreclosure proceedings. The third largest specially serviced loan is the Harbourside North Loan ($35.5 million – 13.7% of the pool), which is secured by the leasehold interest in a Class A office building in the Georgetown submarket of Washington D.C. The property operates subject to ground lease payments, historically representing a high share of the property's expenses. The loan transferred to the special servicer in July 2018 due to delinquent payments and became REO in March 2019. As of year-end 2023, the property was only 15% leased, and per the servicer commentary, the most recent appraisal indicates an "as-is" value of $0, primarily driven by the significant ground lease payments. Servicer commentary also indicates they are in discussions to transfer the property over to the fee owner, and the loan has been deemed non-recoverable by the master servicer. Moody's anticipate a nearly full loss on this loan. The fourth largest specially serviced loan is the MAve Hotel Loan ($18.5 million – 7.0% of the pool), which is secured by an independent limited-service 12-story boutique hotel with 2,200 SF of ground floor retail space located at 27th and Madison Avenue in New York, New York. The property previously operated as a homeless shelter on a month-to-month contract with the Department of Homeless Services (DHS) to rent out 100% of the hotel, however, the DHS left at the end of 2020, and the loan transferred to special servicing in April 2021 due to delinquent payments. The hotel remains closed, and special servicer commentary indicates a foreclosure action has been filed. As of the November 2024 remittance statement the loan was last paid through its November 2021 payment date and has previously been deemed non-recoverable by the master servicer. The remaining two specially serviced loans as of the November 2024 remittance statement are secured by a single tenant retail property located in New York, New York and a now dark former single tenant retail building, located in Bel Air, Maryland. Moody's have also assumed a high default probability for one poorly performing loan, The Crossings Loan ($11 million – 4.1% of the pool), which is a retail property located in Elkview, West Virginia that has had significant performance deterioration due to low occupancy and low DSCR. DIAMETER CAPITAL 3: S&P Assigns Prelim BB-(sf) Rating on D-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement debt from Diameter Capital CLO 3 Ltd./Diameter Capital CLO 3 LLC, a CLO originally issued in March 2022 that is managed by Diameter CLO Advisors LLC. The preliminary ratings are based on information as of Dec. 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 10, 2025, 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 Jan. 15, 2027. -- 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. -- No additional assets will be purchased on the Jan. 10, 2025, refinancing date, and the target initial par amount will upsize to $550 million. There will be an additional effective date or ramp-up period, and the first payment date following the refinancing is April 15, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- An additional $15.2 million of subordinated notes will be issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $341.00 million: Three-month CME term SOFR + 1.33% -- Class A-2-R, $77.00 million: Three-month CME term SOFR + 1.70% -- Class B-R, $33.00 million: Three-month CME term SOFR + 1.95% -- Class C-R (deferrable), $30.25 million: Three-month CME term SOFR + 2.75% -- Class D-R (deferrable), $22.00 million: Three-month CME term SOFR + 5.25% -- Subordinated notes, $48.45 million: Not rated Original debt -- Class A-1A, $240.00 million: Three-month CME term SOFR + 1.39% -- Class A-1B, $12.00 million: Three-month CME term SOFR + 1.65% -- Class A-2, $50.00 million: Three-month CME term SOFR + 2.05% -- Class B (deferrable), $26.00 million: Three-month CME term SOFR + 2.25% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.30% -- Class D (deferrable), $16.00 million: Three-month CME term SOFR + 6.80% -- Subordinated notes, $33.25 million: Not rated 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 Diameter Capital CLO 3 Ltd./Diameter Capital CLO 3 LLC Class A-1-R, $341.00 million: AAA (sf) Class A-2-R, $77.00 million: AA (sf) Class B-R, $33.00 million: A (sf) Class C-R (deferrable), $30.25 million: BBB- (sf) Class D-R (deferrable), $22.00 million: BB- (sf) Other Debt Diameter Capital CLO 3 Ltd./Diameter Capital CLO 3 LLC Subordinated notes, $48.45 million: Not rated DIAMETER CREDIT II: Moody's Ups Rating on $25.65MM E Notes From Ba2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding II, Ltd.: US$36,900,000 Class B Senior Secured Fixed Rate Notes Due 2038 (the "Class B Notes"), Upgraded to Aaa (sf); previously on Mar 20, 2024 Upgraded to Aa1 (sf) US$12,150,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes Due 2038 (the "Class C Notes"), Upgraded to Aaa (sf); previously on Mar 20, 2024 Upgraded to A1 (sf) US$12,150,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes Due 2038 (the "Class D Notes"), Upgraded to Aa2 (sf); previously on Mar 20, 2024 Upgraded to A3 (sf) US$25,650,000 Class E Junior Secured Deferrable Fixed Rate Notes Due 2038 (the "Class E Notes"), Upgraded to Baa3 (sf); previously on Mar 20, 2024 Upgraded to Ba2 (sf) Diameter Credit Funding II, Ltd., originally issued in November 2019 and partially refinanced in January 2022, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in January 2025. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of sustained par coverage, high net interest income, and short period of time remaining before the end of the deal's reinvestment period. In particular, the deal has accumulated par and the current performing par, based on Moody's calculation, is $272 million including the assumed recovery on defaulted assets, which is in excess of the reinvestment target par balance. Additionally, the deal is currently benefiting from high net interest income due to approximately 24% exposure to floating rate loans, whose interest payments have increased relative to the fixed rates of interest payable on the rated notes. Furthermore, the notes also benefit from the short period of time remaining before the end of the deal's reinvestment period in January 2025, after which the note payments are expected to commence. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF), higher weighted average coupon (WAC) and diversity levels compared to their respective covenant levels. Moody's modeled a WARF of 2877 compared to its current covenant level of 3318, a WAC of 5.68% compared to its current covenant level of 5.50%, and a diversity of 53 compared to its current covenant level of 45. No action was taken on the Class A 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: $271,802,551 Defaulted par: $488,533 Diversity Score: 53 Weighted Average Rating Factor (WARF): 2877 Weighted Average Spread (WAS): 4.73% Weighted Average Coupon (WAC): 5.68% Weighted Average Recovery Rate (WARR): 34.65% Weighted Average Life (WAL): 5.2 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DRYDEN 50 SENIOR: Moody's Affirms Ba3 Rating on $30MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Dryden 50 Senior Loan Fund: US$36M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Mar 15, 2024 Upgraded to Aa3 (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Oct 6, 2022 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$386.4M (Current outstanding amount US$249,916,511) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 26, 2021 Assigned Aaa (sf) US$15.6M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 26, 2021 Assigned Aaa (sf) US$54M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 15, 2024 Upgraded to Aaa (sf) US$30M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 29, 2017 Assigned Ba3 (sf) Dryden 50 Senior Loan Fund, issued in August 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc.. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrades on the Class C and D notes are primarily a result of the deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since the last rating action in March 2024. The affirmations on the ratings on the Class A-1-R, A-2-R, B 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-1-R notes have paid down by approximately USD89.0 million (23.0%) since the last rating action in March 2024 and USD136.5 million (35.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated October 2024 [1] the Class A/B, Class C and Class D ratios are reported at 135.97%, 122.21% and 112.70% compared to January 2024 [2] levels, on which the last rating action was based, of 130.15%, 119.61% and 112.04%, respectively. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD433.4m Defaulted Securities: USD6.8m Diversity Score: 77 Weighted Average Rating Factor (WARF): 2723 Weighted Average Life (WAL): 3.59 years Weighted Average Spread (WAS) (before accounting for reference floors): 3.08% Weighted Average Recovery Rate (WARR): 47.50% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" 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. EATON VANCE 2015-1: Moody's Cuts Rating on $8MM F-R Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Eaton Vance CLO 2015-1, Ltd.: US$30,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 4, 2024 Upgraded to Aa2 (sf) US$24,400,000 Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Dec 21, 2017 Definitive Rating Assigned Baa3 (sf) US$8,000,000 Class F-R Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Apr 4, 2024 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$246,000,000 (current outstanding amount US$68,393,555.40) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 21, 2017 Definitive Rating Assigned Aaa (sf) US$22,500,000 Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 21, 2017 Definitive Rating Assigned Aaa (sf) US$29,000,000 Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Apr 6, 2023 Upgraded to Aaa (sf) US$16,600,000 Class E-R Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Apr 6, 2023 Downgraded to Ba3 (sf) Eaton Vance CLO 2015-1, Ltd., issued in October 2015 and refinanced in December 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Eaton Vance Management. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C-R and D-R 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 April 2024. The Class A-1-R notes have paid down by approximately USD110.9 million (45.1% of original balance) since April 2024 and USD177.7 million (72.2%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated November 2024 [1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 168.3%, 134.1%, 115.4% and 105.4% compared to March 2024 [2] levels of 137.6%, 121.6%, 111.2% and 105.1%, respectively. 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 downgrade to the rating on the Class F-R note is due to the deterioration in the credit quality of the underlying collateral pool since the last rating action in April 2024. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated November 2024, the WARF was 3155 [1], compared with 2962 [2] as of the last rating action. Securities with ratings of Caa1 or lower currently make up approximately 9.0% [1] of the underlying portfolio, versus 6.0% [2] in last rating action. The affirmations on the ratings on the Class A-1-R, Class A-2-R, Class B-R and Class E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. 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: USD204.7 million Defaulted Securities: USD1.2 million Diversity Score: 57 Weighted Average Rating Factor (WARF): 3011 Weighted Average Life (WAL): 3.5 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.3% Weighted Average Coupon (WAC): Not applicable Weighted Average Recovery Rate (WARR): 47.2% Par haircut in OC tests and interest diversion test: None The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" 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. FLATIRON CLO 26: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Flatiron CLO 26 Ltd. Entity/Debt Rating ----------- ------ Flatiron CLO 26 Ltd. X LT AAAsf New Rating A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Flatiron CLO 26 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.31, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.59% versus a minimum covenant, in accordance with the initial expected matrix point of 73.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, between 'Asf' and 'BBB-sf' for class D, and between 'BBB+sf' and 'BBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Flatiron CLO 26 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. FORTRESS CREDIT VIII: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1A-R, B-R, C-R, and D-R debt from Fortress Credit BSL VIII Ltd./Fortress Credit BSL VIII LLC, a CLO originally issued in October 2019 that is managed by FC BSL VIII Management LLC. At the same time, S&P withdrew its ratings on the original class A-1A, B, C, and D debt following payment in full on the Dec 18, 2024 refinancing date. S&P also affirmed its ratings on the class A-1F and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- No additional assets were purchased on the Dec. 18,2024, refinancing date, and the target initial par amount remains at $400.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Jan. 21, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-1A-R, $191.00 million: Three-month CME term SOFR + 1.05% -- Class A-2-R, $32.00 million: Three-month CME term SOFR + 1.40% -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.60% -- Class C-R, $24.00 million: Three-month CME term SOFR + 2.00% -- Class D-R, $24 million: Three-month CME term SOFR + 2.85% -- Subordinated notes, $37.00 million: Not applicable Original debt -- Class A-1A, $191.00 million: Three-month CME term SOFR + 1.44%+ CSA(i) -- Class A-1F, $25.00 million: 2.78% -- Class A-2, $32.00 million: Three-month CME term SOFR + 1.95%+ CSA(i) -- Class B, $48.00 million: Three-month CME term SOFR + 2.25%+ CSA(i) -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.20%+ CSA(i) -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 4.35%+ CSA(i) -- Class E (deferrable), $20.00 million: Three-month CME term SOFR + 7.01%+ CSA(i) -- Subordinated notes, $37.00 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Fortress Credit BSL VIII Ltd./Fortress Credit BSL VIII LLC Class A-1A-R, $191.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-R, $24.00 million: BBB- (sf) Ratings Withdrawn Fortress Credit BSL VIII Ltd./Fortress Credit BSL VIII LLC Class A-1A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Ratings Affirmed Fortress Credit BSL VIII Ltd./Fortress Credit BSL VIII LLC Class A-1F, $25.00 million: AAA (sf) Class E, $20.00 million: BB- (sf) Other Debt Fortress Credit BSL VIII Ltd./Fortress Credit BSL VIII LLC Class A-2-R, $32.00 million: NR Subordinated notes, $37.00 million: NR NR--Not rated. FORTRESS CREDIT XXV: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fortress Credit Opportunities XXV CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle-market speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by FCOD CLO Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Fortress Credit Opportunities XXV CLO LLC Class A-1-R(i), $65.00 million: AAA (sf) Class A-1-L(ii), $45.00 million: AAA (sf) Class A-1-T, $122.20 million: AAA (sf) Class A-2, $12.90 million: AAA (sf) Class B, $21.50 million: AA (sf) Class C (deferrable), $34.40 million: A (sf) Class D (deferrable), $30.10 million: BBB- (sf) Class E (deferrable), $25.80 million: BB- (sf) Subordinated notes, $75.40 million: Not rated (i)Revolving loan tranche. The rating on the class A-1-R loans addresses only the full and timely payment of principal and the base interest amount, and it does not consider any capped amounts above this base interest amount. (ii)The class A-1-L loans are convertible into class A-1-T notes, while the class A-1-T notes and class A-1-R loans are not convertible into any other tranche. FORTRESS CREDIT XXVI: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fortress Credit BSL XXVI Ltd./Fortress Credit BSL XXVI LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by FC BSL CLO Manager V LLC, a subsidiary of Fortress Investment Group LLC. The preliminary ratings are based on information as of Dec. 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Fortress Credit BSL XXVI Ltd./Fortress Credit BSL XXVI LLC Class A, $202.00 million: Not rated Class A-L loans, $50.00 million: Not rated Class A-L, $0: Not rated Class B, $52.00 million: AA (sf) Class C (deferrable), $18.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $37.70 million: Not rated FREED MORTGAGE 2022-HE1: DBRS Confirms B(low) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. takes credit rating actions on all classes of Mortgage-Backed Notes, Series 2022-HE1 issued by FREED Mortgage Trust 2022-HE1 as follows: -- Class A confirmed at AAA (sf) -- Class B upgraded to A (low) (sf) from BBB (low) (sf) -- Class C confirmed at B (low) (sf) The credit rating upgrade reflects 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. GALAXY 30: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC , a CLO managed by PineBridge Investments LLC that was originally issued in March 2022. The preliminary ratings are based on information as of Dec. 11, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 17, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the March 2022 debt. S&P said, "At that time, we expect to withdraw our ratings on the March 2022 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the March 2022 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-1-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the March 2022 notes. -- The stated maturity will be extended to Jan. 15, 2038. -- The reinvestment period will be extended to Jan. 15, 2030, and the non-call period will be extended to Dec. 17, 2026. -- Class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first eight payment dates beginning with the payment date in April 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 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 Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC Class X-R, $2.50 million: AAA (sf) Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) GLS AUTO 2023-4: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on one class of notes from GLS Auto Receivables Issuer Trust 2023-4 (GCAR 2023-4) and affirmed its ratings on five other classes. The transaction is backed by subprime retail auto loan receivables originated and serviced by Global Lending Services LLC. The rating actions reflect: -- The transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's remaining cumulative net loss (CNL) expectations for the transaction and the transaction's structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. GCAR 2023-4 is performing slightly worse than S&P's initial expectations. The series is experiencing elevated levels of gross losses which, coupled with lower cumulative recoveries, is resulting in higher CNLs. As such, S&P raised its expected CNL for this transaction. Table 1 Collateral performance (%)(i) Pool Current Current Current 60+ day Mo. factor CNL CRR CGL Ext. delinq. 12 74.34 5.04 34.88 7.74 3.64 5.85 (i)As of the November 2024 distribution date. Mo.--Month. CNL--Cumulative net loss. CRR-Cumulative recovery rate. CGL--Cumulative gross loss. Ext.--Extensions. Delinq.--Delinquencies. Table 2 CNL expectations (%) Original Current lifetime lifetime CNL exp. CNL exp. 17.50 18.50 CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. The transaction has a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. The transaction also has credit enhancement consisting of overcollateralization, a non-amortizing reserve account, subordination for the more senior classes, and excess spread. As of the November 2024 distribution date, the transaction is at its specified target overcollateralization level and specified reserve level. The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance (as of the collection period ended Oct. 31, 2024), compared with our expected remaining losses, is commensurate with each rating. Table 3 Hard credit support(i) Total hard Current total hard credit support credit support Class at issuance (%) (% of current) A-2 55.30 78.98 A-3 55.30 78.98 B 41.35 60.21 C 28.45 42.86 D 15.30 25.17 E 6.15 12.86 (i)As of the November 2024 distribution date. Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread that can also provide additional enhancement. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNL for those classes where hard credit enhancement alone--without credit to the expected excess spread--was sufficient, in our view, to raise or affirm the ratings. For other classes, we incorporated a cash flow analysis to assess the loss coverage levels, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's performance to date. "In addition to our break-even cash flow analysis, we conducted a sensitivity analysis for the series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended Oct. 31, 2024 (the November 2024 distribution date). "We will continue to monitor the transaction's performance to ensure credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." Rating Class To From B AAA (sf) AA (sf) RATINGS AFFIRMED GLS Auto Receivables Issuer Trust 2023-4 Class Rating A-2 AAA (sf) A-3 AAA (sf) C A (sf) D BBB- (sf) E BB- (sf) GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Tranches ---------------------------------------------------------- DBRS, Inc. confirmed all its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2011-GC5 issued by GS Mortgage Securities Trust 2011-GC5 as follows: -- Class A-S at AAA (sf) -- Class B at A (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-A at AAA (sf) The trends on Classes A-S, X-A, and B are Stable. Classes C, D, E, and F have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' consistent view on the transaction, with minimal changes to loss projections for the five remaining loans, four of which are secured by regional malls in secondary or tertiary markets that have shown performance declines from issuance. Two of these loans, totaling 43.5% of the pool, are in special servicing, while two more, totaling 50.0% of the pool, are being monitored on the servicer's watchlist. Since Morningstar DBRS' last credit rating action in December 2023, the collateral remains unchanged, although one loan, totaling 36.9% of the pool, was returned to the master servicer because of a loan modification. Given the concentration of the transaction, Morningstar DBRS based its credit ratings on a recoverability analysis using conservatively derived values for the remaining assets, which continues to indicate that losses are likely to be contained to the Class D certificate, currently rated C (sf). Morningstar DBRS remains concerned about the increased propensity for interest shortfalls 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 $8.0 million with the Class C certificate, currently rated C (sf), which received only 80% of the owed interest payment in the November 2024 reporting. The transaction has been relatively insulated from losses to date, as the principal balance of the unrated Class G certificate has been eroded by only 13.1% because of realized losses, with $43.6 million of unpaid principal remaining. Both loans in special servicing became real estate owned in Q3 2023, and based on the most recent appraisals obtained from Q2 2024, the property value for both assets has declined by over 70.0% since issuance. Based on the updated values, the resulting loan-to-value ratio (LTV) for each loan exceeded 175% based on total trust exposure, and Morningstar DBRS believes loss severities exceeding 65.0% are likely for each loan, in which case the principal balance of Class D would be eroded by over 40%. The 1551 Broadway loan (Prospectus ID#2; 36.9% of the pool) is secured by a 26,500-square foot (sf) retail property in Times Square in Midtown Manhattan. The property was initially leased to American Eagle Outfitters, Inc., who had a lease expiration in February 2024. While servicer reporting indicates that the property is vacant and the loan's debt service coverage ratio (DSCR) fell to 0.92 times (x) as of Q2 2024 from 2.40x as of YE2023, Morningstar DBRS has confirmed that the tenant is still in operations. As part of the loan modification that returned the loan to the master servicer, loan maturity was extended to December 2025 and the loan will remain on the servicer's watchlist with hard cash managed in effect until the loan is paid in full. Since the last review, the loan's principal balance has been reduced by approximately $4.2 million, with nearly $17.0 million in reserves as of the November 2024 reporting. The property was most recently appraised for $359.0 million in November 2023, consistent with the issuance appraised value of $360.0 million. The resulting LTV is 42.4%, suggesting that even in an event of adverse liquidation, loss to the trust is unlikely. The Parkdale Mall & Crossing loan (Prospectus ID#5; 13.1% of the pool) is secured by a regional mall and adjacent strip mall in Beaumont, Texas. The loan was in special servicing from February 2021 until its return to the master servicer in October 2022 as a result of the agreed-upon maturity extension to March 2026. As of Q2 2024, the property was 71.5% occupied, with a DSCR of 0.98x. Despite the sponsor's commitment to the property and the loan's return to the master servicer, the most recent appraised value from February 2022 of $42.1 million is well below the current outstanding loan balance of $54.2 million, reflecting an LTV of 129%, and performance has since declined further. As such, Morningstar DBRS believes there is continued significant term and refinance risk associated with this loan. The Ashland Town Center loan (Prospectus ID#9; 6.5% of the pool) is secured by a regional mall in Ashland, Kentucky. The loan transferred to special servicing in July 2021 for imminent monetary default having failed to repay ahead of its original maturity. The sponsor, Washington Prime Group Inc., was granted a loan modification in November 2022, extending the loan maturity to July 2023 with two additional one-year extension options. The borrower has since exercised both extension options with a final maturity date of July 2025. As of Q2 2024, the property reported an occupancy rate of 97.4%, with a DSCR of 2.50x. The property was most recently re-appraised in September 2022 for $42.9 million, a 9.0% increase from the 2021 appraised value but still below the issuance appraised value of $66.0 million. Based on the updated value, the resulting LTV is 62.6%. Given these factors, Morningstar DBRS believes the near-term performance outlook is stable, but this does not rule out the likelihood for potential losses should the borrower fail to pay off the loan at the extended maturity date. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2021-PJ11: Moody's Ups Rating on Cl. B-5 Certs to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 28 bonds from four US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans issued by GS Mortgage-Backed Securities Trust. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-PJ11 Cl. B-3, Upgraded to A3 (sf); previously on Mar 12, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Mar 12, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Mar 12, 2024 Upgraded to B1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-GR1 Cl. A-3, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-15, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-6*, Upgraded to Aaa (sf); previously on Jan 31, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Mar 12, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Mar 12, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 12, 2024 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Mar 12, 2024 Upgraded to B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-LTV2 Cl. A-31, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X*, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-31*, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-32*, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. A-X-33*, Upgraded to Aaa (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Aug 12, 2022 Definitive Rating Assigned Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ1 Cl. B-2, Upgraded to A1 (sf); previously on Mar 12, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jan 16, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 16, 2022 Definitive Rating Assigned Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectation on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with limited cumulative losses of less than .01% for each deal. In addition, three of the pools are also showing a low number of loans in delinquency. GS Mortgage-Backed Securities Trust 2022-LTV2 has not experienced any losses to date, however, as of the November 2024 distribution date, it includes one loan which is seriously delinquent more than 180 days and five loans in foreclosure, cumulatively making up 1.79% of the outstanding collateral balance. Enhancement levels for the tranches have grown significantly, as the pool amortizes relatively quickly. The credit enhancement for each tranche upgraded has grown by, on average, 15.1% 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 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. 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 2021-ROSS: DBRS Cuts Rating on 3 Tranches to C(sf) -------------------------------------------------------------- DBRS Limited downgraded its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates issued by GS Mortgage Securities Corporation Trust 2021-ROSS as follows: -- Class A to AA (low) (sf) from AAA (sf) -- Class A-Y to AA (low) (sf) from AAA (sf) -- Class A-Z to AA (low) (sf) from AAA (sf) -- Class A-IO to AA (low) (sf) from AAA (sf) -- Class B to A (low) (sf) from AA (sf) -- Class C to BB (low) (sf) from A (high) (sf) -- Class D to CCC (sf) from BBB (high) (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from B (low) (sf) -- Class G to C (sf) from CCC (sf) All classes continue to carry Negative trends, with the exception of Classes D, E, F, and G, which have credit ratings that do not carry a trend in commercial mortgage-backed securities (CMBS). The Class A, A-Y, A-Z, and A-IO certificates (the CAST certificates) can be exchanged for other classes of CAST certificates and vice versa, as described in the offering memorandum. The credit rating downgrades and Negative trends are reflective of Morningstar DBRS' increased loss expectations for the underlying loan, driven by the trust's increasing exposure as the loan continues to be in default and in special servicing, and most recent decline in appraised value. The most recent appraisal as of January 2024 valued the collateral portfolio at $682.7 million, representing a 41.6% decline from its issuance value of $1.2 billion. In addition to the decline in value, outstanding advances and shortfalls continue to accrue, increasing the loan's total exposure to $728.8 million as of the October 2024 remittance. Given these factors, Morningstar DBRS considered a liquidation scenario in the analysis for this review, the results of which suggest that losses could be incurred to Classes E, F, and G at disposition. In its liquidation scenario, Morningstar DBRS applied a 25.0% haircut to the January 2024 appraised value to provide cushion against the expected continued build of advances and the potential for further value decline, resulting in a liquidation value of $512.0 million (loan-to-value ratio (LTV) of 135.0%), and implying a capitalization rate of 9.9% on the YE2023 net operating income (NOI). Inclusive of a 1.0% liquidation fee, an additional year of principal and interest advances, and all current outstanding advances, Morningstar DBRS' liquidation scenario considers the total trust exposure could reach approximately $798.8 million. Although the results of the liquidation scenario suggest that Classes A, B, C, and D are insulated from loss at this point in time, the implied LTV for each of those classes, based on the estimated amount of proceeds available after paying all outstanding and expected future advances, has increased beyond the LTV Sizing Benchmarks at each of the respective prior credit rating categories, supporting the credit rating downgrades to those classes with this review. Collateral for the trust consists of the fee-simple interest in seven Class A/Class B office properties totaling approximately 2.1 million square feet in Arlington, Virginia. The $691.0 million loan was structured with a two-year initial term that matured in June 2023. While the loan was structured with three one-year extension options, subject to certain provisions, including spread increases and the purchase of a new interest rate cap, the borrower did not elect to execute its extension option and the loan transferred to special servicing in May 2023 for monetary default. In addition to the subject loan, there is also a $150.0 million mezzanine loan in place, held outside of the trust. The mezzanine loan was purchased in February 2024 and, according to special servicer commentary, a loan modification is currently in progress which could ultimately include terms to allow for debt restructuring. As of September 2024, the collateral was 75.7% occupied, in line with the submarket which reported a 74.5% occupancy rate, according to Reis. Reis projects submarket vacancy to marginally improve in the next five years but expects vacancy to remain above the pre-coronavirus pandemic rate of 18.6% in 2019. The portfolio's largest tenant is the U.S. Department of State (16.1% of the portfolio's net rentable area (NRA)), with a lease expiration in 2034. Inclusive of other government tenants, U.S. General Services Administration comprises 20.9% of the portfolio NRA. No other single tenant occupies more than 6.0% of the portfolio's NRA or represents more than 8.0% of the gross rents. Tenant rollover in the next 12 months is minimal, with tenants representing a combined 5.7% of the portfolio NRA, which have an upcoming lease expiration. Per the YE2023 financials, the loan reported a net cash flow (NCF) of $33.5 million, significantly less than the Morningstar DBRS NCF of $52.6, mainly because of an increase in below-the-line items. In comparison, the YE2023 NOI was reported at $50.6 million, compared with the Morningstar DBRS NOI of $56.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2024-PJ10: DBRS Finalizes B(low) Rating on B5 Notes --------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2024-PJ10 (the Notes) issued by GS Mortgage-Backed Securities Trust 2024-PJ10 (GSMBS 2024-PJ10): -- $267.9 million Class A-1 at AAA (sf) -- $267.9 million Class A-2 at AAA (sf) -- $267.9 million Class A-3 at AAA (sf) -- $200.9 million Class A-4 at AAA (sf) -- $200.9 million Class A-5 at AAA (sf) -- $200.9 million Class A-6 at AAA (sf) -- $160.7 million Class A-7 at AAA (sf) -- $160.7 million Class A-8 at AAA (sf) -- $160.7 million Class A-9 at AAA (sf) -- $40.2 million Class A-10 at AAA (sf) -- $40.2 million Class A-11 at AAA (sf) -- $40.2 million Class A-12 at AAA (sf) -- $107.2 million Class A-13 at AAA (sf) -- $107.2 million Class A-14 at AAA (sf) -- $107.2 million Class A-15 at AAA (sf) -- $67.0 million Class A-16 at AAA (sf) -- $67.0 million Class A-17 at AAA (sf) -- $67.0 million Class A-18 at AAA (sf) -- $15.8 million Class A-19 at AAA (sf) -- $15.8 million Class A-20 at AAA (sf) -- $15.8 million Class A-21 at AAA (sf) -- $283.7 million Class A-22 at AAA (sf) -- $283.7 million Class A-23 at AAA (sf) -- $283.7 million Class A-24 at AAA (sf) -- $283.7 million Class A-25 at AAA (sf) -- $283.7 million Class A-X-1 at AAA (sf) -- $267.9 million Class A-X-2 at AAA (sf) -- $267.9 million Class A-X-3 at AAA (sf) -- $267.9 million Class A-X-4 at AAA (sf) -- $200.9 million Class A-X-5 at AAA (sf) -- $200.9 million Class A-X-6 at AAA (sf) -- $200.9 million Class A-X-7 at AAA (sf) -- $160.7 million Class A-X-8 at AAA (sf) -- $160.7 million Class A-X-9 at AAA (sf) -- $160.7 million Class A-X-10 at AAA (sf) -- $40.2 million Class A-X-11 at AAA (sf) -- $40.2 million Class A-X-12 at AAA (sf) -- $40.2 million Class A-X-13 at AAA (sf) -- $107.2 million Class A-X-14 at AAA (sf) -- $107.2 million Class A-X-15 at AAA (sf) -- $107.2 million Class A-X-16 at AAA (sf) -- $67.0 million Class A-X-17 at AAA (sf) -- $67.0 million Class A-X-18 at AAA (sf) -- $67.0 million Class A-X-19 at AAA (sf) -- $15.8 million Class A-X-20 at AAA (sf) -- $15.8 million Class A-X-21 at AAA (sf) -- $15.8 million Class A-X-22 at AAA (sf) -- $283.7 million Class A-X-23 at AAA (sf) -- $283.7 million Class A-X-24 at AAA (sf) -- $283.7 million Class A-X-25 at AAA (sf) -- $283.7 million Class A-X-26 at AAA (sf) -- $20.2 million Class B-1A at AA (low)(sf) -- $20.2 million Class B-X-1 at AA (low)(sf) -- $20.2 million Class B-1 at AA (low)(sf) -- $4.4 million Class B-2A at A (low)(sf) -- $4.4 million Class B-X-2 at A (low)(sf) -- $4.4 million Class B-2 at A (low)(sf) -- $3.3 million Class B-3 at BBB (low)(sf) -- $1.7 million Class B-4 at BB (low)(sf) -- $788.0 thousand Class B-5 at B (low)(sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, and A-20 are super senior notes. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-1-X, A-2-X, A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-10-X, A-11-X, A-12-X, A-13-X, A-14-X, A-15-X, A-16-X, A-17-X, A-18-X, A-19-X, A-20-X, A-21-X, A-22-X, A-23-X, A-24-X, A-25-X, A-26-X, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 10.00% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.60%, 2.20%, 1.15%, 0.60%, and 0.35% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2024-PJ10 (the Notes). The Notes are backed by 287 loans with a total principal balance of $315,197,126 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 69.6%. A small portion of the pool (25.8%) comprises loans with Morningstar DBRS calculated current CLTV ratios between 80.0% and 90.0%, while none of the pool falls above 90.0% current CLTV. In addition, 98.0% of the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (UWM; 59.2%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez, LLC (Newrez), doing business as (dba) Shellpoint Mortgage Servicing (Shellpoint; 82.1%), PennyMac Loan Services (PennyMac; 13.5%) and United Wholesale Mortgage LLC (UWM/Cenlar FSB; 4.4%). Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, and Custodian. U.S. Bank Trust National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as Delaware Trustee. U.S. Bank Trust Company, National Association will act as Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representation and Warranty Reviewer. Notes: All figures are in US dollars unless otherwise noted. GS MORTGAGE 2024-RPL7: DBRS Gives B(high) Rating on B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned credit ratings to the Mortgage-Backed Securities, Series 2024-RPL7 (the Notes) issued by GS Mortgage-Backed Securities Trust 2024-RPL7 (the Trust) as follows: -- $231.7 million Class A-1 at AAA (sf) -- $19.2 million Class A-2 at AA (high) (sf) -- $250.9 million Class A-3 at AA (high) (sf) -- $269.3 million Class A-4 at A (high) (sf) -- $283.9 million Class A-5 at BBB (high) (sf) -- $18.4 million Class M-1 at A (high) (sf) -- $14.6 million Class M-2 at BBB (high) (sf) -- $9.7 million Class B-1 at BB (high) (sf) -- $7.0 million Class B-2 at B (high) (sf) The Class A-3, A-4, and A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) credit rating on the Notes reflects 28.65% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 22.75%, 17.10%, 12.60%, 9.60%, and 7.45% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming, first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,770 loans with a total principal balance of $341,896,465 as of the Cut-Off Date (October 31, 2024). The portfolio is approximately 167 months seasoned and 65.0% of the loans have been modified. The modifications happened more than two years ago for 92.8% of the modified loans. Within the pool, 602 mortgages have non-interest-bearing deferred amounts, which equate to approximately 7.4% of the total principal balance. No government-sponsored enterprise, Home Affordable Modification Program, or proprietary principal forgiveness amounts are included in the deferred amounts. As of the Cut-Off Date, 95.2% of the loans in the pool are current. Approximately 0.7% of the loans are in bankruptcy (92.4% of the bankruptcy loans are performing) and 4.2% are 30 days delinquent. Approximately 56.2% of the mortgage loans have been zero times 30 days delinquent (0x30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method and 89.3% have been 0x30 for at least the past 12 months under the MBA delinquency method. Approximately 68.2% of the pool is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as non-QM (31.8%). The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC), MCLP Asset Company, Inc., and MTGLQ Investors, L.P., acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. The Sponsor, GSMC, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. As of the related servicing transfer date (December 4, 2024), NewRez LLC dba Shellpoint Mortgage Servicing (NewRez) will service all the loans. The NewRez aggregate servicing fee rate for each payment date is 0.045% per annum. There will not be any advancing of delinquent principal or interest on any mortgages by the related Servicer or any other party to the transaction; however, the related Servicer is obligated to make advances in respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement of judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the related Servicer deems such advances recoverable). On or after the Payment Date on which the aggregate Unpaid Principal Balance of the Mortgage Loans is less than 25% of the Aggregate Cut-Off Date Unpaid Principal Balance, the Controlling Holder will have the option to purchase all remaining property of the Issuer at the Minimum Price (Optional Clean-Up Call). The Controlling Holder will be the beneficial owner of more than 50% of the Class B-5 Notes (if no longer outstanding, the next most subordinate Class of Notes, other than Class X). 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 the Class A-2 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties fees, net weighted-average coupon (Net WAC) shortfalls, and making deposits on to the breach reserve account. Notes: All figures are in U.S. dollars unless otherwise noted. HARVEST US 2024-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harvest US CLO 2024-3 Ltd. Entity/Debt Rating ----------- ------ Harvest US CLO 2024-3 Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Harvest US CLO 2024-3 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.2, versus a maximum covenant, in accordance with the initial expected matrix point of 25.6. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.16% versus a minimum covenant, in accordance with the initial expected matrix point of 73.7%. 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 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, '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 Harvest US CLO 2024-3 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. HMH TRUST 2017-NSS: S&P Lowers Class D Certs Rating to 'D (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from four U.S. CMBS transactions. S&P said, "The downgrades on the five principal and interest paying classes from the four transactions reflect our expectation that the accumulated interest shortfalls outstanding will remain outstanding for the foreseeable future. Our assessment also indicates that some of these classes may also incur principal losses upon the eventual liquidation of the specially serviced assets in the respective transactions." The downgrade of the class X-EXT interest-only (IO) certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 reflects our criteria for rating IO securities, which state that the rating on the IO security would not be higher than that of the lowest rated reference class. The notional amount of class X-EXT references classes A, B, C, and D. The interest shortfalls are primarily due to the appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets. S&P said, "Our analysis primarily considered ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance determinations and special servicing fees, which are likely, in our view, to cause recurring interest shortfalls." The servicer implements ARAs and resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance determinations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverability has been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 S&P said, "We lowered our rating on the class D certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7, a U.S. CMBS floater transaction to 'D (sf)' from 'B-(sf)'. The downgrade reflects the accumulated interest shortfalls, which we expect to be outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our analysis, we also believe this class has a high probability to incur principal loss upon the eventual resolution of the specially serviced BlueMountain Lodging Portfolio loan." S&P said, "We also lowered our rating on the class X-EXT IO certificate to 'D (sf)' from 'B- (sf)'. The downgrade reflects our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated referenced class. Class X-EXT references classes A, B, C and D." According to the November 2024 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $138,619.92, primarily due to ASER based on an ARA that was implemented in April 2024. Classes D, BLU1, and BLU2 have experienced interest shortfalls for at least five consecutive months. Rake classes BLU1 and BLU2 are not rated by S&P Global Ratings. GS Mortgage Securities Corp. Trust 2018-RIVR S&P said, "We lowered our rating on the class A certificates from GS Mortgage Securities Corp. Trust 2018-RIVR, a U.S. stand-alone (single-borrower) CMBS transaction to 'D (sf)' from 'CCC- (sf)'. The downgrade reflects accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future until the eventual resolution of the specially serviced loan. Based on our analysis, we also expect this class to incur principal loss upon the eventual resolution of the specially serviced River North Point loan." According to the November 2024 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $1,272,573.74 due primarily to ASER based on an ARA that was implemented in May 2024. The class A certificates have experienced interest shortfalls for at least seven consecutive months. COMM 2018-HCLV Mortgage Trust S&P said, "We lowered our ratings on the class D and E certificates from COMM 2018-HCLV Mortgage Trust, a U.S. stand-alone (single-borrower) CMBS transaction to 'D (sf)' from 'CCC- (sf)'. The downgrade reflects accumulated interest shortfalls that we expect will remain outstanding for the foreseeable future until the specially serviced loan's eventual resolution. Based on our analysis, we also expect these classes to incur principal losses upon the eventual resolution of the specially serviced Hughes Center Las Vegas loan." According to the November 2024 trustee remittance report, the monthly interest shortfalls affecting the trust totaled $948,503.28 due to an increased in ASER amount based on an updated ARA implemented in November 2024. Classes D and E incurred interest shortfalls for the first time in November 2024, while the classes F, G, and RRI certificates, which are not rated by S&P Global Ratings, have incurred interest shortfalls for at least nine consecutive months. HMH Trust 2017-NSS S&P said, "We lowered our rating on the class D certificates from HMH Trust 2017-NSS, a U.S. stand-alone (single-borrower) CMBS transaction to 'D (sf)' from 'CCC- (sf)'. The downgrade reflects accumulated interest shortfalls that we expect to be outstanding for the foreseeable future until the eventual resolution of the specially serviced loans. In addition, based on our analysis, we also expect this class to incur principal loss upon the eventual resolution of the specially serviced loans." According to the December 2024 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $416,654.50 due to an increased in ASER based on an updated ARA implemented in September 2024. Classes D, E, and F have experienced interest shortfalls for at least four consecutive months. Classes E and F are not rated by S&P Global Ratings. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 Class D to 'D (sf)' from 'B- (sf)' Class X-EXT to 'D (sf)' from 'B- (sf)' GS Mortgage Securities Corp. Trust 2018-RIVR Class A to 'D (sf)' from 'CCC- (sf)' COMM 2018-HCLV Mortgage Trust Class D to 'D (sf)' from 'CCC (sf)' Class E to 'D (sf)' from 'CCC- (sf)' HMH Trust 2017-NSS Class D to 'D (sf)' from 'CCC- (sf)' JP MORGAN 2021-410T: DBRS Confirms B Rating on Class D Certs ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2021-410T issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-410T as follows: -- Class A to AA (sf) from AAA (sf) -- Class B to BBB (sf) from AA (low) (sf) -- Class X-A to BBB (high) (sf) from AA (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class C at BB (sf) -- Class D at B (sf) -- Class HRR at B (low) (sf) Morningstar DBRS changed the trends on all classes to Stable from Negative. With the prior credit rating action in December 2023, Morningstar DBRS downgraded its credit ratings on the three lowest-rated classes and assigned Negative trends to all classes following the early lease termination of the property's former second-largest tenant, First Republic Bank (First Republic). The loan's anticipated repayment date (ARD) is in January 2028, providing the sponsor with a fair amount of time to backfill First Republic's vacant space ahead of the ARD; however, leasing momentum at the property has been sluggish. According to the servicer, the borrower continues to market vacant space at the property with several prospective tenants showing interest; however, no new leases have been signed to date. In addition, should the loan not repay at the ARD and hyper-amortization terms kick in, the loss of First Republic's rent suggests that in-place cash flows would no longer be able to sustain a meaningful paydown of the loan's principal balance. As such, Morningstar DBRS removed the ARD credit applied in the loan-to-value ratio (LTV) sizing benchmarks at issuance. The updated Morningstar DBRS value derived as part of the December 2023 credit rating action was maintained for this review, with the resulting downward pressure implied by the LTV sizing tool further supporting the credit rating downgrades with this review. Additional details are outlined below. The transaction is collateralized by a redeveloped Class A office and retail building in Manhattan's Hudson Yards submarket. The current sponsor, 601W Companies, acquired the property, formerly known as the Master Printers Building, for $952.5 million. The whole loan amount of $705.0 million consists of seven senior A notes totaling $408.0 million, one junior B note totaling $157.0 million, a senior mezzanine loan totaling $20.0 million, and one junior mezzanine loan totaling $120.0 million. Six of the seven senior A notes and the junior B note are securitized in the subject transaction. The trust loan is interest only (IO) throughout the ARD term. The terms of the ARD require that, should the loan remain outstanding beyond that date, it will incur additional interest and will begin hyper-amortizing, with the fully extended maturity date occurring in March 2032. However, as previously noted, should the former First Republic space remain vacant, Morningstar DBRS expects that there would be little to no excess cash flow available to pay down the loan. Although JPMorgan Chase Bank, N.A (rated AA with a Stable trend by Morningstar DBRS) bought most of First Republic's assets in May 2023, it did not acquire the subject lease at the property. The Federal Deposit Insurance Corporation took possession of First Republic's 211,521-square-foot (sf) lease (formerly 33.5% of the property's net rentable area (NRA)) in September 2023 and ultimately negotiated a termination agreement with the landlord. The two largest remaining tenants at the property are Amazon.com, Inc. (53.1% of the NRA, lease expiry in May 2037) and Related (11.3% of the NRA, lease expiry in 2045). Both tenants have termination options beginning in 2030 and every subsequent five years. The loan is currently cash managed because of First Republic's lease termination. Per the loan agreement, in the event of a major tenant trigger, the lender will continue to sweep excess cash until such time the cumulative amount being held in the excess cash flow reserve fund exceeds $100 per sf (psf). Although the property continues to generate positive cash flow, even after First Republic's departure, the amount of excess cash available after fulfilling debt service obligations remains limited. According to the November 2024 reporting, reserve balances total $3.8 million ($893,202 of which is held in tenant and leasing reserves). The servicer reported an occupancy rate of 65.1% and net cash flow (NCF) (annualized) of $28.5 million for the trailing six months ended June 30, 2024, resulting in a debt service coverage ratio (DSCR) of 1.24 times (x). In comparison, the property was 99.2% occupied and generated $49.0 million of NCF (a DSCR of 2.25x) at issuance. First Republic formerly accounted for approximately 38.0% of the base rent. The loan benefits from strong institutional sponsorship, a prime location in a premier New York office market, and the lack of significant rollover risk in the remaining tenancy during the rest of the loan term. However, the significant increase in vacancy and lack of leasing momentum at the property in the nearly 18 months since First Republic's departure; despite healthy demand within the submarket, were factors in Morningstar DBRS' conservative approach in the analysis for this review. Per Q3 2024 Reis data, Class A properties within a one-mile radius reported vacancy and average rental rates of 10.8% and $82.34 psf, respectively, compared with the subject property's average office rental rate of approximately $86.00 psf. During the prior review, Morningstar DBRS derived an updated NCF based on the in-place tenancy and expected lease-up costs for the vacant First Republic space, concluding to a stabilized occupancy rate of 85.0%. That analysis resulted in a Morningstar DBRS value of $539.3 million, a -19.0% and -44.0% variance from the Morningstar DBRS value and appraised value derived at issuance, respectively. The Morningstar DBRS value implies an LTV of 75.7% on the senior debt and an LTV of 105.0% based on the total mortgage debt amount of $565.0 million (compared with the LTV of 85.0% based on the Morningstar DBRS value at issuance). The leverage increases substantially to an all-in Morningstar DBRS LTV of 131.0% when factoring in both the senior and junior mezzanine loans. During the prior review, Morningstar DBRS also removed the positive qualitative adjustment of 2.75% applied at issuance for low cash flow volatility but maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 5.0% to account for property quality and market fundamentals. The consideration of the Morningstar DBRS property value noted above, in addition to the updates made to the LTV sizing benchmarks as part of the removal of the ARD credit and the cash flow volatility credit, resulted in significant downward pressure at the top of the capital stack, supporting the credit rating downgrades with this review. The credit rating assigned to the Class C certificate is higher than the result implied by the LTV sizing benchmarks by three or more notches. The variances are warranted given the mitigating factors in the conservative assumptions made as part of the derivation of the Morningstar DBRS value for the collateral property, as well as the Class A status of the property, the overall desirability of the subject's submarket, and the in-place cash flows, which suggest there remains sufficient cash flow to support the outstanding mortgage debt. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-11: DBRS Finalizes B(low) Rating on B-5 Certs ------------------------------------------------------------ DBRS, Inc. finalized its following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-11 (the Certificates) issued by the J.P. Morgan Mortgage Trust 2024-11 (JPMMT 2024-11) -- $395.8 million Class A-2 at AAA (sf) -- $395.8 million Class A-3 at AAA (sf) -- $395.8 million Class A-3-X at AAA (sf) -- $296.9 million Class A-4 at AAA (sf) -- $296.9 million Class A-4-A at AAA (sf) -- $296.9 million Class A-4-X at AAA (sf) -- $99.0 million Class A-5 at AAA (sf) -- $99.0 million Class A-5-A at AAA (sf) -- $99.0 million Class A-5-X at AAA (sf) -- $237.5 million Class A-6 at AAA (sf) -- $237.5 million Class A-6-A at AAA (sf) -- $237.5 million Class A-6-X at AAA (sf) -- $158.3 million Class A-7 at AAA (sf) -- $158.3 million Class A-7-A at AAA (sf) -- $158.3 million Class A-7-X at AAA (sf) -- $59.4 million Class A-8 at AAA (sf) -- $59.4 million Class A-8-A at AAA (sf) -- $59.4 million Class A-8-X at AAA (sf) -- $49.6 million Class A-9 at AAA (sf) -- $49.6 million Class A-9-A at AAA (sf) -- $49.6 million Class A-9-X at AAA (sf) -- $69.9 million Class A-11 at AAA (sf) -- $69.9 million Class A-11-X at AAA (sf) -- $69.9 million Class A-12 at AAA (sf) -- $69.9 million Class A-13 at AAA (sf) -- $69.9 million Class A-13-X at AAA (sf) -- $69.9 million Class A-14 at AAA (sf) -- $69.9 million Class A-14-X at AAA (sf) -- $69.9 million Class A-14-X2 at AAA (sf) -- $69.9 million Class A-14-X3 at AAA (sf) -- $69.9 million Class A-14-X4 at AAA (sf) -- $515.3 million Class A-X-1 at AAA (sf) -- $515.3 million Class A-X-2 at AAA (sf) -- $515.3 million Class A-X-3 at AAA (sf) -- $9.9 million Class B-1 at AA (low) (sf) -- $9.9 million Class B-1-A at AA (low) (sf) -- $9.9 million Class B-1-X at AA (low) (sf) -- $10.7 million Class B-2 at A (low) (sf) -- $10.7 million Class B-2-A at A (low) (sf) -- $10.7 million Class B-2-X at A (low) (sf) -- $6.0 million Class B-3 at BBB (low) (sf) -- $2.7 million Class B-4 at BB (low) (sf) -- $1.1 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.95% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 4.15%, 2.20%, 1.10%, 0.60%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-11 (the Certificates). The Certificates are backed by 441 loans with a total principal balance of $ 547,864,527 as of the Cut-Off Date (November 1, 2024). Subsequent to the issuance of the related Presale Report, four loans had their unpaid principal balances lowered by a total of $3,756. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Presale Report balance. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 15 to 30 years and a weighted-average (WA) loan age of three months. Approximately 93.7% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 6.3% 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. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) originated 67.0% of the pool and PennyMac Loan Services, LLC originated 15.4%. Various other originators, each comprising less than 15%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by United wholesale Mortgage (67.0%) and PennyMac (15.4%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (March 1, 2025). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. JP MORGAN 2024-CCM1: DBRS Finalizes B(low) Rating on B-5 Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-CCM1 (the Certificates) issued by J.P. Morgan Mortgage Trust 2024-CCM1 (JPMMT 2024-CCM1): -- $350.3 million Class A-1 at AAA (sf) -- $313.7 million Class A-2 at AAA (sf) -- $313.7 million Class A-3 at AAA (sf) -- $313.7 million Class A-3-X at AAA (sf) -- $235.3 million Class A-4 at AAA (sf) -- $235.3 million Class A-4-A at AAA (sf) -- $235.3 million Class A-4-X at AAA (sf) -- $78.4 million Class A-5 at AAA (sf) -- $78.4 million Class A-5-A at AAA (sf) -- $78.4 million Class A-5-X at AAA (sf) -- $188.2 million Class A-6 at AAA (sf) -- $188.2 million Class A-6-A at AAA (sf) -- $188.2 million Class A-6-X at AAA (sf) -- $125.5 million Class A-7 at AAA (sf) -- $125.5 million Class A-7-A at AAA (sf) -- $125.5 million Class A-7X at AAA (sf) -- $47.1 million Class A-8 at AAA (sf) -- $47.1 million Class A-8-A at AAA (sf) -- $47.1 million Class A-8-X at AAA (sf) -- $36.5 million Class A-9 at AAA (sf) -- $36.5 million Class A-9-A at AAA (sf) -- $36.5 million Class A-9-X at AAA (sf) -- $350.3 million Class A-X-1 at AAA (sf) -- $350.3 million Class A-X-2 at AAA (sf) -- $350.3 million Class A-X-3 at AAA (sf) -- $350.3 million Class A-X-4 at AAA (sf) -- $350.3 million Class A-X-5 at AAA (sf) -- $5.9 million Class B-1 at AA (low) (sf) -- $6.3 million Class B-2 at A (low) (sf) -- $3.1 million Class B-3 at BBB (low) (sf) -- $1.5 million Class B-4 at BB (low) (sf) -- $554.0 thousand Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, 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 certificate (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.10% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit 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 290 loans with a total principal balance of $369,097,600 as of the Cut-Off Date (November 1, 2024). This is the first transaction to be issued under the JPMMT CCM shelf. Subsequent to the issuance of the related Presale Report, eleven loans were removed from the pool. The Certificates are backed by 301 mortgage loans with a total principal balance of $383,428,253 in the Presale Report. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Presale Report balance. 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 US dollars unless otherwise noted. JPMCC 2012-CIBX: DBRS Confirms C Rating on 3 Classes ----------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2012-CIBX issued by JPMCC 2012-CIBX Mortgage Trust: -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) Classes E, F, and G have credit ratings that do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating confirmations reflect the minimal changes in Morningstar DBRS' expectations and the makeup of the remaining pool over the past year. Morningstar DBRS remains cautious on the disposition timeline and recoverability prospects for the remaining two loans in the pool: Jefferson Mall (Prospectus ID#4, 50.8% of the pool) and Southpark Mall (Prospectus ID#5, 49.2% of the pool). Both loans previously transferred to special servicing because of imminent nonmonetary default following the bankruptcy filing of their sponsor, CBL & Associates Properties, Inc. (CBL), in November 2020. After emerging from bankruptcy, the sponsor executed modifications in October 2022 to achieve full reinstatement of both loans while retaining CBL as the property manager and sponsor. Modification terms included an extension of the maturity dates to June 2026, as well as the execution of a hard lockbox requiring excess cash flow to go toward principal payments and a capital expenditure reserve. Per the November 2024 remittance, transaction reserves total $8.3 million, a decline from the $10.0 million in reserves at last review in November 2023. Given the concentration and high exposure to previously defaulted loans, Morningstar DBRS' credit ratings are based on a recoverability analysis, which considers the most recent appraised values for the two underlying assets, their continued declining performance and potential for further value decline. Based on the most recent appraisals, future losses at disposition could be contained to Classes F, G, and the unrated Class NR; however, when subject to additional stress tests, Class E continues to remain exposed to possible losses at resolution, supporting the maintenance of the C (sf) credit ratings across all classes. The Jefferson Mall loan is secured by 281,020 square feet (sf) of in-line space and one stand-alone restaurant parcel in a 956,992-sf super-regional mall in Louisville, Kentucky. The remaining noncollateral anchors are Dillard's, JCPenney, and Tilted 10. According to the July 2024 rent roll, the property was 93.5% occupied, compared with the 99.2% occupancy reported in June 2023. Collateral leases scheduled to roll through maturity total 52.5% of the net rentable area (NRA). Cash flow and the debt service coverage ratio (DSCR) have also declined over the past year. A February 2021 appraisal valued the property at $34.7 million, a 66% decline from the issuance appraised value of $101.7 million. Given the performance declines and high rollover during the remaining term, Morningstar DBRS further stressed this value for an expected loss severity of more than 50.0%. The Southpark Mall loan is secured by the borrower's fee-simple interest in 397,596 sf of a larger 687,375-sf regional mall located in Colonial Heights, Virginia. The mall is anchored by Dick's Sporting Goods (collateral) and three noncollateral anchors. Although occupancy has been stable, rollover at the subject is notable, totaling 36.6% of the NRA prior to the loan's scheduled maturity in June 2026, including Dick's Sporting Goods (28.6% of NRA, lease expiry in November 2024). The YE2023 net cash flow was reported at $4.1 million, down from $5.8 million as of YE2022. The respective DSCR declined below breakeven. The February 2021 appraisal valued the property at $40.0 million, a 61% decline from the issuance appraised value of $103.0 million. Given the performance declines and concentrated rollover, Morningstar DBRS further stressed this value, resulting in a loss severity approaching 45.0%. Notes: All figures are in U.S. dollars unless otherwise noted. KEYCORP STUDENT 2006-A: Moody's Ups Rating on II-C Certs to Caa2 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three PSL tranches and placed one FFELP tranche on review with direction uncertain from KeyCorp Student Loan Trust 2004-A, KeyCorp Student Loan Trust 2005-A and KeyCorp Student Loan Trust 2006-A. The underlying collateral for these transactions includes loans originated under the Federal Family Education Loan Program (FFELP) and private student loans (PSLs). The FFELP and the PSLs collateral is separated into group I and group II, respectively, with each group collateralizing its own set of notes with independent reserve accounts and payment waterfalls. The residual cash flow in each group can be used to cover any payment shortfalls in the other group. 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: KeyCorp Student Loan Trust 2004-A Class II-D, Upgraded to Baa3 (sf); previously on Feb 23, 2024 Upgraded to B2 (sf) Issuer: KeyCorp Student Loan Trust 2005-A Cl. I-B, Aa1 (sf) Placed On Review Direction Uncertain; previously on Jul 26, 2024 Aa1 (sf) Placed On Review for Downgrade Cl. II-C, Upgraded to Aa1 (sf); previously on Feb 23, 2024 Upgraded to Baa3 (sf) Issuer: KeyCorp Student Loan Trust 2006-A Cl. II-C, Upgraded to Caa2 (sf); previously on Nov 11, 2016 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions are primarily driven by the adoption of the updated methodologies "US Private Student Loan Securitizations" and "FFELP Student Loan Securitizations" published on 12/12/2024 and reflect recent performance information and Moody's updated default assumptions on the underlying private student loan collateral. The upgrades are primarily driven by the overall positive impact of the methodological changes and build-up of credit enhancement. The action to put the FFELP tranche Cl. I-B issued by KeyCorp Student Loan Trust 2005-A on watch with direction uncertain is driven by the potential uplift from increased residual cash flow from the PSL portion prompted by the adoption of the updated PSL methodology, offsetting the risk that the notes will not pay off prior to their legal final maturity dates. On July 26, 2024, Moody's placed the FFELP tranches issued by KeyCorp Student Loan Trust 2004-A, KeyCorp Student Loan Trust 2005-A and KeyCorp Student Loan Trust 2006-A on review for downgrade, following Nelnet's disclosure of a collateral data reporting approach that appears to have understated the remaining term of loans in Income-based Repayment Plans (IBR), potentially increasing the risk of the notes not paying down by their legal final maturity dates. During the review period, Moody's will update Moody's cash flow modeling to reflect the residual cash flow from the PSL portion and the updated remaining term of the FFELP collateral portion to assess the likelihood that the notes will be paid off prior to their legal final maturity dates. Moody's will also consider updated prepayment and performance information, as well as other deal specific considerations Moody's lifetime cumulative gross default expectations are noted below for the transactions PSL pools: KeyCorp Student Loan Trust 2004-A: 26.00% KeyCorp Student Loan Trust 2005-A: 23.15% KeyCorp Student Loan Trust 2006-A: 26.25% 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 and credit enhancement. PRINCIPAL METHODOLOGY The methodologies used in these ratings were "FFELP Student Loan Securitizations" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given Moody's expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. Among the factors that could drive the ratings up are increasing voluntary prepayment rates, faster paydown speed of the loan pool as a result of declining borrower usage of relief programs. Down Moody's could downgrade the ratings of the FFELP bonds if the paydown speed of the loan pool declines as a result of the updated remaining term, lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. Moody's could downgrade the ratings of the PSL bonds if net losses are higher than Moody's expectations, or if the servicer's financial stability or quality of servicing deteriorates. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. KRR CLO 60: Fitch Assigns 'BB+sf' Rating on E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 60 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 60 Ltd. A-1 LT AAAsf 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 60 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 96.95% first-lien senior secured loans and has a weighted average recovery assumption of 74.97%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 60 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. KSL COMMERCIAL 2024-HT2: DBRS Gives Prov. B(high) on HRR Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HT2 (the Certificates) to be issued by KSL Commercial Mortgage Trust 2024-HT2 (the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class C at (P) AA (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. The Trust is secured by secured by the fee-simple and/or leasehold interests in 13 hospitality properties across six states. The portfolio consists of 2,384 total keys, including four properties (1,072 keys, representing 42.9% of allocated loan amount (ALA)) operating under the Marriott brand family; four properties (398 keys, representing 21.7% of ALA) as independent brands; three properties (549 keys, representing 20.6% of ALA) operating under the Hilton brand family; and two properties (365 keys, representing 14.9% of ALA) operating under the Hyatt brand family. The properties were constructed between 1904 and 2015 and have a weighted-average (WA) year built of 1997 and WA renovation year of 2021. The subject financing of $761.0 million, along with a $104.0 million mezzanine loan, will facilitate the refinancing of $740.9 million of existing debt, redistribute $77.6 million to the sponsor, establish a $29.2 million property improvement plan (PIP) letter of credit, and cover closing costs. The loan is a two-year, floating-rate (one-month Secured Overnight Financing Rate (SOFR) plus 2.800% per annum) interest-only mortgage loan with three one-year extension options. The borrower is expected to purchase an interest rate cap with a one-month Term SOFR strike price of 5.0%. The transaction sponsor is an affiliate of KSL Capital Partners (KSL). KSL is a private equity firm specializing in equity and debt investing in U.S. and international travel and leisure enterprises, spread across five primary sectors: hospitality, recreation, clubs, real estate, and travel services. KSL has been an industry leader for its 30 years of operation by strategically acquiring lodging and leisure-oriented assets and implementing management to help drive cash flow. Since 2005, KSL has raised more than $21 billion worth of capital commitments that focus solely on its travel and leisure endeavors, investing in more than 185 businesses across the world. The properties in the portfolio were constructed between 1904 and 2015. Since 2016, approximately $161.3 million ($67,647 per key) in capital expenditure (capex) was invested in the properties. An additional $29.2 million ($17,718 per key) of planned capex is budgeted for seven of the properties from 2024 through 2027. The planned capex is part of brand-mandated PIPs over the fully extended five-year loan term. In lieu of an upfront reserve to cover the cost of the brand-mandated PIPs, the sponsor is required to deliver a letter of credit in an amount equal to $29.2 million. Once/if performed, these improvements would allow the portfolio to maintain its competitive position and improve its overall financial performance. One property, which will potentially require a PIP upon an upcoming franchise expiry in 2025, is not included in the PIP cost estimate. Morningstar DBRS applied a $5.0 million Morningstar DBRS value adjustment to recognize the PIP shortfall during the initial loan term. The largest properties by net cash flow (NCF) are the Westin Philadelphia, the Boston Envoy, and the Hilton Garden Inn New York-Midtown East, which represent approximately 11.8%, 11.6%, and 10.7% of the trailing 12-month period (T-12) ended September 30, 2024, NCF, respectively. No other property represents more than 10.5% of portfolio NCF. The 13 properties average approximately 183 keys and the largest hotel, the Cadillac Hotel & Beach Club, Autograph Collection, contains 357 keys, or approximately 15.0% of the total keys in the portfolio. The portfolio is located across six states, with the largest concentration by ALA in New York and Florida, which account for approximately 39.6% and 23.0% of the loan balance by ALA, respectively. No other state accounts for more than 15.0% of the loan balance by ALA. Most of these markets are located within a Morningstar DBRS Market Rank of 7 or 8 (62.0% of ALA), and the WA portfolio Market Rank is 6.1. The locations within these markets are primarily high-barrier-to-entry urban markets that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. In 2019, prior to the coronavirus pandemic, the portfolio achieved an occupancy rate of 82.9% and an average daily rate (ADR) of $238.96, resulting in a revenue per available room (RevPAR) of $198.19. Following a significant decline during 2020 because of the coronavirus pandemic, the portfolio's performance was able to recover to pre-pandemic levels by 2022, with the YE2022 RevPAR of $198.43 just higher than the YE2019 RevPAR of $198.19. Over the past two years, the portfolio has continued to experience consistent top-line growth. During the T-12 ended September 30, 2024, the portfolio achieved an occupancy rate of 79.1%, representing a 3.9% increase over the YE2023 occupancy and an ADR of $278.63, representing an 0.6% increase over the YE2023 ADR. These figures resulted in a RevPAR of $220.46, representing a 4.5% increase over the YE2023 RevPAR and an 11.2% increase over the YE2019 RevPAR. Of the 13 properties in the portfolio, 11 achieved a higher RevPAR during the T-12 ended September 30, 2024, than in 2019, while 12 saw RevPAR increases from YE2023 to the T-12 ended September 30, 2024. The portfolio achieved a WA RevPAR penetration of 107.7% during the T-12 ended September 30, 2024, as well as 104.8% in YE2023, 99.9% in YE2022, and 102.2% in YE2019, indicating that the majority of properties in the portfolio have historically outperformed their respective competitive sets. Morningstar DBRS concluded a RevPAR of $219.19 based on an occupancy rate of 78.8% and an ADR of $278.24. This RevPAR figure is 0.6% lower than the T-12 ended September 30, 2024, RevPAR of $220.46 and 3.9% greater than the YE2023 RevPAR of $210.94. The overall portfolio appraised value is $1.25 billion, which equates to a moderate appraised total debt LTV of 69.1% (65.9% LTV based on the $1.31 bulk sale value). The Morningstar DBRS-concluded value of $906.5 million ($380,243 per key) represents a significant 27.6% discount to the appraised value and results in a Morningstar DBRS whole-loan LTV of 95.4%, which is indicative of high-leverage financing; however, the Morningstar DBRS value is based on a capitalization rate (cap rate) of 8.19%, which represents a significant stress over current prevailing market cap rates and accounts for a $5.0 million Morningstar DBRS value deduction to account for the PIP shortfall for the Hilton Garden Inn Tribeca during the initial loan term. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. LAKE SHORE V: S&P Assigns BB- (sf) Rating on Class C-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-R, B-R, and C-R notes and class A-1R and A-2R loans from Lake Shore MM CLO V LLC, a CLO originally issued in November 2022 that is managed by First Eagle Alternative Credit LLC. At the same time, S&P withdrew its ratings on the original class X, B, and C notes and class A-1 and A-2 loans following payment in full on the Dec. 12, 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 non-call period was extended to Dec. 12, 2026. -- The reinvestment period was extended to Dec. 12, 2028. -- The legal final maturity dates (for the replacement debt and the existing variable dividend notes) were extended to Jan. 15, 2037. -- The turbo feature of the original class C debt was removed. -- The class X-R notes were issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds in 15 payment dates beginning with the payment date in April 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 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 Lake Shore MM CLO V LLC Class X-R, $22.60 million: AAA (sf) Class A-1R loans, $270.00 million: A (sf) Class A-2R loans, $30.00 million: A (sf) Class B-R (deferrable), $28.00 million: BBB- (sf) Class C-R (deferrable), $24.00 million: BB- (sf) Ratings Withdrawn Lake Shore MM CLO V LLC Class X to NR from 'AAA (sf)' Class A-1 loans to NR from 'A (sf)' Class A-2 loans to NR from 'A (sf)' Class B to NR from 'BBB- (sf)' Class C to NR from 'BB- (sf)' Other Debt Lake Shore MM CLO V LLC Variable dividend notes, $50.00 million: NR NR--Not rated. MADISON PARK LXVI: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXVI, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LXVI, 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 F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Madison Park Funding LXVI, Ltd. was upsized by approximately $100 million to $700 million, rather than the aggregate ramp-up par amount of $600 million that was anticipated when the expected ratings were assigned. The class D-2 notes are fixed rate notes rather than floating rate notes as anticipated when the expected ratings were assigned. Transaction Summary Madison Park Funding LXVI, 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 $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 97.13% first lien senior secured loans and has a weighted average recovery assumption of 74.7%. 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 that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1 notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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 notes, 'AAsf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXVI, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MADISON PARK LXVI: Moody's Assigns B2 Rating to $350,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Madison Park Funding LXVI, Ltd. (the Issuer or Madison Park LXVI): US$430,500,000 Class A-1 Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$350,000 Class F Deferrable Floating Rate Junior Notes due 2038, Definitive Rating Assigned B2 (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. Madison Park LXVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 96% of the portfolio must consist of first lien senior secured loans and up to 4% of the portfolio may consist of not senior secured loans. The portfolio is approximately 80% ramped as of the closing date. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the 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: $700,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3229 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% 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. MADISON PARK XLV: S&P Assigns BB- (sf) Rating on Class E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-RR, and E-RR replacement debt from Madison Park Funding XLV Ltd./Madison Park Funding LLC, a CLO managed by UBS Asset Management (Americas) LLC that was originally issued in July 2020 and underwent a refinancing in July 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, and D-R debt following payment in full on the Dec. 17, 2024, refinancing date (S&P did not rate the class E-R debt). The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt as well as the revised coverage test triggers. According to the conformed indenture, the non-call period for the replacement debt was set to June 17, 2025, the weighted average life test schedule was revised, and the concentration limit for fixed-rate assets was set to 5.00%. Replacement And July 2021 Debt Issuances Replacement debt Class A-RR, $287.50 million: Three-month CME term SOFR + 1.08% Class B-RR, $60.80 million: Three-month CME term SOFR + 1.65% Class C-RR, $24.35 million: Three-month CME term SOFR + 1.90% Class D-RR, $26.00 million: Three-month CME term SOFR + 2.90% Class E-RR, $14.10 million: Three-month CME term SOFR + 6.25% July 2021 debt Class A-R, $265.50 million: Three-month CME term SOFR + 1.38161% Class B-R, $76.50 million: Three-month CME term SOFR + 1.96161% Class C-R, $25.00 million: Three-month CME term SOFR + 2.31161% Class D-R, $28.50 million: Three-month CME term SOFR + 3.41161% Class E-R, $18.25 million: Three-month CME term SOFR + 6.61161% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Class A-RR, $287.50 million: AAA (sf) Class B-RR, $60.80 million: AA (sf) Class C-RR, $24.35 million: A (sf) Class D-RR, $26.00 million: BBB- (sf) Class E-RR, $14.10 million: BB- (sf) Ratings Withdrawn Madison Park Funding XLV Ltd./Madison Park Funding XLV 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)' Other Debt Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Subordinated notes, $36.90 million: NR NR--Not rated. MAGNETITE XXXIX: S&P Assigns BB- (sf) Rating on Class E-2-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Dec. 13, 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 non-call period was extended to December 2025. -- The reinvestment period was extended to January 2028. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended to January 2037. -- The target initial par amount will remain at $400.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is January 2025. -- No additional subordinated notes were issued on the refinancing date. 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 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 (deferrable), $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) Ratings Withdrawn Magnetite XXXIX Ltd./Magnetite XXXIX LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Magnetite XXXIX Ltd./Magnetite XXXIX LLC Subordinated notes, $37.70 million: NR NR--Not rated. MENLO CLO I: S&P Assigns Prelim B- (sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Menlo CLO I Ltd./Menlo CLO I 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 Permira US CLO Manager LLC. The preliminary ratings are based on information as of Dec. 12, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Menlo CLO I Ltd./Menlo CLO I LLC Class A-1, $263.50 million: AAA (sf) Class A-2, $12.75 million: AAA (sf) Class B, $46.75 million: AA (sf) Class C (deferrable), $25.50 million: A (sf) Class D-1 (deferrable), $21.25 million: BBB (sf) Class D-2 (deferrable), $8.50 million: BBB- (sf) Class E (deferrable), $12.75 million: BB- (sf) Class F (deferrable), $3.19 million: B- (sf) Subordinated notes, $36.40 million: Not rated MF1 2020-FL4: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of notes issued by MF1 2020-FL4, Ltd.: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G 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 40.3% since issuance. Additionally, the majority of loan collateral, 19 loans, representing 98.6% of the current trust balance, is secured by multifamily properties. Multifamily properties have historically proven to be better able to retain property value and cash flow compared with other property types. While the paydown is a positive development, Morningstar DBRS notes that the transaction is somewhat exposed to adverse selection as a majority of the borrowers are facing execution risk with their respective business plans because of a combination of factors, including decreased property values, increased construction costs, slower rent growth, and increases in debt service costs stemming from the current elevated interest rate environment as all loans have floating interest rates. As a result of lagging business plans and loan exit strategies, the borrowers of 13 loans, representing 61.9% of the current trust balance, have received loan modifications and/or forbearances. Terms for the modifications vary from loan to loan; however, common terms include interest deferrals via a hard and soft pay structure and waiving interest rate cap agreement requirements. Forbearance agreements have been executed to facilitate further modification discussions between the lender and borrowers. 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. 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 $67.7 million, as well as two below investment-grade bonds, i.e., Class F and Class G, totaling $73.6 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 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. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The initial collateral consisted of 22 floating-rate mortgages secured by 29 transitional multifamily properties with a cut-off date balance totaling approximately $783.3 million. Most of the loans were in a period of transition with plans to stabilize performance and improve the asset value. The transaction included an 18-month reinvestment period that expired in May 2022, at which point the bonds began to amortize sequentially with loan repayment and scheduled loan amortization. The pool currently comprises 20 loans secured by 40 properties with a cumulative trust balance of $568.2 million. Since the previous Morningstar DBRS rating action in December 2023, four loans with a prior cumulative trust balance of $122.1 million have successfully repaid from the pool. Four of the original 22 loans, representing 17.0% of the current pool balance, remain in the trust. Leverage across the pool has remained generally consistent with the issuance metrics as of the November 2024 reporting, as the current weighted-average (WA) as-is appraised value loan-to-value ratio (LTV) is 73.4%, with a current WA stabilized LTV of 63.8%. In comparison, these figures were 62.0% and 55.0%, 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. Palm Valley (Prospectus ID#33, 5.0% of the current trust balance) represents the pool's only specially serviced loan. The loan, which is secured by a 264-unit, garden-style apartment property in Goodyear, Arizona, transferred to special servicing in October 2024 after the loan failed to pay off upon its July 2024 maturity default. According to the collateral manager, the sponsor has experienced difficulty in covering the debt service payment in recent months and requested a loan modification. The property was 96.0% occupied as of August 2024. As of the year-end 2023 financials provided by the servicer, the property generated a net cash flow of $2.9 million equating to a debt service coverage ratio (DSCR) of 0.62x and debt yield of 4.7%. In its current analysis, Morningstar DBRS increased its POD to the loan to reflect the increased maturity and business plan execution risk. The resulting loan EL exceeded the WA EL for the overall pool. There are 19 loans, representing 95.0% of the current trust balance, on the servicer's watchlist as of the November 2024 reporting. The loans have been flagged for DSCRs below breakeven and upcoming loan maturities. The largest loan in the pool, Two Blue Slip (Prospectus ID#40, 16.1% of the current trust balance), is being monitored on the servicer's watchlist for upcoming maturity risk. The loan matures in February 2025; however, the loan includes two additional 12-month extension options. The property was 90.5% occupied as of September 2024 rent roll. According to the YE2023 financials the property generated $14.9 million, equating to a DSCR of 0.59x and debt yield of 4.4%. In its current analysis, Morningstar DBRS applied upward as-is and as-stabilized LTV adjustments to reflect the increased business plan execution risk. The resulting loan EL is below the WA EL for the overall pool. Through October 2024, the lender had advanced cumulative loan future funding of $121.9 million to 17 of the 20 outstanding individual borrowers to aid in property stabilization efforts. The largest advance, $27.5 million, had been made to the borrower of the Parkview at Collingswood loan, which is secured by a 1,030-unit, high-rise-style apartment community located in Collingswood, New Jersey. The advanced funds have been used to fund the borrower's extensive $27.5 million planned capital expenditures (capex) across the portfolio. The Q3 2024 collateral manager report noted the borrower had completed 677 unit upgrades with another 43 units in progress. Of the renovated units, 346 units have achieved rental premiums of $296 per unit compared with in-place rental rates at issuance. An additional $83.3 million of loan future funding allocated to 10 of the outstanding individual borrowers remains available. The vast majority of available funding ($56.1 million) is allocated across the two portfolio loans sponsored by Veritas, ranging from $23.0 million for the SF Multifamily Portfolio II loan to $33.1 million for the LA Multifamily Portfolio II loan. The business plan for each loan is similar, with funds available to renovate properties with a small portion of dollars allocated for potential performance-based earnouts. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-ASHF: S&P Affirms 'CCC' Rating on Cl. F Certs ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2017-ASHF, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on three other classes from the transaction. This U.S. standalone (single-borrower) CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan. The loan, which has a $409.8 million balance as of the Nov. 15, 2024, trustee remittance report, is secured by the borrowers' fee-simple interests in a portfolio of eight full-service, three extended-stay, and six limited-service lodging properties in seven states totaling 3,128 guestrooms. No properties have been released to date; however, the trust balance was paid down by $9.3 million since our last review. Since issuance, the deal has paid down by $17.3 million, the majority of which was due to the release of a parking parcel at the Hilton St. Petersburg Bayfront. Rating Actions The downgrades on the class B, C, and D certificates and affirmations on the class A, E, and F certificates primarily reflect: -- The loan transferred to the special servicer in August 2024 and defaulted at its November 2024 despite increasing net cash flow (NCF) over the past three years that is sufficient to cover debt service. The loan is currently unhedged, and discussions surrounding a workout resolution are ongoing. -- S&P's expected-case valuation for the portfolio, while unchanged from last review, is 9.6% lower than the value it derived at issuance. -- While the portfolio's revenue per available room (RevPAR) has increased since the COVID-19 pandemic, operating expenses have similarly increased, resulting in stagnating gains in NCF. S&P said, "The servicer-reported NCF for 2023 ($37.9 million) and the trailing 12 months (TTM) ending June 30, 2024, ($38.2 million) are slightly above the NCF that we derived in our July 2020 review but have not recovered to pre-COVID-19 levels of $42.6 million in 2019." S&P said, "The affirmation of our 'CCC (sf)' rating on class F further reflects our qualitative consideration that its repayment remains dependent upon favorable business, financial, and economic conditions, and that the class remains vulnerable to default. Specifically, the trust loan has an S&P Global Ratings' loan-to-value ratio of 102.7% through this class, and our current analysis continues to indicate a potential principal loss on this class. "Although the model-indicated rating for class E was higher than the affirmed rating, primarily as a result of the $9.3 million in principal paydown since our last published review, we affirmed our rating on this class considering its position in the waterfall, as well as the fact that the loan is not presently covered by an interest rate cap agreement and the uncertainty surrounding the potential loan workout. "We lowered the rating on the X-EXT IO certificates based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references the class C certificates. "At issuance, we applied a positive 1.0% transaction-level qualitative adjustment to account for the significant capital that was being invested in the portfolio at that time as well as the brand and geographic diversity existing within the portfolio. In our current review, we have removed the transaction-level qualitative adjustment, given the lack of clarity about more recent capital expenditures on the properties as well as the loan's maturity default and transfer to the special servicer." The loan, which matured Nov. 9, 2024, had a non-performing matured balloon payment status as of the Nov. 15, 2024, trustee remittance report. However, the master servicer, Wells Fargo Bank N.A., reports that the borrowers subsequently remitted a debt service payment for the November payment period. The special servicer, Trimont Real Estate Advisors LLC, stated that it has recently granted the borrowers a 90-day forbearance while it negotiates a potential workout. S&P said, "We will continue to monitor the performance of the portfolio and loan, including the in-progress negotiations regarding a potential loan workout. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis Updates S&P said, "In our July 2020 review, we were concerned about the depth and duration of the COVID-19 pandemic's impact on performance. However, it was unclear at that time whether the pandemic would result in a permanent shift to the portfolio's NCF, so we accounted for some of this risk by increasing our capitalization rate by 100 basis points while retaining our issuance NCF." Since that time, NCF has improved each year, although the rate of improvement has recently slowed, and NCF remains below pre-COVID-19 levels. Servicer-reported NCF increased to $38.2 million for the TTM ending June 30, 2024, from $37.9 million in 2023 and $34.5 million in 2021. In comparison, NCF was $42.6 million in 2019. Revenues now exceed pre-COVID-19 levels, reported as $156.4 million in the TTM ending June 30, 2024, compared to $148.1 million in 2019, but expenses are similarly higher, reported at $111.5 million in the TTM ending June 30, 2024, compared to $99.1 million in 2019. S&P said, "In our current property-level analysis, we arrived at a $36.4 million NCF (unchanged from our last review) using a 70.0% occupancy, $164.00 average daily rate, and $114.80 RevPAR. Using a 10.43% S&P Global Ratings capitalization rate, which is a weighted average of the various property types and is unchanged from our last review, and deducting $0.4 million for a Proposition 13 adjustment for the San Deigo Residence Inn Sorrento Mesa Valley property, we derived an S&P Global Ratings expected-case value of $348.4 million, or $111,372 per guestroom. "Our revised expected-case value is unchanged from our last review but is 9.6% below our issuance value and 40.8% below the issuance appraised value of $588.1 million. This yielded an S&P Global Ratings loan-to-value ratio of 117.6% on the trust balance." Table 1 Servicer-reported collateral performance Trailing 12 months ending June 30, 2024(i) 2023(i) 2022(i) Occupancy rate (%) 70.6 70.9 67.4 Average daily rate ($) 164.85 161.62 155.72 Revenue per available room ($) 104.88 114.55 116.45 Net cash flow (mil. $) 34.5 37.9 38.2 Debt service coverage (x) 1.06 1.10 1.79 Appraisal value (mil. $)(ii) 480.3 480.3 480.3 (i)Reporting period. (ii)As of July 2020. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Dec 2024)(i) (July 2020)(i) (Dec 2017) Trust balance 409.8 419.0 427.0 Number of properties 8 8 8 Number of keys 3,128 3,128 3,128 Occupancy rate (%) 70.0 76.1 76.1 Average daily rate ($) 164.0 128.92 128.92 Revenue per available room ($)114.80 98.10 98.10 Net cash flow (mil. $) 36.4 36.4 36.4 Capitalization rate (%) 10.43 10.43 9.43 Deduct from value (mil. $)(ii) 0.6 0.6 0.6 Value (mil. $) 348.4 348.4 385.4 Value per guestroom ($) 111,372 111,372 123,203 Loan-to-value ratio (%) 117.6 120.3 106.3 (i)Review period. (ii)For California Proposition 13. Ratings Lowered Morgan Stanley Capital I Trust 2017-ASHF Class B to 'A+ (sf)' from 'AA- (sf)' Class C to 'BBB+ (sf)' from 'A- (sf)' Class D to 'BB+ (sf)' from 'BBB- (sf)' Class X-EXT to 'BBB+ (sf)' from 'A- (sf)' Ratings Affirmed Morgan Stanley Capital I Trust 2017-ASHF Class A: AAA (sf) Class E: B (sf) Class F: CCC (sf) NATIXIS COMMERCIAL 2019-NEMA: DBRS Confirms BB Rating on X Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-NEMA issued by Natixis Commercial Mortgage Securities Trust 2019-NEMA as follows: -- Class A at A (sf) -- Class B at BBB (low) (sf) -- Class X at BB (sf) -- Class C at BB (low) (sf) -- Class V-ABC at BB (low) (sf) -- Class V2 at CCC (sf) -- Class D at CCC (sf) -- Class V-D at CCC (sf) The trends on Classes A, B, C, X, and V-ABC are Stable. Classes D, V2, and V-D have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' outlook on the transaction, which remains relatively unchanged since the previous credit rating action in December 2023. While the loan has been modified and was subsequently returned to the master servicer in June 2024, Morningstar DBRS maintains its conservative view on the transaction in light of the updated property valuations for the underlying collateral. As such, Morningstar DBRS did not update its loan-to-value (LTV) sizing benchmarks and maintained the stressed value analysis derived during the previous credit rating action in December 2023, which indicated an LTV ratio in excess of 100% on the secured debt. The transaction consists of a $199.0 million first-lien mortgage loan secured by NEMA San Francisco, a 754-unit Class A luxury apartment complex with 11,184 square feet of commercial retail space in the South of Market (SoMa) submarket. The trust loan is part of a $384.0 million whole loan and consists of a $130.0 million senior A-1 note and a $69.0 million senior-subordinate A-B note. Outside of the trust, there is $75.0 million of additional debt that is pari passu to the A-1 note, as well as $110 million in subordinate B notes. The trust loan has a 10-year term and pays interest only (IO) for the full term until its maturity in February 2029. The loan transferred to special servicing in August 2023 following imminent monetary default. A loan modification was executed in February 2024, with the interest rate on the B-1 note reduced to a fixed rate of 2.00% through the earlier of either August 2026 or upon the net cash flow (NCF) debt service coverage ratio (DSCR) achieving a minimum 1.10 times (x) on a quarterly basis. Additionally, the accruing interest on the B-2 note was terminated, requiring the borrower to only repay the unpaid principal at maturity. Among other terms, the borrower was also required to fund approximately $5.0 million upfront for past-due payments to bring the loan current and to commit to funding a minimum of $5.5 million in future equity through the remainder of the loan term, including a $2.5 million deposit in the capital expenditure (capex) reserves and $1.0 million deposits each year following the aforementioned funding. According to the servicer, the required $2.5 million capex deposit has been received. The loan will remain in a cash sweep period until fully repaid. According to November 2024 reporting, there was more than $2.7 million held in reserves. In its previous analysis of the transaction, Morningstar DBRS was in receipt of an appraisal dated September 2023, which valued the collateral at $279.0 million, a 48.9% decline from the issuance appraised value of $543.6 million and below the whole-loan balance of $384.0 million. In its current analysis, Morningstar DBRS applied a conservative 15.0% haircut to the September 2023 appraised value to reflect the potential for further value declines amid property underperformance, resulting in a stressed value of $237.2 million. The servicer provided a second appraisal in October 2023, valuing the property at $328.8 million. As indicated above, Morningstar DBRS maintains its outlook on the property value as performance has yet to reach levels projected by either appraisal, although there is evidence of moderate improvement. According to the Q2 2024 financials, the loan reported an annualized NCF of $13.8 million, relatively consistent with the YE2023 and YE2022 figures of $13.6 million and $13.0 million, respectively, but below the Morningstar DBRS NCF of $20.1 million derived in 2020. Based on the modified debt service amount, the loan's DSCR was reported at 1.02x as of Q2 2024, above breakeven for the first time since 2019. Historical declines in cash flow have primarily stemmed from depressed rental rates and increased rental concessions initiated during the pandemic; however, rental rates have shown improvement over the last couple of years, increasing to $3,445 per unit as of June 2024, from $3,318 per unit in April 2023 and $3,183 per unit in April 2022. By means of comparison, according to Reis Q2 2024 data, the average asking and effective rental rates for the SoMa submarket were reported at $3,753 per unit and $3,620 per unit, respectively. Despite the improvement in the achieved average rental rate, property performance still lags the 2023 appraisal expectations. When applying the annualized Q2 2024 NCF against the September 2023 and October 2023 values of $279.0 million and $328.8 million, the implied capitalization (cap) rates are 4.96% and 4.21%, respectively, below the assumed cap rates in the appraisals of 5.75% and 6.0%, respectively. In comparison, the Morningstar DBRS value of $237.2 million reflects an implied cap rate of 5.83% based on the Q2 2024 NCF. While on the lower end of the Morningstar DBRS range for multifamily properties, the cap rate reflects the subject's urban infill location and above-average property quality. The implied Morningstar DBRS cap rate is further supported by information from the CBRE U.S. Cap Rate Survey H1 2024, which indicates Class A value-added multifamily properties in the infill San Francisco area traded at cap rates ranging from 5.25% to 5.75% while stabilized properties traded at cap rates ranging from 4.75% to 5.50%. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN 29: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 29, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 29, Ltd. - Reset A-1R LT AAAsf New Rating AAA(EXP)sf A-2R 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-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT NRsf New Rating NR(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Neuberger Berman Loan Advisers CLO 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers LLC that originally closed in September 2018 and was not rated by Fitch. On Dec. 12, 2024 (the reset date), the CLO's existing secured notes will be redeemed in full with refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.47, versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.9% versus a minimum covenant, in accordance with the initial expected matrix point of 73.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1R, and 'BB-sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 29, 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. NEW MOUNTAIN 2: Fitch Assigns 'B-sf' Rating on Class F-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to New Mountain CLO 2 Ltd reset transaction. Entity/Debt Rating ----------- ------ New Mountain CLO 2 Ltd A Loans LT AAAsf New Rating A1-R LT AAAsf New Rating A2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D1-R LT BBBsf New Rating D2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated Notes LT NRsf New Rating New Mountain CLO 2 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by New Mountain Credit CLO Advisers, L.L.C. that originally closed in April 2021. This is the first refinancing in which the existing secured notes will be refinanced in whole, on Dec. 13, 2024. Net proceeds from the issuance of the secured and the existing 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 25.1, versus a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.13% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.7% versus a minimum covenant, in accordance with the initial expected matrix point of 75.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 46% 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 that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A loans and A1-R notes, between 'BBB+sf' and 'AA+sf' for class A2-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BBB-sf' for class D1-R notes, between less than 'B-sf' and 'BB+sf' for class D2-R notes, between less than 'B-sf' and 'BB-sf' for class E-R notes, and between less than 'B-sf' and 'B+sf' for class F-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A loans, A1-R notes and class A2-R notes as these loans/notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-R notes, 'A+sf' for class D1-R notes, 'Asf' for class D2-R notes, 'BBB+sf' for class E-R notes, and 'BBB-sf' for class F-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authorityregistered 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 New Mountain CLO 2 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEW RESIDENTIAL 2024-NQM3: Fitch Gives B-sf Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings assigns final ratings to the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2024-NQM3 (NRMLT 2024-NQM3). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2024-NQM3 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B 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 XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed notes to be issued by NRMLT 2024-NQM3, as indicated above. The notes are supported by 538 newly originated loans with a balance of $272 million as of the Nov. 1, 2024 cutoff date. The pool consists of loans originated by NewRez LLC, as well as third-party originators Champions Funding, LLC (Champions), among others. The notes are secured mainly by non-qualified mortgage (QM) loans as defined by the ability-to-repay (ATR) Rule. Of the loans in the pool, 71.6% are designated as non-QM while the remainder are not subject to the ATR Rule. 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 11.2% above a long-term sustainable level (relative to 11.6% on a national level as of 2Q24). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices had increased 4.3% yoy nationally as of August 2024 despite modest regional declines, but are still being supported by limited inventory. Non-Prime Credit Quality (Negative): The collateral consists of 538 loans, totaling $272 million and seasoned approximately three months in aggregate, according to Fitch, as calculated from origination date. The borrowers have a moderate credit profile when compared with other non-QM transactions, with a 750 Fitch model FICO score and 37% debt/income ratios (DTI), as determined by Fitch after converting the debt service coverage ratio (DSCR) values. However, leverage (81% sustainable loan/value [sLTV]) within this pool is consistent compared to previous NRMLT transactions from 2024. The pool consists of 68.2% of loans where the borrower maintains a primary residence, while 31.8% are considered an investor property or second home. In addition, only 20.0% of the loans were originated through a retail channel. Moreover, 71.6% are considered non-QM and the remainder are not subject to QM. Modified Sequential-Payment Structure (Mixed): The structure pays principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be paid sequentially to class A-1A, A-1B, A-2 and A-3 notes until they are reduced to zero. Starting on the payment date immediately following the first payment date of which the principal balance of the mortgage loans is less than or equal to 20% of the balance as of the cut-off date, the class A-1A, A-1B, A-2 and A-3 notes feature a 100-bp coupon step-up, subject to the net WAC. This increases the interest allocation for the A-1A through A-3 and decreases the amount of excess spread available in the transaction. Loan Documentation (Negative): 71.4% of the pool was underwritten to less than full documentation, according to Fitch. Approximately 54.2% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. In addition, 7.7% are DSCR product and 6.9% are Asset Depletion product. High Investor Property Concentrations (Negative): Approximately 23.9% of the pool comprises investment property loans, including 7.7% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher probability of defaults (PDs) and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans relative to a traditional income documentation investor loan to account for the increased risk. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Evolve, Infinity, and SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - Fitch applied a 5% PD credit at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 53bps as a result of the diligence review. 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. NXT CAPITAL 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 middle-market 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 ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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, $40.44 million: Not rated OCEANVIEW MORTGAGE 2021-5: Moody's Ups Rating on B-5 Certs to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds from one US residential mortgage-backed transaction (RMBS), backed by first-lien prime jumbo mortgage loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Oceanview Mortgage Trust 2021-5 Cl. B-3, Upgraded to A3 (sf); previously on Jan 29, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 29, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jan 29, 2024 Upgraded to Ba3 (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 continue to display strong collateral performance, with no cumulative loss to date and a small number of loans in delinquency. In addition, enhancement levels for the tranches have grown, as the pool amortized. The credit enhancement for each tranche upgraded has grown by, an average, 26% 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. 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 Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings 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 this transaction. 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. OCP CLO 2015-10: S&P Assigns Prelim BB- (sf) Rating on E-R3 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R3, B-1R3, B-2R3, C-R3, D-1R3, D-2R3, and E-R3 replacement debt from OCP CLO 2015-10 Ltd./OCP CLO 2015-10 Corp., a CLO that is managed by Onex Credit Partners LLC and had underwent a second refinancing. S&P Global Ratings did not rate the debt issued in connection with the second refinancing that closed in 2021. The preliminary ratings are based on information as of Dec. 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 20, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the previously refinanced debt. S&P said, "At that time, we expect to assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may 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 transaction will be collateralized by at least 90.00% senior secured loans, cash, and eligible investments, with a minimum of 87.50% of the loan borrowers required to be based in the U.S., Canada, and United Kingdom. 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 OCP CLO 2015-10 Ltd./OCP CLO 2015-10 Corp. Class A-R3, $256.00 million: AAA (sf) Class B-1R3, $43.00 million: AA (sf) Class B-2R3, $5.00 million: AA (sf) Class C-R3 (deferrable), $24.00 million: A (sf) Class D-1R3 (deferrable), $24.00 million: BBB- (sf) Class D-2R3 (deferrable), $4.00 million: BBB- (sf) Class E-R3 (deferrable), $12.00 million: BB- (sf) Subordinated notes, $66.60 million: Not rated OHA CREDIT 4: 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 4 Ltd./OHA Credit Funding 4 LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in September 2019 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Dec. 16, 2024, refinancing date. The class X-R notes were not rated by S&P Global Ratings. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R2, A-R2, B-1-R2, C-R2, D-1-R2, D-2-R2, and E-R2 notes were issued at a lower spread over three-month SOFR than the October 2021 notes. -- The replacement class A-R2, C-R2, and E-R2 notes were issued at a floating spread, replacing the current floating spread. -- The replacement class B-R debt was split into the class B-1-R2 and B-2-R2 debt, which will be paid pro-rata with the class B-1-R2 debt bearing floating-rate interest and the class B-2-R2 debt bearing fixed-rate interest. -- The replacement class D-R debt was split into the class D-1-R2 and D-2-R2 debt, which will be sequential in payment and will both bear floating-rate interest. -- The stated maturity was extended 1.25 years. -- The reinvestment period was extended 3.25 years. -- The non-call period was extended 3.15 years. -- The weighted average life test date was extended 0.25 years. -- The class X-R2 notes was issued on the refinancing date and are expected to be paid down using interest proceeds during the first nine payment dates, beginning with the payment date in January 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 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 4 Ltd./OHA Credit Funding 4 LLC Class X-R2, $2.50 million: AAA (sf) Class A-R2, $372.00 million: AAA (sf) Class B-1-R2, $71.00 million: AA (sf) Class B-2-R2, $13.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Class D-1-R2 (deferrable), $36.00 million: BBB- (sf) Class D-2-R2 (deferrable), $4.50 million: BBB- (sf) Class E-R2 (deferrable), $19.50 million: BB- (sf) Ratings Withdrawn OHA Credit Funding 4 Ltd./OHA Credit Funding 4 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 4 Ltd./OHA Credit Funding 4 LLC Subordinated notes, $51.40 million: NR NR--Not rated. PIKES PEAK 10: Fitch Assigns 'Bsf' Rating on Class F-R Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 10 Ltd's reset transaction. Entity/Debt Rating ----------- ------ Pikes Peak CLO 10 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 BBBsf New Rating D-2-AR LT BBB-sf New Rating D-2-BR LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT Bsf New Rating Subordinated LT NRsf New Rating Transaction Summary Pikes Peak CLO 10 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Partners Group US Management CLO LLC, which originally closed in April 2022. The transaction will reset for the first time on Dec. 12, 2024. 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. The transaction is upsized from the original deal size that was issued in 2022. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.66, versus a maximum covenant, in accordance with the initial expected matrix point of 25. 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 98.33% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.14% versus a minimum covenant, in accordance with the initial expected matrix point of 69.2%. 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 that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to those of 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 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, between less than 'B-sf' and 'B+sf' for class E-R, and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'A+sf' for class D-1R, 'A-sf' for class D-2R, 'BBB+sf' for class E-R, and 'BBB-sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PRESTIGE AUTO 2023-2: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on three classes of notes and affirmed its ratings on 10 classes of notes from Prestige Auto Receivables Trust (PART) 2022-1, 2023-1, and 2023-2, which are ABS transactions backed by subprime retail auto loan receivables originated and serviced by Prestige Financial Services Inc. The rating actions reflect: -- The transactions' collateral performance to date; -- S&P's remaining cumulative net loss (CNL) expectations for the transactions and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, and our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors, and on the capital contributions of $4.5 million and $6.5 million to PART 2022-1 and PART 2023-2, respectively, that Prestige Financial Services Inc. (Prestige) made to the series on Dec. 12, 2024, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. A key pillar of Prestige's business model is funding auto retail contracts for obligors whose credit history displays a period of good credit followed by a period of poor credit, which may include a recent bankruptcy (Chapter 7 or 13). Historically, Prestige's bankruptcy collateral performed better than its non-bankruptcy collateral. Since 2022, however, the relatively higher non-bankruptcy collateral in PART 2022-1 (82%), PART 2023-1 (71%), and 2023-2 (61%), together with the economic headwinds and lower wholesale used vehicles prices, negatively impacted performance and negated the performance differential between the two collateral types. S&P said, "Since our prior rating action on PART 2022-1, on April 26, 2024, performance has trended worse than our revised CNL expectations. The frequency of defaults has not decreased as the pool has aged, and gross charge-offs have remained elevated. Recovery is at the program's low point and is not improving. Together, these factors have resulted in higher monthly net losses. Delinquencies and extensions, too, are elevated and concerning. In view of the transaction's continued deteriorating performance to date, we further revised and raised our expected CNL (ENCL) for PART 2022-1." The PART 2023-1 and 2023-2 transactions are performing better than PART 2022-1 did at the same point in time. Nevertheless, each series' performance is trending higher than our original ECNLs, and their delinquencies and extensions are elevated. As such, S&P has revised and raised its ECNLs for these series. Table 1 PART collateral performance(i) Pool 60+ day Monthly factor delinq. extension CGL CRR CNL Series Mo. (%) (%) rate (%) (%) (%) (%) 2022-1 26 44.20 8.67 4.10 28.45 23.22 21.85 2023-1 19 58.10 6.46 4.51 16.64 21.04 13.14 2023-2 13 75.20 4.83 3.94 8.77 21.95 6.85 (i)As of the December 2024 distribution date. PART--Prestige Auto Receivables Trust. Delinq.--Delinquencies. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original lifetime Prior lifetime Revised lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2022-1 16.00 29.00-30.00 34.00 2023-1 18.75 N/A 28.00 2023-2 18.75 N/A 28.00 (i)Revised in April 2024 for series 2022-1. (ii)As of the December 2024 distribution date. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. The transactions contain a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class. The transactions also have credit enhancement in the form of a nonamortizing reserve account, overcollateralization, and excess spread. As of the December 2024 distribution date, the PART 2022-1 overcollateralization amount has fallen below its target after being built to its target following the capital contribution in April 2024. The PART 2023-1 and PART 2023-2 overcollateralization amounts have yet to build to their respective targets. All three series' nonamortizing reserves are at their respective original and revised targets. Hard credit enhancement (without credit to excess spread) has increased as the series' pools have amortized. Table 3 Hard credit support(i) Total hard Current total hard credit support at credit support Series Class issuance (%) (% of current)(ii) 2022-1 B 41.50 96.22 2022-1 C 30.70 71.82 2022-1 D 19.45 46.39 2022-1 E 10.25 25.60 2023-1 B 45.05 79.67 2023-1 C 31.95 57.12 2023-1 D 21.70 39.48 2023-1 E 10.75 20.62 2023-2 A-2 58.65 86.17 2023-2 B 44.15 66.88 2023-2 C 32.80 51.79 2023-2 D 20.80 35.82 2023-2 E 9.20 20.39 (i)As of the December 2024 distribution date. (ii)Calculated as a percentage of the total receivable pool balance, which consists of a reserve account, subordination, and overcollateralization. Excludes excess spread that can also provide additional enhancement. S&P said, "We incorporated a cash flow analysis (as of the collection period ending October 31) giving credit to stressed excess spread to assess the loss coverage levels, given our revised ENCLs, for the notes. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given the transaction's performance. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our analysis, we also considered Prestige's contribution of $4.5 million and $6.5 million in additional capital to PART 2022-1 and PART 2023-2, respectively, on Dec. 12, 2024. The contributions were deposited to the reserve accounts of the series as a non-declining amount--increasing the target reserve accounts to 2.59% and 3.42% from 1.25% and 1.00% of the initial collateral balance of PART 2022-1 and 2023-2, respectively. The capital contribution is a one-time cash infusion into PART 2022-1 and 2023-2, intended to increase credit enhancement and defray future net losses from impacting the rated notes, specifically, the most subordinated class E notes, which are highly dependent on excess spread and most susceptible to continued high losses. "We will continue to monitor the performance of the transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each rated class." RATINGS RAISED Prestige Auto Receivables Trust Rating Series Class To From 2022-1 B AAA (sf) AA+ (sf) 2022-1 C AA (sf) A+ (sf) 2023-1 B AA+ (sf) AA (sf) RATINGS AFFIRMED Prestige Auto Receivables Trust Series Class Rating 2022-1 D BBB (sf) 2022-1 E BB- (sf) 2023-1 C A (sf) 2023-1 D BBB (sf) 2023-1 E BB- (sf) 2023-2 A-2 AAA (sf) 2023-2 B AA (sf) 2023-2 C A (sf) 2023-2 D BBB (sf) 2023-2 E BB- (sf) PRPM LLC 2024-RPL4: 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-RPL4, LLC and sponsored by PRP IV Holdings, L.P. 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-RPL4, 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 2.50%, and reaches 14.40% 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. RALI TRUST 2007-QH1: Moody's Hikes Rating on Cl. A-1 Certs to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating of Cl. A-1 from RALI Series 2007-QH1 Trust, a US residential mortgage-backed transactions (RMBS) backed by Option ARM mortgages. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating action is as follows: Issuer: RALI Series 2007-QH1 Trust Cl. A-1, Upgraded to B1 (sf); previously on Jun 28, 2016 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating action reflects the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrade is a result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. The rating action also reflects 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 upgrade. 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. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: 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. REALT 2016-1: Fitch Affirms 'Bsf' Rating on Class G Debt -------------------------------------------------------- Fitch Ratings has affirmed eight class of Real Estate Asset Liquidity Trust Series 2016-1 (REAL-T 2016-1). Following their affirmations, the Rating Outlook for Class F was revised to Negative from Stable. Class G remains on Rating Outlook Negative. Fitch has affirmed all rated classes of Real Estates Asset Liquidity Trust Series 2016-2 (REAL-T 2016-2), Real Estate Asset Liquidity Trust Series 2017-1 (REAL-T 2017-1) and Real Estate Asset Liquidity Trust Series 2018-1 (REALT-T 2018-1). Entity/Debt Rating Prior ----------- ------ ----- REAL-T 2018-1 A-2 75585RQF5 LT AAAsf Affirmed AAAsf B 75585RQH1 LT AAAsf Affirmed AAAsf C 75585RQJ7 LT AA+sf Affirmed AA+sf D-1 75585RQK4 LT A-sf Affirmed A-sf D-2 LT A-sf Affirmed A-sf E LT BBB-sf Affirmed BBB-sf F LT BBsf Affirmed BBsf G LT Bsf Affirmed Bsf REAL-T 2017 A-2 75585RPZ2 LT AAAsf Affirmed AAAsf B 75585RQB4 LT AAAsf Affirmed AAAsf C 75585RQC2 LT AAAsf Affirmed AAAsf D-1 75585RQD0 LT A+sf Affirmed A+sf D-2 LT A+sf Affirmed A+sf E LT A-sf Affirmed A-sf F LT BBBsf Affirmed BBBsf G LT BB+sf Affirmed BB+sf REAL-T 2016-1 A-1 75585RMW2 LT AAAsf Affirmed AAAsf A-2 75585RMY8 LT AAAsf Affirmed AAAsf B 75585RNC5 LT AAAsf Affirmed AAAsf C 75585RNE1 LT AA-sf Affirmed AA-sf D 75585RNG6 LT BBB+sf Affirmed BBB+sf E 75585RNJ0 LT BBB-sf Affirmed BBB-sf F 75585RNL5 LT BBsf Affirmed BBsf G 75585RNM3 LT Bsf Affirmed Bsf REAL-T 2016-2 A-2 75585RNR2 LT AAAsf Affirmed AAAsf B 75585RNZ4 LT AAAsf Affirmed AAAsf C 75585RPA7 LT AAAsf Affirmed AAAsf D 75585RPB5 LT AA+sf Affirmed AA+sf E 75585RPC3 LT AA-sf Affirmed AA-sf F 75585RPD1 LT BBB+sf Affirmed BBB+sf G 75585RPE9 LT BB+sf Affirmed BB+sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' ratings case losses are 3.6% in REAL-T 2016-1, 2.5% in REAL-T 2016-2, 2.7% in REAL-T 2017-1 and 3.4% in REAL-T 2018-1. Loan performance remains largely stable across the transactions. Fitch Loans of Concerns (FLOCs) comprise seven loans (23.0% of the pool) in the REAL-T 2016-1 transaction, seven loans (34.0%) in REAL-T 2016-2, four loans (29.2%) in REAL-T 2017-1, and two loans (9.0%) in the REAL-T 2018-1 transaction. Due to the concentrated nature of upcoming scheduled maturities and adverse selection concerns, Fitch performed a sensitivity and liquidation analysis for the REAL-T 2016-1 and REAL-T 2016-2 transactions where loans were grouped based on their delinquency status, performance and collateral quality and subsequently ranked based on their perceived likelihood of repayment and/or loss expectations. Loan maturities accounting for 78.5% and 69.7% of the REAL-T 2016-1 and REAL-T 2016-2 transactions, respectively, are concentrated in 2025. Affirmations in the REAL-T 2016-1 transaction reflects mostly stable pool performance coupled with continued improvements in credit enhancement from amortization and pay down from loans. The Negative Outlooks on Classes F and G reflect increased pool loss expectations, since Fitch's prior rating action, primarily due to continued performance declines of the Ste Catherine Street Retail Montreal (7.4% of the pool), Richmond Street Office (3.4%), Walkers Line Office Burlington (3.0%), Revera Retirement Oakville (2.9%), and Bristol Building Office St Johns (1.9%) loans and the potential for downgrades should performance continue to deteriorate further or loans transfer to special servicing. Affirmations in the REAL-T 2016-2, REAL-T 2017-1 and REAL-T 2018-1 transactions reflects generally stable performance since Fitch's prior rating action with greater expectation for loans to refinance at maturity, as well as concentration to stable asset types including self-storage (17 loans for 34.8% in REAL-T 2017-1 and seven loans for 21.4% in REAL-T 2018-1), limited exposure to office loans and mostly stable performance of loans in the pool with higher anticipate refinance of loans at maturity. Largest FLOCS and Increases to Loss Expectations: The largest FLOC in the REAL-T 2016-1 transaction is the Ste Catherine Street Retail Montreal (7.4% of the pool), which is secured by a 35,219-sf retail property located in Montreal, QC. According to the most recent servicer provided OSAR, the NOI DSCR has remained negative since 2019 following the vacancies of Forever 21 (85.8% of the NRA) in 2019 and Fossil (14.2%) in 2020. However, a new lease has been executed for the entire building under a build-to-suit arrangement with rent commencement in March 2025. Despite the negative cash flow, the loan has remained current and is scheduled to mature in September 2025. Fitch's 'Bsf' rating case loss of 4.3% (prior to concentration adjustments) reflects a 10.50% cap rate and a 20% stress to the YE 2019 NOI. The largest contributor to loss expectations and largest increase in loss since the prior rating action in the REAL-T 2016-1 transaction is the Richmond Street Office loan (3.4%), which is secured by a 50,895-sf office property located in Toronto, ON. Property occupancy declined to 23.7% as of YE 2023 after Cardinia Real Estate Canada (78.1%of the NRA) vacated the subject. Due to the occupancy declines, the loan's NOI DSCR declined to -0.53x as of YE 2023 from 2.01x at YE 2021. Despite the performance declines, the loan has remained current and is scheduled to mature in January 2026. The loan is full recourse to the sponsor. Fitch's 'Bsf' rating case loss of 20.6% (prior to concentration adjustments) reflects a 10% cap rate and 40% stress to the YE 2021 NOI and also factors an increased probability of default to account for the loan's heightened maturity default concerns given the large vacancy. The next largest FLOC and second largest increase in loss since the prior rating action in the REAL-T 2016-1 transaction is the Walker's Line Offices Burlington loan (2.9%), secured by a 55,401-sf office building in Burlington, ON. The loan was identified as a FLOC due to lower operating cash flow and upcoming rollover around the loan's January 2026 maturity. As of May 2023, occupancy remains stable at 88.6%. However, the TTM January 2023 and TTM January 2022 NOI DSCR were lower, at 1.29x and 1.33x, respectively, compared to the issuer's underwritten DSCR of 1.52x. Additionally, per the most recent rent roll from May 2023, upcoming lease rollover includes 10.5% of the NRA in 2024, 32.6% in 2025 and 35.8% in 2026, coinciding with loan maturity. Fitch's 'Bsf' rating case loss of 19.2% (prior to concentration adjustments) reflects a 10% cap rate, a 10% stress to the TTM January 2023 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The next largest increase in loss expectations since the prior rating action in REAL-T 2016-1 is the Revera Retirement loan (2.7% of the NRA), which is secured a 69-unit independent support living residence in Oakville, ON. The loan was identified as a FLOC due to lower occupancy and NOI DSCR. Per the most recent rent roll, occupancy at the subject declined to 75% from pre-pandemic levels of 90% at YE 2019 and YE 2018. Declines in occupancy contributed to a lower servicer reported DSCR of 0.03x and 0.65x for the YE 2023 and YE 2022 reporting periods, respectively. According to the servicer, occupancy has declined due to challenging market conditions; however, a new property manager was engaged to improve occupancy at the subject. Despite the declines in cash flow, the loan has remained current and is full recourse to the sponsor. Fitch's 'Bsf' rating case loss of 22.5% (prior to concentration adjustments) reflects a 10.50% cap rate and a 20% stress to the YE 2022 NOI and an increased probability of default due to concerns around the loan defaulting at its December 2025 maturity. The next largest FLOC and increase in loss expectations since the prior rating action in the REAL-T 2016-1 transaction is the Bristol Building Office St. Johns loan (1.7%), secured by a 29,400-sf office building located in St. Johns, IL. The loan was identified as a FLOC due to sustained performance declines. Property occupancy has remained at 62% since YE 2021, down from 100% prior to the pandemic. Due to the occupancy declines, the loan's DSCR coverage has remained below a 1.00x coverage since 2021. According to updates from the servicer, the borrower is actively working with brokers to lease the vacant space. They are also seeking to renew the leases of the two remaining tenants, Munn Insurance Limited and Det Norske Veritas, whose leases expire in February 2025 and May 2025, respectively. Fitch's 'Bsf' ratings case loss of 27.7% (prior to concentration adjustments) reflects an 11% cap rate, a 10% stress to the YE 2023 NOI and an increased probability of default to account for the loan's heightened default concerns at its July 2025 maturity. The largest FLOC and largest contributor to loss expectations in the REAL-T 2016-2 transaction is Cameron Street Industrial Hawkesbury loan (8.0% of the pool), which is secured by two industrial buildings totaling 264,288-sf located in Hawkesbury, ON. The loan was identified as a FLOC due to lower occupancy and NOI DSCR. The sole tenant Bentley Leathers vacated the space in 2021, but was subsequently backfilled by Robert Transport (78.2% of the NRA) in September 2021. While the tenant's lease is currently month to month, the servicer noted that the tenant intends to renew for a longer term. Due to lower occupancy, NOI DSCR has declined to 1.24x and 1.21x for the YE 2023 and YE 2022 reporting periods, which compares to 1.92x at YE 2019. Fitch's 'Bsf' ratings case loss 17.5% (prior to concentration adjustments) reflects a 9.00% cap rate to the YE 2023 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns as the loan approaches maturity in October 2025. The largest contributor to loss and the largest increase in loss expectations since the prior rating action in the REAL-T 2017-1 transaction is the Worthington Office North Bay loan (4.0%), secured by an 84,328-sf office property in North Bay, ON. The loan was identified as a FLOC due to sustained occupancy and cash flow declines. Occupancy at the subject has fallen to 68% for the TTM March 2024 in line with occupancy year over year. The decline in occupancy has caused NOI DSCR to drop to 0.73x as of YE 2023, down from 1.08x as of YE 2022 and compares with the issuer's underwritten coverage of 1.59x. Fitch's 'Bsf' rating case loss of 14.5% (prior to concentration adjustments) reflects an 11% cap rate to the YE 2023 NOI and includes an increased probability of default to account for the loan's heightened term and maturity default concerns. The next largest FLOC and largest increase in loss expectations since the prior rating action in REAL-T 2017 is the Desjardins Office Jonquiere Quebec loan (3.7%), which is secured by a 35,184-sf office property in Saguenay, QC. The property is fully occupied by the Desjardins Group with lease expiration in August 2025 coterminous with loan maturity. Fitch's 'Bsf' rating case loss of 4.3% (prior to concentration adjustments) reflects a 10% cap rate and 20% stress to the YE 2023 NOI. The largest FLOC and largest contributor to loss in the REAL-T 2018-1 transaction is the Chateau Dollard Retirement loan (8.5% of the pool), which is secured by a 122-unit senior housing property located in Dollard Des Ormeaux, QC. The loan was identified as a FLOC due to sustained cash flow declines. Occupancy has recovered to 79% as of YE 2023 from 69% at YE 2022, but remains lower than occupancy of 83% at YE 2019, and is down from 88% at YE 2018 and issuance levels of 92%. Due to the occupancy declines, the loan has maintained an NOI DSCR below a 1.00x coverage. The loan has remained current and does not have recourse provisions to the sponsor. Fitch's 'Bsf' rating case loss of 13.0% (prior to concentration adjustments) reflects a 10.50% cap rate to the YE 2023 NOI and an increased probability of default due to the loan's term and maturity default concerns. Loans with Recourse: The following transactions feature full or partial recourse to the borrowers and/or sponsors: - 33 loans for 94.0% of the REAL-T 2016-1 pool balance; - 12 loans for 57.0% of the REAL-T 2016-2 pool balance; - 13 Loans for 51.9% of the REAL-T 2017-1 pool balance; - 23 loans for 46.8% of the REAL-T 2018-1 transaction. Changes to Credit Enhancement: As of the November 2024 distribution date, the aggregate balance reduction across the transactions ranges from to 47.6% to 66.6%. There have been no realized losses across the transactions. Defeasance comprises one loan (0.6%) in REAL-T 2016-1 and one loan (5.8%) in REAL-T 2016-2. Interest shortfalls of $162 and $12,147 are impacting the non-rated class H across the REAL-T 2016-1 and REAL-T 2018-1 transactions, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the classes rated 'AAAsf' and 'AAsf' are not considered likely due to position in the capital structure and continued expected increases in CE, but may occur at 'AAAsf' should interest shortfalls occur. Downgrades to the 'A-sf' and 'BBBsf' rated classes could occur with an increase in loss expectations including outsized losses on larger FLOCs, including Ste Catherine Street Retail Montreal, Richmond Street Office and Walkers Line Offices Burlington in the REAL-T 2016-1 transaction; Cameron Street Industrial Hawkesbury in REAL-T 2016-2; Skyline Thunder Centre, Worthington Office North Bay and Desjardins Office Jonquiere Quebec in REAL-T 2017-1, and Chateau Dollard Retirement in REAL-T 2018-1. Downgrades to the 'BBsf' and 'Bsf' rated classes are possible with higher than expected losses from FLOCs and/or if loans are unable to refinance and default at maturity. Downgrades to distressed classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AAsf' and 'Asf' rated classes are possible with increased credit enhancement resulting from amortization and paydowns, coupled with stable pool-level losses expectations and/or performance stabilization of FLOCs. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' and 'BBsf' rated classes would be limited based on sensitivity to concentrations of the pools, including loan maturities, as well as adverse selection of remaining loans in the pool. Upgrades to distressed classes are not likely until the later years of the transaction and absent performance improvements in FLOCs and adverse selection of the remaining loans in the pool. 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. RIVERVIEW HECM 2007-1: S&P Affirms CCC (sf) on Class A Notes ------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on five classes from five U.S. residential mortgage-backed securities (RMBS) transactions backed by reverse mortgages, including two resecuritized reverse mortgage real estate mortgage investment conduit (re-REMIC) transactions, issued between 2007 and 2010. All of these transactions are backed by home equity conversion mortgage (HECM) loan collateral. The review yielded one upgrade and four affirmations. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes. We performed credit analysis using liquidation timelines, broker commission and rating-level foreclosure cost assumptions, combined tax and insurance rates, and market value decline (MVD) assumptions to include an assessment of the level of over/under valuation in the prevailing property market. We also used updated constant prepayment rate (CPR) assumptions as described below. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections." CPR Assumptions S&P said, "Our analysis contemplated both fast and slow CPR assumptions, and we further segmented those assumptions by the borrower's gender and age. According to our reverse mortgage criteria, if the observed CPRs are considerably different from those in the criteria, we may use updated CPR vectors. "During this review, we updated our slow CPR assumptions due to observed CPR data for the pool's weighted average borrower age. Our 'AAA' slow CPR assumptions reflect the most recent published mortality tables. However, we believe that our fast CPR assumptions remain accurate, and we used those as stated in our reverse mortgage surveillance criteria. "For the Mortgage Equity Conversion Asset Trust 2007-FF2 transaction we updated our base-case assumption to a level that equates to the 'AAA' slow CPR assumptions for male and to a level that equates to the 'BBB' slow CPR assumptions for female, as published in Appendix Table 4 of our reverse mortgage criteria of our reverse mortgage criteria. We then linearly interpolated the CPRs for the 'BB' through 'AA' rating categories. "For the Mortgage Equity Conversion Asset Trust 2010-1 transaction, we updated our base-case assumption to a level that equates to the 'AAA' slow CPR assumptions for male and to a level that equates to the 'A' slow CPR assumptions for female, as published in Appendix Table 4 of our reverse mortgage criteria of our reverse mortgage criteria. We then linearly interpolated the CPRs for the 'BB' through 'AA' rating categories. "Lastly, for the Riverview HECM Trust 2007-1 transaction, we updated our base-case assumption to a level that equates to the 'AA' slow CPR assumptions for male and to a level that equates to the 'B' slow CPR assumptions for female, as published in Appendix Table 4 of our reverse mortgage criteria. We then linearly interpolated the CPRs for the 'BB' through 'AA' rating categories. Ratings list Rating Issuer Series Class CUSIP To From Mortgage Equity Conversion Asset Trust 2007-FF2 2007-FF2 A 61911CAA1 AA+ (sf) AA+ (sf) Mortgage Equity Conversion Asset Trust 2010-1 2010-1 A 61911BAA3 A (sf) BBB (sf) Main rationale: Increased credit support. Riverview HECM Pass-Through Certificates , Series 2007-4 2007-4 A 76942LAA2 CCC (sf) CCC (sf) Riverview HECM Pass-Through Certificates, Series 2008-1 2008-1 A-5 76942RAF8 AA+ (sf) AA+ (sf) Riverview HECM Trust 2007-1 2007-1 A Notes 769422AA4 CCC (sf) CCC (sf) ROCKFORD TOWER 2021-3: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Rockford Tower CLO 2021-3, Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ Rockford Tower CLO 2021-3, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-1-AR LT A+sf New Rating C-2-AR LT Asf New Rating C-BR LT Asf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Rockford Tower CLO 2021-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Rockford Tower Capital Management, L.L.C., which originally closed in 2021 and will reset in December 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $548 million(excluding defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49, versus a maximum covenant, in accordance with the initial expected matrix point of 23.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.67% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.61% versus a minimum covenant, in accordance with the initial expected matrix point of 68.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of 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-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'BB+sf' and 'A+sf' for class C-1-AR, between 'B+sf' and 'BBB+sf' for class C-2-AR and C-BR, 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-1-AR, 'AAsf' for class C-2-AR and class C-BR, '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 Rockford Tower CLO 2021-3, 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. SAGARD-HALSEYPOINT 8: S&P Assigns Prelim 'BB-' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sagard-HalseyPoint CLO 8 Ltd./Sagard-HalseyPoint CLO 8 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by HalseyPoint Asset Management LLC. The preliminary ratings are based on information as of Dec. 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Sagard-HalseyPoint CLO 8 Ltd./Sagard-HalseyPoint CLO 8 LLC Class A-1, $270.00 million: AAA (sf) Class A-2, $11.25 million: AAA (sf) Class B, $60.75 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D-1 (deferrable), $21.375 million: BBB+ (sf) Class D-2 (deferrable), $5.625 million: BBB- (sf) Class D-3 (deferrable), $4.50 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinated notes, $39.60 million: Not rated SCULPTOR CLO XXVI: 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-1a-R, D-1b-R, D-2-R, and E-R replacement debt and the proposed new class X-R debt from Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC, a CLO originally issued in June 2021 that is managed by Sculptor Loan Management L.P. The preliminary ratings are based on information as of Dec. 13, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 23, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt.' The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1aR, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the original debt. -- The stated maturity will be extended to Jan. 20, 2038. -- The original class D-1 debt is being replaced by two new classes: D-1a-R and D-1b-R. -- The reinvestment period will be extended to Jan. 20, 2030, and the non-call period will be extended to Dec. 23, 2026. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "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 Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC Class X-R, $3.75 million: AAA (sf) Class A-R, $248.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1a-R (deferrable), $8.00 million: BBB+ (sf) Class D-1b-R (deferrable), $12.00 million: BBB+ (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC Subordinated notes, $37.74 million: Not rated SG COMMERCIAL 2020-COVE: DBRS Confirms B(low) Rating on F Certs --------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series issued by SG Commercial Mortgage Securities Trust 2020-COVE as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) The trends on Classes X, D, E, and F are Negative, and the trends on Classes A, B, and C are Stable. With this review, Morningstar DBRS removed the credit ratings on all classes from Under Review with Negative Implications, where they were placed on September 5, 2024. The underlying loan for this transaction is secured by a 283-unit Class A multifamily property in Marin County, California. Although the collateral benefits from a prime waterfront location, superior amenities, and limited competition within the submarket, the property's occupancy rate has lagged market levels for several years, with cash flows below issuance expectations as a result. Morningstar DBRS also notes the near-term maturity date in March 2025, which presents elevated refinance risk given the in-place cash flow declines. These factors support the Negative trends on the bottom classes. However, given the strong submarket fundamentals for multifamily properties and the collateral's high quality, Morningstar DBRS expects that there remains significant incentive for the sponsor to continue working to stabilize the property and either secure a maturity extension or contribute additional equity to secure a replacement loan. Those factors, as well as a value analysis suggesting that there remains significant cushion against loss for the upper part of the capital stack, support the credit rating confirmations and Stable trends with this review. The transaction benefits from the collateral's premium quality and favorable position with the South Marin submarket, which offers a limited supply of multifamily properties given the lack of vacant land and environmental constraints on further development, resulting in a historically low vacancy rate. The sponsor, Maximus Real Estate Partners, has invested more than $50.0 million toward capital improvements since acquiring the property in 2013. The property is composed of 100 one-bedroom units, 138 two-bedroom units, 44 three-bedroom units, and one four-bedroom unit. Property amenities include a 52-slip boat marina, three pools, two spas, a playground, a clubhouse, and a fitness center. The trust debt of $160.0 million is a pari passu participation interest in a $210.0 million whole loan, with the remaining balance represented by senior notes securitized in the BBCMS Mortgage Trust 2020-C7 transaction that is also rated by Morningstar DBRS. The loan is currently on the servicer's watchlist because of its pending maturity date. The servicer has reached out to the borrower for an update on the plans at maturity; however, as of the date of this press release, no updates have been provided to Morningstar DBRS. According to the financial reporting for the trailing nine-month period ended September 30, 2024, the property generated $9.6 million of net cash flow (NCF) (annualized), reflecting a debt service coverage ratio (DSCR) of 1.22 times (x), a considerable decline from the issuance and Morningstar DBRS figures of $11.4 million (a DSCR of 1.43x) and $10.7 million (a DSCR of 1.31x), respectively. According to the September 2024 rent roll, the property was 86.6% occupied with an average base rental rate of $5,890 per unit ($5.80 per square foot (psf)). In comparison, the property was approximately 97.0% occupied (with an average base rental rate of $4,990 per unit) at issuance. Despite average in-place rental rates growing by approximately 20.0% since loan closing, increases in vacancy loss and operating expenses have driven declines in the NCF. As of September 2024, approximately 30% of three-bedroom units (which typically command the highest rental rates) and 11% of one-bedroom units were vacant. As a result, the sponsor continues to offer ongoing concessions while adjusting asking rents for those unit types downward to increase overall competitiveness and marketability. According to Reis, similar vintage apartment properties within the South Marin submarket reported an average vacancy rate of below 5.0% with an average asking rental rate of $4,292 per unit. Likewise, a competitive set report provided by the servicer, which includes a select number of similar vintage/quality properties, reflects average occupancy rates of approximately 95.0% with an average rental rate $4.96 psf as of August 2024. Although the subject's average rental rate remains higher than that of the competitive set and submarket, the volatility in occupancy and reduced demand may be a result of the sponsor's pricing strategy, as opposed to the asset's overall desirability. As outlined above, it appears the sponsor has taken proactive steps toward bringing rental rates in line with the market average in an effort to stabilize operations at the property. With this review, Morningstar DBRS considered a stabilized property value of $195.1 million, which is a variance of -5.0% and -31.6% from the Morningstar DBRS value and appraised value derived at issuance, respectively. Morningstar DBRS maintained the NCF derived at issuance of $10.7 million but elected to increase the capitalization rate to 5.5% from 5.25% to reflect the volatility in occupancy and cash flow, in addition to the execution risk tied to the sponsor's stabilization strategy. The updated Morningstar DBRS value implies a loan-to-value (LTV) ratio of 57.6% on the senior debt and an LTV of 107.7% based on the total mortgage debt amount of $210.0 million (compared with the LTV of 102.8% based on the Morningstar DBRS value at issuance). With this credit rating action, Morningstar DBRS removed the positive qualitative adjustment of 2.5% applied at issuance for low cash flow volatility and maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 4.0% to account for generally strong property quality and stable market fundamentals. The credit ratings assigned to Classes A, B, C, D, and E are higher than the results implied by the LTV sizing benchmarks by three or more notches. The variances are warranted given the subject property's premium quality; its favorable position within the South Marin submarket, which benefits from a historically low vacancy rate; and the generally positive leasing momentum evidenced over the last few reporting periods. However, Morningstar DBRS continues to be concerned about the elevated maturity risk in the short term, therefore supporting the Negative trends. Morningstar DBRS will continue to monitor this transaction for updates. Notes: All figures are in U.S. dollars unless otherwise noted. SHACKLETON 2018-XII CLO: Moody's Affirms Ba3 Rating on Cl. E Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Shackleton 2018-XII CLO, Ltd. US$60,000,000 Class B Senior Floating Rate Notes, Upgraded to Aaa (sf); previously on May 31, 2023 Upgraded to Aa1 (sf) US$25,500,000 Class C Mezzanine Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on May 31, 2023 Upgraded to A1 (sf) US$30,250,000 Class D Mezzanine Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Aug 28, 2020 Confirmed at Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$320,000,000 (current outstanding amount US$171,684,213) Class A Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 11, 2018 Definitive Rating Assigned Aaa (sf) US$24,250,000 Class E Junior Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 28, 2020 Confirmed at Ba3 (sf) Shackleton 2018-XII CLO, Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Alcentra NY, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The upgrades on the ratings on the Class B, C and D Notes are primarily a result of the deleveraging of the Class A Notes following amortisation of the underlying portfolio over the last 12 months. The Class A notes have paid down by approximately USD136.1 million (42.5% of original balance) over the last 12 months and EUR148.3 million (46.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A/B, Class C and Class D. According to the trustee report dated November 2024 [1] the Class A/B, Class C and Class D OC ratios are reported at 144.03%, 129.75% and 116.09%, compared to November 2023 [2] levels of 130.32%, 121.87% and 113.16%, respectively. 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. 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 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: USD335.3m Defaulted Securities: USD4.0m Diversity Score: 63 Weighted Average Rating Factor (WARF): 3070 Weighted Average Life (WAL): 3.42 years Weighted Average Spread (WAS): 3.42% 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. 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. 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. SIGNAL PEAK 9: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from Signal Peak CLO 9 Ltd./Signal Peak CLO 9 LLC, a CLO originally issued in June 2021 that is managed by ORIX Advisers LLC, a wholly owned subsidiary of ORIX Corp. USA. The original debt was not rated by S&P Global Ratings. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the transaction was collateralized by at least 90% senior secured loans, cash, and eligible investments, with a minimum of 90% of the loan borrowers required to be based in the U.S., Canada, the U.K., and Netherlands. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Signal Peak CLO 9 Ltd./Signal Peak CLO 9 LLC Class X-R, $5.000 million: AAA (sf) Class A-1R, $310.000 million: AAA (sf) Class A-2R, $10.000 million: AAA (sf) Class B-R, $60.000 million: AA (sf) Class C-R (deferrable), $30.000 million: A (sf) Class D-1R (deferrable), $25.000 million: BBB (sf) Class D-2R (deferrable), $10.000 million: BBB- (sf) Class E-R (deferrable), $15.000 million: BB- (sf) Subordinated notes, $52.245 million: Not rated SIXTH STREET 27: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sixth Street CLO 27 Ltd./Sixth Street CLO 27 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Sixth Street CLO 27 Management LLC (initially organized under the name Meadowvest Management IV LLC), a subsidiary of Sixth Street Advisers. The 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 Sixth Street CLO 27 Ltd./Sixth Street CLO 27 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $3.75 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $50.00 million: Not rated SYMPHONY CLO 40: 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-1-R, D-2-R, and E-R replacement debt from Symphony CLO 40 Ltd./Symphony CLO 40 LLC, a CLO originally issued in November 2023 that is managed by Symphony Alternative Asset Management LLC, which merged with Nuveen Asset Management LLC in December 2020. The preliminary ratings are based on information as of Dec. 16, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 19, 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-1-R, D-2-R, and E-R debt are expected to be issued at a lower spread over three-month SOFR than the original debt. -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R notes are expected to be issued at a floating spread, replacing the current floating spread. -- The non-call period will be extended two years. -- The stated maturity will be extended to January 2038. -- The reinvestment period will be extended to January 2030. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Symphony CLO 40 Ltd./Symphony CLO 40 LLC Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $12.50 million: BB- (sf) Other Debt Symphony CLO 40 Ltd./Symphony CLO 40 LLC Subordinated notes, $36.40 million: Not rated SYMPHONY CLO 46: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 46, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 46, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf 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 LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Symphony CLO 46, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset 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. The weighted average rating factor (WARF) of the indicative portfolio is 23.2 versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.7% versus a minimum covenant, in accordance with the initial expected matrix point of 73.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 47.5% 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 that of 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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D-1 notes, 'Asf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 06 December 2024 ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 46, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2024-CES6: DBRS Finalizes BB(high) Rating on 5 Classes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2024-CES6 (the Notes) issued by Towd Point Mortgage Trust 2024-CES6 (TPMT 2024-CES6 or the Trust): -- $303.1 million Class A1 at AAA (sf) -- $27.6 million Class A2 at AA (high) (sf) -- $20.1 million Class M1 at A (high) (sf) -- $17.9 million Class M2 at BBB (high) (sf) -- $12.7 million Class B1 at BB (high) (sf) -- $7.5 million Class B2 at B (high) (sf) -- $27.6 million Class A2A at AA (high) (sf) -- $27.6 million Class A2AX at AA (high) (sf) -- $27.6 million Class A2B at AA (high) (sf) -- $27.6 million Class A2BX at AA (high) (sf) -- $27.6 million Class A2C at AA (high) (sf) -- $27.6 million Class A2CX at AA (high) (sf) -- $27.6 million Class A2D at AA (high) (sf) -- $27.6 million Class A2DX at AA (high) (sf) -- $20.1 million Class M1A at A (high) (sf) -- $20.1 million Class M1AX at A (high) (sf) -- $20.1 million Class M1B at A (high) (sf) -- $20.1 million Class M1BX at A (high) (sf) -- $20.1 million Class M1C at A (high) (sf) -- $20.1 million Class M1CX at A (high) (sf) -- $20.1 million Class M1D at A (high) (sf) -- $20.1 million Class M1DX at A (high) (sf) -- $17.9 million Class M2A at BBB (high) (sf) -- $17.9 million Class M2AX at BBB (high) (sf) -- $17.9 million Class M2B at BBB (high) (sf) -- $17.9 million Class M2BX at BBB (high) (sf) -- $17.9 million Class M2C at BBB (high) (sf) -- $17.9 million Class M2CX at BBB (high) (sf) -- $17.9 million Class M2D at BBB (high) (sf) -- $17.9 million Class M2DX at BBB (high) (sf) -- $12.7 million Class B1A at BB (high) (sf) -- $12.7 million Class B1AX at BB (high) (sf) -- $12.7 million Class B1B at BB (high) (sf) -- $12.7 million Class B1BX at BB (high) (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 Notes reflects 24.75% of credit enhancement provided by subordinate Notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 17.90%, 12.9%, 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 US dollars unless otherwise noted. TRIMARAN CAVU 2024-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2024-1 Ltd./Trimaran CAVU 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 Trimaran Advisors LLC. The preliminary ratings are based on information as of Dec. 17, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trimaran CAVU 2024-1 Ltd./Trimaran CAVU 2024-1 LLC Class A, $240.0 million: AAA (sf) Class B, $64.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $38.0 million: Not rated TRINITAS CLO XXXI: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Trinitas CLO XXXI Ltd./Trinitas CLO XXXI 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 Trinitas Capital 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 Trinitas CLO XXXI Ltd./Trinitas CLO XXXI LLC Class A-1, $73.00 million: AAA (sf) Class A-1LA, 129.00 million: AAA (sf) Class A-1LB, $50.00 million: AAA (sf) Class A-2, $4.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $40.70 million: Not rated UBS-BARCLAYS 2012-C4: DBRS Confirms C Rating on Class F Certs ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C4 issued by UBS-Barclays Commercial Mortgage Trust 2012-C4 as follows: -- Class E at CCC (sf) -- Class F at C (sf) There are no trends as the CCC (sf) and C (sf) credit ratings categories generally do not carry trends in commercial mortgage-backed securities (CMBS). Since the last credit rating action, one loan, Evergreen Plaza (Prospectus ID#12; formerly 24.4% of the pool), which was previously in special servicing, was disposed from the trust at no loss as of the January 2024 payment date. As of the November 2024 remittance, two nonperforming matured loans that are secured by real estate owned (REO) assets remain in the pool. Both loans have reported updated appraisal values, which are lower than their respective values that Morningstar DBRS considered at its last review and well below their values at issuance. With this review, Morningstar DBRS analyzed both loans with liquidation scenarios, resulting in losses that remain contained to the lowest-rated Class F certificate. In addition, interest shortfalls continue to accumulate, affecting both remaining rated classes. As of November 2024, interest shortfalls totaled $4.2 million, with approximately $18,000 contained to Class E. Given the expected credit deterioration from a liquidation scenario for both loans and the accumulating interest shortfalls, Morningstar DBRS maintained the CCC (sf) and C (sf) credit ratings on Classes E and F, respectively. The Newgate Mall loan (Prospectus ID#6; 80.5% of the pool) is secured by the in-line space and two anchor spaces of a single-level regional mall in Ogden, Utah, and has been REO since April 2021. An updated appraisal, dated March 2024, valued the property at $21.8 million, down from the issuance appraised value of $83.0 million, reflecting an as-is loan-to-value ratio (LTV) of 225.1%. For this review, Morningstar DBRS applied a haircut to the most recent value and liquidated the loan, resulting in an implied loss exceeding $40.0 million and a loss severity in excess of 75.0%. The Fashion Square loan (Prospectus ID#23; 19.5% of the pool) is secured by a mixed-use property in St. Louis, Missouri, consisting of 13,000 square feet (sf) of retail space, 75,000 sf of office space, and 72 multifamily units and has been REO since April 2023. The property was re-appraised in May 2024 at a value of $7.9 million, compared with the issuance value of $25 million, reflecting an as-is LTV of 170.0%. For this review, Morningstar DBRS applied a haircut to the most recent value and liquidated the loan, resulting in an implied loss exceeding $7.0 million and a loss severity in excess of 50.0%. Notes: All figures are in U.S. dollars unless otherwise noted. UPGRADE RECEIVABLES 2024-1: DBRS Finalizes B Rating on E Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by Upgrade Receivables Trust 2024-1 (Upgrade 2024-1): -- $150,704,000 Class A Notes at AA (low) (sf) -- $45,997,000 Class B Notes at A (low) (sf) -- $37,969,000 Class C Notes at BBB (low) (sf) -- $35,125,000 Class D Notes at BB (low) (sf) -- $29,271,000 Class E Notes at B (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings on the Notes are based on Morningstar DBRS' review by of the following considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, amounts held in the Reserve Fund Account, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under all AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) stress scenarios in accordance with the terms of the Upgrade 2024-1 transaction documents. -- The transaction provides for Class E Notes with a credit rating of B (sf). While the Morningstar DBRS Rating U.S. Structured Finance Transactions, Appendix I: U.S. Consumer Loan ABS Transactions methodology does not set forth a range of multiples for this asset class for the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the Methodology. The typical range of multiples applied in the Morningstar DBRS stress analysis for a B (sf) rating is 1.00 times (x) to 1.25x. (2) The Morningstar DBRS cumulative net loss (CNL) assumption of 16.85% based on the Statistical Cutoff Date pool composition, which is not expected to differ materially from the Cutoff Date pool, and the expected prefunded receivables, which will be subject to a Concentration Test (i.e., a set of collateral concentration limits), which Morningstar DBRS took into consideration when deriving the CNL assumption. (3) The eligibility criteria and Concentration Test applicable to the additional loan collateral that may be added to the trust during the Prefunding Period, which is expected to total up to 20.00% of the total collateral backing Upgrade 2024-1. (4) 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 COVID-19 pandemic scenarios, which were first published in April 2020. (5) Upgrade's experience, sourcing, and servicing capabilities. (6) The Lending Partners' experience, underwriting, and origination capabilities. (7) The annual percentage rate (APR) charged on the loans and the status of the Lending Partners as the true lenders. -- The weighted-average (WA) APR of the loans in the pool is 21.92%. -- All loans included in Upgrade 2024-1 are originated by CRB or BRB in compliance with the relevant usury limit. -- Upgrade is obliged to repurchase any loan if there is a breach of a representation and warranty that materially and adversely affects the interests of the purchaser. (8) Systems & Services Technologies' (SST) ability to perform duties as a Backup Servicer. (9) The legal structure and presence of legal opinions that address the true sale of the unsecured loans, the nonconsolidation of the trust, that the trust has a valid perfected security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the Notes referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the note balance of and accrued interest on the Class A, Class B, Class C, Class D, and Class E Notes, including any unpaid accrued interest from prior distribution dates. Notes: All figures are in US dollars unless otherwise noted. VERUS SECURITIZATION 2024-9: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2024-9's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily newly originated first- and second-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, and five- to 10-unit multifamily residences. The pool has 1,261 loans backed by 1,314 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay-compliant, and ability-to-repay-exempt loans. Eighteen of the 1,261 loans are cross-collateralized loans backed in total by 71 properties. After the preliminary ratings were issued, the issuer removed 28 loans from the pool, updated the loan balances to reflect the Dec. 1, 2024, cut-off date, and updated the bond sizes accordingly keeping the credit enhancement the same as at the time of preliminary ratings. The issuer also added initial exchangeable class A-1A and A-1B notes, which together can be exchanged for exchangeable class A-1 notes. Our loss coverage numbers and ratings are unchanged from the preliminary loss coverage and ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, prior credit events, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- 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." Ratings Assigned(i) Verus Securitization Trust 2024-9 Class A-1A, $329,724,000: AAA (sf) Class A-1B, $59,625,000: AAA (sf) Class A-1, $389,349,000: AAA (sf) Class A-2, $49,190,000: AA (sf) Class A-3, $71,848,000: A (sf) Class M-1, $36,371,000: BBB- (sf) Class B-1, $19,974,000: BB- (sf) Class B-2, $17,590,000: B- (sf) Class B-3, $11,925,209: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. WELLS FARGO 2022-C62: Fitch Lowers Rating on Cl. G-RR Debt to CCCsf ------------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 30 classes of Wells Fargo Commercial Mortgage Trust 2022-C62 (WFCM 2022-C62). Fitch has also revised the Rating Outlooks for classes C, C-1, C-X1, C-2, C-X2, D, E and X-D to Negative from Stable; the Outlook for classes F and X-F remain Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2022-C62 A-1 95003MAA6 LT AAAsf Affirmed AAAsf A-2 95003MAB4 LT AAAsf Affirmed AAAsf A-4 95003MBS6 LT AAAsf Affirmed AAAsf A-4-1 95003MAH1 LT AAAsf Affirmed AAAsf A-4-2 95003MAJ7 LT AAAsf Affirmed AAAsf A-4-X1 95003MAK4 LT AAAsf Affirmed AAAsf A-4-X2 95003MAL2 LT AAAsf Affirmed AAAsf A-S 95003MBV9 LT AAAsf Affirmed AAAsf A-S-1 95003MAM0 LT AAAsf Affirmed AAAsf A-S-2 95003MAN8 LT AAAsf Affirmed AAAsf A-S-X1 95003MAP3 LT AAAsf Affirmed AAAsf A-S-X2 95003MAQ1 LT AAAsf Affirmed AAAsf A-SB 95003MAC2 LT AAAsf Affirmed AAAsf B 95003MBW7 LT AA-sf Affirmed AA-sf B-1 95003MAR9 LT AA-sf Affirmed AA-sf B-2 95003MAS7 LT AA-sf Affirmed AA-sf B-X1 95003MAT5 LT AA-sf Affirmed AA-sf B-X2 95003MAU2 LT AA-sf Affirmed AA-sf C 95003MBX5 LT A-sf Affirmed A-sf C-1 95003MAV0 LT A-sf Affirmed A-sf C-2 95003MAW8 LT A-sf Affirmed A-sf C-X1 95003MAX6 LT A-sf Affirmed A-sf C-X2 95003MAY4 LT A-sf Affirmed A-sf D 95003MBD9 LT BBBsf Affirmed BBBsf E 95003MBF4 LT BBB-sf Affirmed BBB-sf F 95003MBH0 LT B+sf Affirmed B+sf G-RR 95003MBK3 LT CCCsf Downgrade B-sf X-A 95003MBT4 LT AAAsf Affirmed AAAsf X-B 95003MBU1 LT AAAsf Affirmed AAAsf X-D 95003MAZ1 LT BBB-sf Affirmed BBB-sf X-F 95003MBB3 LT B+sf Affirmed B+sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5% and Fitch Loans of Concerns (FLOCs) comprise eight loans (22.1% of the pool), including two specially serviced loans (8.5%). The downgrade to class G-RR and Negative Outlooks on classes C, C-1, C-X1, C-2, C-X2, D, E, X-D, F and X-F reflect the transfer of Midtown Central Square (7.4%) to special servicing and continuing performance declines of 530 Bush (3.7%) and Long Lake Crossing (4%). The Negative Outlooks also reflect the potential for further downgrades with continued performance deterioration of the FLOCs as well as the office concentration (27.8% of pool). The largest contributor to overall loss expectations is the 530 Bush Street loan which is secured by a 104,737-sf office building located in San Francisco, California. The loan is a FLOC due to performance declines and submarket concerns. Per the July 2024 rent roll, the property was 42.3% occupied compared to 63% at YE 2022 and 84% at underwriting. Rollover included 8.9% of NRA in 2024, 8.4% in 2025 and 20.3% in 2026. Declining occupancy is driving NOI lower. The YE 2023 NOI is 69% below YE 2022 and the Fitch issuance NCF. The annualized September 2024 NOI is 90% below YE 2022 and 89% below the Fitch issuance NCF. Per CoStar as of QTD 4Q24, comparable properties in the Union Square Office submarket had a 25% vacancy rate, 25.8% availability rate and $45.09 market asking rent while the total submarket had a 26% vacancy rate, 26.7% availability rate and $44.63 market asking rent. Per the July 2024 rent roll, the property had average in-place rent of $49.83 psf. Fitch's 'Bsf' rating case loss of 13% (prior to concentration add-ons) reflects a 10% cap rate and a 30% stress to the YE 2022 NOI for occupancy declines and rollover risk as well as an elevated probability of default. The second largest contributor to overall loss expectations is the Midtown Central Square loan secured by a 269,800-sf office property located in Houston, TX which transferred to special servicing in August 2024 due to non-monetary default. The borrower failed to cooperate with cash management and financial reporting requirements. Recently, the borrower indicated that they would comply with the requirements and the special servicer is now working with the borrower to document a reinstatement agreement. The City of Houston, the largest tenant at the property, has two different leases: one for 4,000 square feet expiring February 2025 and one for 43,848 square feet set to expire December 2028. According to the servicer, the City initially allowed the lease ending February 2024 to expire, which triggered a cash sweep, but it has since renewed the lease through the end of February 2025. Per the YE 2023 rent roll, the property is 89.7% occupied, compared to 85% at underwriting. Servicer reporting from June 2024 shows occupancy declined to 79% (Fitch was not provided an updated rent roll). Per CoStar, there's approximately 128,829-sf available for lease, of which about 96,044-sf is available for direct lease. Rollover included 9.8% of NRA in 2025 and 24.2% in 2026. Fitch's 'Bsf' rating case loss of 7% (prior to concentration add-ons) reflects a 9.75% cap rate and a 10% stress to the Fitch issuance NCF for occupancy declines and rollover risk in 2025-2026. The Long Lake Crossing FLOC is secured by a 171,994-sf office property located in Troy, Michigan built in 1987. The property is experiencing declining cash flow due to declining revenues and increased expenses since issuance. Annualized June 2024 revenues are 8% below the issuer underwritten amount while expenses are 15% above. The annualized June 2024 NOI of $1,867,598 is 14% below YE 2022 and 1% below the Fitch issuance NCF. Per the June 2024 rent roll, the property was 83.8% occupied compared to 85% at YE 2022 and 83% at underwriting. Rollover included 4.5% of NRA in 2024, 8% in 2025 and 2.4% in 2026. Per CoStar as of QTD 4Q24, comparable properties in the Troy North Office submarket had a 24.6% vacancy rate, 32.2% availability rate and $21.38 market asking rent while the total submarket had a 14.6% vacancy rate, 19.5% availability rate and $20.59 market asking rent. Per the June 2024 rent roll, the property had average in-place rent of $22.25 psf. Fitch's 'Bsf' rating case loss of 6% (prior to concentration add-ons) reflects a 10% cap rate and a 10% stress to the annualized June 2024 NOI. Increased Credit Enhancement (CE): As of the November 2024 remittance report, the aggregate balances of the WFCM 2022-C62 have been reduced by 0.59% since issuance. Loan maturities are concentrated in 2032 with 42 loans for 90% of the pool. Cumulative interest shortfalls are approximately $48,100 affecting the non-rated classes H-RR and VRR. 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, particularly 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 Midtown Central Square, 530 Bush and Long Lake Crossing. Downgrades to classes rated in the 'BBBsf' 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 ratings of 'CCCsf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Midtown Central Square, 530 Bush and Long Lake Crossing. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WFRBS COMMERCIAL 2014-C21: Moody's Affirms Ba1 Rating on C Certs ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the rating on one class in WFRBS Commercial Mortgage Trust 2014-C21, Commercial Mortgage Pass-Through Certificates, Series 2014-C21 as follows: Cl. A-S, Affirmed Aaa (sf); previously on Nov 18, 2020 Affirmed Aaa (sf) Cl. B, Affirmed A2 (sf); previously on Apr 23, 2021 Downgraded to A2 (sf) Cl. C, Affirmed Ba1 (sf); previously on Apr 23, 2021 Downgraded to Ba1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Nov 18, 2020 Affirmed Aaa (sf) Cl. PEX, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to Baa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because of their due to their credit support, Moody's expected principal paydowns from the remaining loans in the pool as well as the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. The rating on the IO class, Cl. X-A, was affirmed based on the credit quality of its referenced classes. The rating on the exchangeable class, Cl. PEX, was downgraded due to a decline in the credit quality of its referenced exchangeable classes. Cl. PEX references Cl. A-S, Cl. B and Cl. C. Cl. A-S has paid down approximately 70% since last review. Moody's rating action reflects a base expected loss of 29.1% of the current pooled balance, compared to 9.6% at Moody's last review. Moody's base expected loss plus realized losses is now 9.1% of the original pooled balance, compared to 8.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determine a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the November 2024 distribution date, the transaction's aggregate certificate balance has decreased by 77% to $329 million from $1.42 billion at securitization. The certificates are collateralized by ten remaining mortgage loans, all of which are now in special servicing and have passed their original maturity dates. Additionally, four loans have been liquidated from the pool, resulting in an aggregate realized loss of $33.6 million (for an average loss severity of 50%). As of the November 2024 remittance statement cumulative interest shortfalls were $499,024. Moody's anticipate interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications, and extraordinary trust expenses. The largest specially serviced loan is the Fairview Park Drive Loan ($90 million - 27.4% of the pool), which is secured by a 360,000 square feet (SF) office building located in Falls Church, Virginia. The collateral consists of a 15-story class A office building and an adjacent 5-story parking garage and is part of a 220-acre master planned office development called Fairview Park. At securitization, the property served as the global headquarters for its largest tenant, General Dynamics (170,380 SF or 47% of the net rentable area (NRA)). However, the General Dynamics vacated in October 2019 and the lender subsequently backfilled most of the vacated space with BAE Systems Inc. shortly after. As of year-end 2023, the property was 86% occupied, consistent with 86% in 2022 and at securitization. The loan transferred to the special servicer in May 2024 and failed to pay off at its original maturity date in June 2024. The most recent appraisal dated August 2024 valued the property at $91.1 million, which was a 33% decline in value since securitization but slightly above the outstanding loan balance. The loan was interest only for its entire term and is last paid through its June 2024 payment date. Servicer commentary indicated the borrower reported difficulties refinancing the loan and has expressed interest in a loan modification and the special servicer is evaluating workout options. The second largest specially serviced loan is the Queens Atrium Loan ($81.5 million – 24.8% of the pool), which represents a pari passu portion of a $169 million mortgage loan. The loan is secured by a 1.03 million SF office building located in Long Island City, New York. The collateral consists of two buildings that are 100% leased, almost entirely by New York City agencies. The properties are within a ten-minute walk of the Court Square and Queens Plaza subway stops. The loan transferred to the special servicer in July 2024 after failing to pay off at its original maturity date in June 2024. The largest tenant, NYC SCA (30.5% of NRA, lease expiration in January 2029), has gone dark but is still fulfilling its lease obligations. Furthermore, the property faces additional lease rollover risk with an additional 37% of the NRA having lease expirations through year-end 2026. The property has consistently maintained full occupancy since securitization. The loan has amortized 9.4% since securitization after an initial 5-year interest only period. The special servicer commentary indicates ongoing discussions of a potential maturity extension while evaluating resolution options. The reported loan DSCR as of year-end 2023 was over 2.00X, however, the loan is last paid through its July 2024 payment date. The third largest specially serviced loan is the Shops at CenterPoint ($49.0 million – 14.9% of the pool), which is secured by an approximately 461,196 square feet (SF) retail center located in Grand Rapids, Michigan. The subject is directly across from Woodland Mall, a 1.2 million SF super-regional mall containing retailers such as Macy's, JCPenney, Von Maur, and Apple. The loan failed to pay off at its original maturity date in June 2024 and subsequently received a forbearance that concluded in November 2024 and the loan was transferred to special servicing. The property was 98% leased as of June 2024, compared to 95% in 2023 and 90% at securitization. The performance has been generally consistent since securitization and had a 1.55X NOI DSCR as of June 2024 compared to 1.54X at securitization. The loan has amortized 9.2% since securitization, however, the loan is last paid through its October 2024 remittance date and is classified as nonperforming balloon balance. The fourth largest specially serviced loan is the Cedar Crest Professional Park loan ($48.2 million – 14.6% of the pool), which is secured by a class B medical office campus located approximately 4 miles southwest of Allentown, PA. Property performance has deteriorated as a result of decline in occupancy and the property was 53% leased as of March 2024, compared to 42% in 2023, 60% in 2022, and 80% at securitization. An updated appraisal in August 2024 valued the property at $62.2 million, a 33% decline in value since securitization but remained above the outstanding loan balance. The loan transferred to special servicing in July 2024 and has passed its July 2024 maturity date. Per the servicer commentary, the borrower has requested a loan modification, and the lender is actively seeking the appointment of a receiver. As of the November 2024 remittance, the loan has amortized by 19.6% since securitization, however, the loan is last paid through its June 2024 payment date. The remaining six specially serviced loans are secured primarily by four office and two manufactured housing loans that have experienced significant performance declines since securitization and low DSCRs. All the special serviced loans failed to pay off at their original maturity. Moody's have estimated an aggregate loss of $96 million (a 29% expected loss on average) for the specially serviced loans. [*] Fitch Affirms Ratings on 4 Metronet Infrastructure Debt Series ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings of Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes Series 2024-1, 2023-3, 2023-2, 2023-1, and 2022-1. The Rating Outlooks remain Stable. Fitch has affirmed the following classes: - $344,600,000 series 2024-1, class A-2 at 'Asf'; Outlook Stable; - $47,700,000 series 2024-1, class B at 'BBBsf'; Outlook Stable; - $96,00,000 series 2024-1, class C at 'BB-sf'; Outlook Stable. - $478,236,000 series 2023-3 class A-2 at 'Asf'; Outlook Stable; - $66,156,000 series 2023-3 class B at 'BBBsf'; Outlook Stable; - $133,109,000 series 2023-3 class C at 'BB-sf'; Outlook Stable; - $600,000,000 (a) series 2023-2 class A-1 at 'Asf'; Outlook Stable; - $487,139,000 series 2023-1 class A-2 at 'Asf'; Outlook Stable; - $67,387,000 series 2023-1 class B at 'BBBsf'; Outlook Stable; - $135,587,000 series 2023-1, class C, at 'BB-sf'; Outlook Stable. - $860,781,000 series 2022-1, class A-2, at 'Asf'; Outlook Stable; - $119,075,000 series 2022-1 class B at 'BBBsf'; Outlook Stable; - $239,584,000 series 2022-1 class C at 'BB-sf'; Outlook Stable. (a) This note is a Variable Funding Note (VFN) and has a maximum commitment of $600 million, which has been amended and increased by $200 million. Draws on this facility are contingent upon leverage consistent with the class A-2 notes. Transaction Summary The transaction is being affirmed in connection with an amendment to the outstanding variable funding note issued out of the trust. The commitment of this facility is being increased to $600 million from $400 million, as of the last issuance of notes. Other changes to the terms of the transaction are very limited. The transaction is a securitization of subscription and contract payments derived from an existing fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. Debt is secured by net revenue from operations and benefits from a perfected security interest in the securitized assets. The collateral consists of high-quality fiber lines that support the provision of internet, cable and phone services to a network of approximately 515,050 customers across 14 states; these assets represent approximately 89.8% of the sponsor's business based on the percentage of revenue generated. For the markets contributed to the transaction, the largest portion of the subscriber base, comprising 27.1% of annualized run rate revenue (ARRR), is located in Indiana, although the base is spread across a few distinct markets within the state. The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, Metronet Holdings, LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $328.7 million, implying a 15.9% haircut to issuer NCF in the base case. The debt multiple relative to Fitch's NCF on the rated classes is 9.4x, versus the debt/issuer NCF leverage of 7.9x. Inclusive of the cash flow required to draw on the maximum variable funding note (VFN) commitment of $600 million, the Fitch NCF on the pool is $369.3 million, implying a 17.2% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x, compared with the debt / issuer NCF leverage of 8.2x. Credit Risk Factors: Major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks; scale and diversity of the customer base, market position and penetration; capability of the operator; and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 15.9% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'Asf' to 'BBBsf'; class B from 'BBBsf' to 'BB+sf'; class C from 'BBsf' to 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'Asf' to 'Asf'; class B from 'BBBsf' to 'A-sf'; class C from 'BBsf' to 'BB+sf'. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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 Upgrades Ratings on 19 Bonds From 3 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 19 bonds from three US residential mortgage-backed transaction (RMBS). The collateral backing this deal consists of prime jumbo and conforming loans. 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: J.P. Morgan Mortgage Trust 2024-2 Cl. B-2, Upgraded to A1 (sf); previously on Feb 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Feb 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Feb 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Feb 29, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 29, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Feb 29, 2024 Definitive Rating Assigned B3 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-3 Cl. A-2-X*, Upgraded to Aaa (sf); previously on Mar 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9, Upgraded to Aaa (sf); previously on Mar 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Mar 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Mar 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Mar 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Mar 28, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Mar 28, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Mar 28, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Mar 28, 2024 Definitive Rating Assigned B3 (sf) Issuer: Western Mortgage Reference Notes, Series 2022-CL1 and Western Mortgage Reference Notes, Series 2022-CL2 Cl. 1M-3B, Upgraded to Baa1 (sf); previously on Jun 30, 2022 Assigned Baa2 (sf) Cl. 1M-3C, Upgraded to Baa2 (sf); previously on Jun 30, 2022 Assigned Baa3 (sf) Cl. 2M-2, Upgraded to A1 (sf); previously on Feb 16, 2024 Upgraded to A2 (sf) Cl. 2M-3, Upgraded to Baa1 (sf); previously on Feb 16, 2024 Upgraded to Baa2 (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 pool amortize relatively quickly. The credit enhancement for each tranche upgraded has grown by, an average, 11% 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. [*] S&P Discontinues 'D' Ratings on 11 Classes From Five US Deals ----------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on 11 classes of commercial mortgage pass-through certificates from five U.S. CMBS transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We had previously lowered the ratings on these classes to 'D (sf)' due to accumulated interest shortfalls that we believed would remain outstanding for an extended period or, in the case of the interest-only certificates, our interest-only criteria. "We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." Ratings list Rating Issuer Series Class CUSIP To From CF 2019-CF1 Mortgage Trust 2019-C1 65C 12529MAY4 NR D (sf) CF 2019-CF1 Mortgage Trust 2019-C1 65D 12529MAZ1 NR D (sf) CF 2019-CF1 Mortgage Trust 2019-C1 65X2 12529MBD9 NR D (sf) GSCG Trust 2019-600C 2019-600C X 36260TAC9 NR D (sf) GSCG Trust 2019-600C 2019-600C B 36260TAE5 NR D (sf) GSCG Trust 2019-600C 2019-600C C 36260TAG0 NR D (sf) GSCG Trust 2019-600C 2019-600C D 36260TAJ4 NR D (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 2013-LC11 C 46639YAW7 NR D (sf) J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 2013-LC11 X-B 46639YAT4 NR D (sf) JPMBB Commercial Mortgage Securities Trust 2013-C12 2013 C-12 F 46639NAE1 NR D (sf) Natixis Commercial Mortgage Securities Trust 2018-FL1 2018-FL1 B 63874MAJ1 NR D (sf) NR--Not rated. [*] S&P Takes Various Actions on 65 Classes From 13 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 65 ratings from 13 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 18 upgrades, two downgrades, 42 affirmations, and three withdrawals. A list of Affected Ratings can be viewed at: https://tinyurl.com/9rhmja3e Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Expected duration; -- Historical and/or outstanding missed interest payments, or interest shortfalls; -- Small loan count; -- Available subordination and/or overcollateralization; and -- Reduced interest payments due to loan modifications. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. The affirmations reflect S&P's view that its projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. S&P said, "The downgrades reflect our assessment of the principal write-downs' effect on the classes during recent remittance periods. Two of the classes with ratings lowered to 'D (sf)' were rated 'CCC (sf)' before the rating action. "We withdrew our ratings on three classes from two transactions due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. 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