/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/241229.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 29, 2024, Vol. 28, No. 363 Headlines 720 EAST 2022-I: S&P Assigns BB- (sf) Rating on Class E-R Notes A&D MORTGAGE 2024-NQM6: S&P Assigns B- (sf) Rating on B-2 Certs ACAM 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ALLEGRO CLO XVIII: Fitch Assigns 'BB+sf' Rating on Two Tranches APIDOS CLO XVIII-R: Moody's Assigns B3 Rating to Cl. F-R2 Notes APIDOS CLO XVIII: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes ATLANTIC AVENUE 2024-3: Fitch Assigns 'BB-sf' Rating on Cl. E Notes AUXILIOR TERM 2023-1: DBRS Confirms BB(high) Rating on Cl. E Notes BAHA TRUST 2024-MAR: DBRS Finalizes BB Rating on Class HRR Certs BALLYROCK CLO 28: S&P Assigns BB- (sf) Rating on Class D Notes BAMLL 2024-LB1: DBRS Gives Prov. BB(low) Rating on E Certs BARINGS CLO 2019-III: S&P Assigns BB-(sf) Rating on Cl. E-RR Notes BBCMS MORTGAGE 2024-5C31: Fitch Assigns B-sf Rating on Cl. G Certs BENEFIT STREET XVI: S&P Assigns BB- (sf) Rating on Cl. E-R2 Notes BENEFIT STREET XXXVIII: S&P Assigns Prelim 'BB-' Rating in E Notes BLACKROCK MAROON XI: S&P Assigns BB- (sf) Rating on Class E Notes BMO 2024-5C8: Fitch Assigns 'B-sf' Final Rating on Class G-RR Certs BRYANT PARK 2024-25: S&P Assigns Prelim BB- (sf) Rating on E Notes BX COMMERCIAL 2024-GPA3: DBRS Gives Prov. BB(high) on HRR Certs CARLYLE GLOBAL 2013-1: Moody's Affirms B1 Rating on $27MM D-R Notes CARLYLE GLOBAL 2013-3: S&P Affirms B- (sf) Rating on Cl. E-R Notes CARLYLE US 2021-10: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARVANA AUTO 2024-P4: Moody's Assigns Ba1 Rating to Class N Notes CBAMR 2017-1: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CCUBS COMMERCIAL 2017-C1: Fitch Lowers Rating on F-RR Certs to CCC CD 2019-C8: Fitch Cuts Rating on Two Tranches to B-sf, Outlook Neg. CIFC FUNDING 2020-IV: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CITIGROUP 2024-RP4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B2 Notes COMM 2013-CCRE6: DBRS Confirms C Rating on Class F Certs COMM 2020-CX: DBRS Confirms BB Rating on Class E Certs CSAIL 2017-CX9: Fitch Lowers Rating on Three Tranches to 'B-sf' DIAMETER CREDIT I: Moody's Ups Rating on $28.425MM E Notes From Ba1 DRYDEN 121: S&P Assigns BB- (sf) Rating on Class E Notes DRYDEN 43: S&P Affirms 'BB- (sf)' Rating on Class E-R3 Notes DRYDEN 93: Fitch Assigns 'BB-sf' Rating on Class E-R Notes EFMT 2024-CES1: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs FLAGSTAR MORTGAGE 2021-10INV: Moody's Ups B-5 Certs Rating to Ba1 FMBT TRUST 2024-FBLU: DBRS Gives Prov. B(low) Rating on G Certs FORTRESS CREDIT XXVI: S&P Assigns BB- (sf) Rating on Cl. E Notes GALAXY 30: S&P Assigns BB- (sf) Rating on Class E-R Notes GALAXY CLO XX: Moody's Ups Rating on $31.2MM Cl. E-R Notes to Ba2 GOLDENTREE LOAN 23: Fitch Assigns 'B-sf' Rating on Class F Notes GS MORTGAGE 2010-C1: DBRS Confirms C Rating on Class D Certs GS MORTGAGE 2013-GC10: DBRS Confirms C Rating on Class F Certs GS MORTGAGE 2021-GSA3: Fitch Lowers Rating on G-RR Certs to CCCsf GSAA TRUST 2004-3: Moody's Cuts Rating on Class M-1 Debt to Caa1 HARVEST SBA 2024-1: DBRS Finalizes BB Rating on Class C Notes HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs JP MORGAN 2012-C8: Fitch Lowers Rating on Class G Debt to 'Bsf' JP MORGAN 2020-NNN: Fitch Lowers Rating on D-FX Certs to 'BB-sf' JP MORGAN 2024-12: Moody's Assigns B3 Rating to Cl. B-5 Certs KKR CLO 27: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes KKR CLO 47: Fitch Assigns 'BB+sf' Rating on Class E Notes KKR CLO 47: Moody's Assigns B3 Rating to $200,000 Class F Notes KKR CLO 54: Fitch Assigns 'BB+sf' Rating on Class E Notes LCM 40: Fitch Assigns BB-sf Rating on Cl. E-R Notes, Outlook Stable LCM 42: Fitch Assigns 'BB+sf' Rating on Cl. E Notes, Outlook Stable LCM LTD 42: Moody's Assigns B3 Rating to $250,000 Class F Notes MADISON PARK XXVIII: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes MADISON PARK XXVIII: Moody's Gives B3 Rating to $250,000 F-R Notes MAGNETITE XLII: Fitch Assigns 'BB+sf' Rating on Class E Notes MENLO CLO I: S&P Assigns B- (sf) Rating on Class F Notes MFA TRUST 2024-NQM3: Fitch Gives 'B-sf' Rating on Class B2 Certs MIDOCEAN CREDIT XI: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes MORGAN STANLEY 2015-C22: Fitch Lowers Rating on Cl. D Certs to B-sf NASSAU LTD 2019-I: Moody's Cuts Rating on $28.25MM D Notes to Caa2 NEUBERGER BERMAN XIV: S&P Raises Cl. E-R2 Notes Rating to BB-(sf) OAKTREE CLO 2024-28: S&P Assigns BB- (sf) Rating on Class E Notes OCP CLO 2014-5: S&P Affirms B+ (sf) Rating on Class D-R Notes OCP CLO 2015-10: S&P Assigns BB- (sf) Rating on Class E-R3 Debt OCP CLO 2021-23: S&P Assigns Prelim BB- (sf) Rating on E-R Notes OCTAGON INVESTMENT 18-R: S&P Assigns B+(sf) Rating on Cl. D Notes OCTANE RECEIVABLES 2024-RVM1: S&P Assigns BB(sf) Rating on E Notes ORL 2024-GLKS: DBRS Gives Prov. B(high) Rating on Class HRR Certs PALMER SQUARE 2024-4: S&P Assigns BB- (sf) Rating on Cl. E Notes RCKT MORTGAGE 2024-CES9: Fitch Assigns Bsf Rating on Five Tranches SAGARD-HALSEYPOINT CLO 8: S&P Assigns BB- (sf) Rating on E Notes SANTANDER BANK 2024-B: Moody's Assigns B3 Rating to Class F Notes SCULPTOR CLO XXVI: S&P Assigns BB- (sf) Rating on Class E-R Notes SCULPTOR CLO XXXIV: S&P Assigns BB- (sf) Rating on Class E Notes SIGNAL PEAK 1: S&P Affirms B- (sf) Rating on Class F-R3 Notes SOUND POINT 41: Fitch Assigns 'BB-sf' Rating on Class E Notes STEELE CREEK 2018-2: Moody's Cuts Rating on $19MM E Notes to B1 SUMMIT ISSUER: Fitch Affirms 'BB-sf' Rating on Class C Notes SYMPHONY CLO 40: S&P Assigns BB- (sf) Rating on Class E-R Notes TCW CLO 2021-1: Fitch Assigns 'BB-sf' Rating on Class E-R1 Notes TELOS CLO 2014-6: S&P Lowers Class E Debt Rating to 'D (sf)' TOWD POINT 2024-2: Fitch Assigns B-sf Final Rating on Cl. B2 Notes TRIMARAN CAVU 2019-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes TRIMARAN CAVU 2024-1: S&P Assigns BB- (sf) Rating on Cl. E Notes VELOCITY COMMERCIAL 2024-6: DBRS Gives Prov. B Rating on 3 Classes VENTURE CLO XIII: Moody's Cuts Rating on $39.5MM E-R Notes to Caa1 VISTA POINT 2024-CES3: DBRS Gives Prov. B Rating on B-2 Notes VOYA CLO 2024-6: Fitch Assigns 'BB-sf' Rating on Class E Notes WFRBS COMMERCIAL 2014-C20: DBRS Confirms CCC Rating on C Certs WINDHILL CLO 3: S&P Assigns BB- (sf) Rating on Class E Notes [*] DBRS Reviews 110 Classes From 8 US RMBS Transactions [*] DBRS Reviews 268 Classes From 9 US RMBS Transactions [*] Fitch Affirms 158 Classes From Six 2023 Vintage US CMBS Deals [*] Moody's Takes Action on 20 Bonds From 8 US RMBS Deals [*] Moody's Takes Action on 8 Bonds From 4 US RMBS Deals ********* 720 EAST 2022-I: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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. 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. 20, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, B-R, C-R, D-R, and E-R notes were issued at a lower spread over three-month SOFR than the original notes. -- The new class A-2-R notes were issued at a 1.60% floating rate above three-month CME term SOFR and rated 'AAA (sf)'. -- The reinvestment period was extended to January 2030. -- The stated maturity was extended to January 2038. -- A concentration limit of 2.0% of long-dated obligations was added to the transaction. -- The concentration limit for current-pay securities was 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." 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: NR Ratings Withdrawn 720 East CLO 2022-I Ltd./720 East CLO 2022-I LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' NR--Not rated. A&D MORTGAGE 2024-NQM6: S&P Assigns B- (sf) Rating on B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned ratings to A&D Mortgage Trust 2024-NQM6's mortgage-backed certificates. The issuance is an RMBS transaction backed by 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 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. 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 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. ACAM 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of notes issued by ACAM 2019-FL1, Ltd. as follows: -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at A (sf) -- Class D at BBB (high) (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 to the bonds as a result of successful loan repayment, as there has been collateral reduction of 61.7% since issuance, an increase from 50.1% at Morningstar DBRS' previous credit rating action in January 2024. The collateral reduction continues to serve as a mitigant to the increased credit risk to the transaction as a result of six loans secured by office properties, totaling 51.3% of the current trust balance as of the November 2024 reporting. The majority of these borrowers are behind in their respective business plans, with all borrowers likely to face difficulties in securing refinance capital or selling the properties at respective loan maturity. The transaction structure provides further insulation from this adverse selection risk, as the unrated first-loss bond and the two below investment-grade rated bonds total $62.5 million, supporting the credit rating confirmations and Stable trends. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The pool initially consisted of 21 floating-rate loans secured by 35 properties with a cut-off balance of $400.3 million. Most loans were in a period of transition with plans to stabilize and improve asset values. The transaction became static in December 2021 at the conclusion of the 24-month reinvestment period. As of November 2024, the pool consisted of nine loans totaling $153.8 million, including two of the original loans, representing 24.3% of the current trust balance. Both loans are secured by office properties. Since Morningstar DBRS' previous credit rating action, two loans with a former cumulative trust balance of $37.5 million have paid in full. Beyond the office concentration noted above, there are two multifamily properties, representing 25.3% of the current trust balance, and one mixed-use property, representing 18.0% of the current trust balance. The collateral pool exhibits elevated leverage from issuance with a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 71.1% and a WA stabilized LTV of 66.3%. In comparison, these figures were 65.4% and 53.5%, respectively, at closing. As the majority of individual property appraisals were conducted between 2019 and 2022, and the pool composition has changed significantly from closing, Morningstar DBRS notes individual property values may have decreased given the current interest rate and capitalization (cap) rate environments relative to when the individual loans closed. In the analysis for this review, Morningstar DBRS applied a recoverability analysis to most loans by applying haircuts to property appraised values or using in-place property-level financial reporting with stressed market- and property type-specific cap rates to determine if individual property valuations can support the respective outstanding loan balances. Morningstar DBRS determined in its current analysis that any potential cumulative exposure to loans with LTVs above 100.0% would be contained to the unrated equity bond, which has a current balance of $30.5 million. As of November 2024, there were no loans in special servicing; however, seven loans, representing 81.8% of the trust balance, are on the servicer's watchlist. All loans have been flagged for upcoming loan maturity, though select loans have also been flagged for below-breakeven debt service coverage ratios (DSCRs). The 138 Ludlow loan (Prospectus ID#33; 11.5% of the current trust balance) is also categorized as a nonperforming matured balloon as the loan matured in July 2024 and the borrower has not made monthly debt service payments since May 2024. The loan is secured by a 27-unit multifamily property with two ground-floor commercial units on Manhattan's Lower East Side. The borrower's business plan at closing was to lease the remaining vacant commercial unit and increase rental rates on the multifamily units as leases rolled. According to the July 2024 rent roll, the multifamily component was 96.3% occupied with an average rental rate of $4,420 per unit and the commercial component was fully occupied with no scheduled tenant lease expirations until March 2032. The annualized July 2024, (net cash flow) NCF of $1.4 million represents an improvement over the YE2023 NCF of $1.1 million. The most recent appraisal, dated September 2021, valued the property at $25.4 million, indicative of a 69.7% LTV and a 5.6% cap rate using the annualized July 2024 NCF. Given the status of the loan and the borrower's inability to sell the property or refinance the loan, Morningstar DBRS believes the current market value has declined by up to 30.0%. Morningstar DBRS is also concerned about a potentially prolonged resolution process if the lender decides to pursue foreclosure. In its analysis for the current credit rating actions, Morningstar DBRS liquidated the loan from the trust, resulting in a loan loss severity in excess of 20.0%. In the next six months, six loans, representing 68.0% of the current trust balance, are scheduled to mature. The borrower of the 600 Bushwick loan (Prospectus ID#31; 23.4% of the current trust balance), which is the largest in the trust, is expected to exercise an available 12-month maturity extension option, pushing loan maturity to December 2025. The second-largest loan in the trust, Kenridge Apartments (Prospectus ID#27; 13.8% of the current trust balance), also matures in December 2024; however, the loan will not qualify for the available extension option. As such, Morningstar DBRS expects the lender and borrower to negotiate a loan modification and extension. If loans are modified and extended, Morningstar DBRS expects the lender to require borrowers to contribute fresh equity in the form of principal curtailments, deposits into reserve accounts, and/or purchasing new interest rate cap agreements. Through November 2024, the lender had advanced cumulative loan future funding of $30.0 million to seven of the outstanding individual borrowers. The lender has advanced $4.8 million to the borrower of the 500 West Jefferson Street loan (Prospectus ID#23; 12.6% of the current trust balance), which is secured by a Class A high-rise office building in downtown Louisville, Kentucky. At loan closing, up to $15.9 million of future funding and additional borrower equity were available to fund the borrower's capital expenditure (capex) and leasing plan. The borrower has completed its $16.0 million capex plan. The loan is not on the servicer's watchlist; however, according to the trailing 12-months ended September 2024 (T-12) income statement, the property yielded net operating income of $1.5 million, equating to a below-breakeven DSCR of 0.56 times. According to the September 2024 rent roll, the property was 48.0% occupied with an average base rental rate of $18.39 psf, which remained relatively unchanged from the September 2023 occupancy rate of 46.4%. According to the property's website; however, the leased rate has increased to 62.5% as the collateral manager noted the borrower has signed new leases and lease expansions totaling approximately 76,000 square feet. While Morningstar DBRS was unable to confirm lease terms and tenant build-out costs, the improvement in occupancy is expected to result in increased NCF from the T-12 September 2024 figure once tenants begin paying rent. There remain 16 full floors of vacant space, and according to LoopNet, the available office space is marketed at a base rental rate of $18.00 per square foot. The lender reduced the originally contemplated loan future funding by $6.2 million; however, there remains $4.9 million of available loan future funding to finance additional leasing costs. While the loan does not mature until December 2025, in its analysis for this review, Morningstar DBRS applied a haircut to the original property value of $33.5 million, which resulted in an in-place LTV slightly above 100.0%. There remains $12.8 million of unadvanced loan future funding allocated to five individual borrowers. The largest portion of unadvanced future funding dollars ($5.8 million) is allocated to the borrower of the 5419 Sunset loan (Prospectus ID#30; 5.6% of the current trust balance). The funds are believed to be available for the buildout of the space as the property has been fully leased to the County of Los Angeles on a 10-year lease, which was expected to commence in Q2 2024. According to the tenant's website, it has taken occupancy of its space. As the loan matures in December 2024; however, it is unclear if the funds will be advanced to the borrower. Given the property is fully occupied on a long-term lease, the credit risk of the loan is low and the loan is expected to pay in full. Notes: All figures are in U.S. dollars unless otherwise noted. ALLEGRO CLO XVIII: Fitch Assigns 'BB+sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Allegro CLO XVIII, Ltd. Entity/Debt Rating ----------- ------ Allegro CLO XVIII, Ltd. X LT AAAsf New Rating A-1 LT NRsf New Rating A-L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E-1 LT BB+sf New Rating E-2 LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Allegro CLO XVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers US Inc. Net proceeds from the issuance of the secured and subordinated debt will provide financing on a portfolio of approximately $398.6 million of primarily first lien senior secured leveraged loans, excluding defaulted obligations. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'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 debt benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.57% first-lien senior secured loans and has a weighted average recovery assumption of 74.78%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 debt can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for classes E-1 and E-2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for classes E-1 and E-2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Allegro CLO XVIII, 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. APIDOS CLO XVIII-R: Moody's Assigns B3 Rating to Cl. F-R2 Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of refinancing notes (the Refinancing Notes) issued by Apidos CLO XVIII-R (the Issuer): US$5,000,000 Class X-R2 Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$310,000,000 Class A-1R2 Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$500,000 Class F-R2 Junior 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 eligible investments (including cash), and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement and extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to 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: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3093 Weighted Average Spread (WAS): 3.29% Weighted Average Coupon (WAC): 5.60% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. APIDOS CLO XVIII: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Apidos CLO XVIII-R reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XVIII-R A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B 03767NAG1 LT PIFsf Paid In Full AA+sf B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBB+sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB+sf New Rating F-R2 LT NRsf New Rating X-R2 LT NRsf New Rating Transaction Summary Apidos CLO XVIII-R (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CVC Credit Partners, LLC that originally closed in October 2018, and had a partial refinance in March 2024. This is the first full refinancing where the existing notes will be redeemed in full of Dec. 19, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', 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 (Negative): The indicative portfolio consists of 99.65% first-lien senior secured loans and has a weighted average recovery assumption of 75.46%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Neutral): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Neutral): 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-2R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1R2, 'A-sf' for class D-2R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XVIII-R. 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. ATLANTIC AVENUE 2024-3: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Atlantic Avenue 2024-3, Ltd. Entity/Debt Rating ----------- ------ Atlantic Avenue 2024-3, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Atlantic Avenue 2024-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Atlantic Avenue Management, L.P. 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 23.43, 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 95.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.03% versus a minimum covenant, in accordance with the initial expected matrix point of 66.65%. 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 other recent CLOs. Portfolio Management (Neutral): The transaction has a 2.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A, between 'BB+sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable ESG Considerations Fitch does not provide ESG relevance scores for Atlantic Avenue 2024-3, 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. AUXILIOR TERM 2023-1: DBRS Confirms BB(high) Rating on Cl. E Notes ------------------------------------------------------------------ DBRS, Inc. upgraded two and confirmed four credit ratings on Auxilior Term Funding 2023-1, LLC. -- Class A-2 Notes AAA(sf) Confirmed -- Class A-3 Notes AAA(sf) Confirmed -- Class B Notes AAA(sf) Upgraded -- Class C Notes AA(low)(sf) Upgraded -- Class D Notes BBB(high)(sf) Confirmed -- Class E Notes BB(high)(sf) Confirmed Credit rating rationale includes the key analytical considerations: -- The currently available hard credit enhancement in the form of overcollateralization, subordination (as applicable), and amounts of deposit in the cash reserve account. -- The collateral performance of the transaction, with performance metrics within the expected range. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (December 5, 2024). BAHA TRUST 2024-MAR: DBRS Finalizes BB Rating on Class HRR Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-MAR (the Certificates) to be issued by BAHA Trust 2024-MAR (the Trust): -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The BAHA Trust 2024-MAR (BAHA 2024-MAR) transaction is secured by the borrower's fee-simple and partial leasehold interest in the Baha Mar Resort, a beachfront, luxury resort encompassing 2,323 keys. The AAA Four Diamond luxury resort is well located on New Providence, an island of the Bahamas, approximately 185 miles southeast of the coast of Florida. The resort offers three hotel brands: the Grand Hyatt Baha Mar (1,800 keys), SLS Baha Mar (298 keys), and the Rosewood Baha Mar (225 keys). The differentiated, upscale hotel brands present various offerings and experiences that attract a diverse guest base across from transient, corporate, and group travelers at various price points. Morningstar DBRS has a positive view of the collateral considering its high property quality, prime beachfront location, strong post-coronavirus recovery, and significant capital investment made into the property. Located along Cable Beach, the collateral offers access to approximately 3,000 square feet (sf) of white-sand beaches, and the infamous, turquoise Caribbean water. The resort offers an extensive amenity package, including 45 food and beverage (F&B) outlets, over 10 pools, the Baha Bay waterpark, a casino, 33,000 sf of high-end retail, two spas, two fitness centers, a racquet club featuring both tennis and pickleball courts, and approximately 300,000 sf of meeting space, including the 200,000 sf Baha Mar convention center. The resort also offers multiple day and nightclubs, a game zone, a kids club, and an art gallery. The property's robust amenities package appeals to leisure, corporate, and group demand, allowing the property to easily shift segmentation. The Baha Mar Resort has collected impressive awards, notably from AAA, Forbes, Conde Nast, and U.S. News, highlighting the resort's luxury offerings and experience. Built in 2017 and 2018, the collateral opened in multiple phases between April 2017 and June 2018. Since the borrower parent's acquisition of the resort in 2017, the borrower parent has invested approximately $570 million in capital improvements to enhance the collateral's competitive position in the market. This capex program included the addition of Baha Bay, a luxury waterpark for approximately $189 million. Ongoing renovations include the $12.8 million rooms renovation at the SLS ($42,953 per key), which is anticipated to be complete by Q4 2024. Additionally, the borrower parent is completing a $16.8 million renovation and expansion of the Jazz Club, which is anticipated to be one of the main entertainment venues at the collateral. Morningstar DBRS believes the room renovations of the SLS Baha Mar and delivery of the new Jazz Club will not only elevate guest experiences, but also increase revenue potential. The continued investment from the borrower parent further strengthens the collateral's competitive position as a top-performing resort in the Bahamas and the greater Caribbean. The mortgage loan of $1.50 billion will be used to return $1.35 billion of equity to the transaction borrower parent, fund an insurance upfront reserve of $120.7 million reserve for windstorm insurance deficiency, cover approximately $23.4 million in closing costs, and fund a deferred maintenance reserve and political risk premium reserve. The loan is a five-year fixed-rate interest-only (IO) mortgage loan. The interest rate will be fixed annum rate. The borrower parent for this transaction is Chow Tai Fook Enterprises (CTFE), a private investment holding company representing the Cheng family of Hong Kong, one of Hong Kong's wealthiest families. The family's total assets exceed $150 billion. The borrower parent boasts an investment portfolio across multiple different sectors such as power generation, healthcare, education, media, and commercial real estate. Notable lodging assets owned by CTFE include the Carlyle, a Rosewood hotel, the Beverly Wilshire, a Four Seasons hotel, the Rosewood Hong Kong, and the Rosewood Washington, D.C. CTFE has actively invested in the subject property since completing the development of the asset between 2017 and 2018. The property has demonstrated strong performance since the coronavirus pandemic. The subject property opened in phases between 2017 and 2018, right before the onset of the pandemic. In 2019, prior to the pandemic, the collateral reported an occupancy rate of 62.1% and an average daily rate (ADR) of $347.57, resulting in a revenue per available room (RevPAR) of $215.96. While occupancy declined during the coronavirus pandemic, the property's performance continued to struggle in 2021 as a result of international travel restrictions, with a YE2021 RevPAR of $160.44 representing a 25.7% decline over 2019 levels. RevPAR has continued to increase rapidly over the past two years; the property achieved a RevPAR of $373.51 in 2022 and $421.34 as of YE2023. The property's trailing twelve-month period (T-12) ended August 30, 2024, of $424.27 is 96.5% higher than the 2019 RevPAR, but only 0.69% higher than the 2023 RevPAR. Morningstar DBRS believes this normalization of the room rate is because of the phasing out of the pent-up transient demand witnessed in 2022 and H1 2023 following the removal of the coronavirus pandemic-related travel restrictions. Morningstar DBRS expects moderate room rate growth in the future because of the subject's desirable location, ongoing capital improvements, and diversified amenities and offerings. Morningstar DBRS concluded a stabilized RevPAR of $409.70, which is 3.4% less than the T-12 2024 level. Morningstar DBRS' credit ratings 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. Morningstar DBRS' credit ratings does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings do not address Yield Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BALLYROCK CLO 28: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ballyrock CLO 28 Ltd./Ballyrock CLO 28 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured-term loans. The transaction is managed by Ballyrock Investment Advisors LLC. The 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 Ballyrock CLO 28 Ltd./Ballyrock CLO 28 LLC Class A-1a, $304.00 million: AAA (sf) Class A-1b, $9.50 million: AAA (sf) Class A-2, $47.50 million: AA (sf) Class B (deferrable), $28.50 million: A (sf) Class C-1 (deferrable), $28.50 million: BBB- (sf) Class C-2 (deferrable), $4.75 million: BBB- (sf) Class D (deferrable), $14.25 million: BB- (sf) Subordinated notes, $46.60 million: Not rated BAMLL 2024-LB1: DBRS Gives Prov. BB(low) Rating on E Certs ---------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-LB1 (the Certificates) to be issued by BAMLL 2024-LB1 (the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) All trends are Stable. Bank of America purchased a pool of 745 loans with a current outstanding balance of $1.9 Billion from Washington Federal Bank (d /b /a WaFd Bank) (successor-by-merger to Luther Burbank Savings). The collateral for the pool consists of 745 individual loans secured by 745 multifamily properties with an average cut-off date balance of $2,591,351. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its North American CMBS Multi-Borrower Rating Methodology (the CMBS Methodology). The loans were originated between February 2006 and May 2023 (100.0% of the cut-off pool balance), resulting in a weighted-average (WA) seasoning of 48.0 months. The pool has a WA original term length of 359.7 months, or approximately 30 years, and has a WA original amortization term of 359.2 months, or approximately 30 years, resulting in 98.5% amortization over the loan term, based on a Morningstar DBRS stressed interest rate. However, 128 loans, which represent 19.0% of the pool, have an initial interest-only (IO) period of 24 to 60 months. The loans are hybrid adjustable-rate mortgages (ARMs) with a fixed interest rate for three to 10 years followed by an adjustable-rate period for the remainder of the loan term. The pool has a WA current mortgage rate of 4.33%. However, because of the adjustable nature of the loans, Morningstar DBRS stressed the interest rate based on the greater of the 12-month Secured Overnight Financing Rate (SOFR) or the max interest rate per the loan agreement. This resulted in a stressed Morningstar DBRS mortgage rate of 9.54%. Based on the current loan amount, and the appraised values from loan origination, the pool has a WA loan-to-value ratio (LTV) of 59.2%. Because the date of these appraisals is more than 12 months from the securitization closing, broker opinions of value (BOVs) were provided. Based on the lower of these two values, the pool has a WA LTV of 60.0%. However, Morningstar DBRS made LTV adjustments to 110 loans that had an implied capitalization rate of more than one standard deviation from capitalization rates established by Morningstar DBRS based on market rank and property type. This resulted in a higher Morningstar DBRS LTV of 64.3%. Lastly, all loans amortize over their respective remaining terms, resulting in 98.5% expected amortization; this amount of amortization is greater than what is typical for commercial mortgage-backed securities (CMBS) conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in Morningstar DBRS' Rating North American CMBS Interest-Only Certificates methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS notes in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Applicable Reference Obligation rating. Therefore, similar logic regarding term default risk supports the rationale for Morningstar DBRS to reduce the loan level probability of default (POD) in the CMBS Insight Model by one notch because refinance risk is largely absent for this pool of loans given most of the loans fully amortize with the overall anticipated amortization at 98.5%. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. The historical prepayment performance of those loans is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. The loans in the pool generally have prepayment penalties during the first five years of the loan term. Given the seasoned nature of this pool, Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. As in previous small-balance commercial (SBC) transactions, Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The pool has higher stressed interest rates and lending spreads, compared to conduit and agency loans. Consequently, the transaction has an overall Issuer net cash flow debt service coverage ratio (NCF DSCR) of 0.95 times (x) with 502 loans, representing 68.5% of the deal with Issuer NCF DSCR of less than 1.0x, based on the Morningstar stressed mortgage rate. Therefore, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for DSCR risks. The pool is quite diverse based on loan count and size, with an average cut-off date balance of $2,591,351, a concentration profile equivalent to that of a transaction of 468 equal-size loans, and a top 10 loan concentration of 7.6%. Increased pool diversity helps insulate the higher-rated classes from event risk. Though, this diversity is reduced as all the loans in the pool are secured by one property type and 87.7% of the loans are backed by collateral in the state of California. The loans are secured by multifamily property types, which historically have had lower default rates than other asset types. Furthermore, all loans in the pool amortize over their respective remaining loan terms, resulting a 98.5% anticipated amortization, thus reducing refinance risk. Lastly, the loans have a good performance history with only nine loans representing less than 1.0% of the pool balance with late payments in the 24-month pay history ending June 2024. The loans were not originated for securitization purposes and have limited Representations and Warranties than most typical securitizations. Furthermore, most of the Representations and Warranties that were made will expire in 12 or 18 months. Morningstar DBRS applied a 10% penalty to the POD to mitigate the risk and weaker-than-traditional deal structure. Additionally, the loans have a repurchase option at less than par value. Morningstar DBRS applied a 2.5% penalty to the loss given default (LGD) to mitigate the risk and weaker than traditional CMBS conduit deal structure. The loans are hybrid ARMs with a fixed interest rate for three to 10 years followed by an adjustable-rate period for the remainder of the loan term. The pool has a WA current mortgage rate of 4.33%. However, because of the adjustable nature of the loans, Morningstar DBRS stressed the interest rate based on the greater of the 12-month SOFR or the max interest rate per the loan agreement. This resulted in a stressed Morningstar DBRS mortgage rate of 9.5%. This stressed interest rate produced a WA Issuer NCF DSCR of 0.95x. Morningstar DBRS applied a 5% penalty to the POD to mitigate the risk associated with the very low DSCR. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 59 loans Morningstar DBRS sampled, one was Average+ quality (2.4%), seven were Average quality (18.9%), 29 were Average - quality (52.9%), 16 were Below Average quality (25.3%), and one was Poor quality (0.5%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments of sampled loans and other SBC transactions rated by Morningstar DBRS. Limited or dated property-level third party reports were available for Morningstar DBRS to review. Morningstar DBRS received and reviewed appraisals for sampled loans for the top 29 of the pool, which represent 15.6% of the pool balance. These appraisals were issued between November 2015 and September 2022 when the respective loans were originated. Furthermore, BOVs conducted between July 2024 and October 2024 were provided on all loans. Morningstar DBRS was able to perform a loan-level cash flow analysis on the top 29 loans in the pool. The NCF haircuts to these loans ranged from 2.4% to 23.1%, with an average of 11.4% when excluding outliers. No Property Condition Assessment reports were provided. Morningstar DBRS applied a higher than typical capital expense assumption in its NCF analysis, based on the Morningstar DBRS assessed property quality. No Environmental Site Assessment reports were provided nor required by the Issuer; however, Partner Engineering did perform a comprehensive desktop / database review of all loans in the pool. Of the 745 loans, Partner identified 14, representing 1.8% of the pool, to have on-site concerns and seven loans, 1.0% of the pool, with known on-site contamination. Morningstar DBRS made LGD adjustments to eight loans, 1.0% of the pool, to mitigate potential environmental concerns. No probable maximum loss (PML) information or earthquake insurance requirements was provided. Therefore, an LGD penalty was applied to all properties in California to mitigate this potential risk. This penalty was assigned to 87.7% of the pool. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit histories. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 24-month pay history on each loan through June 2024. If any loan had more than two late payments within this period or was currently 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This occurred for nine loans, representing 0.9% of the pool balance. Lastly, Morningstar DBRS views recourse loans as credit positive, but because of the generally less sophisticated nature of small balance borrowers, we assume recourse loans as credit-neutral. Therefore, for 174 loans, representing 25.1% of the pool without recourse, Morningstar DBRS applied an additional stress to the default rate. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BARINGS CLO 2019-III: S&P Assigns BB-(sf) Rating on Cl. E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt and A-1 loans 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. At the same time, S&P withdrew its ratings on the class A-1-R, B-R, C-R, and D-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 Dec. 23, 2025. -- The reinvestment period was extended to Dec. 23, 2028. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were 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 classes 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." 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) Ratings Withdrawn Barings CLO Ltd. 2019-III/Barings CLO 2019-III LLC Class A-1-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 Barings CLO Ltd. 2019-III/Barings CLO 2019-III LLC Subordinated notes, $56.58 million: NR NR--Not rated. BBCMS MORTGAGE 2024-5C31: Fitch Assigns B-sf Rating on Cl. G Certs ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Ratings Outlooks to BBCMS Mortgage Trust 2024-5C31 commercial mortgage pass-through certificates. - $676,000a class A-1 'AAAsf'; Outlook Stable; - $103,762,000a class A-2 'AAAsf'; Outlook Stable; - $506,308,000a class A-3 'AAAsf'; Outlook Stable; - $610,746,000ab class X-A 'AAAsf'; Outlook Stable; - $97,065,000a class A-S 'AAAsf'; Outlook Stable; - $41,444,000a class B 'AA-sf'; Outlook Stable; - $37,081,000a class C 'A-sf'; Outlook Stable; - $175,590,000abc class X-B 'A-sf'; Outlook Stable; - $18,540,000ac class D 'BBBsf'; Outlook Stable; - $8,725,000ac class E 'BBB-sf'; Outlook Stable; - $27,265,000abc class X-D 'BBB-sf'; Outlook Stable; - $16,359,000ac class F 'BB-sf'; Outlook Stable; - $16,359,000abc class X-F 'BB-sf'; Outlook Stable; - $10,907,000ac class G 'B-sf'; Outlook Stable; - $10,907,000abc class X-G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $31,628,000acd class H-RR. (a) The certificate balances and notional amounts of these classes include the vertical risk retention (VRR) interest, which is expected to be approximately 3.63% of the certificate balance or notional amount, as applicable, of each class of certificates as of the closing date. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Class H-RR certificates, excluding the portion included in the VRR interest, comprise the transaction's horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of Dec. 19, 2024. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 39 loans secured by 55 commercial properties having an aggregate principal balance of $872,495,000 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Starwood Mortgage Capital LLC, German American Capital Corporation, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., Bank of Montreal, KeyBank National Association, Zions Bancorporation, N.A, Société Générale Financial Corporation, Greystone Commercial Mortgage Capital LLC, and LMF Commercial LLC. The master servicer is Midland Loan Services and the special servicer is LNR Partners, LLC. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 26 loans totaling 90.5% of the pool by balance. Fitch's resulting aggregate trust net cash flow (NCF) of $85.6 million represents a 10.4% decline from the issuer's underwritten NCF of $95.5 million. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Higher Fitch Leverage: The transaction has higher Fitch leverage than recent five-year multiborrower transactions. The pool's Fitch weighted average (WA) trust loan-to-value ratio (LTV) of 96.0% is higher than the YTD 2024 and 2023 multiborrower five-year averages of 94.8% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.8% is lower than both the YTD 2024 and 2023 averages of 10.2% and 10.6%, respectively. Investment Grade Credit Opinion Loans: Three loans totaling 14.9% of the pool received an investment grade credit opinion on a standalone basis. Queens Center (9.7% of the pool) received a standalone credit opinion of 'BBBsf*'. Linx (2.9% of the pool) received a standalone credit opinion of 'BBB-sf*'. ICONIQ Multifamily Portfolio (2.3%) received a standalone credit opinion of 'A-sf'. The pool's total credit opinion percentage is above the YTD 2024 and 2023 multiborrower five-year averages of 11.7% and 14.6%, respectively. The pool's Fitch LTV and DY, excluding credit opinion loans, are 99.5% and 9.8%, respectively. Higher Retail Concentration: The largest property type concentration is retail (34.7% of the pool), followed by multifamily (33.8%) and office (18.0%). The pool's retail loan concentration is higher than YTD 2024 and 2023 five-year multiborrower averages of 23.6% and 31.6%, respectively. In particular, the retail concentration includes three of the 10 largest loans (37.4% of the pool). Pools that have a greater concentration by property type are at greater risk of losses, all else being equal. The pool's effective property type count is 3.7 is lower than the YTD 2024 and 2023 five-year multiborrower averages of 4.2 and 4.1, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow that decreases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, an improvement in cash flow that increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and rec-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET 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 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 replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt was issued at a lower weighted average spread than the original debt. -- The transaction was 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." 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, $84.28 million: Not rated BENEFIT STREET XXXVIII: S&P Assigns Prelim 'BB-' Rating in E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO XXXVIII Ltd./Benefit Street Partners CLO XXXVIII 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 preliminary ratings are based on information as of Dec. 20, 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 Benefit Street Partners CLO XXXVIII Ltd./ Benefit Street Partners CLO XXXVIII LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $45.90 million: Not rated BLACKROCK MAROON XI: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the original class X, A-1, A-L, A-F, B-1, B-F, C, D, and E debt following payment in full on the Dec. 19, 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 2026. -- The reinvestment period was extended to January 2030. -- The legal final maturity dates (for the replacement debt and the existing variable dividend notes) were extended to January 2038. -- 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 April 2025. -- No additional variable dividend 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 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) Ratings Withdrawn BlackRock Maroon Bells CLO XI LLC Class X to NR from 'AAA (sf)' Class A-1 to NR from 'AAA (sf)' Class A-L to NR from 'AAA (sf)' Class A-F to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-F 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 BlackRock Maroon Bells CLO XI LLC Variable dividend notes, $53.70 million: NR NR--Not rated. BMO 2024-5C8: Fitch Assigns 'B-sf' Final Rating on Class G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2024-5C8 Mortgage Trust commercial mortgage pass-through certificates. - $1,065,000 class A-1 'AAAsf'; Outlook Stable; - $115,000,000 class A-2 'AAAsf'; Outlook Stable; - $578,222,000 class A-3 'AAAsf'; Outlook Stable; - $694,287,000 class X-A 'AAAsf'; Outlook Stable; - $112,822,000 class A-S 'AAAsf'; Outlook Stable; - $48,352,000 class B 'AA-sf'; Outlook Stable; - $35,944,000 class C 'A-sf'; Outlook Stable; - $197,922,000 class X-B 'A-sf'; Outlook Stable; - $9,929,000 class D 'BBB+sf'; Outlook Stable; - $9,929,000 class X-D 'BBB+sf'; Outlook Stable; - $21,076,000 class E-RR 'BBB-sf'; Outlook Stable; - $19,837,000 class F-RR 'BB-sf'; Outlook Stable; - $12,398,000 class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $37,194,388 class J-RR. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 40 loans secured by 98 commercial properties with an aggregate principal balance of $991,839,388 as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, Starwood Mortgage Capital LLC, Citi Real Estate Funding Inc., UBS AG, Société Générale Financial Corporation, Greystone Commercial Mortgage Capital LLC, Barclays Capital Real Estate Inc. and Natixis Real Estate Capital LLC. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Greystone Servicing Company LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 29 loans totaling 88.9% by balance. Fitch's resulting net cash flow (NCF) of $97.8 million represents an 11.8% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 96.4% is higher than the 2024 YTD and 2023 averages of 91.7% and 88.3%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is lower than the 2024 YTD and 2023 averages of 10.8% and 10.9%, respectively. Investment-Grade Credit Opinion Loans: Four loans representing 16.1% of the pool received an investment-grade credit opinion. Queens Center (7.2% of pool) received a standalone credit opinion of 'BBBsf*', ICONIQ Multifamily Portfolio (6.5% of pool) received a standalone credit opinion of 'AA-sf*', Atrium Hotel Portfolio 24-Pack (1.5% of pool) received a standalone credit opinion of 'BBB+sf*', and Linx (1.0% of pool) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is higher than the 2024 YTD average and lower than the 2023 average of 14.6% and 17.8%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 101.1% and 9.6%, respectively, compared with the 2023 conduit LTV and DY averages of 93.3% and 10.4%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 54.6% of the pool, lower than the 2024 YTD and 2023 averages of 60.7% and 63.7%, respectively. The pool's effective loan count of 26.3 is above the 2024 YTD and 2023 average of 22.2 and 20.6, respectively. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down 0.1%, which is below the 2024 YTD and 2023 averages of 1.0% and 1.4%, respectively. The pool has 39 interest-only loans, or 97.0% of pool by balance, which is above the 2024 YTD and 2023 averages of 89.0% and 84.5%, respectively. Average Concentration of Pari Passu Loans: Fifteen loans representing 50.4% of the pool are pari passu loans, which is higher than the 2024 YTD average of 45.2% and below the 2023 average of 60.1%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on recomputation of certain characteristics with respect to each mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRYANT PARK 2024-25: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bryant Park Funding 2024-25 Ltd./Bryant Park Funding 2024-25 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 Marathon Asset Management L.P. The preliminary ratings are based on information as of Dec. 20, 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 Bryant Park Funding 2024-25 Ltd./Bryant Park Funding 2024-25 LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.00 million: Not rated BX COMMERCIAL 2024-GPA3: DBRS Gives Prov. BB(high) on HRR Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-GPA3 (the Certificates) to be issued by BX Commercial Mortgage Trust (the Trust): -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class HRR at (P) BB (high) (sf) All trends are Stable. The collateral for BX 2024-GPA3 (the Trust) includes the borrower's fee-simple interest in 32 student housing properties (or with respect to 2 properties subject to a PILOT lease, the Borrower's leasehold interest and is expected to include, the applicable lessor's fee interest in such properties) totaling 18,502 beds. The largest state representations in the portfolio are Texas, Kentucky, and Virginia. Transaction proceeds of $1.0 billion will be used to refinance $809.8 million of debt across the portfolio and debt for noncollateral, return $115.3 million to the sponsor, and cover remaining closing costs. While this transaction includes a $115.3 million equity distribution to the sponsor, the BX 2024-GPA2 transaction that was recently securitized and used to refinance the combined larger BX 2022-GPA portfolio included an $83.6 million equity injection from the sponsor. The five-year, fully extended loan is IO for the full term. Blackstone acquired American Campus Communities (ACC), the largest student housing owner, operator, and developer in the country, in August 2022. The various debt transactions used to take ACC private included BX 2022-GPA, which this transaction will be partially refinancing. This transaction will include only 32 of the original 51 properties financed as part of the BX 2022-GPA deal. Comparing the same 32 assets, the portfolio has observed an NOI increase of 35.2% compared with the prior securitization in 2022. There has been continued implementation of revenue generators at the property since the acquisition in 2022, including utility income, upfront leasing fees, parking, and landlord liability insurance, resulting in a total Other Income increase of 72.7% from 2021 to the budgeted figures for the upcoming 2024/2025 school year. Additionally, Blackstone and ACC have driven significant rent growth with an average rent per occupied bed (RPOB) increase from $664 in the 2022/2023 school year to a current RPOD of $755 as of October 2024. They have managed to compress operating expenses over the same period, down from 53.4% in 2021 to 47.9% as of the T-12 reporting period ended May 31, 2024. Occupancy has trailed slightly behind the previous school year. The portfolio is 93.5% occupied as of October 2024 compared with the actual occupancy of 95.8% for the 2023/2024 school year. While the occupancy has shown some decline, there is a 9.9% increase in gross potential income (GPI) year-over-year (YOY) driven by the increased RPOB. The subject portfolio consists of 32 assets spread across 19 universities in 11 states and has a WA year built of 2005 and an average distance to campus of 0.23 miles. Roughly 38.2% of the assets were built after 2010 and feature modern amenities, including fitness centers, study rooms, club rooms, and pools. Unit interiors feature beds, dressers, kitchen tables, couches, coffee tables, and standard appliance packages. Since 2012, the portfolio has received $161.2 million in capital improvements. All universities, except one (Minnesota State University, Mankato), are represented by either Power 5, Carnegie R1, or Carnegie R2. Approximately 65.4% of the Issuer's UW NCF is derived from universities in Power 5 conferences, including Texas Tech University, Texas A&M University, University of Louisville, University of Kentucky, University of Florida, Florida State University, Iowa State University, University of Illinois Urbana-Champaign, and University of Minnesota. The portfolio has demonstrated consistently strong rent growth and occupancy metrics, as the portfolio has never been below a WA occupancy of 93.6% dating back to 2012. The universities at which these properties serve have strong enrollment trends and brand recognition. As of the 2023/2024 academic year, the universities represented in the portfolio had an average enrollment of more than 35,000 students and have seen a 8.1% growth in enrollment since 2013. The Power 5 and Carnegie R1 universities have seen a higher growth rate in enrollment historically when compared with the national average. Additionally, new supply in the student housing sector has begun slow post-coronavirus. New supply each year, represented as a percentage of total university enrollment, was 1.7% between 2013 and 2019. Between 2021 and forward 2026 estimates, the new supply is estimated to be 0.5% of university enrollment. The lack of new supply provides the sponsor a strong opportunity to see continued rent growth and low vacancy throughout the loan term. The portfolio is owned and primarily managed by affiliates of ACC (20 of the 32 properties managed by ACC OP Management LLC; with the remaining 12 properties managed by Abacus Management B LLC), the largest student housing developer and operator in the country, who was acquired by Blackstone in August 2022. ACC was founded in 1993 and currently has more than 3,000 team members and a portfolio of assets spread across 93 campuses. The company was awarded the 2023 National Association of Home Builders Property Management Firm of the Year and was featured in Newsweek's 2022, 2023, and 2024 lists of America's most trusted companies. Since the acquisition, Blackstone has kept ACC involved in the property management because of its strong historical performance and expertise. Morningstar DBRS has a favorable view on the portfolio, driven by strong historical performance, consistent NOI growth, university representation, and institutional sponsorship and management. The portfolio has a WA occupancy of 96.1% dating back to 2019 (excluding Fall 2020). Between the acquisition in August 2022 and the latest rent roll as of October 2024, the portfolio has observed NOI growth of 35.2% driven by increased rental rates and ancillary income initiatives. In addition to the strong growth and performance metrics, the properties are ideally located on well-established university campuses. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE GLOBAL 2013-1: Moody's Affirms B1 Rating on $27MM D-R Notes ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Carlyle Global Market Strategies CLO 2013-1, Ltd.: US$36,000,000 Class B-RR Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Apr 25, 2024 Upgraded to Aa1 (sf) US$38,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Apr 25, 2024 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$376,632,863 (current outstanding amount US$34,583,910.57) Class A-1-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 1, 2021 Assigned Aaa (sf) US$71,000,000 Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jan 25, 2024 Upgraded to Aaa (sf) US$27,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Jun 25, 2020 Downgraded to B1 (sf) Carlyle Global Market Strategies CLO 2013-1, Ltd., originally issued in February 2013, refinanced in August 2017 and partially refinanced in July 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Carlyle CLO Management L.L.C. The transaction's reinvestment period ended in August 2022. RATINGS RATIONALE The rating upgrades on the Class B-RR and Class C-R 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 affirmations on the ratings on the Class A-1-RR, A-2-R and D-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 Class A-1-RR notes have paid down by approximately USD153.2 million (41.0%) since the last rating action in April 2024. 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 B, Class C and Class D OC ratios are reported at 155.70%, 122.75% and 106.71% compared to March 2024 [2] levels of 128.77%, 114.07% and 105.51% 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 its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD224.45m Defaulted Securities: USD3.14m Diversity Score: 44 Weighted Average Rating Factor (WARF): 3257 Weighted Average Life (WAL): 2.75 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.34% Weighted Average Recovery Rate (WARR): 47.59% Par haircut in OC tests and interest diversion test: 2.38% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CARLYLE GLOBAL 2013-3: S&P Affirms B- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class A-2-R, B-R, and C-R notes from Carlyle Global Market Strategies CLO 2013-3 Ltd. At the same time, S&P affirmed its ratings on the class A-1A-R, D-R and E-R notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the Oct. 23, 2024 trustee report and updates from the collateral manager. Since S&P's October 2021 rating action, the transaction exited its reinvestment period on October 2022, and the class A-1A-R notes were paid down by $220.35 million, reducing the outstanding balance to 25.32% of its original balance. These paydowns resulted in improved reported overcollateralization (O/C) ratio for all classes except the class D-R, which remained slightly below the last rating action O/C ratio due to the increased exposure in 'CCC' rated assets and defaults. The changes in the reported O/C ratios since the July 23, 2021 trustee report, which S&P used for its previous rating actions, are as follows: -- The class A O/C ratio improved to 157.90% from 127.70%.(i) -- The class B O/C ratio improved to 132.88% from 118.35%.(i) -- The class C O/C ratio improved to 114.70% from 110.28%.(i) -- The class D O/C ratio declined to 105.78% from 105.82%.(i) (i)Class A--Class A-1A-R/A-1B-R/A-2-R notes. The class A-1B-R notes are not rated by S&P Global Ratings. Class B--Class B-R notes. Class C--Class C-R notes. Class D--Class D-R notes. S&P said, "While paydowns have helped increase or maintain credit support, the collateral portfolio's credit quality has slightly deteriorated since our last rating action. Collateral obligations with ratings in the 'CCC' category have increased, both in absolute and relative terms. As reported in the Oct. 23, 2024 trustee report, 'CCC' concentration represents $29.15 million, compared to $26.94 million reported in the July 23, 2021 trustee report. Though this increase in absolute terms does not seem significant, amortization has decreased the collateral balance; therefore, the increase in terms of percentage is more pronounced. As per the October 2024 trustee report, the 'CCC' concentration is at 11.4% of the portfolio, which is up from 5.6% of the portfolio in July 2021." Despite the increased concentration in the 'CCC' category, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 3.03 years reported as of the Oct. 23, 2024, trustee report, compared with 4.94 years reported at the time of our October 2021 rating actions. Over the same period, the par amount of defaulted collateral has decreased to $1.26 million from $1.97 million. The upgraded ratings reflect the improved credit support available to the notes due to significant paydowns on the senior tranche. S&P said, "Although our cash flow analysis indicated higher ratings for the class C-R and D-R notes, our rating actions considered additional sensitivity runs that consider the portfolio's high exposure to 'CCC' rated category assets, defaults, and assets trading at low market values." S&P said, "We note that the cash flow results indicate a lower rating for the class E-R notes. However, we view the overall credit seasoning as an improvement to the transaction and considered the credit support available to the class E-R notes in our decision. The class E-R notes have remained current on interest and have a stable pure O/C (O/C without haircuts). It is our opinion that the E-R class is not currently dependent upon favorable business, financial, or economic conditions to meets its contractual obligations of timely interest and the ultimate repayment of principal by legal final maturity. Therefore, it does not meet our definition of 'CCC' risk, but further increases in defaults or par losses could lead to negative rating actions on the class E-R notes 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 Carlyle Global Market Strategies CLO 2013-3 Ltd. Class A-2-R to 'AAA (sf)' from 'AA (sf)' Class B-R to 'AA+ (sf)' from 'A (sf)' Class C-R to 'BBB (sf)' from 'BBB- (sf)' Ratings Affirmed Carlyle Global Market Strategies CLO 2013-3 Ltd. Class A-1A-R: AAA (sf) Class D-R: B+ (sf) Class E-R: B- (sf) CARLYLE US 2021-10: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2021-10, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2021-10, Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2021-10, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C. On the refinancing date, net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.65, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.42% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.58% versus a minimum covenant, in accordance with the initial expected matrix point of 70.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 43% 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 that 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2021-10, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARVANA AUTO 2024-P4: Moody's Assigns Ba1 Rating to Class N Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Carvana Auto Receivables Trust 2024-P4 (CRVNA 2024-P4). This is the fourth prime auto loan transaction of the year for Carvana LLC (Carvana), an indirect wholly owned subsidiary of Carvana Co. (Caa1 positive). The notes are backed by a pool of retail automobile loan contracts originated by Carvana, who is also the administrator of the transaction. Bridgecrest Credit Company, LLC (Bridgecrest Credit), an indirect wholly owned subsidiary of DriveTime Auto Group, is the servicer of the transaction. The complete rating actions are as follows: Issuer: Carvana Auto Receivables Trust 2024-P4 Class A-1 Asset Backed Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class A-4 Asset Backed Notes, Definitive Rating Assigned Aaa (sf) Class B Asset Backed Notes, Definitive Rating Assigned Aa2 (sf) Class C Asset Backed Notes, Definitive Rating Assigned A2 (sf) Class D Asset Backed Notes, Definitive Rating Assigned Baa1 (sf) Class N Asset Backed Notes, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of Bridgecrest Credit as the servicer. Moody's median cumulative net loss expectation for CRVNA 2024-P4 is 2.75% and loss at a Aaa stress is 13.00%. Moody's based Moody's cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Bridgecrest Credit to perform the servicing functions; and the current expectations for the macroeconomic environment during the life of the transaction. At closing the Class A notes, Class B notes, Class C notes, Class D notes, and Class N notes benefit from 8.00%, 5.40%, 2.20%, 0.50% and 0.25% of hard credit enhancement, respectively. Hard credit enhancement for the Class A notes, Class B notes, Class C notes, and Class D notes consists of overcollateralization, a non-declining reserve account and subordination, except for the Class D notes which do not benefit from subordination. Hard credit enhancement for the Class N notes consists of a non-declining reserve account solely supporting the Class N notes. Additionally, all classes of notes may benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the subordinated notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 Notes short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. CBAMR 2017-1: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and rating outlooks to CBAMR 2017-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CBAMR 2017-1, Ltd. A-1 12480VAC9 LT PIFsf Paid In Full AAAsf X-R2 LT AAAsf New Rating A-R2 LT AAAsf New Rating B-1R2 LT AAsf New Rating B-2R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBBsf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated notes LT NRsf New Rating Transaction Summary CBAMR 2017-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by The Carlyle Group Inc. The CLO originally closed in 2017 and had a partial refinancing in 2020. The secured notes were refinanced on Dec. 17, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $1249 million of primarily first-lien senior secured leveraged loans (other than defaulted assets). 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 24.79 versus a maximum covenant, in accordance with the initial expected matrix point of 26.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.01% versus a minimum covenant, in accordance with the initial expected matrix point of 70.80%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 and class A-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, 'AAsf' for class C-R2, 'A+sf' for class D-1R2, 'Asf' for class D-2R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CBAMR 2017-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CCUBS COMMERCIAL 2017-C1: Fitch Lowers Rating on F-RR Certs to CCC ------------------------------------------------------------------ Fitch has downgraded four and affirmed 10 classes of CCUBS Commercial Mortgage Trust 2017-C1 commercial mortgage pass-through certificates (CCUBS 2017-C1). Classes D-RR and E-RR have been assigned a Negative Rating Outlook following their downgrades. The Rating Outlooks for classes A-S, B, C, D and X-B were revised to Negative from Stable. Fitch Ratings has affirmed 12 classes of UBS Commercial Mortgage Trust 2017-C7 commercial mortgage pass-through certificates (UBS 2017-C7). Entity/Debt Rating Prior ----------- ------ ----- CCUBS 2017-C1 A-2 12508GAR7 LT AAAsf Affirmed AAAsf A-3 12508GAT3 LT AAAsf Affirmed AAAsf A-4 12508GAU0 LT AAAsf Affirmed AAAsf A-S 12508GAX4 LT AAAsf Affirmed AAAsf A-SB 12508GAS5 LT AAAsf Affirmed AAAsf B 12508GAY2 LT AA-sf Affirmed AA-sf C 12508GAZ9 LT A-sf Affirmed A-sf D 12508GAA4 LT BBBsf Affirmed BBBsf D-RR 12508GAC0 LT B+sf Downgrade BBB-sf E-RR 12508GAE6 LT B-sf Downgrade BB+sf F-RR 12508GAG1 LT CCCsf Downgrade BB-sf G-RR 12508GAJ5 LT CCsf Downgrade CCCsf X-A 12508GAV8 LT AAAsf Affirmed AAAsf X-B 12508GAW6 LT AA-sf Affirmed AA-sf UBS 2017-C7 A-3 90276WAR8 LT AAAsf Affirmed AAAsf A-4 90276WAS6 LT AAAsf Affirmed AAAsf A-S 90276WAV9 LT AAAsf Affirmed AAAsf A-SB 90276WAQ0 LT AAAsf Affirmed AAAsf B 90276WAW7 LT AA-sf Affirmed AA-sf C 90276WAX5 LT A-sf Affirmed A-sf D-RR 90276WAA5 LT BBBsf Affirmed BBBsf E-RR 90276WAC1 LT BBB-sf Affirmed BBB-sf F-RR 90276WAE7 LT BB-sf Affirmed BB-sf G-RR 90276WAG2 LT B-sf Affirmed B-sf X-A 90276WAT4 LT AAAsf Affirmed AAAsf X-B 90276WAU1 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: CCUBS 2017-C1: Deal-level 'Bsf' rating case losses increased to 8.3%, up from 5.3% at Fitch's prior rating action. Seven loans (27.8%) were flagged as Fitch Loans Concerns (FLOCs), including four loans (19%) in special servicing. The downgrades in CCUBS 2017-C1 reflect higher pool loss expectations, driven primarily by higher loss expectations on the 2U Headquarters (5.5%) loan and 16 Court Street (7.7%), both of which transferred to special servicing since Fitch's last rating action. The Negative Outlooks reflect the potential for downgrades if 2U Headquarters and 16 Court Street are not able to re-lease recently vacated space at the properties, have extended workout timelines or if additional loans experience performance declines. UBS 2017-C7: Deal-level 'Bsf' rating case losses slightly increased to 3.4% from 3.1% at Fitch's prior rating action. Seven loans (17.4%) were flagged as FLOCs, including one loan (6.5%) in special servicing. The affirmations reflect generally stable pool performance. Largest Increases in Loss Expectations: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in CCUBS 2017-C1 is 2U Headquarters, which is secured by a 309,303-sf suburban office property located in Lanham, Maryland. The loan transferred to special servicing in August 2024 due to imminent monetary default. The sole tenant of the property filed Chapter 11 bankruptcy in July 2024 and vacated the property in August 2024, before the original 2028 lease expiration. The property remains 100% vacant and the borrower is working to re-lease the space. The last rental payment was received on July 1, 2024. Fitch's 'Bsf' rating case loss of 34.5% (prior to concentration adjustments) is based on a dark value analysis, reflecting a value of $115 psf. The second largest increase in loss since the prior rating action and second largest contributor to overall pool loss expectations is 16 Court Street, which is secured by a 36-story, 325,510-sf, office building with ground floor retail in Brooklyn, New York. The loan was transferred to special servicing in August 2024 for imminent default when the borrower notified the lender they would be unable to service the debt service due to tenancy issues. The largest tenant, The City University of New York (14.5%) vacated at its Aug. 31, 2024 lease expiration. Occupancy was 70% per the March 2024 rent roll, but has declined to approximately 55.5% after the loss of the largest tenant. The net operating income (NOI) debt service coverage ratio (DSCR) was 1.26x as of year-end (YE) 2023. The loan is less than one-month delinquent as of the November 2024 remittance. Fitch's 'Bsf' rating case loss of 40.1% (prior to concentration adjustments) reflects an increased probability of default following its recent transfer to special servicing. The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in UBS 2017-C7 is Tryad Industrial & Business Center (6.5%), which is secured by a 3.3 million-sf, 11-building industrial flex property located in Rochester, NY. The loan transferred to special servicing in August 2024 for imminent non-monetary default. It is less than one-month delinquent as of the November 2024 remittance. The largest tenants include Hammer Packaging Corp. (9.7%; recently extended through 2028), Harris Corporation (7.8%; multiple leases between 2025 and 2028) and Kodak Alaris (6.5%; expires in December 2028). Occupancy has remained in the low- to mid-60s since YE 2020. The property was 61% occupied as of March 2024. The servicer-reported NOI DSCR was 1.16x at YE 2023 compared with 1.11x a year earlier. Upcoming rollover consists of 12.3% in 2024 (12.7% rent), 8.2% in 2025 (11.1% rent) and 9% in 2026 (26.8% rent). Fitch's 'Bsf' case loss of 16% (prior to a concentration adjustment) reflects the current delinquency status, a 9.5% cap rate and 15% stress to YE 2023 NOI due to upcoming rollover risk. The second largest increase in loss since the prior rating action and second largest contributor to overall pool loss expectations is Murrieta Plaza (1.1%), which is secured by a 141,122-sf retail property located in Murrieta, CA. The loan was flagged as a FLOC due to declining performance. As of YE 2023, the servicer-reported NOI DSCR was 0.60x. Occupancy is reportedly 42% due to Dick's Sporting Goods (42.5%) vacating at lease expiration in March 2022. Fitch's 'Bsf' rating case loss of 38.4% (prior to concentration adjustments) is based on a 10.5% cap rate and a 7.5% stress to YE 2023 NOI. Change in Credit Enhancement (C/E): As of the November 2024 remittance report, CCUBS 2017-C1 has been reduced by 17.3% since issuance. No loans have been defeased. Interest shortfalls of approximately $763,000 are impacting non-rated class NR-RR. As of the November 2024 remittance report, UBS 2017-C7 has been reduced by 17.6% since issuance. Two loans (10.7%) have been defeased. Interest shortfalls of approximately $117,000 are impacting non-rated class NR-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due high CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes, particularly those with Negative Outlooks, are possible with prolonged workouts of the specially serviced assets, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to the 'AAsf' and 'Asf' rated categories could occur should performance of the FLOCs deteriorate further, notably 16 Court Street and 2U Headquarters in CCUBS 2017-C1 and Tryad Industrial & Business Center and Murrieta Plaza in UBS 2017-C7, or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs. This includes 16 Court Street and 2U Headquarters in CCUBS 2017-C1 and Tryad Industrial & Business Center and Murrieta Plaza in UBS 2017-C7. - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the distressed 'CCCsf' and 'CCsf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans or improved performance 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. CD 2019-C8: Fitch Cuts Rating on Two Tranches to B-sf, Outlook Neg. ------------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 10 classes of CD 2018-CD7 Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2018-CD7. Classes E-RR and F-RR have been assigned a Negative Rating Outlook following their downgrades. The Rating Outlooks for affirmed classes D and X-D were revised to Negative from Stable. Fitch has also downgraded four and affirmed 10 classes of CD 2019-CD8 Mortgage Trust. Classes E, F, X-D and X-F have been assigned a Negative Outlook following their downgrades. The Outlooks for affirmed classes A-M, X-A, B, C, X-B and D were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CD 2019-CD8 A-3 12515BAD0 LT AAAsf Affirmed AAAsf A-4 12515BAE8 LT AAAsf Affirmed AAAsf A-M 12515BAG3 LT AAAsf Affirmed AAAsf A-SB 12515BAC2 LT AAAsf Affirmed AAAsf B 12515BAH1 LT AA-sf Affirmed AA-sf C 12515BAJ7 LT A-sf Affirmed A-sf D 12515BAR9 LT BBBsf Affirmed BBBsf E 12515BAT5 LT BBsf Downgrade BBB-sf F 12515BAV0 LT B-sf Downgrade BB-sf G-RR 12515BAX6 LT CCCsf Affirmed CCCsf X-A 12515BAF5 LT AAAsf Affirmed AAAsf X-B 12515BAK4 LT A-sf Affirmed A-sf X-D 12515BAM0 LT BBsf Downgrade BBB-sf X-F 12515BAP3 LT B-sf Downgrade BB-sf CD 2018-CD7 A-3 12512JAV6 LT AAAsf Affirmed AAAsf A-4 12512JAW4 LT AAAsf Affirmed AAAsf A-M 12512JAY0 LT AAAsf Affirmed AAAsf A-SB 12512JAT1 LT AAAsf Affirmed AAAsf B 12512JAZ7 LT AA-sf Affirmed AA-sf C 12512JBA1 LT A-sf Affirmed A-sf D 12512JAE4 LT BBB-sf Affirmed BBB-sf E-RR 12512JAG9 LT BBsf Downgrade BBB-sf F-RR 12512JAJ3 LT B-sf Downgrade BB-sf G-RR 12512JAL8 LT CCCsf Downgrade B-sf X-A 12512JAX2 LT AAAsf Affirmed AAAsf X-B 12512JAA2 LT AA-sf Affirmed AA-sf X-D 12512JAC8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 6.3% in CD 2018-CD7 and 6.6% in CD 2019-CD8, from 4.6% and 5.8%, respectively at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise ten loans (27.4% of the pool) in CD 2018-CD7, including three loans in special servicing (13.5%), and five loans (22.3%) in CD 2019-CD8, including one loan (2.3%) in special servicing. The downgrades for both transactions reflect the higher pool loss expectations since Fitch's prior rating action, primarily driven by valuation declines and/or increasing exposures on the specially serviced loans, in addition to larger FLOCs with continued performance deterioration and/or upcoming rollover or high vacancy concerns. The Negative Outlooks in CD 2018-CD7 reflect the high FLOC exposure in the pool, including office properties with occupancy and performance concerns, the largest of which are the specially serviced Bank of America Center (7.4%) and 175 Park Avenue (5.1%) loans, in addition to the potential for higher losses on the specially serviced NoLita Multifamily Portfolio (4.7%). The Negative Outlooks in CD 2019-CD8 reflect the performance concerns on larger FLOCs, particularly 888 Figueroa (9.5%), 505 Fulton Street (5.1%), The Citizen Hotel Sacramento (4.3%) and the specially serviced 63 Spring Street loan (2.3%). Largest Contributors to Loss: The largest contributor to overall loss expectations in CD 2018-CD7 is the specially serviced Bank of America Center loan, which is secured by 501,384 sf office building located in Richmond, VA. The property was built in 1974 and renovated in 2017 and serves several Virginia government tenants. The loan transferred to special servicing in September 2023 due to imminent monetary default. The most recently available reported occupancy was 79% as of September 2023, with rollover of 26% of the NRA over the next year. Bank of America extended a portion of its lease through April 2033, but downsized to 8.4% of the NRA from 17% at issuance. Additionally, the previous fourth largest tenant, Sands Anderson PC (7.7% of the NRA), vacated at its lease expiration in January 2024. While the loan remains current, there have been limited recent updates provided regarding the workout. Fitch's Bsf' rating case loss (prior to concentration add-ons) of approximately 32% reflects a 9.5% cap rate and a 15% stress to the TTM 3Q 2023 NOI for rollover concerns. The second largest contributor to modeled loss in CD 2018-CD7 is the specially serviced NoLita Multifamily Portfolio loan, which is secured by three multifamily properties and 5,528-sf of retail space. All three properties are located in the NoLita and SoHo neighborhoods of Manhattan. The loan was transferred to special servicing in April 2021 for imminent monetary default, stemming from issues relating to the coronavirus pandemic. The loan is reported as in foreclosure. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of approximately 42% is based on a discount to the most recently reported appraisal value and factors the higher loan exposure since the prior rating action, reflecting a stressed value of $772,000 per unit. The largest contributor to overall loss expectations in CD 2019-CD8 is the specially serviced 63 Spring Street loan, which is secured by a mixed-use retail and multifamily property located in Manhattan, near the neighborhoods of SoHo and Nolita. The collateral consists of four residential units and approximately 1,100 sf of ground floor retail. The loan transferred to special servicing in June 2020 for payment default. The loan is reported as in foreclosure. The retail component is 100% leased by two tenants, Baked by Melissa (4.3% of retail NRA; leased through August 2027) and Blank Street Inc. (95.6% of retail NRA; with 69.6% expiring in June 2028 and 26% expiring in January 2025; tenant pays only percentage rent). The building also receives cell tower revenue and billboard revenue. The multifamily component was 100% occupied as of January 2024. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) is approximately 64%, which reflects the most recently available appraisal and factors the higher loan exposure since the prior rating action. The second largest contributor to overall loss expectations in CD 2019-CD8 is the Uline Arena loan, which is secured by a 255,000-sf mixed use office and retail property located in Washington, D.C. The mix is approximately 73% office and 27% retail. While the loan has been current for most of 2024, it was reported as delinquent in April and May 2024. The servicer-reported occupancy and NOI DSCR as of June 2024 were 95% and 1.57x, respectively, compared to 97% and 1.43x, respectively, as of YE 2022. Fitch's 'Bsf' rating case loss of 17.6% (prior to concentration add-ons) reflects a 7.5% stress to the TTM June 2024 NOI and an 8.75% cap rate. Minimal Changes in Credit Enhancement (CE): As of the November 2024 distribution date, the pool's aggregate balance for CD 2018-CD7 has been paid down by 2.4% to $791.4 million from $811.1 million at issuance. Two loans (3.2%) have been defeased. As of the November 2024 distribution date, the pool's aggregate balance for CD 2019-CD8 has been paid down by 3.9% to $830.7 million from $864.2 million at issuance. Three loans (4%) have been defeased. Credit Opinion Loans: For the CD 2018-CD7 transaction, two loans, Aventura Mall (8.7% of the pool) and Westside NYC Multifamily Portfolio (6.1%) remain as credit opinion loans. For the CD 2019-CD8 transaction, Moffett Towers II - Buildings 3 & 4 (4.4%) and Crescent Club (3.5%) loans remain as credit opinion loans, while the Woodlands Mall loan (8.8%) is no longer considered to have credit characteristics consistent with an investment-grade credit opinion. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes with Stable Outlooks for both transactions are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; Downgrades to junior 'AAAsf' rated classes in CD 2019-CD8 with Negative Outlooks are possible with continued performance deterioration of the FLOCs, including 888 Figueroa, Uline Center, 505 Fulton, The Citizen Hotel Sacramento and 63 Spring Street, in addition to increased expected pool losses and limited to no improvement in class CE. Downgrades to 'BBBsf' category rated classes are possible are possible with performance deterioration of the FLOCs, including the specially serviced Bank of America Center, 175 Park Avenue and NoLita Multifamily Portfolio loans in CD 2018-CD7, and the aforementioned loans above in CD 2019-CD8, in addition to an overall increase in pool expected losses. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from underperforming loans or with greater certainty of near-term losses on specially serviced assets. Downgrades to distressed classes could occur should additional loans transfer to special servicing or should losses be realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydown, coupled with stable-to-improved pool-level loss expectations and improved performance of the aforementioned FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transactions. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes could be limited based on sensitivity to concentrations or the potential for future concentration and performance volatility of larger assets, including FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on and there is sufficient CE to the classes. Upgrades to distressed ratings are 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. CIFC FUNDING 2020-IV: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2020-IV, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2020-IV, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CIFC Funding 2020-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 24.26, 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 96.22% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.49% versus a minimum covenant, in accordance with the initial expected matrix point of 71.2%. 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 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-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for CIFC Funding 2020-IV, 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. CITIGROUP 2024-RP4: Fitch Assigns 'B(EXP)sf' Rating on Cl. B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2024-RP4 (CMLTI 2024-RP4). Entity/Debt Rating ----------- ------ CMLTI 2024-RP4 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT AA(EXP)sf Expected Rating A4 LT A(EXP)sf Expected Rating A5 LT BBB(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating PT1 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2024-RP4 (CMLTI 2024-RP4) as indicated above. The transaction is expected to close on Dec. 20, 2024. The notes are supported by 5,703 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of about $942 million, including $72.3 million, or 7.7% of the aggregate pool balance, in noninterest-bearing deferred principal amounts as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. 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 11.6% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% qoq, based on Fitch's updated view on sustainable home prices.) Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.9% yoy nationally as of September 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. Distressed Performance History and RPL Credit Quality (Negative): The collateral pool primarily consists of SPLs and RPLs. The collateral is seasoned at approximately 156 months in aggregate, as calculated by Fitch, with 45.3% of the pool by unpaid principal balance (UPB) being originated before 2010. The remaining 54.7% of loans were originated between 2010 and 2023. Of the pool, 9.0% of loans are delinquent as of the cutoff date and 78.0%, as calculated by Fitch, are current but have had delinquencies within the past 24 months. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. Additionally, 92.7% of the loans have a prior modification. Borrowers have a moderate credit profile (672.4 FICO, as calculated by Fitch, based on updated FICO scores provided on the loan level and a 43.6% debt-to-income [DTI] ratio). Low Leverage (Positive): All loans seasoned over 24 months received updated property values, translating to a Fitch-derived, weighted average (WA), current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 48.6% and a sustainable LTV (sLTV) of 55.3% at the base case. Updated broker price opinions (BPOs) were provided on all loans seasoned at more than two years in the pool and used to calculate the Fitch-derived LTVs. This reflects low-leverage borrowers and is stronger than in recently rated SPL/RPL transactions. Sequential-Pay Structure and No Servicer P&I Advances (Mixed): The transaction's cash flow is based on a sequential-pay structure whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated note prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated class. Under Fitch's updated criteria approach, Fitch only expects timely interest for the 'AAAsf' rated class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.6%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 38bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2013-CCRE6: DBRS Confirms C Rating on Class F Certs -------------------------------------------------------- DBRS Limited downgraded the credit ratings on two classes of the Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 issued by COMM 2013-CCRE6 Mortgage Trust as follows: -- Class D to BB (low) (sf) from BBB (low) (sf) -- Class E to B (low) (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at AAA (sf) -- Class X-B at AA (high) (sf) -- Class C at AA (sf) -- Class PEZ at AA (sf) -- Class F at C (sf) The trends on all classes are Stable except for Class F, which has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect the recoverability expectations for the two remaining assets in the pool. Both assets exhibit increased credit risk stemming from shortening maturity date horizons, increased competition, and potential low investor appetite, which is likely to lead to difficulty for each borrower in seeking replacement financing or asset sales. Morningstar DBRS considered a recoverability analysis, which suggests the most junior certificates are at risk to incur losses as property values continue to decline, warranting the credit rating downgrades. The Stable trends reflect the conservative liquidation scenarios as the credit ratings with this review accurately reflect the credit profile of the remaining assets. The largest remaining loan in the pool, Federal Center Plaza (Prospectus ID#1, 56.5% of the pool), is secured by the borrower's fee-simple interest in two adjoining eight-story office buildings, 400 C Street SW and 500 C Street SW, in Washington, D.C. The loan transferred to special servicing in December 2022 for imminent default after the borrower could not repay the loan prior to maturity in February 2023. A loan modification closed in November 2023, terms of which included a maturity extension to February 2025 with an additional one-year extension option to February 2026. The loan remains on the servicer's watchlist for the upcoming maturity date and low occupancy rate with an update pending from the servicer regarding the borrower's intentions. Both buildings were built to suit for two General Services Administration (GSA) tenants in the early 1980s and have been continuously occupied by GSA tenants ever since; however, tenants have downsized over the past several years. The Federal Emergency Management Agency (FEMA) occupies 64.3% of total net rentable area (NRA) across the property on a lease that extends through August 2027. According to various news sources, in December 2023 it was announced that FEMA would be relocating two blocks from the subject property to a renovated and federally owned facility at 301 7th Street SW in 2027; however, online articles dated June 2024 stated that market conditions have halted those plans. Morningstar DBRS has inquired with the servicer for clarification and additional detail. According to the June 2024 rent roll, total property occupancy was 74.4% with an average in-place rental rate of $42.60 per square foot (psf). By means of comparison, Q2 2024 Reis data reported an average rental rate and vacancy rate of $54.10 psf and 11.5%, respectively, for the Southwest submarket of Washington D.C. Net cash flow (NCF) remains depressed as of the June 2024 financials with an annualized figure of $11.7 million, reflecting a debt service coverage ratio (DSCR) of 2.14 times (x). The figure represents a 36.5% decline from the $18.4 million Morningstar DBRS NCF derived at issuance. As of the November 2024 remittance, there are $19.6 million in total reserves, of which $8.3 million is being held in tenant reserves. The collateral was reappraised in February 2023 for $237.0 million, a 23.3% decline from the issuance appraised value of $309.0 million but higher than the $130.0 million loan balance. The implied loan-to-value (LTV) ratio is 54.8% remains low, though higher than the 42.1% LTV at issuance. The second remaining loan, The Avenues (Prospectus ID#3, 43.5% of the pool), is secured by 599,030 sf of in line space within a 1.1 million sf regional mall in Jacksonville, Florida. The loan transferred to special servicing in November 2022 for imminent default as the borrower was unable to repay the outstanding loan prior to maturity in February 2023. A loan modification closed in April 2023, which included a maturity extension to February 2026 and the activation of a cash trap with excess funds held in a lockbox reserve. As of September 2024, the reserve balance was reported at $11.6 million, with an additional $3.9 million held in other reserves. The noncollateral anchors are Dillard's, Belk, and JCPenney. The collateral anchors include Forever 21 (19.4% of NRA, expiring January 2026) and a vacant former Sears box totaling 20.2% of NRA that closed in 2019. According to recent servicer commentary, Furniture Source is operating as a temporary tenant in the former Sears space. Morningstar DBRS has inquired with the servicer regarding current lease terms. The subject is considered inferior to the favored mall in the area, St. Johns Town Center, which shares common sponsorship with the subject in Simon Property Group. The collateral's occupancy rate as of the June 2024 rent roll was 65.6%, down from 91.3% at issuance. Given the low occupancy rate, the loan remains on the servicer's watchlist. According to the annualized June 2024 financials, the NCF was $13.3 million, reflecting a DSCR of 3.31x. The figure is 14.6% less than the Morningstar DBRS NCF of $16.0 million, primarily driven by increased competition and the departure of Sears in 2019. The collateral was reappraised for $166.0 million in April 2023, a 32.0% decline from the issuance appraised value of $244.0 million. The April 2023 value reflects an increased LTV of 66.0% when compared with the issuance LTV of 45.0%; however, the loan recently benefitted from an unscheduled $10.0 million principal curtailment in October 2024 disbursed from lockbox reserves, which reduced the loan balance to $100.0 million. In its analysis, Morningstar DBRS considered a range of values for both assets. For Federal Center Plaza, Morningstar DBRS used the annualized June 2024 annualized cash flow and applied various capitalization (cap) rates given the property type, current market conditions, location, the asset's declining occupancy rate, and single-tenant concentration. The cap rates ranged from 9.25% to 10.25%, resulting in implied LTVs between 103% and 114%. Morningstar DBRS also conducted a dark-value analysis to reflect the possibility that FEMA ultimately vacates, leaving the property almost completely empty. Morningstar DBRS' concluded dark value of $104.1 million assumed a market rental rate of $42.00 per sf and one year of down time, resulted in an implied LTV of 125.0%. Regarding The Avenues loan, Morningstar DBRS also used the June 2024 annualized NCF with cap rates ranging between 9.0% and 10.0%. The resulting implied LTVs ranged between 68.0% and 75.0%. As an additional stress, given Forever 21's scheduled lease expiration one month prior to the extended loan maturity as well as the declining in line occupancy rate and the loan's prior default, Morningstar DBRS applied a 50% haircut to the April 2023 appraised value of $166.0 million, resulting in an implied LTV of 121.0%. Using these stressed value estimates, Morningstar DBRS concluded there are likely to be sufficient funds to repay Class B through Class E, with any potential losses to be contained to Class F. Morningstar DBRS notes that given the pool concentration and prior default of the remaining loans, there is increased propensity of interest shortfalls to potential impact investment-grade rated bonds. Should the performance of the remaining assets stagnate and borrowers be unable to execute exit strategies, Morningstar DBRS' value estimates may be reduced with credit ratings subject to downgrade pressure. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2020-CX: DBRS Confirms BB Rating on Class E Certs ------------------------------------------------------ DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by COMM 2020-CX Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class HRR at BB (low) (sf) All trends are Stable The credit rating confirmations reflect the overall stable performance of the transaction, which has remained consistent since the previous Morningstar DBRS credit rating action in April 2024. The transaction, which is secured by the borrower's fee-simple interest in a nine-story, Class A office property in the Kendall Square submarket of Cambridge, Massachusetts, continues to exhibit strong performance metrics, with a YE2023 occupancy rate of 98.0% and debt service coverage ratio (DSCR) of 2.76 times (x). The building, constructed in 2019, is part of the master-planned Cambridge Crossing Development, which comprises 4.5 million square feet (sf) of mixed-use space, including 2.1 million sf of office/lab space, 4,900 residences (including 2,500 existing on-site units), and 100,000 sf of retail. The $435.0 million fixed-rate, interest-only whole loan, matures in November 2034; however, the anticipated repayment date occurs in November 2030. The whole loan includes $295.0 million of senior debt and $140.0 million of subordinate debt. The trust debt is comprised of $270.0 million of the senior debt and the entirety of the subordinate debt. The loan sponsor is a joint venture partnership between DivcoWest, an experienced developer in the Greater Boston Area, and the California State Teachers Retirement System, the nation's second-largest pension fund. According to the September 2024 rent roll, the property was 97.6% occupied, with about 95.0% of the NRA leased to the two largest tenants, Philips NV (80.0% of the net rentable area (NRA), lease expiry in November 2034) and Cerevel (15.0% of the NRA, lease expiry in February 2030). There is no near-term rollover risk as the earliest tenant lease expiration occurs in November 2029. The property benefits from long-term investment-grade tenancy from Philips NV, which also retains three five-year extension options in its lease. According to the most recently reported full-year servicer financials, the YE2023 NCF figure was relatively unchanged from the YE2022 figure; however, the YE2023 NCF represents a 9.0% increase over the Morningstar DBRS figure of $30.0 million derived at issuance. Morningstar DBRS notes the annualized trailing six-month (T-6) NCF for the period ended June 30, 2024, of $34.5 million (DSCR of 2.89x) represents a respective increase of nearly 5.0% and 15.0% over the YE2023 figure and the Morningstar DBRS NCF figure. The continued NCF improvement is because of scheduled tenant rental rate increases and that rental abatement periods have ended. Given the substantial improvement in NCF since closing and the expected cash flow increase from rental rate increases for in-place tenants, with this review Morningstar DBRS determined an updated Morningstar DBRS property valuation of $477.2 million, based on a 2.0% haircut to the YE2023 NCF figure, and a capitalization rate of 6.75%. The resulting Morningstar DBRS loan-to-value ratio (LTV) is 91.2% for the whole loan. Morningstar DBRS maintained aggregate positive qualitative adjustments of 8.5% to its LTV sizing benchmarks to reflect the property's cash flow stability, superior property quality, and desirable location. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2017-CX9: Fitch Lowers Rating on Three Tranches to 'B-sf' --------------------------------------------------------------- Fitch Ratings has downgraded 12 and affirmed four classes of CSAIL 2017-CX9 Commercial Mortgage Trust, commercial mortgage pass-through certificates, Series 2017-CX9. The downgraded classes were assigned a Negative Rating Outlook. Fitch has downgraded one and affirmed 12 classes of CSAIL 2018-CX11 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates Series, 2018-CX11. Class F-RR has been assigned a Negative Rating Outlook following the downgrade. In addition, Fitch has affirmed one class of 2018 CX11 III Trust horizontal risk retention pass-through certificate (MOA 2020-CX11 E Class E-RR). The Rating Outlooks for classes E-RR of CSAIL 2018-CX11 and MOA 2020-CX11 Class E-RR were revised to Negative from Stable. Fitch has also affirmed all classes of CSAIL 2018-CX12 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2018-CX12. The Rating Outlooks for classes F-RR and G-RR were revised to Negative from Stable. In addition, Fitch has affirmed one class of 2018 CX12 III Trust horizontal risk retention pass-through certificate (MOA 2020-CX12 E Class E-RR). Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2018-CX12 A-2 12595XAR4 LT AAAsf Affirmed AAAsf A-3 12595XAS2 LT AAAsf Affirmed AAAsf A-4 12595XAT0 LT AAAsf Affirmed AAAsf A-S 12595XAX1 LT AAAsf Affirmed AAAsf A-SB 12595XAU7 LT AAAsf Affirmed AAAsf B 12595XAY9 LT AA-sf Affirmed AA-sf C 12595XAZ6 LT A-sf Affirmed A-sf D 12595XAC7 LT BBB-sf Affirmed BBB-sf E-RR 12595XAE3 LT BBB-sf Affirmed BBB-sf F-RR 12595XAG8 LT BB-sf Affirmed BB-sf G-RR 12595XAJ2 LT B-sf Affirmed B-sf X-A 12595XAV5 LT AAAsf Affirmed AAAsf X-B 12595XAW3 LT AA-sf Affirmed AA-sf X-D 12595XAA1 LT BBB-sf Affirmed BBB-sf CSAIL 2018-CX11 A-4 12652UAT6 LT AAAsf Affirmed AAAsf A-5 12652UAU3 LT AAAsf Affirmed AAAsf A-S 12652UAY5 LT AAAsf Affirmed AAAsf A-SB 12652UAV1 LT AAAsf Affirmed AAAsf B 12652UAZ2 LT AA-sf Affirmed AA-sf C 12652UBA6 LT A-sf Affirmed A-sf D 12652UAC3 LT BBB-sf Affirmed BBB-sf E-RR 12652UAE9 LT BBB-sf Affirmed BBB-sf F-RR 12652UAG4 LT Bsf Downgrade BB-sf G-RR 12652UAJ8 LT CCCsf Affirmed CCCsf X-A 12652UAW9 LT AAAsf Affirmed AAAsf X-B 12652UAX7 LT AA-sf Affirmed AA-sf X-D 12652UAA7 LT BBB-sf Affirmed BBB-sf MOA 2020-CX11 E E-RR 90215KAA5 LT BBB-sf Affirmed BBB-sf MOA 2020-CX12 E E-RR 90216BAA4 LT BBB-sf Affirmed BBB-sf CSAIL 2017-CX9 A-4 12595FAD4 LT AAAsf Affirmed AAAsf A-5 12595FAE2 LT AAAsf Affirmed AAAsf A-S 12595FAJ1 LT AAsf Downgrade AAAsf A-SB 12595FAF9 LT AAAsf Affirmed AAAsf B 12595FAK8 LT A-sf Downgrade Asf C 12595FAL6 LT BBB-sf Downgrade BBBsf D 12595FAP7 LT BB-sf Downgrade BB+sf E 12595FAR3 LT B-sf Downgrade B+sf F 12595FAT9 LT CCCsf Affirmed CCCsf V1-A 12595FBB7 LT AAsf Downgrade AAAsf V1-B 12595FBC5 LT BBB-sf Downgrade BBBsf V1-D 12595FBD3 LT BB-sf Downgrade BB+sf V1-E 12595FBF8 LT B-sf Downgrade B+sf X-A 12595FAG7 LT AAsf Downgrade AAAsf X-B 12595FAH5 LT A-sf Downgrade Asf X-E 12595FAM4 LT B-sf Downgrade B+sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 8.3% in CSAIL 2017-CX9, 5.5% in CSAIL 2018-CX11 and 3.8% in CSAIL 2018-CX12, up from 4.8%, 4.9% and 3.3%, respectively, at Fitch's prior rating action. Fitch Loans of Concerns (FLOCs) comprise eight loans (55.7% of the pool) in CSAIL 2017-CX9, including two specially serviced loans (15.3%); seven loans (13.3% of the pool) in CSAIL 2018-CX11, including three specially serviced loans (6%); and five loans (25.1%) in CSAIL 2018-CX12, including one specially serviced loan (7.1%). The downgrades in CSAIL 2017-CX9 reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by the specially serviced Center 78 loan (7.2%) and office FLOCs, including 85 Broad Street (9.1%), Keystone 200 & 300 (3.5%) and Apex Fort Washington (3.1%). The Negative Outlooks reflect the significantly high office concentration in the pool of 70.3%, which includes one mixed-use loan (6.6%) with an office component, and the potential for further downgrades without performance stabilization of the aforementioned office FLOCs and/or valuations decline further on the specially serviced loans. The downgrade in CSAIL 2018-CX11 reflects higher pool loss expectations, primarily driven by the specially serviced office loans, including Penn Center West (2.6%), 600 Vine (2%) and 111 West Jackson Street (1.4%). The Negative Outlooks reflect the elevated office concentration in the pool of 30.7% and the potential for downgrades with further performance deterioration, value degradation and/or extended workout of the aforementioned specially serviced office loans. The affirmations in CSAIL 2018-CX12 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks reflect possible downgrades should recovery prospects worsen on the specially serviced Riverfront Plaza loan (7.1%). The Negative Outlooks also incorporate an additional sensitivity scenario on the Riverfront Plaza and Town Center Plaza (1.1%) office FLOCs that factored in their heightened probability of default due to lease rollover concerns and declining performance trends. Largest Increases in Loss Expectations: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in CSAIL 2017-CX9 is The Center 78 loan, which is secured by a 372,672-sf suburban office building in Warren, NJ. The loan transferred to special servicing in December 2023 due to imminent monetary default. Occupancy declined to 65% per the October 2024 rent roll from 87% at YE 2022 primarily due to the second-largest tenant, EMC Corporation (13.6% of NRA), vacating at its 2023 lease expiration. The current largest tenant is Haleon US Holdings LLC (39%; lease expires in February 2027); this tenant's lease expires prior to the August 2027 loan maturity. Net operating income (NOI) debt service coverage ratio (DSCR) was 0.96x as of September 2023, down from 1.31x at YE 2022. Per the special servicer, the appointment of a receiver has been approved. The loan's status has fluctuated historically between being current to 90+ days delinquent; the loan was reported as 30 days delinquent as of the November 2024 remittance. No updated appraisal value has been provided. Fitch's 'Bsf' rating case loss of 41.2% (prior to concentration adjustments) reflects a 10% cap rate to the annualized June 2024 NOI. The second largest increase in loss since the prior rating action in CSAIL 2017-CX9 is the 85 Broad Street loan, which is secured by a 1,118,512-sf office building in the Financial District near the New York Stock Exchange in Downtown Manhattan. The loan was flagged as a FLOC due to a decline in occupancy and exposure to WeWork. The two largest tenants are Viner Finance (Oppenheimer [24.6% of NRA; 32.9% of rent; lease expires in February 2028]) and WeWork (17.5% of NRA; 17.2% of rent; lease expires in August 2033. The June 2024 occupancy was 78.7%, which declined from 93% at YE 2020 largely due to WeWork reducing its space from 33% to 17.5% of the NRA. The servicer-reported NOI DSCR was 3.50x at YE 2023. Fitch's 'Bsf' rating case loss of 6.6% (prior to a concentration adjustment) is based on a 9% cap rate and 10% stress to the YE 2023 NOI. Additionally, two office properties, Keystone 200 & 300 (Durham, NC) and Apex Fort Washington (Fort Washington, PA), factor a higher probability of default in the 'Bsf' rating case to address concerns with declining occupancy and significant upcoming rollover risk. Fitch's 'Bsf' rating case loss on Keystone 200 & 300 is 10.8% (prior to a concentration adjustment), reflecting a 10.5% cap rate to the YE 2022 NOI. Fitch's 'Bsf' rating case loss on Apex Fort Washington is 13.6% (prior to a concentration adjustment), reflecting a 10% cap rate and 15% stress to the YE 2023 NOI. The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in CSAIL 2018-CX11 is Penn Center West, which is secured by a portfolio consisting of three suburban office buildings (Penn Center West 1, Penn Center West 6 and Penn Center West 8) totaling 213,894 sf located in Robinson, PA. The loan transferred to special servicing in November 2022 due to imminent maturity default prior to the original maturity date in February 2023. The borrower communicated to the special servicer that it would not fund additional equity for an extension of the maturity date. As of April 2023, the receiver has taken possession of the portfolio and continues to operate the property. Portfolio performance has declined since the pandemic. Occupancy declined to 65.7% as of December 2023 from 72% as of October 2022, 77% as of December 2021, and 90% as of December 2020. Fitch's 'Bsf' rating case loss of 57% (prior to a concentration adjustment) is based on a discount to the most recent appraised value, reflecting a stressed value of $29 psf. The second-largest increase in loss since the prior rating action in CSAIL 2018-CX11 is 111 West Jackson, which is secured by a 574,878-sf office building located in Chicago, IL. The loan transferred to special servicing in May 2023 for imminent monetary default. A receiver was appointed in February 2024 and continues to operate and lease the property. As of February 2024, the property was 55% occupied. Fitch's 'Bsf' rating case loss of 25.5% (prior to a concentration adjustment) is based on a discount to the most recent appraised value, reflecting a stressed value of $60 psf. The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in CSAIL 2018-CX12 is Riverfront Plaza, which is secured by a 951,897-sf two tower office property located in Richmond, VA, that was built in 1990 and last renovated in 2017. The loan transferred to special servicing in January 2024 due to failure to comply with excess cash requirements. The borrower continues to work with the special servicer on a reinstatement of the loan. Occupancy declined slightly to 82% as of June 2024 from 83% at December 2023, 84% at December 2022, 85% at December 2021 and 87% at December 2020. The property has significant rollover in 2025 with the two largest tenants Hunton Andrews Kurth (25.1% of NRA; 25.6% of base rent) and Truist Bank (14.9%, 14.1%) having lease expirations in June and August 2025, respectively. NOI DSCR was steady at 1.64x at YE 2023, 1.63x at YE 2022, and 1.65x at YE 2021. Fitch's 'Bsf' rating case loss of 11% (prior to a concentration adjustment) is based on a 10% cap rate and 35% stress to the YE 2023 NOI. Fitch ran an additional sensitivity scenario that assumed an increased probability of default on the loan, which contributed to the Negative Outlooks assigned to classes F-RR and G-RR. Change in Credit Enhancement (CE): As of the November 2024 remittance report, CSAIL 2017-CX9 has been reduced by 42.2% since issuance. Three loans (8.6%) have been defeased. Interest shortfalls of approximately $881,000 are impacting non-rated class NR. As of the November 2024 remittance report, CSAIL 2018-CX11 was reduced by 18% since issuance. Eight loans (7.7%) have been defeased. Interest shortfalls of approximately $802,000 are impacting non-rated class NR-RR. As of the November 2024 remittance report, CSAIL 2018-CX12 was reduced by 12.7% since issuance. Three loans (4.2%) were defeased. Interest shortfalls of approximately $54,800 are impacting non-rated class NR-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due high CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes, are possible with prolonged workouts of the specially serviced assets, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to the 'AAsf' and 'Asf' rated categories could occur should performance of the FLOCs and specially serviced loans deteriorate further, notably Center 78, 85 Broad Street and 300 Montgomery in CSAIL 2017-CX9, Penn Center West, 600 Vine, and 111 West Jackson in CSAIL 2018-CX11, and Riverfront Plaza in CSAIL 2018-CX12, or if more loans than expected default at or prior to maturity; - Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs. This includes Center 78, 85 Broad Street and 300 Montgomery in CSAIL 2017-CX9, Penn Center West, 600 Vine, and 111 West Jackson in CSAIL 2018-CX11, and Riverfront Plaza in CSAIL 2018-CX12; - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the distressed 'CCCsf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans or improved performance 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. DIAMETER CREDIT I: Moody's Ups Rating on $28.425MM E Notes From Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding I, Ltd.: US$12,900,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Aa1 (sf); previously on June 18, 2024 Upgraded to Aa2 (sf) US$28,425,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Baa3 (sf); previously on June 18, 2024 Upgraded to Ba1 (sf) Diameter Credit Funding I, Ltd., originally issued in May 2019 and partially refinanced in July 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period ended in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of sustained par coverage, high net interest income, and 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 $278.5 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 20% 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 end of the deal's reinvestment period in July 2024, 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 2799 compared to its current covenant level of 3400, a WAC of 6.07% compared to its current covenant level of 5.55%, and a diversity of 48 compared to its current covenant level of 45. No actions were taken on the Class A, Class B and Class C notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $278,277,098 Defaulted par: $483,708 Diversity Score: 48 Weighted Average Rating Factor (WARF): 2799 Weighted Average Spread (WAS) (before accounting for reference rate floors): 5.09% Weighted Average Coupon (WAC): 6.07% Weighted Average Recovery Rate (WARR): 33.29% Weighted Average Life (WAL): 5.58 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 121: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Dryden 121 CLO Ltd./Dryden 121 CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PGIM Inc. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Dryden 121 CLO Ltd./Dryden 121 CLO LLC Class A-1, $369.00 million: AAA (sf) Class A-2, $33.00 million: Not rated Class B, $54.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D-1 (deferrable), $36.00 million: BBB- (sf) Class D-2 (deferrable), $6.00 million: BBB- (sf) Class E (deferrable), $18.00 million: BB- (sf) Subordinated notes, $53.34 million: Not rated DRYDEN 43: S&P Affirms 'BB- (sf)' Rating on Class E-R3 Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R3, B-1-R3, and C-R3 replacement debt from Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC, a CLO managed by PGIM Inc. that was originally issued in December 2016 and underwent a second refinancing in April 2021. At the same time, S&P withdrew its ratings on the class A-R2, B-1-2R, and C-R2 debt following payment in full on the Dec. 20, 2024, refinancing date. S&P also affirmed our ratings on the class B-2-R2, D-R3, and E-R3 debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period for the replacement debt was set to Dec. 20, 2025. Replacement And April 2021 Debt Issuances Replacement debt -- Class A-R3, $416.70 million: Three-month CME term SOFR + 1.07% -- Class B-1-R3, $58.10 million: Three-month CME term SOFR + 1.50% -- Class C-R3, $39.10 million: Three-month CME term SOFR + 1.75% Refinanced April 2021 debt -- Class A-R2, $416.70 million: Three-month CME term SOFR + 1.30161% -- Class B-1-R2, $58.10 million: Three-month CME term SOFR + 1.86161% -- Class C-R2, $39.10 million: Three-month CME term SOFR + 2.06161% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC Class A-R3, $416.70 million: AAA (sf) Class B-1-R3, $58.10 million: AA (sf) Class C-R3, $39.10 million: A (sf) Ratings Withdrawn Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC Class A-R2 to NR from 'AAA (sf)' Class B-1-R2 to NR from 'AA (sf)' Class C-R2 to NR from 'A (sf)' Ratings Affirmed Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC Class B-2-R2: 'AA (sf)' Class D-R3: 'BBB- (sf)' Class E-R3: 'BB- (sf)' Other Debt Dryden 43 Senior Loan Fund/Dryden 43 Senior Loan Fund LLC Subordinated notes, $79.20 million: NR NR--Not rated. DRYDEN 93: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 93 CLO, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Dryden 93 CLO, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating X-R LT AAAsf New Rating Transaction Summary Dryden 93 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by PGIM, Inc. that originally closed in November 2021. 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 21.98, 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 94.64% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.05% versus a minimum covenant, in accordance with the initial expected matrix point of 73.58%. Portfolio Composition (Positive): The largest three industries may comprise up to 50% 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 a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Dryden 93 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. EFMT 2024-CES1: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to EFMT 2024-CES1. EFMT 2024-CES1 utilizes Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2024-CES1 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 R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The EFMT 2024-CES1 residential mortgage-backed certificates are backed by 100% closed-end second-lien (CES) loans on residential properties. This is the first transaction to be rated by Fitch that includes 100% CES loans off the EFMT shelf. The pool consists of 2,427 non-seasoned, performing, CES loans with a current outstanding balance (as of the cutoff date) of $199.35 million. One hundred percent of the pool is originated and serviced by PennyMac Loan Services (PennyMac). Distributions of interest and principal are based on a sequential structure, while losses are allocated reverse sequentially, starting with the most subordinate class. The servicer, PennyMac, will not be advancing delinquent monthly payments of principal and interest (P&I). The collateral comprises 100% fixed-rate loans. Class A-1, A-2, and A-3 certificates with respect to any distribution date prior to the distribution date in January 2029 will have an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net weighted average coupon (WAC) for such distribution date. On and after January 2029, the pass-through rate will be a per annum rate equal to the lesser of (i) the sum of (a) the applicable fixed rate set forth in the table above for such class of certificates and (b) the step-up rate (1.0%), and (ii) the net WAC rate for the related distribution date. The pass-through rate on class M-1, B-1, B-2 and B-3 certificates with respect to any distribution date and the related accrual period will be an annual rate equal to the lower of (i) the applicable fixed rate set forth for such class of certificates and (ii) the net WAC for such distribution date. After the presale was published, Fitch received an updated loan tape that reflected dropped loans and updated balances and paystrings to reflect the most recent payment date. Fitch updated it loss analysis to reflect the changes to the collateral and reflected the updated collateral attributes in Key Rating Drive #2. The changes were not material and did not impact Fitch's given losses. An updated structure was also provided after the pricing date that reflected the post-pricing coupons. The revised structure had the same credit enhancements as indicated in Fitch's presale, which resulted in Fitch assigning the same final ratings as the expected ratings previously assigned. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 11.4% above a long-term sustainable level (vs. 11.6% on a national level as of 2Q24, up 0.1% since the prior quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 4.3% yoy nationally as of August 2024, despite modest regional declines, but are still being supported by limited inventory. High-Quality Prime Mortgage Pool (Positive): The pool consists of 2,427 performing, fixed-rate loans secured by CES on primarily one- to four-family residential properties (including planned unit developments [PUDs]), townhouses and condominiums totaling $199.35 million. The loans were made to borrowers with strong credit profiles and relatively low leverage. The loans are seasoned at an average of six months, according to Fitch, and five months, per the transaction documents. The pool has a weighted average (WA) original FICO score of 744, as determined by Fitch, indicative of very high credit-quality borrowers. About 43.5% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. The original WA combined loan-to-value ratio (CLTV) of 67.9%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 76.7%. The transaction documents stated a WA original LTV of 18.8% and a WA CLTV of 66.4%. The LTVs represent moderate borrower equity in the property and reduced default risk, compared with a borrower CLTV of over 80%. Of the pool loans, 92.1% were originated by a retail channel with the remaining 7.9% originated by a broker channel. Based on its documentation review, Fitch considers 94.8% of the loans to be fully documented. Of the pool, 100.0% of the loans are owner occupied. Single-family homes, PUDs, townhouses and single-family attached dwellings constitute 97.5% of the pool; condominiums make up 2.5%. Cashout refinances loans make up 100% of the pool, which is consistent with other CES transactions. None of the loans in the pool have a current balance that is over $1.0 million. Of the pool of loans, 18.0% are concentrated in California. The largest MSA concentration is the Los Angeles MSA (5.4%), followed by the Washington, D.C. MSA (5.2%) and the Atlanta MSA (4.3%). The top three MSAs account for 14.8% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. As a majority of the loans are fully documented with high FICOs, Fitch's prime loan loss model was used for the analysis of this pool. Second Lien Collateral (Negative): The entirety of the collateral pool consists of CES loans originated by PennyMac. Fitch assumed no recovery and 100% loss severity (LS) on second lien loans, based on the historical behavior of the loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Structure with No Advancing of Delinquent P&I (Mixed): The proposed structure is a sequential structure in which principal is distributed first, to the A-1 class, then sequentially to the A-2, A-3, M-1, B-1, B-2 and B-3 classes. Interest is prioritized in the principal waterfall and any unpaid interest amounts are paid prior to principal being paid. The transaction has monthly excess cash flow that is used to repay any realized losses incurred, and then unpaid cap carryover interest shortfalls. A realized loss will occur if after giving effect to the allocation of the principal remittance amount and monthly excess cash flow on any distribution date, the aggregate the collateral balance is less than the aggregate outstanding balance of the outstanding classes. Realized losses will be allocated reverse sequentially, with the losses being allocated first to class B-3. The transaction will have subordination and excess spread, providing credit enhancement (CE) and protection from losses. 180-Day Chargeoff Feature/Best Execution (Positive): With respect to any mortgage loan that becomes 180 days MBA delinquent, the servicer will review, and may charge-off, the mortgage loan with the approval of the controlling holder (based on an equity analysis review performed by the servicer) if the review indicates no significant recovery is likely in respect of such mortgage loan. The servicer is conducting an equity analysis to determine the best execution strategy for the liquidation of severely delinquent loans. Fitch views this as a positive rating consideration because the servicer and controlling holder are acting in the best interest of the certificate holders to limit losses on the transaction. If the controlling holder decides to write off the losses at 180 days, it compares favorably to a delayed liquidation scenario, whereby the loss occurs later in the life of the transaction and less excess is available. In its cash flow analysis, Fitch assumed the loans would be written off at 180 days, as this is the most likely scenario in a stressed case when there is limited equity in the home. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.4%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to a positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch reduced the overall 'AAAsf' expected loss by 0.72%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Consolidated Analytics was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FLAGSTAR MORTGAGE 2021-10INV: Moody's Ups B-5 Certs Rating to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 48 bonds from five US residential mortgage-backed transactions (RMBS), backed by GSE eligible first-lien investment property mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2020-1INV Cl. B-4, Upgraded to Aa2 (sf); previously on Feb 14, 2024 Upgraded to A1 (sf) Cl. B-5, Upgraded to A1 (sf); previously on Feb 14, 2024 Upgraded to Baa1 (sf) Issuer: Flagstar Mortgage Trust 2021-10INV Cl. A-17, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-18*, Upgraded to Aaa (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Sep 30, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 30, 2021 Definitive Rating Assigned B2 (sf) Issuer: Flagstar Mortgage Trust 2021-11INV Cl. A-16, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-17, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-18, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. A-X-18*, Upgraded to Aaa (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Oct 28, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 28, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Oct 28, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Oct 28, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Oct 28, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Oct 28, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Oct 28, 2021 Definitive Rating Assigned B2 (sf) Issuer: Flagstar Mortgage Trust 2021-13INV Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Nov 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Nov 30, 2021 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 30, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 30, 2021 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Nov 30, 2021 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 30, 2021 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 30, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Nov 30, 2021 Definitive Rating Assigned B2 (sf) Issuer: Flagstar Mortgage Trust 2021-9INV Cl. B-1, Upgraded to Aaa (sf); previously on Apr 14, 2023 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Apr 14, 2023 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Apr 14, 2023 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aaa (sf); previously on Feb 14, 2024 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aaa (sf); previously on Feb 14, 2024 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aaa (sf); previously on Feb 14, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Feb 14, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Sep 24, 2021 Definitive Rating Assigned Ba2 (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. Each of the transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses at or near zero for each transaction and a small number of loans in delinquency. In addition, 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, 33% 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. FMBT TRUST 2024-FBLU: DBRS Gives Prov. B(low) Rating on G Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-FBLU (the Certificates) to be issued by FMBT Trust 2024-FBLU: -- Class A at (P) AAA (sf) -- Class B at (P) AA (high) (sf) -- Class C at (P) AA (sf) -- Class D at (P) A (low) (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class G at (P) B (low) (sf) All trends are Stable. The FBMT 2024-FBLU transaction is secured by the fee-simple and leasehold interests of five special purpose entities (collectively, the "Borrowers) in, among other things, a portion of the Fontainebleau Miami Beach Resort, a 1,594-key, full-service resort. Of the 1,594 keys, 846 keys are hotel guest rooms located in two towers, the Chateau and the Versailles. The remaining keys for the subject, located in the Trésor and Sorrento towers, are condominiums that are third-party owned but participate in the hotel revenue-sharing program further detailed in the presale report on this transaction. The historical participation rate for the condominium program has averaged 84.9% since 2011. The 15.5-acre resort is opportunely situated in the mid-beach area of Miami Beach, Florida. The resort provides a host of amenities for hotel guests and non-guests alike, which Morningstar DBRS views positively, in addition to its strong historical performance, property quality, and experienced and dedicated sponsor. Since 2005, the property has undergone approximately $1.1 billion in capital improvements including a comprehensive renovation of the entire property in 2008 for a total cost of $571.8 million. Since 2019 the property has spent approximately $232 million on capital improvements which includes the development costs for the convention center. Additionally, three of the four towers have had their guest rooms renovated over the last five years with the remaining tower, the Versailles, scheduled to undergo a $15.4 million renovation beginning in 2025, with $6.3 million spent in 2024 for materials. In total, approximately $38.0 million in planned capital improvements are scheduled to be completed between 2025 and 2027. The borrower sponsor for this transaction is Jeffrey Soffer, who runs Fontainebleau Development, a real estate development and hospitality group with a portfolio based on the premise of designing, owning, marketing, and operating its assets throughout the entire development of each project. The portfolio of hospitality assets includes the JW Turnberry Marriott, Hilton Nashville Downtown, and the Fontainebleau Las Vegas. Fontainebleau Development is led by Jeffrey Soffer, the loan guarantor, chairman, and chief executive officer, who has been investing in real estate for over 25 years, helping to expand the company from a regional leader to a nationally recognized organization. The resort is self-managed by the borrower. Notes: All figures are in U.S. dollars unless otherwise noted. FORTRESS CREDIT XXVI: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Fortress Credit BSL XXVI Ltd./Fortress Credit BSL XXVI LLC Class A, $202.00 million: NR Class A-L loans, $50.00 million: NR Class A-L, $0: NR 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: NR NR--Not rated. GALAXY 30: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt and the new class X-R debt from Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC, a CLO originally issued in March 2022 that is managed by PineBridge Investments LLC. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2 C, D, and E debt following payment in full on the Dec. 17, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The stated maturity was extended to Jan. 15, 2038. -- The reinvestment period was extended to Jan. 15, 2030, and the non-call period was extended to Dec. 17, 2026. -- Class X-R debt was issued in connection with this refinancing. This debt will be paid down using interest proceeds during the first eight payment dates beginning with the payment date in April 2025. -- No additional subordinated notes were issued on the refinancing date. -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt was issued at a lower spread over three-month term SOFR than the March 2022 debt. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the assigned ratings. "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 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) Ratings Withdrawn Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC Subordinated notes, $36.00 million: NR NR--Not rated. GALAXY CLO XX: Moody's Ups Rating on $31.2MM Cl. E-R Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Galaxy XX CLO, Ltd.: US$27M Class C-R Deferrable Mezzanine Floating Rate Notes, Upgraded to Aaa (sf); previously on Mar 1, 2024 Upgraded to Aa1 (sf) US$18.9M Class D-1-R Deferrable Mezzanine Floating Rate Notes, Upgraded to A1 (sf); previously on Mar 1, 2024 Upgraded to Baa1 (sf) US$18.9M Class D-2-R Deferrable Mezzanine Floating Rate Notes, Upgraded to A1 (sf); previously on Mar 1, 2024 Upgraded to Baa1 (sf) US$31.2M Class E-R Deferrable Junior Floating Rate Notes, Upgraded to Ba2 (sf); previously on Mar 14, 2018 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$361.6M (Current outstanding amount US$129,469,329) Class A-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 14, 2018 Assigned Aaa (sf) US$62.2M Class B-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 31, 2023 Upgraded to Aaa (sf) Galaxy XX CLO, Ltd., issued in June 2015 and refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Pinebridge Investments LLC. The transaction's reinvestment period ended in March 2023. RATINGS RATIONALE The rating upgrades on the Class C-R, Class D-1-R, Class D-2-R and Class E-R notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in March 2024. The Class A-R notes have paid down by approximately USD175.2 million (48.4% of original balance) since the last rating action in March 2024 and USD232.1 million (64.2%) 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 164.2%, 143.9%, 122.7% and 109.4% compared to February 2024 [2] levels of 135.6%, 126.3%, 115.3% and 107.5%, respectively. The affirmations on the ratings on the Class A-R and Class B-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: USD316.4 million Defaulted Securities: USD0.5 million Diversity Score: 58 Weighted Average Rating Factor (WARF): 2952 Weighted Average Life (WAL): 3.31 years Weighted Average Spread (WAS): 3.01% Weighted Average Recovery Rate (WARR): 47.40% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability 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. GOLDENTREE LOAN 23: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 23, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 23, Ltd. X LT NRsf New Rating A LT NRsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary GoldenTree Loan Management US CLO 23, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.8% versus a minimum covenant, in accordance with the initial expected matrix point of 71.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-J, 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, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'BBsf' for class E, and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, 'Asf' for class D-J, 'BBB+sf' for class E, and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 GoldenTree Loan Management US CLO 23 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. GS MORTGAGE 2010-C1: DBRS Confirms C Rating on Class D Certs ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2010-C1 issued by GS Mortgage Securities Trust, 2010-C1 as follows: -- Class B at AAA (sf) -- Class C at A (high) (sf) -- Class D at C (sf) The trends on Classes B and C are Stable. Class D is assigned a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the stable performance outlook and recoverability expectations for the two remaining loans in the transaction, Mall at Johnson City (Prospectus ID#6, 54.4% of current pool balance) and Grand Central Mall (Prospectus ID#7, 45.6% of the current pool balance). Both loans are secured by regional malls located in secondary markets and are owned and operated by Washington Prime Group, a real estate investment trust that invests primarily in retail properties. Both properties were reappraised in 2019 and 2020, with values that were below issuance figures but still above the outstanding loan amounts. Morningstar DBRS analyzed the recoverability prospects for both loans by applying stressed cap rates to the YE2023 net cash flows (NCF), the results of which suggested that the two most senior rated certificates in the pool are generally well protected against loss. The transaction benefits from $37.6 million of cushion below Class C and cumulative loan level reserves totaling $19.5 million as of the November 2024 reporting, further supporting the credit rating confirmations and Stable trends. The Mall at Johnson City is a regional mall in Johnson City, Tennessee, approximately 120 miles from Knoxville. The loan was modified in December 2019 and received a maturity extension with two one-year extension options, with a final maturity date in May 2025. The property was 96.8% occupied as of September 2024, with tenants representing 8.2% of the net rentable area (NRA) scheduled to roll in the next 12 months. Anchor tenants include JCPenney, Belk Home Store, Belk for Her, and Dick's Sporting Goods, collectively comprising 52.3% of NRA. According to the YE2023 financial reporting, the property generated $6.0 million of NCF, reflecting a debt service coverage ratio (DSCR) of 1.84 times (x), down slightly from the prior year and the Morningstar DBRS figure at issuance of $6.3 million and $6.4 million, respectively. In its analysis for this review, Morningstar DBRS derived an updated value of $37.9 million by applying a stressed cap rate of 16.0% to the YE2023 NCF. The resulting implied loss of $2.4 million would be contained to Class D, which is currently rated C (sf). The Grand Central Mall is a regional mall in Vienna, West Virginia, along the Ohio-West Virginia border. The loan was modified in 2020 and received a maturity extension with two additional one-year extension options, with a final maturity date in July 2025. Per the September 2024 rent roll, the property was 97.1% occupied, with minimal tenant rollover in the next 12 months. The three largest tenants are JCPenney, Belk, and Dunham's Sports, collectively comprising 37.8% of NRA. According to the YE2023 financial reporting, the property generated $6.8 million of NCF, reflecting a DSCR of 2.11x, higher than the prior year and the Morningstar DBRS figure at issuance of $6.7 million and $5.5 million, respectively. In its analysis for this review, Morningstar DBRS derived an updated value of $43.0 million by applying a stressed cap rate of 16.0% to the YE2023 NCF, representing a current loan-to-value ratio of 78.5%. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2013-GC10: DBRS Confirms C Rating on Class F Certs -------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GC10 issued by GS Mortgage Securities Trust 2013-GC10 as follows: -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at CCC (sf) -- Class F at C (sf) The trends on Classes C and D are Stable. There are no trends on Classes E and F, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The transaction is in wind down, with only three loans remaining. Two of the three assets, One Technology Plaza (Prospectus ID#13, 9.5% of the current pool balance) and 701 Technology Drive (Prospectus ID#15, 9.7% of the current pool balance), are real estate owned and have experienced significant declines in property value since issuance. The largest loan remaining, Empire Hotel & Retail (Prospectus ID#1, 80.8% of the current pool balance) is secured by a full-service hotel and ground-floor retail space in New York with an upcoming scheduled maturity date in January 2025. While the loan continues to perform in line with the terms of its 2022 modification, Morningstar DBRS' analysis considered liquidation scenarios for all three remaining loans to determine the recoverability of the remaining bonds. Morningstar DBRS determined that Classes C and D remain insulated from losses. However, Morningstar DBRS remains concerned with the ability of Empire Hotel & Retail to refinance ahead of its maturity date. A default of this loan would extend the recoverability timeline for the outstanding bonds and increase the propensity for interest shortfalls. The Empire Hotel & Retail loan was modified in June 2022, and terms of the modification included a principal paydown of 5.0%, a maturity extension through January 2025, a conversion to interest-only (IO) payments for the remainder of the term, and a period of reduced interest, which expired in December 2023. Half of the past due interest was repaid at the closing of the loan modification and the remaining is to be repaid at loan maturity; the balance is fully guaranteed by the guarantor. Although cash flow has improved over the past few years, the asset continues to underperform its competitive set, according to the most recent STR reports. Moreover, the most recent appraised value of $165.0 million, dated June 2022, represents a 58.0% decline from the issuance appraised value and implies a current loan-to-value ratio (LTV) of 98.5%. Offsetting some of these concerns are the continued stabilization efforts and the loan's significant reserve balance. As part of the modification, all excess cash was required to be swept into a reserve account, which reported a balance of $26.6 million as of the November 2024 reserve report, with a total of $36.1 million held across all reserves. Though the debt service coverage ratio remains below issuance levels and the high LTV based on the July 2022 appraisal is indicative of increased credit risk since issuance, Morningstar DBRS notes the improving performance, significant cash reserves, and the borrower's compliance with the terms of the loan modification thus far as mitigants. Based on a liquidation scenario that considered a conservative haircut to the 2022 appraisal, Morningstar DBRS expects any losses associated with this loan will be contained to the non-investment-grade bonds. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2021-GSA3: Fitch Lowers Rating on G-RR Certs to CCCsf ----------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 14 classes of GS Mortgage Securities Trust 2021-GSA3 (GSMS 2021-GSA3). Fitch has also assigned Negative Outlooks to two classes following their downgrades. In addition, the Rating Outlooks were revised to Negative from Stable for two of the affirmed classes. Fitch has affirmed 14 classes of GS Mortgage Securities Trust 2019-GSA1 (GSMS 2019-GSA1). The Rating Outlooks were revised to Negative from Stable for four of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- Goldman Sachs Mortgage Securities Trust 2019-GSA1 A-2 36261PAR3 LT AAAsf Affirmed AAAsf A-3 36261PAS1 LT AAAsf Affirmed AAAsf A-4 36261PAT9 LT AAAsf Affirmed AAAsf A-AB 36261PAU6 LT AAAsf Affirmed AAAsf A-S 36261PAX0 LT AAAsf Affirmed AAAsf B 36261PAY8 LT AA-sf Affirmed AA-sf C 36261PAZ5 LT A-sf Affirmed A-sf D 36261PAA0 LT BBBsf Affirmed BBBsf E 36261PAE2 LT BBB-sf Affirmed BBB-sf F-RR 36261PAG7 LT BB-sf Affirmed BB-sf G-RR 36261PAJ1 LT B-sf Affirmed B-sf X-A 36261PAV4 LT AAAsf Affirmed AAAsf X-B 36261PAW2 LT AA-sf Affirmed AA-sf X-D 36261PAC6 LT BBB-sf Affirmed BBB-sf GSMS 2021-GSA3 A-1 36263UAJ8 LT AAAsf Affirmed AAAsf A-2 36263UAK5 LT AAAsf Affirmed AAAsf A-3 36263UAL3 LT AAAsf Affirmed AAAsf A-4 36263UAM1 LT AAAsf Affirmed AAAsf A-5 36263UAN9 LT AAAsf Affirmed AAAsf A-AB 36263UAP4 LT AAAsf Affirmed AAAsf A-S 36263UAS8 LT AAAsf Affirmed AAAsf B 36263UAT6 LT AA-sf Affirmed AA-sf C 36263UAU3 LT A-sf Affirmed A-sf D 36263UAC3 LT BBBsf Affirmed BBBsf E 36263UAD1 LT BBB-sf Affirmed BBB-sf F 36263UAE9 LT B-sf Downgrade BB-sf G-RR 36263UAF6 LT CCCsf Downgrade B-sf X-A 36263UAQ2 LT AAAsf Affirmed AAAsf X-B 36263UAR0 LT A-sf Affirmed A-sf X-D 36263UAA7 LT BBB-sf Affirmed BBB-sf X-F 36263UAB5 LT B-sf Downgrade BB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; GSMS 2021-GSA3: Deal-level 'Bsf' rating case loss is 5.9% in GSMS 2021-GSA3, up from 5.3% at Fitch's prior rating action. Two loans are classified as Fitch Loans of Concern (FLOCs; 3.3% of the pool), including one REO asset (1.1%). The downgrades reflect higher pool loss expectations, driven primarily by the performance deterioration, increased loan exposure and a lower updated appraisal value for the REO San Diego Mixed Use asset (1.1%). The Negative Outlooks in GSMS 2021-GSA3 reflect possible downgrades with further value degradation, a prolonged workout and/or increased exposure on the REO San Diego Mixed Use asset. Additionally, the Negative Outlooks incorporate an additional sensitivity scenario on the 3101 West Military industrial FLOC (2.2%) that considers its heightened probability of default due to significant near-term rollover prior to the end of 2026. The pool also has an elevated office concentration of 25.5%. GSMS 2019-GSA1: The affirmations in GSMS 2019-GSA1 reflect generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss is 4.0% in GSMS 2019-GSA1, unchanged from the prior rating action. There are five FLOCs (14.2%). No loans are in special servicing. The Negative Outlooks in GSMS 2019-GSA1 incorporate an additional sensitivity scenario on the Washington Avenue Portfolio (3.1%) and 106 Apple Street (1.4%) FLOCs that considers their heightened probability of default due to declining performance trends and/or upcoming rollover concerns. Downgrades are likely without performance stabilization of these loans. The pool also has an office concentration of 17%. FLOCs: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in GSMS 2021-GSA3 is the San Diego Mixed Use asset, a portfolio consisting of one multifamily and one retail property in San Diego, CA. The loan transferred to special servicing in June 2022 for imminent monetary default due to a notice issued by the City of San Diego. The notice issued by the city resulted in many of the single room occupancy (SRO) tenants vacating. The servicer-reported YE 2023 NOI DSCR was negative at -1.05x and the latest reported occupancy of 59% is well below the 97% at issuance. The borrower filed for bankruptcy, but the court dismissed it and the special servicer was successful in appointing a receiver. The receiver completed an eviction of all SRO tenants due to the unsafe condition of the property and in accordance with the City of San Diego's order to vacate. The property was placed under a sale contract by the receiver which contemplated an assumption of the loan to the third-party buyer; however, the buyer terminated the contract. A foreclosure sale occurred in August 2024. The special servicing is marketing the REO asset for sale and multiple purchase offers have been made, with a potential closing of the sale by year-end. Fitch's 'Bsf' rating case loss of 89% (prior to concentration add-ons) reflects a discount to the most recent April 2024 appraisal value, which has declined 57% from the appraisal value at issuance, and factors the significantly higher loan exposure. The second largest increase in loss since the prior rating action in GSMS 2021-GSA3 is the 3101 West Military loan, which is secured by an industrial property located in McAllen, TX. This FLOC was flagged for upcoming rollover which includes 31.2% of the NRA in 2025 and 68.8% of the NRA in 2026 amongst the four in-place tenants. According to the September 2024 rent roll, occupancy was 100%, unchanged since issuance. Tenants include Woodcrafters (32.7% NRA; lease expiry in December 2025, with two, three-year renewal options remaining), Emerson (31.2%; January 2025, with two, three-year renewal options remaining), Hutchinson FTS (26.5%; January 2026) and Outwest Express (9.6%; August 2026). According to the servicer, the borrower has noted that Emerson has agreed to a short-term, six-month lease extension. Both Emerson and Woodcrafters have been in place at the property since March 2014. The servicer-reported June 2024 NOI DSCR was 2.28x, compared with 1.93x at YE 2023 and 1.96x at YE 2022. Fitch's 'Bsf' rating case loss of 12.7% (prior to concentration add-ons) reflects a 9.5% cap rate, 25% stress to the YE 2023 NOI, and a 50% probability of default to account for the upcoming rollover risk. Fitch also ran an additional sensitivity scenario which assumes a 100% probability of default on the loan to account potential refinance risk should cash flow deteriorate from tenant rollover, where the loan-level 'Bsf' sensitivity case loss increases to 25.4% (prior to concentration add-ons). The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in GSMS 2019-GSA1 is the Washington Avenue Portfolio loan, which is secured by a mixed-use and industrial portfolio in Houston, TX. This FLOC was flagged due to declining occupancy and cashflow, weak sponsorship and concentration of month-to-month and near-term rolling leases. According to the March 2024 rent roll, occupancy was 89.2%, down from 93% at YE 2023 and 100% at issuance. The largest tenants include The White Collection (sponsor-affiliated; 45.0% NRA; October 2035), Urban Living (9.2%; September 2035) and the Sporting Club (4.8%; January 2028). Online searches indicate The White Collection space is being marketed for lease. A leasing update was requested from the servicer, but not provided. The servicer-reported YE 2023 NOI DSCR was 1.37x, down from the September 2022 NOI DSCR of 3.59x. According to the servicer, the cashflow declines have been attributed to loss of revenue associated from the borrower no longer renting out parking lot space to food trucks. Fitch's 'Bsf' rating case loss of 19.9% (prior to concentration add-ons) reflects a 9.25% cap rate and a 7.5% stress to the YE 2023 NOI. Fitch also ran an additional sensitivity scenario which assumes a 100% probability of default, where the loan-level 'Bsf' sensitivity case loss increases to 35.8% (prior to concentration add-ons). Another FLOC in GSMS 2019-GSA1 is the 106 Apple Street loan, which is secured by a suburban office in Tinton Falls, NJ. This FLOC was flagged for significant near-term lease rollover concerns and declining occupancy since issuance. As of the most recent available rent roll provided by the servicer for YE 2023, 34% of the NRA rolls in 2024, 9% in 2025 and 17% in 2026. Leasing updates were requested, but not provided. Occupancy was 85% as of the YE 2023 rent roll, down from 86% at YE 2022, 88% at YE 2021 and 90% at YE 2020. The servicer-reported September 2023 NOI DSCR was 2.30x, compared with 2.65x at YE 2022 and 3.11x at YE 2021. Fitch's 'Bsf' rating case loss of 4.1% (prior to concentration add-ons) reflects a 9.0% cap rate and a 10% stress to the September 2023 NOI. Fitch also ran an additional sensitivity scenario which assumes a 100% probability of default, where the loan-level 'Bsf' sensitivity case loss increases to 23.6% (prior to concentration add-ons). Minimal Changes in Credit Enhancement (CE): As of the November 2024 distribution date, the pool's aggregate balance for GSMS 2021-GSA3 has been paid down by 0.7% to $620.8 million from $625.1 million at issuance. There are no defeased loans in the pool. As of the November 2024 distribution date, the pool's aggregate balance for GSMS 2019-GSA1 has been paid down by 3.9% to $830.7 million from $864.2 million at issuance. Two loans (3.1%) have been defeased. Investment-Grade Credit Opinion Loan at issuance: The Grand Canal Shoppes loan (3.0%) continues to exhibit investment-grade credit characteristics. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected increase in CE from continued paydowns through amortization and loan repayments, but may happen if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to the 'AAsf' and 'Asf' rated categories could occur with outsized losses should performance of the FLOCs, most notably from San Diego Mixed Use and 3101 West Military in GSMS 2021-GSA3 and Washington Avenue Portfolio and 106 Apple Street in GSMS 2019-GSA1, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are likely with continued underperformance of the FLOCs, particularly the aforementioned office and retail FLOCs with deteriorating performance trends, and/or with greater certainty of losses on the specially serviced loans or other FLOCs in the pool. - Downgrades to the 'CCCsf' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes San Diego Mixed Use and 3101 West Military in GSMS 2021-GSA3 and Washington Avenue Portfolio and 106 Apple Street in GSMS 2019-GSA1; - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to the distressed 'CCCsf' rated class is not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GSAA TRUST 2004-3: Moody's Cuts Rating on Class M-1 Debt to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds and downgraded the rating of one bond from two US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2007-12 Cl. 1-A-1, Upgraded to A3 (sf); previously on Jan 21, 2022 Upgraded to Ba2 (sf) Cl. 1-A-2, Upgraded to Baa2 (sf); previously on Mar 18, 2024 Upgraded to B2 (sf) Cl. 2-A-4, Upgraded to Baa1 (sf); previously on Mar 18, 2024 Upgraded to B1 (sf) Issuer: GSAA Trust 2004-3 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 18, 2012 Downgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. The credit enhancement since 12 months ago has grown, on average, by 7% for the tranches upgraded. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The upgrade actions on certain bonds are also driven by the projected availability and crossing of excess funds between two collateral pools in consideration of factors, such as the speed of paydown of the bonds and the expected timing of losses. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. In addition, the rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. The rating downgrade of Class M-1 issued by GSAA Trust 2004-3 is the result of outstanding credit interest shortfalls that are unlikely to be recouped. The bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 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. HARVEST SBA 2024-1: DBRS Finalizes BB Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following notes issued by Harvest SBA Loan Trust 2024-1 (HSLT 2024-1). -- $81,400,000 Class A Notes at A (low) (sf) -- $7,800,000 Class B Notes at BBB (low) (sf) -- $6,000,000 Class C Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The transaction's capital structure and available credit enhancement. Note subordination, cash held in the Reserve Account, and available excess spread, as well as other structural provisions create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate assumptions of 15.24%, 11.83%, and 9.06% respectively, for each of the A (low) (sf), BBB (low) (sf), and BB (sf) rating categories. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing of SBA 7(a) loans: (1) Morningstar DBRS performed an operational review of Harvest and found it to be an acceptable originator and servicer for the collateral. (2) In addition, Computershare Trust Company, N.A., which is an experienced servicer of CRE-backed loans, is the Backup Servicer and custodian for the transaction. -- A review by Morningstar DBRS of Harvest's historical collateral performance since Harvest began originating, which found low defaults and minimal net losses. -- A review of the initial collateral pool, which shows diversity by business type and property type, among other metrics, as well as strong overall credit characteristics, most notably with a weighted average obligor FICO score of 729, weighted average time in business of 18 years, and a weighted average current loan-to-value ratio of 74.46%. -- Harvest's underwriting process, which evaluates the small business borrower's ability to repay the loan primarily from the business cash flows of normal operations (recurring income sources) to service both its existing debt and the requested loan. The weighted average debt service coverage ratio (DSCR) for loans in the initial pool is 2.53x. -- A review of the collateral pool's industry concentrations against historical performance of SBA data for significant industry concentrations as well as aggregate vintage performance. -- Collateral eligibility and concentration limits built into the prefunding parameters that ensure that the final collateral pool continues to maintain strong credit characteristics and collateral diversification. -- The transaction features a full turbo structure to the Notes. -- The legal structure and legal opinions that address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. -- 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. HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. takes credit rating actions on all classes from three U.S. single-family rental transactions as follows: Home Partners of America 2021-3 Trust Single-Family Rental Pass-Through Certificate - Class A confirmed at AAA (sf) - Class B upgraded to AA (sf) from AA (low) (sf) - Class C upgraded to A (sf) from A (low) (sf) - Class D confirmed at BBB (sf) - Class E1 confirmed at BBB (sf) - Class E2 confirmed at BBB (low) (sf) - Class F confirmed at BB (sf) STAR 2021-SFR2 Trust Single-Family Rental Pass-Through Certificate - Class A confirmed at AAA (sf) - Class B confirmed at AAA (sf) - Class C confirmed at AA (high) (sf) - Class D confirmed at A (sf) - Class E confirmed at BBB (low) (sf) - Class F confirmed at BB (low) (sf) - Class G confirmed at B (low) (sf) VINE 2023-SFR1 Trust Single-Family Rental Pass-Through Certificate - Class A confirmed at AAA (sf) - Class B confirmed at AAA (sf) - Class C confirmed at AA (low) (sf) - Class D confirmed at BBB (high) (sf) - Class E1 confirmed at BBB (sf) - Class E2 confirmed at BBB (low) (sf) The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2012-C8: Fitch Lowers Rating on Class G Debt to 'Bsf' --------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 27 classes from seven U.S. CMBS multiborrower transactions from the 2004 through 2012 vintages. All transactions are concentrated by the remaining number of loans/assets. The Rating Outlook was revised to Negative from Stable on one affirmed class and assigned a Negative Outlook to one class following its downgrade. Entity/Debt Rating Prior ----------- ------ ----- Wachovia Bank Commercial Mortgage Trust 2005-C21 E 92976BAA0 LT Csf Affirmed Csf F 92976BAB8 LT Dsf Affirmed Dsf G 92976BAC6 LT Dsf Affirmed Dsf H 92976BAD4 LT Dsf Affirmed Dsf J 92976BAE2 LT Dsf Affirmed Dsf K 92976BAF9 LT Dsf Affirmed Dsf L 92976BAG7 LT Dsf Affirmed Dsf UBS-BB 2012-C4 E 90270RAN4 LT CCsf Affirmed CCsf F 90270RAQ7 LT Csf Affirmed C sf WF-RBS Commercial Mortgage Trust 2011-C2 E 92935JAQ8 LT CCCsf Affirmed CCCsf F 92935JAS4 LT Csf Affirmed Csf J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 D 46635GAQ3 LT Bsf Affirmed Bsf E 46635GAS9 LT CCsf Affirmed CCsf F 46635GAU4 LT Csf Affirmed Csf G 46635GAW0 LT Csf Affirmed Csf H 46635GAY6 LT Csf Affirmed Csf JPMCC 2012-C8 G 46638UAX4 LT Bsf Downgrade BBsf UBS-Barclays Commercial Mortgage Trust 2012-C2 B-EC 90269CAM2 LT Csf Affirmed Csf C-EC 90269CBF6 LT Dsf Affirmed Dsf D 90269CAR1 LT Dsf Affirmed Dsf E 90269CAT7 LT Dsf Affirmed Dsf EC 90269CAP5 LT Dsf Affirmed Dsf F 90269CAV2 LT Dsf Affirmed Dsf G 90269CAX8 LT Dsf Affirmed Dsf COMM Mortgage Trust 2004-LNB2 L 20047BAH1 LT Dsf Affirmed Dsf M 20047BAJ7 LT Dsf Affirmed Dsf N 20047BAK4 LT Dsf Affirmed Dsf O 20047BAL2 LT Dsf Affirmed Dsf KEY RATING DRIVERS Significant Pool Concentration; Adverse Selection: These transactions are concentrated with fewer than two loans/assets remaining, the majority of which are considered Fitch Loans of Concern (FLOCs). Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). In some cases, this analysis resulted in rating caps due to the weak collateral quality of the remaining loans and concerns with ultimate refinanceability and/or workout resolutions. The affirmed classes reflect sufficient credit enhancement relative to overall loss expectations. The downgrade of class G in JPMCC 2012-C8 reflects higher pool loss expectations and greater certainty of losses since the last rating action, driven by Ashford Office Complex, a specially serviced office loan secured by three eight-story suburban office buildings totaling 570,045 sf and located within the Energy Corridor of Houston, TX. Performance of the loan has declined with high availability in the submarket, rollover risk and a deterioration of the latest appraisal valuation. The Negative Outlook on class G in JPMCC 2012-C8 reflects significant adverse selection of the pool and possible further downgrades should performance and/or valuations of the remaining office loan continue to deteriorate beyond Fitch's expectations, or specially serviced workouts are prolonged. The Outlook revision to Negative from Stable on affirmed class D in JPMCC 2010-C2 reflects the significant pool adverse selection and continued performance concerns on the Greece Ridge Center loan; downgrade is possible to the class should recovery expectations diminish significantly and/or loan performance continues to deteriorate beyond Fitch's expectations. Regional Mall Exposure: Four of the seven transactions have significant exposure to lower-tier, underperforming regional malls in tertiary markets that are designated as FLOCs and/or in special servicing, with deteriorated performance and/or high Fitch loss expectations. These include Newgate Mall (80.5% of the pool) in UBS 2012-C4 with an approximate 87% loss, Aviation Mall (38.8%) in WFRBS 2011-C2 with an approximate 77% loss and Port Charlotte Town Center (61.2%) in WFRBS 2011-C2 with an approximate 75% loss. Newgate Mall is a 730,781-sf regional mall located in Ogden, UT whose occupancy fell to 77% in September 2024, with a servicer-reported NOI DSCR of 0.86x for the same period. Aviation Mall is a 504,675-sf regional mall located in Queensbury, NY where the March 2024 occupancy was reported at 47% with a servicer-reported NOI DSCR of 0.81x. The REO Port Charlotte Town Center asset is a 489,695-sf regional mall located in Port Charlotte, FL with a reported occupancy of 78% in March 2024 and servicer-reported NOI DSCR of -0.85x. Office Concentration: Of the transactions, WBCMT 2005-C21 and JPMCC 2012-C8 have a high concentration of office loans/assets ranging between 88% and 100% of the pool. The REO Phillips Lighting asset (88.3%) in WBCMT 2005-C21 is a single-tenant 199,900-sf office building located in Franklin Township, NJ. The property's sole tenant, Phillips Lighting vacated upon lease expiration in December 2021 and has remained vacant since. The specially serviced Ashford Office Complex loan is the sole remaining loan in JPMCC 2012-C8. Property performance has continued deteriorate with the largest tenant vacating or subleasing all of its space scheduled to expire in November 2024. As of June 2024, occupancy was reported at 57% with a NOI DSCR of 0.96x. Changes to CE: As of the November 2024 distribution date, the aggregate pool balance of the seven U.S. CMBS conduit transactions has been reduced in excess of 94% on average (ranging between 94% and 99%) since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks in JPMCC 2010-C2 and JPMCC 2012-C8 reflect possible downgrades should further declines in performance and/or lower valuations of the specially serviced loans result in increased loss expectations for the pool. Downgrades to 'Bsf' category rated classes are possible with higher than expected losses from continued performance of the FLOCs and with greater certainty of losses on the specially serviced loans/assets or other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Due to the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better than expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2020-NNN: Fitch Lowers Rating on D-FX Certs to 'BB-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed two classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-NNN Commercial Mortgage Pass-Through Certificates, Series 2020-NNN. Fitch has assigned Negative Rating Outlooks to classes B-FX, C-FX, and D-FX following their downgrade. The Outlooks for classes A-FX and XA-FX remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2020-NNN A-FX 46652BAY5 LT AAAsf Affirmed AAAsf B-FX 46652BBE8 LT A-sf Downgrade AA-sf C-FX 46652BBG3 LT BBB-sf Downgrade A-sf D-FX 46652BBJ7 LT BB-sf Downgrade BBB-sf XA-FX 46652BBA6 LT AAAsf Affirmed AAAsf Transaction Summary At issuance, the J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-NNN Commercial Mortgage Pass-Through Certificates represented the beneficial interests in the $775.0 million trust portion of a $925.0 million mortgage loan. At issuance, the mortgage was comprised of a $647.6 million fixed-rate component with a 61-month term and a $277.5 million floating-rate component with an initial term of two years, with three, one-year extension options. There are no extension options remaining on the non-rated floating rate component which has a current balance of $17.1 million. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): The downgrades to classes B-FX, C-FX and D-FX are driven by Fitch's updated sustainable cash flow for the concentrated office portfolio (office properties represent approximately 96% of remaining NRA and 91% of current base rent), which reflects a deteriorating tenant base and increase in space listed for sublease, to approximately 30% of the portfolio NRA, much of it in markets with high vacancy and availability rates. Fitch's analysis incorporated a higher vacancy assumption due to dark and subleased space and stressed capitalization rate of 10.0%, up from 9.0% at issuance. Fitch's updated sustainable NCF is $39.3 million which is 28% below the servicer reported TTM June 2024 portfolio NCF. The Negative Outlooks reflect the potential for downgrades due to concerns with the office property concentration and negative office sector outlook, as well as the loan's ability to refinance at its maturity in January 2025. Fitch expects the loan to transfer to special servicing as a result of the pending maturity and expects limited paydown from further property sales. Single Tenant Concentration: All of the properties in the portfolio are leased to single tenants on NNN leases with the top five tenants by contribution to base rent representing 42.2% of NRA and 52.1% of base rent. While the leases have a weighted average remaining lease term of approximately four years, one lease (1.5% of NRA) expires at YE 2024 and one lease (8.7%) expires at YE 2025. There is a concentration of lease rollover in 2027 with 44.2% of the NRA expiring. Property Releases: Since issuance, 25 properties and a non-adjacent parking lot have been released, resulting in a paydown of approximately $260.3 million (33.6% of the original transaction). As of the November 2024 distribution date, the trust's aggregate certificate balance has decreased to $514,691,053 due to the releases. The total mortgage balance is $664,691,053. The prepayments paid off classes A-FL, B-FL, C-FL, D-FL, E-FL, F-FL, G-FL in full and partially paid down classes H-FL. There have been no collateral releases since Fitch's last rating action in January 2024. The released properties consisted of three industrial properties leased to DST Output (12.2% of allocated loan amount at issuance), three industrial properties leased to Eby-Brown (4.3%), an industrial property leased to SKF USA (1.3%), an industrial property leased to Weatherford Artificial Lift Systems (3.9%), 17 bank branches leased to First Midwest Bank (5.6%) and a non-adjacent parking lot with 170 parking spaces at 1831 Chestnut Street. Investment Grade Tenancy: Out of the remaining 40 properties in the portfolio, 14 properties representing 90% of the remaining portfolio NRA are leased to investment-grade or creditworthy tenants or to tenants with an investment-grade or creditworthy parent company that guarantees the lease. Of the 40 properties, 10 properties representing 34% of NRA have leases that expire at least three years beyond the loan maturity date without any termination options. Diversified Portfolio: The portfolio is currently comprised of 40 properties located across 13 different states and leased to 11 unique tenants. The three largest state concentrations are Illinois (23 properties; 34.1% of remaining NRA), New Jersey (two properties; 12.9% NRA) and Virginia (two properties; 11.6% NRA). No other state represents more than 8.7% of NRA. Additionally, the tenants operate in a variety of industries including financial services, healthcare, pharmaceuticals and technology. High Overall Fitch Leverage: Based on the remaining portfolio, the Fitch debt service coverage ratio (DSCR) and loan to value ratio (LTV) for the outstanding senior mortgage of $647.6 million are 0.54x and 169.2%, respectively, compared to the Fitch DSCR and LTV of 0.67x and 133.4% at issuance. The Fitch DSCR and LTV on the lowest-rated tranche by Fitch (BBB-) are 1.15x and 78.8%, respectively. At issuance, in addition to the trust debt, there was approximately $104.4 million of preferred equity. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Further downgrades are possible if the portfolio continues to exhibit an increase in sublease space or fails to obtain takeout financing and experiences a prolonged workout. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are possible with additional property releases but not likely given the imminent maturity and office property type concentration. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2024-12: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2024-12, and sponsored by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC). The securities are backed by a pool of prime jumbo (95.26% by balance) and GSE-eligible (4.74% by balance) residential mortgages aggregated by JPMMAC, including loans aggregated by MAXEX Clearing LLC (MAXEX; 14.25% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-12 Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.47%, in a baseline scenario-median is 0.22% and reaches 6.88% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. KKR CLO 27: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 27 Ltd. reset transaction. Entity/Debt Rating ----------- ------ KKR CLO 27, Ltd. X-R2 LT AAAsf New Rating A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBBsf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 27 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC that originally closed in October 2019. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $447.99 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 24.13, versus a maximum covenant, in accordance with the initial expected matrix point of 27.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.38% versus a minimum covenant, in accordance with the initial expected matrix point of 72.85%. 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 2.3-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-2R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2 and class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, 'Asf' for class D-2R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 27, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. KKR CLO 47: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 47 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 47 Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 47 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/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 97.94% first-lien senior secured loans and has a weighted average recovery assumption of 74.75%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 47 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. KKR CLO 47: Moody's Assigns B3 Rating to $200,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by KKR CLO 47, Ltd. (the Issuer): US$320,000,000 Class A Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$200,000 Class F Senior Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. KKR CLO 47, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash and eligible investments; and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 100% ramped as of the closing date. KKR Financial Advisors II, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3100 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. KKR CLO 54: Fitch Assigns 'BB+sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 54, Ltd. Entity/Debt Rating ----------- ------ KKR CLO 54, Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 54 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 $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.65% first-lien senior secured loans and has a weighted average recovery assumption of 74.92%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 54 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. LCM 40: Fitch Assigns BB-sf Rating on Cl. E-R Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the LCM 40 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- LCM 40 Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-1 50190KAC4 LT PIFsf Paid In Full AAsf B-2 50190KAJ9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 50190KAE0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 50190KAG5 LT PIFsf Paid In Full BBB+sf D-1-R LT BBB+sf New Rating D-2 50190KAL4 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 50190MAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary LCM 40 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by LCM EURO II LLC. The transaction originally closed in December 2022 and is now being reset for the first time in December 2024. The CLO's existing secured notes will be refinanced in whole on Dec. 17, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 25.93, versus a maximum covenant, in accordance with the initial expected matrix point of 27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.79% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.53% versus a minimum covenant, in accordance with the initial expected matrix point of 75.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that the data is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for LCM 40 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. LCM 42: Fitch Assigns 'BB+sf' Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to LCM 42 Ltd. Entity/Debt Rating Prior ----------- ------ ----- LCM 42 Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf New Rating AA+(EXP)sf C LT A+sf New Rating A+(EXP)sf D-1 LT BBB+sf New Rating BBB+(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary LCM 42 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by LCM Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $300 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 77.19%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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-2, between 'BB+sf' and 'AA-sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authorityregistered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee December 10, 2024 ESG Considerations Fitch does not provide ESG relevance scores for LCM 42 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. LCM LTD 42: Moody's Assigns B3 Rating to $250,000 Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by LCM 42 Ltd. (the Issuer): US$192,000,000 Class A-1 Senior Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Deferrable Mezzanine Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. LCM 42 Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and fixed rate collateral debt obligations. The portfolio is approximately 100% ramped as of the closing date. LCM Asset Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $300,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3236 Weighted Average Spread (WAS): 3.60% 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 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 XXVIII: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding XXVIII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding XXVIII, Ltd. X LT AAAsf New Rating AAA(EXP)sf A-1 55821AAA6 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2 55821AAC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F-R LT NRsf New Rating NR(EXP)sf Transaction Summary Madison Park Funding XXVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by UBS Asset Management (Americas) LLC that originally closed in June 2018. The existing secured notes will be refinanced in whole on Dec. 18, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 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 97.29% first-lien senior secured loans and has a weighted average recovery assumption of 75.1%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as 'AAAsf' for class X notes, between 'BBB+sf' and 'AA+sf' for class A-1-R notes, between 'BBB+sf' and 'AA+sf' for class A-2-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 'BB+sf' for class D-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R notes, and between less than 'B-sf' and 'BB-sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1-R notes, 'A-sf' for class D-2-R notes, and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 XXVIII, Ltd. reset transaction. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MADISON PARK XXVIII: Moody's Gives B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Madison Park Funding XXVIII, Ltd. (the Issuer): US$337,425,000 Class A-1-R Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2038, Definitive Rating 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 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of non-senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $550,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2937 Weighted Average Spread (WAS): 3.10% 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 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. MAGNETITE XLII: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XLII, Limited. Entity/Debt Rating ----------- ------ Magnetite XLII, Limited A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XLII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $570 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.4% first lien senior secured loans and has a weighted average recovery assumption of 75.2%. 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 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 'BB-sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C notes, 'A+sf' 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 Magnetite XLII, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MENLO CLO I: S&P Assigns B- (sf) Rating on Class F Notes -------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 MFA TRUST 2024-NQM3: Fitch Gives 'B-sf' Rating on Class B2 Certs ---------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates to be issued by MFA 2024-NQM3 Trust (MFA 2024-NQM3). Entity/Debt Rating Prior ----------- ------ ----- MFA 2024-NQM3 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 BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed certificates to be issued by MFA 2024-NQM3 Trust (MFA 2024-NQM3) as indicated above. The certificates are supported by 651 nonprime loans with a total balance of approximately $380.1 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Citadel Servicing Corporation dba Acra Lending, Excelerate Capital and FundLoans Capital, Inc. Loans were aggregated by MFA Financial, Inc. (MFA). Loans are currently serviced by Planet Home Lending and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac LLC. The structure was updated post-pricing and the coupons for A-1, A-2, A-3 and M-1 classes increased approximately by around 2bps-8bps, while the coupon for the M-2 class decreased 3bps, which increased the weighted-average (WA) excess spread to 166bps, a 6bps decrease from the previous WA excess spread of 172bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch has updated its view on sustainable home prices and, as a result, it views the home price values of this pool as 9.9% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% qoq). Housing affordability is at its worst levels in decades due to both high interest rates and elevated home prices. Home prices had increased 4.3% yoy nationally as of August 2024, despite modest regional declines, and are still being supported by limited inventory. Nonqualified Mortgage Credit Quality (Negative): The collateral consists of 651 loans totaling $380.1 million and is seasoned at approximately six months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile consisting of a 729 Fitch model FICO and moderate leverage with a 74.4% sustainable loan-to-value ratio (sLTV). The pool is 60.5% comprised of loans for homes the borrower maintains as a primary residence, while 39.5% comprises investment properties or second homes, as calculated by Fitch. Additionally, 64.8% are nonqualified mortgages (non-QM), while the QM rule does not apply to the remainder. This pool consists of a variety of weaker borrowers and collateral types, including second liens, foreign nationals and nonstandard property types. Fitch's expected loss in the 'AAAsf' stress is 23.25%. This is mainly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 91.2% of loans in the pool were underwritten to less-than-full documentation and 48.7% were underwritten to a bank statement program for verifying income. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay Rule (ATR Rule). This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 1,000 bps, compared with a transaction of 100% fully documented loans. High Percentage of Debt Service Coverage Ratio Loans (Negative): There are 275 debt service coverage ratio (DSCR) products in the pool (42.2% by loan count). These business-purpose loans are available to real estate investors that are qualified on a cash-flow basis, rather than debt to income (DTI), and borrower income and employment are not verified. Compared with standard investment properties for DSCR loans, Fitch converts the DSCR values to DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Further, no-ratio loans are treated as 100% DTI. Its expected loss for DSCR loans is 36.3% in the 'AAAsf' stress. Modified Sequential Payment Structure with No Advancing (Mixed): The structure differs slightly from that of the previous MFA 2024-NQM2 transaction. The B-1 class, which was split into two classes, B-1A and B-1B, has reverted to just a B-1 class, consistent with MFA 2024-NQM1 and prior Fitch-rated transactions. There have been no additional changes to the principal waterfall or priority of payments. The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure as there is limited liquidity in the event of large and extended delinquencies. MFA 2024-NQM3 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100 bps increase to the fixed coupon or the net weighted-average coupon (WAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 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 The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Canopy, Clayton, Consolidated Analytics, Evolve, Infinity, Maxwell and Stonehill. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 47bps reduction to 'AAAsf' losses. ESG Considerations MFA 2024-NQM3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, 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. MIDOCEAN CREDIT XI: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XI Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XI A-1-R 59801AAN4 LT PIFsf Paid In Full AAAsf A-1-RR LT NRsf New Rating A-2-R 59801AAP9 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-R 59801AAQ7 LT PIFsf Paid In Full AAsf B-RR LT AAsf New Rating C-1-R 59801AAR5 LT PIFsf Paid In Full Asf C-2-R 59801AAT1 LT PIFsf Paid In Full Asf C-RR LT Asf New Rating D-1-RR LT BBB-sf New Rating D-2-RR LT BBB-sf New Rating D-R 59801AAS3 LT PIFsf Paid In Full BBB-sf E-R 59801CAE0 LT PIFsf Paid In Full BB-sf E-RR LT BB-sf New Rating Transaction Summary MidOcean Credit CLO XI Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager 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 23.76, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.59% 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 64.7%. 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 11.5% 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 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'BB-sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A-sf' for class D-1-RR, 'BBB+sf' for class D-2-RR, and 'BBB-sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for MidOcean Credit CLO XI. 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. MORGAN STANLEY 2015-C22: Fitch Lowers Rating on Cl. D Certs to B-sf ------------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed eight classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Commercial Mortgage Pass-Through Certificates, series 2015-C22. The Outlooks on affirmed classes A-S, B, C, X-A, X-B and PST have been revised to Negative from Stable. A Negative Outlook was assigned to class D following the downgrade. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C22 A-3 61690FAL7 LT AAAsf Affirmed AAAsf A-4 61690FAM5 LT AAAsf Affirmed AAAsf A-S 61690FAP8 LT AAAsf Affirmed AAAsf B 61690FAQ6 LT AA+sf Affirmed AA+sf C 61690FAS2 LT A-sf Affirmed A-sf D 61690FAB9 LT B-sf Downgrade BB-sf E 61690FAC7 LT CCsf Downgrade CCCsf F 61690FAD5 LT Csf Downgrade CCsf PST 61690FAR4 LT A-sf Affirmed A-sf X-A 61690FAN3 LT AAAsf Affirmed AAAsf X-B 61690FAA1 LT AA+sf Affirmed AA+sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 9.1% from 6.9% at Fitch's prior rating action. Eleven loans are flagged as Fitch Loans of Concern (FLOCs; 34% of the pool), including three loans (8.2%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. The majority of the pool matures over the next four months. The largest loan, 300 South Riverside Plaza Fee (11.3%), has an anticipated repayment date in March 2025, with a final maturity in 2045. The downgrades reflect increased pool loss expectations since the prior rating action, driven primarily by the Waterfront at Port Chester and ASRC Federal Building FLOCs, as well as a greater certainty of loss given the continued high loss expectations on the specially serviced Hilton Houston Westchase loan. The Negative Outlooks reflect performance and refinance concerns on the FLOCs, particularly Waterfront at Port Chester, Hilton Garden Inn W 54th Street, 1400 Howard Boulevard, ASRC Federal Building and 200-220 Trotters Way; further downgrades are possible should more loans than expected default at maturity and/or with a prolonged workout on the specially serviced Hilton Houston Westchase and 555 11th Street NW loans. Largest Loss Contributors: The largest increase in loss expectations since the prior rating action is the Waterfront at Port Chester loan (9.2%), which is secured by a 349,743-sf anchored retail property in Port Chester, NY. The loan was flagged as a FLOC due to continued performance declines and maturity default risk. The YE 2023 servicer-reported NOI DSCR was 0.67x, down from 1.19x at YE 2022 and 1.39x at YE 2021. The 44% decline in NOI between 2022 and 2023 is attributed to lower rental revenues and increased real estate taxes. Occupancy was 87% at YE 2023, consistent with YE 2022, but down from 98% at YE 2021. Upcoming rollover includes 12% of the NRA in 2025. The property is anchored by Super Stop & Shop (20.3% of NRA; leased through August 2030) and AMC (19.9%; December 2030). Other major tenants include Marshalls (8.6%; January 2036) and Crunch Fitness (6.7%; February 2025). The loan is shadow-anchored by a 120,000-sf Costco complex, which is owned by an affiliate of the sponsor. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 32% reflects a 9% cap rate and a 10% stress to the YE 2023 NOI. The next largest increase in loss expectation since the prior rating action is the ASRC Federal Building loan (1%), which is secured by a 58,994-sf office building located in Laurel, MD. This FLOC was flagged due to lower occupancy and maturity default risk. The largest tenant, ASRC Federal Holding Co., which previously occupied 55,738 sf (94% of NRA), downsized to 24,657-sf and extended its lease to Aug. 31, 2029. As a result, the property's occupancy dropped to 47%, with rental revenues falling 66%. The servicer-reported YTD June 2024 NOI DSCR was 0.79x. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 24% reflects a 10.25% cap rate and a 25% stress to the YE 2023 to reflect the largest tenant's downsizing. Fitch's analysis also factored a 100% probability of default given anticipated refinance challenges. The largest contributor to overall pool loss expectations is the Hilton Houston Westchase loan (4.6%), which is secured by a 297-key, full-service hotel located in Energy Corridor of Houston, TX. The loan transferred to special servicing in February 2020 due to maturity default. According to servicer updates, a receiver is in place and pursuing a sale of the asset. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 91% is based upon a discount to the most recent appraisal, reflecting a stressed value of approximately $50,000 per key, and factors the loan's higher exposure. Another large office FLOC is the 555 11th Street NW loan (3.4%), which transferred to special servicing in November 2024 due to maturity default. According to servicer updates, discussions are ongoing regarding a potential modification. The loan is secured by a 414,204-sf office building in Washington, D.C. The property also contains approximately 57,000 sf of retail space, the majority of which is occupied by a theater tenant, Silver Cinemas. Occupancy at the property has fallen further to 77% as of the June 2024 rent roll from 85% in May 2023, 90% at YE 2022 and 97% at YE 2021. The latest decrease in occupancy was due to three tenants vacating upon lease expiration: FGS Global (US), LLC (5.4% NRA), The Alliance for Climate Protection (2.3%) and Rasky Baerlein Strategic Communications, Inc. (0.8%). Major in-place tenants include Latham & Watkins (58.2% of NRA; lease expiry in January 2031) and Silver Cinemas (9.7%; March 2032). There is minimal near-term rollover, particularly given that Latham & Watkins has already agreed to expand into the available 20,173-sf space on the building's fourth floor beginning in January 2027. Fitch's updated net cash flow (NCF) of $11.2 million is 19.8% below Fitch's issuance NCF of $14 million, largely driven by increased operating expenses, higher tenant improvement and leasing commission costs (TI/LCs), and lower occupancy assumptions. Fitch's updated NCF incorporates leases-in-place as of the June 2024 rent roll and assumed a gross up rent of $58 psf to achieve a stabilized occupancy of 82.5%; this is in line with the overall Washington, D.C. office market and factors in Latham & Watkins' long-term tenancy, overall minimal near-term rollover and the property's historical overperformance relative to the market. Fitch also assumed 60% reimbursement rate and expenses in line with most recent servicer-reporting. Fitch's total TI/LCs of $3.72 psf are well above the $0.89 psf assumed at issuance. Fitch increased its cap rate to 9% from 8.5% at issuance due to the deteriorating office sector outlook and worsened office market conditions in Washington, D.C. Increased CE: As of the November 2024 distribution date, the transaction balance has been reduced by 21.1% since issuance. The transaction includes 19 loans (17.8%) that have fully defeased. Cumulative interest shortfalls of $7.2 million are affecting classes D, E and F. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not likely due to their position in the capital structure, sufficient CE relative to loss expectations and expected paydown from mainly non-FLOCs, but may occur should interest shortfalls affect these classes. Downgrades to the junior 'AAAsf', 'AA+sf' and 'A-sf' classes could occur if a higher number of loans than anticipated fail to refinance and default at maturity, particularly Waterfront at Port Chester, Hilton Garden Inn W 54th Street, 555 11th Street NW, 1400 Howard Boulevard, ASRC Federal Building and 200-220 Trotters Way. Downgrades to the classes rated 'B-sf' would occur if losses to the specially serviced loans exceed Fitch's loss expectations, primarily Hilton Houston Westchase. Further downgrades to the distressed rated classes would occur as losses are more certain or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the classes rated 'AA+sf' and 'A-sf' would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'AA+sf' if there were likelihood of interest shortfalls. Upgrades to the 'B-sf' rated classes are not expected unless refinance prospects improve for loans anticipated to default at maturity and/or recoveries from the specially serviced loans are higher than expected, primarily Hilton Houston Westchase. Upgrades to the distressed classes are not expected but could be possible with higher recoveries on the specially serviced loans or if loans expected to default at maturity are able to refinance. 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. NASSAU LTD 2019-I: Moody's Cuts Rating on $28.25MM D Notes to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Nassau 2019-I Ltd.: US$21,750,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on July 26, 2024 Affirmed A1 (sf) Moody's have also downgraded the rating on the following notes: US$28,250,000 Class D Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa2 (sf); previously on July 26, 2024 Downgraded to Caa1 (sf) Nassau 2019-I Ltd., originally issued in May 2019 and partially refinanced in September 2021, is a managed cashflow CLO. The debts are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior debt and an increase in the transaction's over-collateralization (OC) ratios since July 2024. The Class AL Loans have been paid down by approximately 19.6% or $37.7 million, and Class AN-A-R Notes have been paid down by approximately 25.9% or $10.6 million since that time. Based on Moody's calculation, the OC ratio for the Class B-R Notes is currently 127.83%, versus a July 2024 level of 124.39%. The downgrade rating action on the Class D Notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class D Notes is currently 101.09% versus 102.22% in July 2024. Moody's note that the OC ratio for the Class D Notes has failed to satisfy the test level of 104.20% since August 2023[1]. No actions were taken on the Class AL Loans, Class AN-A-R, Class AN-B-R, and Class C notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $281,269,497 Defaulted par: $2,252,269 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2838 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 47.05% Weighted Average Life (WAL): 3.7 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated debt is subject to uncertainty. The performance of the rated debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated debt. NEUBERGER BERMAN XIV: S&P Raises Cl. E-R2 Notes Rating to BB-(sf) ----------------------------------------------------------------- S&P Global Ratings raised 12 ratings and affirmed four ratings from 16 classes of notes from three U.S. broadly syndicated CLO transactions: Neuberger Berman CLO XIV LLC, Galaxy XV CLO Ltd., and CFIP CLO 2018-1 Ltd. S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows, and applied our global corporate CLO criteria in our rating decisions." The transactions have all exited their reinvestment period and are paying down the notes in the order specified in their respective documents. All upgrades are primarily due to an increase in the credit support. The ratings list highlights the key performance metrics behind the specific rating actions. S&P said, "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. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, lower, affirm, or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the above. The upgrades primarily reflect the class's increased credit support due to the senior note paydowns, improved overcollateralization levels, and passing cash flow results at higher rating levels. The affirmations reflect S&P's view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. Although S&P's cash flow analysis indicated a different rating for some classes of notes, S&P took the rating action after considering one or more qualitative factors listed above. S&P will continue to review whether, in its 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 list Rating Issuer Class CUSIP To From CFIP CLO 2018-1 Ltd. A 12528VAC3 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. CFIP CLO 2018-1 Ltd. B 12528VAE9 AAA (sf) AA (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Our rating action considered the current credit enhancement level, which is commensurate with the raised rating. CFIP CLO 2018-1 Ltd. C 12528VAG4 AAA (sf) A (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Our rating action considered the current credit enhancement level, which is commensurate with the raised rating. CFIP CLO 2018-1 Ltd. D 12528VAJ8 A+ (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; and pure O/Cs, which is commensurate with the current rating. CFIP CLO 2018-1 Ltd. E 12528WAA5 BBB- (sf) BB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; and pure O/Cs, which is commensurate with the current rating. Neuberger Berman CLO XIV Ltd. A-R2 64129JBE9 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Neuberger Berman CLO XIV Ltd. B-R2 64129JBG4 AAA (sf) AA (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Our rating action considered the current credit enhancement level, which is commensurate with the raised rating. Neuberger Berman CLO XIV Ltd. C-R2 64129JBJ8 AA (sf) A (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; and pure O/Cs, which is commensurate with the current rating. Neuberger Berman CLO XIV Ltd. D1-R2 64129JBL3 BBB+ (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; pure O/Cs, which is commensurate with the current rating; and the sensitivity results. Neuberger Berman CLO XIV Ltd. D2-R2 64129JBN9 BBB+ (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; pure O/Cs, which is commensurate with the current rating; and the sensitivity results. Neuberger Berman CLO XIV Ltd. E-R2 64129LAL9 BB- (sf) B+ (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; and pure O/Cs, which is commensurate with the current rating. Galaxy XV CLO Ltd. A-RR 36318WAK6 AAA (sf) AAA (sf) Main rationale: Cash flow passes at the current rating level. Galaxy XV CLO Ltd. B-RR 36318WAL4 AAA (sf) AA (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Our rating action considered the current credit enhancement level, which is commensurate with the raised rating. Galaxy XV CLO Ltd. C-RR 36318WAM2 AA+ (sf) A (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; pure O/Cs, which is commensurate with the current rating; and the sensitivity results. Galaxy XV CLO Ltd. D-R 36318WAH3 BBB+ (sf) BBB- (sf) Main rationale: Senior note paydowns, O/C improvement, and passing cash flows. Although our base-case analysis indicated a higher rating, our rating action considered higher than average 'CCC' exposure; the current credit enhancement level; pure O/Cs, which is commensurate with the current rating; and the sensitivity results. Galaxy XV CLO Ltd. E-R 36319FAG1 B+ (sf) B+ (sf) Main rationale: Cash flow passes at the current rating level. O/C--Overcollateralization. OAKTREE CLO 2024-28: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Oaktree CLO 2024-28 Ltd./Oaktree CLO 2024-28 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Oaktree CLO Management Co. LLC. The 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 Oaktree CLO 2024-28 Ltd./Oaktree CLO 2024-28 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $43.85 million: Not rated OCP CLO 2014-5: S&P Affirms B+ (sf) Rating on Class D-R Notes ------------------------------------------------------------- S&P Global Ratings reviewed its ratings on OCP CLO 2014-5 Ltd., a U.S. collateralized loan obligation (CLO) managed by Onex Credit Partners LLC. During the review, S&P raised its ratings on the class A-2-R and B-R debt and removed class A-2-R from CreditWatch, where it was placed with positive implications on Oct. 9,2024. At the same time, S&P lowered its rating on the class E-R debt and removed it from CreditWatch, where it was placed with negative implications on Oct. 9,2024. S&P also affirmed its ratings on the class A-1-R, C-R, and D-R debt. The rating actions follow its review of the transaction's performance using data from the Oct. 16, 2024, trustee report. Since S&P's November 2021 rating action, the class A-1-R debt had total paydowns of $144.62 million, which reduced its outstanding balance to 38.98% of its original balance. The changes in the reported overcollateralization (O/C) ratios since the August 2021 trustee report, which S&P used for its previous rating actions, are as follows: -- The class A O/C ratio improved to 138.27% from 129.61%. -- The class B O/C ratio improved to 122.43% from 119.18%. -- The class C O/C ratio declined to 111.44% from 111.45%. -- The class D O/C ratio declined to 104.88% from 106.63%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior debt, the junior O/C ratio(s) declined due to par losses and increase in defaults. The upgrades reflect the improved credit support available to the debt at the prior rating levels. The downgrade reflects the decrease in credit support available to the class E-R debt and S&P's view that this class now requires favorable conditions according to our 'CCC' rating category definitions. The affirmations reflect the adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could results in further ratings changes. S&P said, "Although our cash flow analysis indicated higher ratings for the class B-R debt, the upgrade reflects additional sensitivity runs that considered the portfolio's exposure to both lower quality assets and assets trading at low market prices. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D-R debt. However, we affirmed our rating on class D-R after considering the margin of failure, the class's current O/C ratio versus the relatively low exposure to 'CCC' and 'CCC-' rated collateral, and that the transaction is in its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt paydowns occur. "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 this rating action. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Raised And Removed From CreditWatch OCP CLO 2014-5 Ltd. Class A-2-R to 'AAA (sf)' from 'AA (sf)/Watch Pos' Rating Raised OCP CLO 2014-5 Ltd. Class B-R to 'AA-(sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch OCP CLO 2014-5 Ltd. Class E-R to 'CCC+ (sf)' from 'B-(sf)/Watch Neg' Ratings Affirmed OCP CLO 2014-5 Ltd. Class A-1-R: AAA (sf) Class C-R: BBB- (sf) Class D-R: B+ (sf) OCP CLO 2015-10: S&P Assigns BB- (sf) Rating on Class E-R3 Debt --------------------------------------------------------------- S&P Global Ratings assigned its 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 undergone a second refinancing. S&P Global Ratings did not rate the debt issued in connection with the second refinancing. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the 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 U.K. 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 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 OCP CLO 2021-23: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC's floating-rate debt. This is a proposed refinancing of its December 2021 transaction that was previously known as OSD CLO 2021-23 Ltd., which S&P Global Ratings did not originally rate. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Onex Credit Partners LLC. The preliminary ratings are based on information as of Dec. 20, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC Class A-R, $268.00 million: AAA (sf) Class B-R, $36.00 million: AA+ (sf) Class C-R (deferrable), $24.00 million: A+ (sf) Class D-1R (deferrable), $24.00 million: BBB- (sf) Class D-2R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Subordinated notes, $58.74 million: Not rated OCTAGON INVESTMENT 18-R: S&P Assigns B+(sf) Rating on Cl. D Notes ----------------------------------------------------------------- S&P Global Ratings reviewed its ratings on Octagon Investment Partners 18-R Ltd., a U.S. CLO managed by Octagon Credit Investors. During the review, S&P raised its ratings on the class A-2, B-1, and B-2-R debt and removed class A-2 from CreditWatch, where it was placed with positive implications on Oct. 9, 2024. At the same time, S&P lowered its rating on the class E debt and removed it from CreditWatch, where it was placed with negative implications on Oct. 9, 2024. S&P also affirmed its ratings on the class A-1a, C, and D debt. The rating actions follow S&P's review of the transaction's performance using data from both the Oct. 7, 2024, and Nov. 12, 2024, trustee reports. The CLO is in its amortization phase and has been regularly paying down the class A-1a debt using most of the available principal proceeds. Since our November 2021 rating action, the class A-1a debt had total paydowns of $215.95 million, which reduced its outstanding balance to 48.58% of its original balance. The changes in the reported overcollateralization (O/C) ratios since the July 2021 trustee report, which we used for our previous rating actions, are as follows: -- The class A O/C ratio improved to 134.01% from 127.90%. -- The class B O/C ratio improved to 129.69% from 119.32%. -- The class C O/C ratio declined to 110.60% from 111.19%. -- The class D O/C ratio declined to 104.26% from 106.35%, and has now started to fail. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior debt, the junior O/C ratio(s) declined due to par losses and increase in CCC rated collateral and defaults. The upgrades reflect the improved credit support available to the debt at the prior rating levels. The affirmations on class A-1a, C, and D debt reflect the adequate credit support at the current rating levels. S&P said, "Although our cash flow analysis indicated higher ratings for the class A-2, B-1, B-2-R, C, and D notes, we took into account the classes' respective pure O/Cs (trustee O/Cs without haircut) compared to their peers and the results of our sensitivity analysis, which considered the portfolio's exposure to both lower quality assets and assets trading at low market prices. However, because the transaction currently has a relatively high exposure to 'CCC' rated collateral obligations and defaulted assets, we limited the upgrade on some classes to offset future potential credit migration in the underlying collateral and reflects our view that the credit support available commensurate with the assigned rating level. "The downgrade reflects the decrease in credit support available to the class E debt and our view that this class now requires favorable conditions according to our 'CCC' rating category definitions. Though its cash flows indicate a lower rating, we considered the class' pure O/C and exposure to CCC/CCC- rated collateral in our decision to downgrade the rating only by a notch. "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 this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Raised And Removed From CreditWatch Octagon Investment Partners 18-R Ltd. Class A-2 to 'AA+ (sf)' from 'AA (sf)/Watch Pos' Ratings Raised Octagon Investment Partners 18-R Ltd. Class B-1 to 'A+(sf)' from 'A (sf)' Class B-2-R to 'A+ (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch Octagon Investment Partners 18-R Ltd. Class E to 'CCC+ (sf)' from 'B-(sf)/Watch Neg' Ratings Affirmed Octagon Investment Partners 18-R Ltd. Class A-1a: AAA (sf) Class C: BBB- (sf) Class D: B+ (sf) OCTANE RECEIVABLES 2024-RVM1: S&P Assigns BB(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Octane Receivables Trust 2024-RVM1's asset-backed notes. The note issuance is an ABS transaction backed by consumer recreational vehicles and marine receivables. The ratings reflect S&P's view of: -- The availability of approximately 50.68%, 38.24%, 29.13%, 20.90%, and 16.31% in credit support, including excess spread, for the class A, B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 4.25x, 3.50x, 2.75x, 2.00x, and 1.55x coverage of S&P's stressed net loss levels for the class A, B, C, D, and E notes, respectively. -- The timely payment of interest and principal by the designated legal final maturity dates under its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified in section A.4 of the Appendix in "S&P Global Ratings Definitions," published Dec. 2, 2024. -- The collateral characteristics of the amortizing pool, which includes approximately 85.9% recreational vehicles and 14.1% marine receivables (primarily pontoon-hybrids at 13.8% of the pool). -- The transaction's credit enhancement in the form of subordination, overcollateralization that builds to a target level of 10.00% of the current receivables balance (subject to a floor of 7.00% of the initial receivables balance), a nonamortizing reserve account, and excess spread. -- The transaction's payment and legal structures. Ratings Assigned Octane Receivables Trust 2024-RVM1 Class A, $70.740 million: AAA (sf) Class B, $18.340 million: AA (sf) Class C, $15.196 million: A (sf) Class D, $15.196 million: BBB (sf) Class E, $6.288 million: BB (sf) ORL 2024-GLKS: DBRS Gives Prov. B(high) Rating on Class HRR Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-GLKS (the Certificates) to be issued by ORL 2024-GLKS Mortgage Trust: -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class HRR at (P) B (high) (sf) All trends are Stable. The transaction is secured by the fee-simple interest in the Grande Lakes Resort, a 1,592-key, full-service hotel that includes both a 582-key Ritz Carlton and 1,010-key JW Marriott. The 409-acre resort is located within 30 minutes of Orlando's biggest attractions such as Universal Studios and Walt Disney World and is less than 15 minutes from Orlando International Airport. The differentiated hotel brands present different experiences that attract a more diverse guest base across leisure, corporate, and group demand. Morningstar DBRS has a positive view of the collateral considering the significant capital investment made into the property and post-COVID recovery. The resort offers a strong amenity package with 14 food and beverage (F&B) outlets, three pools, a waterpark and lazy river, a 40,000-square foot (sf) spa and fitness center, an 18-hole golf course, tennis courts, a kids club, and nearly 278,000 sf of meeting and event space. Most of the square footage for the meeting and event space is indoors with a variety of large ballroom offerings, which can be configured based on group needs, and smaller breakout rooms, but there are also outdoor terraces and venues for open-air events. The property's robust amenities appeal to leisure, corporate, and group demand, and allow the property to easily shift segmentation. Both hotels at Grande Lakes Resort have been recognized as Top 5 Hotels in Orlando by US News in 2024, with the Ritz Carlton as number one. Additionally, the Ritz Carlton is a AAA Five-Diamond rated hotel and the JW Marriott is a AAA Four-Diamond rated hotel. The sponsor acquired the collateral in 2018 for $870.0 million and subsequently invested $139.6 million across the resort. All 1,592 keys have been renovated with a full replacement of hard and soft goods. The Ritz Carlton has received $46.3 million ($79,500 per key) in renovations since 2019 and has an additional $6.1 million planned in 2025. In addition to the comprehensive renovations to the guest rooms, the Ritz has added a 14th-floor lounge known as the Ritz Club, refreshed various F&B outlets, and upgraded the pool areas. The 2025 capital improvements will be targeted toward the meeting rooms. The JW Marriott has seen $91.8 million ($90,900 per key) in renovations since 2019, which included a redesigned lobby, updates to the pool area, including the addition of three waterslides, several reimagined F&B outlets, and a full renovation of the meeting space. The total loan amount of $800.0 million will be used to refinance $750.0 million in existing CMBS debt (ORL 2023-GLKS), return $34.0 million to the sponsor, and cover closing costs. The two-year floating-rate loan is interest only and has three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus 2.65%. The borrower has entered into an interest rate cap agreement with an assumed SOFR cap of 5.50%. The borrower sponsor for this transaction will be a joint venture between Trinity Real Estate Investments LLC (Trinity) and Elliott Management Corporation (Elliott). While the subject is their first venture together, Trinity and Elliott have gone on to make several other hospitality-centered investments together. Trinity is a private real estate investment firm that specializes in value-add opportunities. The firm has made over $9.8 billion of investments throughout the U.S., Mexico, Europe, and Japan, and its portfolio comprises more than 7,800 hotel rooms. Elliott has a domestic and international strategy fund with a combined $70 billion under management since July 2024. Since 2009, Elliott has invested more than $13.0 billion in commercial real estate in the U.S., Europe, and Asia. Additionally, Elliott is headquartered in Florida. Following the recent renovations at the property, the collateral has seen positive momentum in average daily rate (ADR) and revenue per available room (RevPAR) with rates of $361.77 and $240.14, respectively, as of the trailing 12-month period ended September 2024. While ADR and RevPAR are stronger in 2024 than they were in 2023, when they were $345.76 and $236.85, respectively, occupancy continues to lag pre-pandemic levels and has even fallen slightly below 2023 performance at 66.4% compared with 68.5%. This is a somewhat common trend in the hospitality industry as hotels benefitted from pent-up demand following the pandemic, which has since slowed down in 2024. However, because of the timing of the renovations, it is possible that the resort has not fully realized the upside in performance on a go-forward basis. Notes: All figures are in U.S. dollars unless otherwise noted. PALMER SQUARE 2024-4: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Palmer Square CLO 2024-4 Ltd./Palmer Square CLO 2024-4 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 Palmer Square Capital 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Palmer Square CLO 2024-4 Ltd./Palmer Square CLO 2024-4 LLC Class A-1, $300.0 million: AAA (sf) Class A-2, $30.0 million: AAA (sf) Class B, $50.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D-1 (deferrable), $30.0 million: BBB- (sf) Class D-2 (deferrable), $5.0 million: BBB- (sf) Class E (deferrable), $15.0 million: BB- (sf) Subordinated notes, $44.5 million: Not rated RCKT MORTGAGE 2024-CES9: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES9 (RCKT 2024-CES9). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2024-CES9 A1-A LT AAAsf New Rating AAA(EXP)sf A1-B 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 A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 6,757 closed-end second lien loans with a total balance of approximately $593.8 million as of the cutoff date. The pool consists of closed-end second-lien mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC). The issuer upsized the pool after Fitch published its expected ratings; there was no impact to bond credit enhancement, expected losses or ratings. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.7% above a long-term sustainable level (versus 11.7% on a national level as of 2Q24). 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. Prime Credit Quality (Positive): The collateral consists of 6,757 loans totaling approximately $593.8 million and seasoned at about 4.0 months in aggregate, as calculated by Fitch (one month, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 741; a debt-to-income ratio (DTI) of 38.3%; and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 77.8%. Of the pool, 98.6% of the loans are of a primary residence and 1.4% represent second homes, and 85.1% of loans were originated through a retail channel. Additionally, 56.4% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 17.4% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second Lien Collateral (Negative): The entire collateral pool comprises CES loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure (Positive): The transaction has a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal, first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. While Fitch had previously analyzed CES transactions using an interest rate cut, this stress is no longer being applied. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, applying the stress would have been overly punitive. If interest rate modifications re-emerge as a common form of loss mitigation or if certain structures are overly dependent on excess interest, Fitch may apply additional sensitivities to test the structure. 180-Day Chargeoff Feature (Positive): The class XS majority noteholder has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects meaningful recovery in any liquidation scenario, the class XS majority noteholder may direct the servicer to continue to monitor the loan and not charge it off. While the 180-day chargeoff feature will result in losses being incurred sooner, there is a larger amount of excess interest to protect against them. This compares favorably with a delayed liquidation scenario, where losses occur later in the life of a transaction and less excess is available to cover them. If a loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, recoveries realized after the writedown at 180 days DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.0% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 20bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT 2024-CES9 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk mitigation, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SAGARD-HALSEYPOINT CLO 8: S&P Assigns BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 SANTANDER BANK 2024-B: Moody's Assigns B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the Santander Bank Auto Credit-Linked Notes, Series 2024-B (SBCLN 2024-B) notes issued by Santander Bank, N.A. (SBNA). SBCLN 2024-B is the second credit linked notes transaction issued by SBNA in 2024 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank Auto Credit-Linked Notes, Series 2024-B Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa3 (sf) Class C Notes, Definitive Rating Assigned A3 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) Class F Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Santander Bank, N.A. or as a result of a FDIC conservator or receivership. This deal is unique in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of A2 or P-1 by us. SBNA will pay principal in the unlikely event that the cash collateral account does not have enough funds. The transaction also benefits from a Letter of Credit provided by a third party with a rating of A2 or P-1 by us. As a result, the rated notes are not capped by the LT Issuer rating of Santander Bank, N.A. (Baa1). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of Santander Bank, N.A. as the servicer and Santander Consumer USA Inc. as the sub-servicer. Moody's median cumulative net loss expectation for the 2024-B reference pool is 3.00% and a loss at a Aaa stress of 12.50%. The median cumulative net loss at 3.00% and the loss at a Aaa stress at 12.50% for 2024-B is same as that assigned for 2024-A, the last transaction Moody's rated. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Santander Bank, N.A. and Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit from 12.95%, 11.50%, 9.50%, 7.75%, 6.50%, and 4.25% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. SCULPTOR CLO XXVI: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1a-R, D-1b-R, D-2-R, and E-R replacement debt and the 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 LP. At the same time, we withdrew our ratings on the original class A, B, C, D-1, D-2, and E debt following payment in full on the Dec. 23, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The stated maturity was extended to Jan. 20, 2038. -- The reinvestment period was extended to Jan. 20, 2030, and the non-call period was extended to Dec. 23, 2026. -- Class X-R debt was issued in connection with this refinancing. This debt was paid down using interest proceeds during the first 10 payment dates, beginning with the payment date in April 2025. -- No additional subordinated notes were issued on the refinancing date. -- The replacement class A-R, B-R, C-R, D-1a-R, and E-R debt was issued at a lower spread over three-month term SOFR than the June 2021 notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and 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 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) Ratings Withdrawn Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB+ (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Sculptor CLO XXVI Ltd./Sculptor CLO XXVI LLC Subordinated notes, $37.74 million: NR NR--Not rated. SCULPTOR CLO XXXIV: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sculptor CLO XXXIV Ltd./Sculptor CLO XXXIV 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 Sculptor CLO Advisors 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 Sculptor CLO XXXIV Ltd./Sculptor CLO XXXIV LLC Class A-1, $252.00 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), $20.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated SIGNAL PEAK 1: S&P Affirms B- (sf) Rating on Class F-R3 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R4, B-R4, C-R4, and D-R4 debt and the new class A-R4 loans from Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC, a CLO managed by ORIX Advisers LLC that was originally issued in December 2014 and underwent a third refinancing in April 2021. At the same time, S&P withdrew its ratings on the class A-R3, B-R3, C-R3, and D-R3 debt following payment in full on the Dec. 23, 2024, refinancing date. We also affirmed our ratings on the class E-R3 and F-R3 debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period was extended to Dec. 23, 2025, for the refinanced debt. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F-R3 debt (which was not refinanced). However, we affirmed our 'B- (sf)' rating on the class F-R3 debt after considering the relatively stable overcollateralization ratio since our last rating action on the transaction and the margin of failure. In addition, we believe principal or interest payment on the class F-R3 debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our criteria." Replacement And April 2021 Debt Issuances Replacement debt -- Class A-R4 loans(i), $151.65 million: Three-month CME term SOFR + 1.08% -- Class A-R4, $135.0 million: Three-month CME term SOFR + 1.08% -- Class B-R4, $59.14 million: Three-month CME term SOFR + 1.60% -- Class C-R4 (deferrable), $22.75 million: Three-month CME term SOFR + 1.95% -- Class D-R4 (deferrable), $27.32 million: Three-month CME term SOFR + 3.50% April 2021 debt -- Class A-R3, $286.65 million: Three-month CME term SOFR + 1.16% + CSA(ii) -- Class B-R3, $59.14 million: Three-month CME term SOFR + 1.80% + CSA(ii) -- Class C-R3 (deferrable), $22.75 million: Three-month CME term SOFR + 2.25% + CSA(ii) -- Class D-R3 (deferrable), $27.32 million: Three-month CME term SOFR + 3.40% + CSA(ii) -- Class E-R3 (deferrable), $20.475 million: Three-month CME term SOFR + 6.40% + CSA(ii) -- Class F-R3 (deferrable), $5.97 million: Three-month CME term SOFR + 7.80% + CSA(ii) -- Subordinated notes, $44.50 million: Not applicable (i)No portion of the class A-R4 loans may be converted or exchanged into class A-R4 debt. (ii)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC Class A-R4 loans(i), $151.65 million: AAA (sf) Class A-R4, $135.0 million: AAA (sf) Class B-R4, $59.14 million: AA (sf) Class C-R4 (deferrable), $22.75 million: A (sf) Class D-R4 (deferrable), $27.32 million: BBB (sf) Ratings Withdrawn Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC Class A-R3 to NR from 'AAA (sf)' Class B-R3 to NR from 'AA (sf)' Class C-R3 to NR from 'A (sf)' Class D-R3 to NR from 'BBB (sf)' Ratings Affirmed Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC Class E-R3: BB- (sf) Class F-R3: B- (sf) Other Debt Signal Peak CLO 1 Ltd./Signal Peak CLO 1 LLC Subordinated notes, $44.50 million: NR (i)No portion of the class A-R4 loans may be converted or exchanged into class A-R4 debt. NR--Not rated. SOUND POINT 41: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sound Point CLO 41, Ltd. Entity/Debt Rating ----------- ------ Sound Point CLO 41, Ltd A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Sound Point CLO 41, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.65, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.65% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.92% versus a minimum covenant, in accordance with the initial expected matrix point of 73.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 Sound Point CLO 41, 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. STEELE CREEK 2018-2: Moody's Cuts Rating on $19MM E Notes to B1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Steele Creek CLO 2018-2, Ltd.: US$46,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Upgraded to Aaa (sf); previously on June 26, 2023 Upgraded to Aa1 (sf) US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on June 26, 2023 Upgraded to A1 (sf) US$25,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on August 27, 2020 Confirmed at Baa3 (sf) Moody's have also downgraded the rating on the following note: US$19,000,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 27, 2020 Confirmed at Ba3 (sf) Steele Creek CLO 2018-2, Ltd., issued in August 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in August 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since November 2023. The Class A notes have been paid down by approximately 56% or $143 million since then. Based on the trustee's November 2024[1] report, the OC ratios for the Class A/B, Class C and Class D notes are reported at 140.53%, 126.21% and 113.12%, respectively, versus November 2023[2] levels of 129.59%, 120.79% and 112.14%, respectively. Moody's note that the November 2024[1] trustee-reported OC ratios do not reflect the November 2024 payment distribution, when $34.8 million of principal proceeds were used to pay down the Class A Notes. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by OC deterioration and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's November 2024[1] report, the OC ratio for the Class E notes is reported at 104.85% versus November 2023[2] level of 106.35%. Furthermore, the trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating. Based on the trustee's November 2024[1] report, the current WARF and WAS levels are 3068 and 3.39%, respectively, compared to 2893 and 3.75%, respectively, in November 2023. No action was taken on the Class A 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: $234,656,883 Defaulted par: $5,722,310 Diversity Score: 59 Weighted Average Rating Factor (WARF): 2752 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.14% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 46.16% Weighted Average Life (WAL): 3.51 years Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SUMMIT ISSUER: Fitch Affirms 'BB-sf' Rating on Class C Notes ------------------------------------------------------------ Fitch Ratings has affirmed Summit Issuer LLC's Secured Dark Fiber Network Revenue Notes, Series 2023-1 and Series 2020-1 as follows: - $12,000,000a series 2023-1, class A-1-L, at 'Asf'; Outlook Stable; - $50,000,000b series 2023-1, class A-1-V, at 'A-sf'; Outlook Stable; - $132,800,000 series 2023-1, class A-2, at 'A-sf'; Outlook Stable; - $27,400,000 series 2023-1, class B, at 'BBB-sf'; Outlook Stable; - $40,500,000 series 2023-1, class C, at 'BB-sf'; Outlook Stable; - $122,700,000 series 2020-1 class A-2 at 'A-sf'; Outlook Stable; - $18,900,000 series 2020-1 class B at 'BBB-sf'; Outlook Stable; - $33,600,000 series 2020-1 class C at 'BB-sf'; Outlook Stable. (a) This note is a Liquidity Funding Note that can be drawn for the purpose of funding advances subject to the satisfaction of certain conditions. There remains no outstanding balance on the note, consistent with issuance and is not counted when calculating debt/Fitch net cash flow (NCF) ratio. (b) This note is a Variable Funding Note (VFN) and has a maximum commitment of $50 million, contingent on leverage consistent with the draws allowed based on leverage levels consistent with the A-2 notes. This class reflected a zero balance at issuance. As of the November 2024 reporting period, this note is undrawn. Entity/Debt Rating Prior ----------- ------ ----- Summit Issuer, LLC, Secured Dark Fiber Network Revenue Notes, Series 2020-1 A-2 86613XAA3 LT A-sf Affirmed A-sf B 86613XAC9 LT BBB-sf Affirmed BBB-sf C 86613XAE5 LT BB-sf Affirmed BB-sf Summit Issuer, LLC, Secured Dark Fiber Network Revenue Notes, Series 2023-1 A-1-L LT Asf Affirmed Asf A-1-V LT A-sf Affirmed A-sf A-2 86613XAG0 LT A-sf Affirmed A-sf B 86613XAH8 LT BBB-sf Affirmed BBB-sf C 86613XAJ4 LT BB-sf Affirmed BB-sf Transaction Summary The transaction is a securitization of SummitIG's high capacity network of fiber optic cable assets. These assets include conduits, cable, permits, rights and contracts, which support SummitIG's dark fiber network. The notes are secured by a first-priority perfected security interest in all of the equity interest in the issuer and the asset entities, along with the obligor's right, title and interest in the contracts and dark fiber assets. The collateral largely consists of mission-critical assets that support the largest data center hub in the U.S. This hub interconnects high-quality clients, including cloud providers, telecom companies, data center operators and large enterprise customers. The dark fiber network represents a differentiated deployment of a product providing crucial support to the internet. The majority of necessary capex has already been spent to deploy the assets and there are limited operating expenses, which allows for high margins and stable cash flows. The sponsor is a leading market participant in the Northern Virginia market (83.7% ARRR) and benefits from high barriers to entry, including the protection of collateral assets and corresponding cash flows by first-mover advantage, which precludes other providers from replicating service offerings. This advantage is further bolstered by sustained growth in internet usage and support for data center infrastructure, for which SummitIG's assets are a necessity. The company has deployed capacity in anticipation of supporting further growth. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: As of November 2024, ARRNOI was $56.0 million, up approximately 77.3% since the February 2023 issuance of notes, inclusive of the cash flows required to draw on the prefunding account. The debt multiple relative to the issuer's NCF on the rated classes exclusive of the Liquidity Funding Note and VFN is 6.7x compared to 10.4x at closing. Fitch has not redetermined Fitch NCF and maximum potential leverage (MPL) as there have not been material negative migrations in the performance, cash flow, or collateral asset characteristics. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and MPL include the high quality of the underlying collateral networks, scale, creditworthiness and diversity of the customer base, market position and penetration, capability of the operator, limited operational requirements 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 will be developed that renders obsolete the current transmission of data through fiber optic cables. 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, declining contract rates, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from rate increases, additional contracts, contract amendments, or lower expenses could lead to upgrades; - However, the transaction is capped at the 'A' category, given the potential for technological obsolescence and given the ability to issue additional notes or draw on existing debt commitments, without the benefit of additional collateral. 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. SYMPHONY CLO 40: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R 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. At the same time, we withdrew our ratings on the original class A-1, A-2, B, C-1, C-2, D and E debt and class A-1-L loans following payment in full on the Dec. 19, 2024, refinancing date. The replacement debt was 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 was 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 debt was issued at a floating spread, replacing the current floating spread. -- The non-call period was extended two years. -- The stated maturity was extended to January 2038. -- The reinvestment period was extended to January 2030. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." 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) Ratings Withdrawn Symphony CLO 40 Ltd./Symphony CLO 40 LLC Class A-1 to NR from AAA (sf) Class A-1-L loans to NR from AAA (sf) Class A-2 to NR from AAA (sf) Class B to NR from AA (sf) Class C-1 to NR from A+ (sf) Class C-2 to NR from A (sf) Class D to NR from BBB- (sf) Class E to NR from BB- (sf) Other Debt Symphony CLO 40 Ltd./Symphony CLO 40 LLC Subordinated notes, $36.40 million: NR NR--Not rated. TCW CLO 2021-1: Fitch Assigns 'BB-sf' Rating on Class E-R1 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TCW CLO 2021-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ TCW CLO 2021-1, Ltd. A-1R1 LT NRsf New Rating A-2R1 LT AAAsf New Rating B-R1 LT AAsf New Rating C-R1 LT Asf New Rating D-1R1 LT BBB-sf New Rating D-2R1 LT BBB-sf New Rating E-R1 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating X-R1 LT NRsf New Rating Transaction Summary TCW CLO 2021-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by TCW Asset Management Company LLC. The transaction, which originally closed in March 2021, is scheduled for its first refinancing on Dec. 18, 2024. Net proceeds from the issuance of secured and subordinated notes will finance a portfolio of approximately $400 million, consisting primarily of first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.51, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.31% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.63% versus a minimum covenant, in accordance with the initial expected matrix point of 74.95%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity 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 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-2R1, between 'BB+sf' and 'A+sf' for class B-R1, between 'B+sf' and 'BBB+sf' for class C-R1, between less than 'B-sf' and 'BB+sf' for class D-1R1, between less than 'B-sf' and 'BB+sf' for class D-2R1, and between less than 'B-sf' and 'B+sf' for class E-R1. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R1 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-R1, 'AA+sf' for class C-R1, 'A+sf' for class D-1R1, 'A-sf' for class D-2R1, and 'BBB+sf' for class E-R1. 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 TCW CLO 2021-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TELOS CLO 2014-6: S&P Lowers Class E Debt Rating to 'D (sf)' ------------------------------------------------------------ S&P Global Ratings reviewed its rating on Telos CLO 2014-6 Ltd., a U.S. collateralized loan obligation (CLO)currently managed by Whitestar Asset Management(previously managed by Telos Asset Management LLC). During the review, S&P lowered its rating on the class E debt to 'D (sf)' from 'CCC- (sf)'. At the same time, S&P removed the rating from CreditWatch, where it was placed with negative implications on Oct.9, 2024. The rating actions follow its review of the transaction's performance using data from the Oct. 31,2024, trustee report. Since S&P's July 2023 rating action, the class E debt had total paydowns of $7.72 million, which reduced its outstanding balance to 56.13% of the original balance. However, the transaction has $2.80 million total collateral remaining according to the Oct. 31, 2024, trustee report, which, even assuming full recovery of defaults, is less than class E principal balance of $9.26 million. The downgrade reflects the fact that there isn't enough collateral remaining for the class E debt to receive the full payment of principal on the final payment date. TOWD POINT 2024-2: Fitch Assigns B-sf Final Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2024-2 (TPMT 2024-2). Entity/Debt Rating Prior ----------- ------ ----- Towd Point Mortgage Trust 2024-2 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 860 primarily seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $546 million. Distributions of P&I and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 180 days or until they are deemed nonrecoverable. 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 8.6% above a long-term sustainable level (vs. 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 remain supported by limited inventory. Seasoned Prime Credit Quality (Positive): The collateral consists of 860 seasoned performing and re-performing first- and second-lien loans, totaling $546 million, and seasoned approximately 94 months in aggregate (as calculated by Fitch as the difference between the origination date and the run date). The pool is 99.5% current and 0.5% DQ. Over the last two years, 93.4% of loans have been clean current. In addition, 0.7% of loans have a prior modification. The borrowers have a very strong credit profile (769 Fitch model FICO and 36% DTI) and low leverage (47% sustainable LTV [sLTV]). The pool consists of 84.7% of loans where the borrower maintains a primary residence, while 15.3% are investment properties or second homes. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan-to-value (CLTV) ratio of 63.2%. All loans received updated property values, translating to a WA current (mark-to-market) CLTV ratio of 42.3% after applicable haircuts based on valuation type and a sLTV of 46.5% at the base case. This reflects low-leverage borrowers and is stronger than in comparable seasoned transactions. Payment Shock (Negative): Of the pool, 84% of the pool loans are vulnerable to a future payment shock, either as a result of underlying adjustable-rate loans or loans currently in an interest-only period (or both). As the adjustable-rate loans were originated under low rates and given the current rate environment, the reset could prove to be meaningful. The borrowers' credit profile and very low leverage should mitigate potential defaults arising from a payment shock; however, defaults were still increased by 60% to account for this risk. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for DQ P&I. The limited advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure (pro-rata to the AAAsf rated notes), whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Indemnification Clause (Positive): U.S. Bank (the seller) will provide the ability-to-repay (ATR) rep and will indemnify any losses resulting from noncompliance with the ATR standards. Fitch deems the indemnification provision, summarized below, to be robust enough to cover any ATR-related risks or losses. U.S. Bank's ATR representation states that all mortgage loans originated on or after Jan. 10, 2014, comply with the ATR standards specified in Section 1026.43(c) of Regulation Z. If a claim or proposed settlement indicates a potential breach of this representation, the U.S. Bank remedy provider will either repurchase the mortgage loan or notify the issuer of its decision not to repurchase. If the loan is not repurchased, the remedy provider must compensate the issuer for any losses resulting from a successful claim or defense by the borrower related to the ATR representation. In addition, the remedy provider will indemnify the issuer against various costs and damages arising from any breach of the ATR representation, except in cases of gross negligence, willful misconduct by the issuer or the issuer's failure to comply with the U.S. bank master lease purchase agreement (MLPA) terms. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. CRITERIA VARIATION Fitch's analysis incorporated two criteria variations from its "U.S. RMBS Rating Criteria" and "U.S. RMBS Loan Loss Model Criteria." The first variation is that the due diligence sample size for the transaction does not meet the minimum requirements as listed in Fitch's criteria. Fitch expects a compliance review for the greater of 200 loans or a 10% sample if loans are sourced from a single originator. Of the loans, 10.5% by loan count received a compliance review. While the current sample is in line on a percentage basis, it does not meet the minimum loan count. This pool is part of a larger cohort being securitized in pieces. Fitch was provided access to the entire diligence sample, which covered roughly 10%, or 656 loans. Fitch relied on the larger population sample, which had no material differences compared to this pool, to mitigate the lower total number of loans reviewed for this transaction. In addition, the ATR rep for these loans is being provided by U.S. Bank, and any potential breaches of the rep will result in a repurchase, indemnification or cure by U.S. Bank. This variation had no rating impact. The second variation relates to the application of lower LS floors than those described in Fitch's criteria. This pool benefits from a material amount of equity buildup. Even after a 40.6% home price decline environment (AAAsf rating case), the stressed sLTV is only 72.0%. Also, the pool's sLTV of 47.0% is below the RPL industry average. Fitch believes that applying a 30% LS floor in this situation is highly punitive and considers that a 20% LS floor at 'AAAsf' provides additional downside protection in the event of idiosyncratic events while differentiating this pool from other pools with much higher sLTVs. This treatment resulted in a rating of approximately one notch higher for each class. 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. A third-party due diligence was performed on approximately 10.5% of the pool by loan count by AMC assessed as an 'Acceptable' third-party review (TPR) firm by Fitch. The scope primarily focused on a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. In addition, a tax and title review was completed on 100% of the loans by Westcor. While the review was substantially similar to Fitch criteria with respect to RPL transactions, the sample size yielded minor variations to the criteria as indicated above. Fitch considered this information in its analysis and there was no impact on the losses. ESG Considerations Towd Point Mortgage Trust 2024-2 has an ESG Relevance Score of '4' for Exposure to Environmental Impacts due to geographic concentrations, 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. TRIMARAN CAVU 2019-1: S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class X-R, A-1-R, A-2-R, B-R, C-R, D-1A-R, D-1B-R, D-2-R, and E-R replacement debt from Trimaran CAVU 2019-1 Ltd./Trimaran CAVU 2019-1 LLC, a CLO originally issued in 2019 that is managed by Trimaran Advisors LLC, a subsidiary of LibreMax Capital. The preliminary ratings are based on information as of Dec. 23, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Dec. 27, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original 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 notes. According to the proposed supplemental indenture: -- The weighted average cost of debt of the replacement debt is expected to be lower than the original debt. -- Class X-R debt expected to be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first eleven payment dates beginning with the payment date in July 2025. -- The original class A-2, B, C-1, D, and E debt was exchangeable for a proportionate interest in combinations of principal notes and interest-only notes, referred to as MASCOT (modifiable and splitable/combinable tranche) notes. The replacement debt will not have the same features. -- The reinvestment period and non-call periods will be extended 3.5 years to January 2028 and January 2026, respectively. -- The stated maturity will be extended 4.5 years to January 2037. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trimaran CAVU 2019-1 Ltd./Trimaran CAVU 2019-1 LLC Class X-R, $6.40 million: AAA (sf) Class A-1-R, $310.00 million: AAA (sf) Class A-2-R, $15.43 million: AAA (sf) Class B-R, $54.57 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1A-R (deferrable), $22.00 million: BBB (sf) Class D-1B-R (deferrable), $3.00 million: BBB (sf) Class D-2-R (deferrable), $7.50 million: BBB- (sf) Class E-R (deferrable), $16.50 million: BB- (sf) TRIMARAN CAVU 2024-1: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 VELOCITY COMMERCIAL 2024-6: DBRS Gives Prov. B Rating on 3 Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2024-6 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2024-6 (VCC 2024-6 or the Issuer) as follows: -- $200.9 million Class A at (P) AAA (sf) -- $16.1 million Class M-1 at (P) AA (low) (sf) -- $14.8 million Class M-2 at (P) A (low) (sf) -- $33.8 million Class M-3 at (P) BBB (low) (sf) -- $15.4 million Class M-4 at (P) BB (sf) -- $13.0 million Class M-5 at (P) B (high) (sf) -- $4.1 million Class M-6 at (P) B (sf) -- $200.9 million Class A-S at (P) AAA (sf) -- $200.9 million Class A-IO at (P) AAA (sf) -- $16.1 million Class M1-A at (P) AA (low) (sf) -- $16.1 million Class M1-IO at (P) AA (low) (sf) -- $14.8 million Class M2-A at (P) A (low) (sf) -- $14.8 million Class M2-IO at (P) A (low) (sf) -- $33.8 million Class M3-A at (P) BBB (low) (sf) -- $33.8 million Class M3-IO at (P) BBB (low) (sf) -- $15.4 million Class M4-A at (P) BB (sf) -- $15.4 million Class M4-IO at (P) BB (sf) -- $13.0 million Class M5-A at (P) B (high) (sf) -- $13.0 million Class M5-IO at (P) B (high) (sf) -- $4.1 million Class M6-A at (P) B (sf) -- $4.1 million Class M6-IO at (P) B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 33.40% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 28.05%, 23.15%, 11.95%, 6.85%, 2.55%, and 1.20% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2024-6 is a securitization of a portfolio of newly originated and seasoned fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Eight of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real-estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2024-6 (the Certificates). The Certificates are backed by 765 mortgage loans with a total principal balance of $301,585,376 as of the Cut-Off Date (November 1, 2024). Approximately 50.7% of the pool comprises residential investor loans, about 47.0% of traditional SBC loans, and about 2.3% are the SBA 504 loans mentioned above. Most of the loans in this securitization (84.5%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). Thirty-seven loans (15.5%) were originated by New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the eight SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than to the property value). For all of the New Day-originated loans, underwriting was based on business cash flows but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances of more than $750,000 for purchase transactions and of more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. On January 5, 2024, a suit was filed in the U.S. District Court for the Central District of California by Harvest Small Business Finance, LLC and Harvest Commercial Capital, LLC against certain employees of New Day Business Finance LLC and Velocity Commercial Capital, LLC d/b/a New Day Commercial Capital, LLC (New Day) alleging violations of the Defend Trade Secrets Act, the California Uniform Trade Secrets Act, and the California Unfair Competition Law. New Day has indicated that it does not believe that this suit is material. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 37 New Day originated loans (including the eight SBA 504 loans), and PHH will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, PHH will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling to less than 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted-average coupon shortfalls (Net WAC Rate Carryover Amounts). VCC 2024-6, in contrast to the prior VCC securitizations, will also allocate certain excess spread amounts (after first paying Net WAC Rate Carryover Amounts and before covering realized losses) as principal in every period, when available. In prior transactions, this feature was not incorporated after the occurrence of a Class A Minimum CE Event. Please see the Cash Flow Structure and Features section of the report for more details. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY - SMALL BALANCE COMMERCIAL (SBC) LOANS The collateral for the small balance commercial (SBC) loan portion of the pool consists of 257 individual loans secured by 259 commercial and multifamily properties with an average cut-off date loan balance of $551,594. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "North American CMBS Multi-Borrower Rating Methodology" (the CMBS Methodology). The commercial mortgage-backed security (CMBS) loans have a weighted-average (WA) fixed interest rate of 11.0%. This rate is approximately 30 basis points (bps) higher than the rate for the VCC 2024-5 transaction, 40 bps lower than the rate for the VCC 2024-4 transaction, 70 bps lower than the rate for the VCC 2024-3 transaction, and 60 bps lower than the rates for both the VCC 2024-2 and VCC 2024-1 transactions. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, nine loans, which represent 11.3% of the SBC pool, have initial IO periods of 24, 60, or 120 months. All of the SBC loans were originated between August 2024 and October 2024 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.5 months. The SBC pool has a WA original term length of 360 months, or approximately 30 years. Based on the current loan amount, which reflects 30 bps of amortization, and the current appraised values, the SBC pool has a WA loan-to-value (LTV) of 60.0%. However, Morningstar DBRS made LTV adjustments to 37 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 65.4%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in Morningstar DBRS' "Rating North American CMBS Interest-Only Certificates" methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one-third of the total default rate), and the term default rate was approximately 11%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, Morningstar DBRS estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. The historical prepayment performance of those loans is close to a 0% conditional prepayment rate. If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loans. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, approximately 61.3% of the deal (157 SBC loans) has an Issuer net operating income DSCR less than 1.0 times (x), which is in line with the previous 2024 transactions, but is a larger proportion than the previous VCC transactions in 2023 and 2022. Additionally; although, the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, it is important to point out the WA FICO score of 710 for the SBC loans is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $551,594, a concentration profile equivalent to that of a transaction with 120 equal-size loans, and a top 10 loan concentration of 20.1%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (35.9%) and office (14.8%), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 50.7% of the SBC pool balance. Morningstar DBRS applied a -20.0% reduction to the NCF for retail properties and a -30.0% reduction to the NCF for office assets in the SBC pool, which is above the average net cash flow (NCF) reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Instead, Morningstar DBRS relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, one was Average + quality (0.5%), 16 were Average quality (18.5%), 41 were Average - quality (49.5%), 14 were Below Average quality (21.0%), and eight were Poor quality (10.4%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, PCRs, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received and reviewed appraisals of sampled loans within the top 31 of the pool representing 35.6% of the SBC pool balance. These appraisals were issued between August 2024 and October 2024 when the respective loans were originated. Morningstar DBRS was able to perform a loan-level cash flow analysis on 29 loans in the pool. The NCF haircuts for these loans ranged from -6.7% to -46.3%, with an average of -17.9%; however, Morningstar DBRS generally applied more conservative haircuts on the nonsampled loans. No ESA reports were provided nor required by the Issuer; however, all of the loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss information or earthquake insurance requirements were provided. Therefore, an LGD penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 11.0%, which is indicative of the broader increased interest rate environment and represents a large increase over the rates for the VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. Furthermore, Morningstar DBRS received a 12-month pay history for each loan through October 31, 2024. If any loan had more than two late payments within this period or was then 30 days past due, Morningstar DBRS applied an additional stress to the default rate. This did not occur for any of the SBC loans but has occurred in previous VCC securitizations rated by Morningstar DBRS. SBA 504 LOANS The transaction includes eight SBA 504 loans, totaling approximately $6.9 million or 2.3% of the aggregate 2024-6 collateral pool. These are owner-occupied, first lien CRE-backed loans, originated via SBA 504 in conjunction with community development companies, made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between May 23, 2024, and October 23, 2024, via New Day, which will also act as sub-servicer of the loans, The total outstanding principal balance as of the cut-off date is approximately $6.9 million, with an average balance of $863,267. The WA interest rate is 9.64%. The loans are subject to prepayment penalties of 5%,4%, 3%, 2%, and 1%, respectively, in the first five years from origination. These loans are for properties that are owner-occupied by the small business owner. WA LTV is 46.58%, WA DSCR is 1.03x, and the WA FICO of this sub-pool is 751. For these loans, Morningstar DBRS applied its "Rating U.S. Structured Finance Transactions" methodology's Appendix XVIII: U.S. Small Business. As there is limited historical information for the originator, Morningstar DBRS used proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, LTV, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific credit rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 500 mortgage loans with a total balance of approximately $152.9 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update," published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. VENTURE CLO XIII: Moody's Cuts Rating on $39.5MM E-R Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Venture XIII CLO, Limited: $39,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Downgraded to Caa1 (sf); previously on April 5, 2024 Downgraded to B1 (sf) Venture XIII CLO, Limited, originally issued in March 2013, refinanced in September 2017 and partially refinanced in March 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in September 2021. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's October 2024 report [1], the OC test ratio for the Class E-R notes is reported at 97.24% versus the March 2024 level of 100.21% [2], and failing the trigger level of 104.25%. Furthermore, the weighted average rating factor (WARF) has been deteriorating and based on Moody's calculations, the current level is currently 3071 compared to 2521 in March 2024. No actions were taken on the Class A-R2, Class B-R, Class C-R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $198,313,723 Defaulted par: $4,831,564 Diversity Score: 48 Weighted Average Rating Factor (WARF): 3071 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.81% Weighted Average Recovery Rate (WARR): 46.10% Weighted Average Life (WAL): 2.8 years Par haircut in OC tests and interest diversion test: 4.1% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VISTA POINT 2024-CES3: DBRS Gives Prov. B Rating on B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2024-CES3 (the Notes) to be issued by Vista Point Securitization Trust 2024-CES3 (VSTA 2024-CES3 or the Trust): -- $185.8 million Class A-1 at (P) AAA (sf) -- $13.5 million Class A-2 at (P) AA (sf) -- $13.0 million Class A-3 at (P) A (sf) -- $13.4 million Class M-1 at (P) BBB (sf) -- $12.4 million Class B-1 at (P) BB (sf) -- $8.2 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 27.30% of credit enhancement provided by subordinate Notes. The (P) AA (sf), A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 22.00%, 16.90%, 11.65%, 6.80%, and 3.60% of credit enhancement, respectively. VSTA 2024-CES3 is a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2024-CES3 (the Notes). The Notes are backed by 1,314 mortgage loans with a total principal balance of 255,545,541 as of the Cut-Off Date (November 30, 2024). The portfolio, on average, is two months seasoned, though seasoning ranges from zero to 20 months. Borrowers in the pool represent prime and expanded-prime credit quality -- weighted-average (WA) Morningstar DBRS-calculated FICO score of 734, Issuer-provided original combined loan-to-value ratio (CLTV) of 66.8%. The loans were generally originated with Morningstar DBRS defined full documentation standards. As of the Cut-Off Date, all but three loans (99.8% of the pool) were current. Since then, two loans (0.2%) that were 30 days delinquent have self-cured, leaving only one loan ( VOYA CLO 2024-6: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2024-6, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2024-6, Ltd. X LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B-1 LT AAsf New Rating B-2 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 Sub Notes LT NRsf New Rating Transaction Summary Voya CLO 2024-6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.67 versus a maximum covenant, in accordance with the initial expected matrix point of 24.68. 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 98.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.55% versus a minimum covenant, in accordance with the initial expected matrix point of 70.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-6, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. WFRBS COMMERCIAL 2014-C20: DBRS Confirms CCC Rating on C Certs -------------------------------------------------------------- DBRS, Inc. confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-C20 issued by WFRBS Commercial Mortgage Trust 2014-C20 as follows: -- Class B at BB (high) (sf) -- Class C at CCC (sf) Morningstar DBRS changed the trend on Class B to Negative from Stable. Class C has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS). The Negative trend on the Class B certificate, as well as the credit rating confirmation on the Class C certificate, reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. While the recoverability analysis indicates that, even in a conservative scenario, losses would be contained to the Class C certificate, the transaction is exposed to increased adverse selection and propensity for interest shortfalls given only eight loans remain in the pool, and all are in special servicing. The remaining loan collateral consists primarily of office and retail properties, which represent 48.5% of the pool and 47.3% of the pool, respectively. The Morningstar DBRS loss expectations are primarily driven by the two largest remaining loans in the pool, Sugar Creek I & II (Prospectus ID#4, 31.9% of the pool) and Worldgate Centre (Prospectus ID#3, 29.1% of the pool), both of which received updated appraisals in March 2024, indicating significant value declines from issuance. With the November 2024 remittance, interest payments on the Class C certificate were shorted by approximately $1.1 million and are accumulating at a rate of approximately $190,000 per month. The Class B certificate continues to receive full interest due, but given the factors as described above, the servicer could elect to withhold those payments as the workout periods continue to extend for the remaining loans in the pool. The largest remaining loan, Sugar Creek I & II, is secured by two adjacent Class A office buildings in Sugar Land, Texas, totaling 409,618 square feet (sf). The loan has been real estate owned since February 2023, and the lender has experienced continued issues in leasing up space with the March 2024 occupancy reported at 55.2%, which is in line with the prior two years. There is considerable rollover of 22.4% of the NRA in the coming 12 months, including the second-largest tenant, Noble Drilling Services (17.7% of the NRA, lease expiry in December 2024), which is expected to vacate. In addition, the property is located in the distressed southwest Houston submarket, which according to Reis reported a Q3 2024 vacancy of 25.9%. The property was appraised in March 2024 for $30.3 million, marking a third consecutive decline in appraised value since the issuance value of $83.5 million. As part of the recoverability analysis considered for this review, Morningstar DBRS liquidated this loan from the pool, applying a haircut to the March 2024 appraised value, which resulted in a loss severity in excess of 65%. The second-largest remaining loan, Worldgate Centre, is secured by 229,326 sf anchored retail center in suburban Herndon, Virginia, in close proximity to Dulles International Airport. The loan most recently returned to the master servicer in February 2024 after the borrower requested a loan extension. As of the July 2024 reporting, a forbearance was approved extending the maturity date to July 2026 with an additional option for a one-year extension subject to performance criteria. As of the October 2024 remittance, loan payments remain current. In recent years, the loan's performance has deteriorated versus pre-pandemic figures, reporting a debt service coverage ratio of 0.64 times (x) as of YE2023 compared with 0.54x in YE2022 and 1.3x at issuance. The drop in performance is primarily attributable to the loss of income from the property's fitness center tenant, Sport & Health (approximately 45.0% of the NRA), which vacated after filing for Chapter 7 bankruptcy in 2021. Following the tenant's bankruptcy filing, the landlord reopened the fitness center with management assistance from Arch and worked to re-sign existing members. However, the prior tenant had neglected the space and, ultimately, it required nearly $3.0 million in capital improvements to bring it up to standard. Since the renovations, membership levels have increased each month, and the landlord intends to attract a new fitness center tenant that will enter into a long-term lease agreement and assume in-place membership/business responsibilities. Occupancy has remained quite stable with the September 2024 rent roll reporting an occupancy of 99.6%; however, the landlord continues to operate the fitness center and is not collecting rent, with an implied economic occupancy rate of just 54%. According to the most recent appraisal dated March 2024, the as-is value was reported at $37.1 million compared with $88.5 million at issuance. Morningstar DBRS applied a haircut to the March 2024 appraisal in the liquidation analysis considered for the loan as part of this review, resulting in a 45% loss severity. Notes: All figures are in U.S. dollars unless otherwise noted. WINDHILL CLO 3: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Windhill CLO 3 Ltd./Windhill CLO 3 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle-market speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by PGIM Inc. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Windhill CLO 3 Ltd./Windhill CLO 3 LLC Class A, $232.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB (sf) Class E (deferrable), $36.00 million: BB- (sf) Subordinated notes, $33.48 million: Not rated [*] DBRS Reviews 110 Classes From 8 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 110 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions. Of the eight transactions reviewed, two are classified as non-qualified mortgages and six are classified as reperforming transactions. Of the 110 classes reviewed, Morningstar DBRS upgraded its credit ratings on 29 classes and confirmed its credit ratings on 81 classes. The Affected Ratings are available at https://bit.ly/4fxGHb3 The Issuers are: NLT 2023-1 Trust PRPM 2023-NQM3 Trust NYMT Loan Trust 2022-CP1 Towd Point Mortgage Trust 2020-2 Towd Point Mortgage Trust 2023-1 Verus Securitization Trust 2022-2 Towd Point Mortgage Trust 2021-SJ2 GS Mortgage-Backed Securities Trust 2024-RPL1 The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update" published on September 25, 2024 (https://dbrs.morningstar.com/research/439965). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 268 Classes From 9 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 268 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions. The nine transactions reviewed are classified as prime jumbo transactions. Of the 268 classes reviewed, Morningstar DBRS upgraded its credit ratings on six classes and confirmed its credit ratings on 262 classes. The Affected Ratings are available at https://bit.ly/3Dwp2mO The Issuers are: CIM Trust 2019-INV1 PMT Loan Trust 2013-J1 CIM Trust 2020-J2 CIM Trust 2018-J1 CIM Trust 2018-INV1 TIAA Bank Mortgage Loan Trust 2018-3 TIAA Bank Mortgage Loan Trust 2018-2 MetLife Securitization Trust 2020-INV1 Galton Funding Mortgage Trust 2018-2 The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update" published on September 25, 2024 (https://dbrs.morningstar.com/research/439965). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Fitch Affirms 158 Classes From Six 2023 Vintage US CMBS Deals ----------------------------------------------------------------- Fitch Ratings has affirmed 158 classes from six 2023 vintage U.S. CMBS multiborrower transactions. The Rating Outlooks for 20 classes were revised to Negative from Stable. Rating Outlooks remain Stable on the remaining 138 affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- BANK5 2023-5YR2 A-1 06211CAA3 LT AAAsf Affirmed AAAsf A-2-1 06211CAB1 LT AAAsf Affirmed AAAsf A-2-1-1 06211CAC9 LT AAAsf Affirmed AAAsf A-2-1-2 06211CAD7 LT AAAsf Affirmed AAAsf A-2-1-X1 06211CAE5 LT AAAsf Affirmed AAAsf A-2-1-X2 06211CAF2 LT AAAsf Affirmed AAAsf A-3 06211CAG0 LT AAAsf Affirmed AAAsf A-3-1 06211CAH8 LT AAAsf Affirmed AAAsf A-3-2 06211CAJ4 LT AAAsf Affirmed AAAsf A-3-X1 06211CAK1 LT AAAsf Affirmed AAAsf A-3-X2 06211CAL9 LT AAAsf Affirmed AAAsf A-S 06211CAP0 LT AAAsf Affirmed AAAsf A-S-1 06211CAQ8 LT AAAsf Affirmed AAAsf A-S-2 06211CAR6 LT AAAsf Affirmed AAAsf A-S-X1 06211CAS4 LT AAAsf Affirmed AAAsf A-S-X2 06211CAT2 LT AAAsf Affirmed AAAsf B 06211CAU9 LT AA-sf Affirmed AA-sf B-1 06211CAV7 LT AA-sf Affirmed AA-sf B-2 06211CAW5 LT AA-sf Affirmed AA-sf B-X1 06211CAX3 LT AA-sf Affirmed AA-sf B-X2 06211CAY1 LT AA-sf Affirmed AA-sf C 06211CAZ8 LT A-sf Affirmed A-sf C-1 06211CBA2 LT A-sf Affirmed A-sf C-2 06211CBB0 LT A-sf Affirmed A-sf C-X1 06211CBC8 LT A-sf Affirmed A-sf C-X2 06211CBD6 LT A-sf Affirmed A-sf D 06211CBQ7 LT BBBsf Affirmed BBBsf E 06211CBS3 LT BBB-sf Affirmed BBB-sf F 06211CBU8 LT BB-sf Affirmed BB-sf G 06211CBW4 LT B-sf Affirmed B-sf X-A 06211CAM7 LT AAAsf Affirmed AAAsf X-B 06211CAN5 LT AAAsf Affirmed AAAsf X-D 06211CBG9 LT BBB-sf Affirmed BBB-sf X-F 06211CBJ3 LT BB-sf Affirmed BB-sf X-G 06211CBL8 LT B-sf Affirmed B-sf BANK5 2023-5YR1 A-1 06644EAA6 LT AAAsf Affirmed AAAsf A-2 06644EAB4 LT AAAsf Affirmed AAAsf A-2-1 06644EAC2 LT AAAsf Affirmed AAAsf A-2-2 06644EAD0 LT AAAsf Affirmed AAAsf A-2-X1 06644EAE8 LT AAAsf Affirmed AAAsf A-2-X2 06644EAF5 LT AAAsf Affirmed AAAsf A-3 06644EAG3 LT AAAsf Affirmed AAAsf A-3-1 06644EAH1 LT AAAsf Affirmed AAAsf A-3-2 06644EAJ7 LT AAAsf Affirmed AAAsf A-3-X1 06644EAK4 LT AAAsf Affirmed AAAsf A-3-X2 06644EAL2 LT AAAsf Affirmed AAAsf A-S 06644EAM0 LT AAAsf Affirmed AAAsf A-S-1 06644EAN8 LT AAAsf Affirmed AAAsf A-S-2 06644EAP3 LT AAAsf Affirmed AAAsf A-S-X1 06644EAQ1 LT AAAsf Affirmed AAAsf A-S-X2 06644EAR9 LT AAAsf Affirmed AAAsf B 06644EBZ0 LT AA-sf Affirmed AA-sf B-1 06644EAS7 LT AA-sf Affirmed AA-sf B-2 06644EAT5 LT AA-sf Affirmed AA-sf B-X1 06644EAU2 LT AA-sf Affirmed AA-sf B-X2 06644EAV0 LT AA-sf Affirmed AA-sf C 06644EAW8 LT A-sf Affirmed A-sf C-1 06644EAX6 LT A-sf Affirmed A-sf C-2 06644EAY4 LT A-sf Affirmed A-sf C-X1 06644EAZ1 LT A-sf Affirmed A-sf C-X2 06644EBA5 LT A-sf Affirmed A-sf D 06644EBM9 LT BBBsf Affirmed BBBsf E 06644EBP2 LT BBB-sf Affirmed BBB-sf F 06644EBR8 LT BB-sf Affirmed BB-sf G 06644EBT4 LT B-sf Affirmed B-sf X-A 06644EBB3 LT AAAsf Affirmed AAAsf X-D 06644EBD9 LT BBB-sf Affirmed BBB-sf X-F 06644EBF4 LT BB-sf Affirmed BB-sf X-G 06644EBH0 LT B-sf Affirmed B-sf BMARK 2023-B38 A-1 081916AA6 LT AAAsf Affirmed AAAsf A-2 081916AB4 LT AAAsf Affirmed AAAsf A-3 081916AC2 LT AAAsf Affirmed AAAsf A-4 081916AE8 LT AAAsf Affirmed AAAsf A-M 081916AG3 LT AAAsf Affirmed AAAsf A-SB 081916AD0 LT AAAsf Affirmed AAAsf B 081916AH1 LT AA-sf Affirmed AA-sf C 081916AJ7 LT A-sf Affirmed A-sf D 081916AT5 LT BBBsf Affirmed BBBsf E 081916AV0 LT BBB-sf Affirmed BBB-sf F 081916AX6 LT BB-sf Affirmed BB-sf PDC-A1 081916BH0 LT BBsf Affirmed BBsf PDC-A2 081916BK3 LT BBsf Affirmed BBsf PDC-HRR 081916BM9 LT BBsf Affirmed BBsf X-A 081916AF5 LT AAAsf Affirmed AAAsf X-D 081916AK4 LT BBB-sf Affirmed BBB-sf X-F 081916AM0 LT BB-sf Affirmed BB-sf BMARK 2023-V2 A-1 08163TAA0 LT AAAsf Affirmed AAAsf A-2 08163TAB8 LT AAAsf Affirmed AAAsf A-3 08163TAC6 LT AAAsf Affirmed AAAsf A-S 08163TAD4 LT AAAsf Affirmed AAAsf B 08163TAE2 LT AA-sf Affirmed AA-sf C 08163TAF9 LT A-sf Affirmed A-sf D 08163TAR3 LT BBBsf Affirmed BBBsf E-RR 08163TAH5 LT BBB-sf Affirmed BBB-sf F-RR 08163TAK8 LT BB-sf Affirmed BB-sf G-RR 08163TAM4 LT B-sf Affirmed B-sf X-A 08163TAG7 LT AAAsf Affirmed AAAsf X-D 08163TAV4 LT BBBsf Affirmed BBBsf BANK 2023-BNK46 A-1 06541DBA1 LT AAAsf Affirmed AAAsf A-2-1 06541DBB9 LT AAAsf Affirmed AAAsf A-2-2 06541DAA2 LT AAAsf Affirmed AAAsf A-4 06541DBH6 LT AAAsf Affirmed AAAsf A-4-1 06541DBJ2 LT AAAsf Affirmed AAAsf A-4-2 06541DBK9 LT AAAsf Affirmed AAAsf A-4-X1 06541DBL7 LT AAAsf Affirmed AAAsf A-4-X2 06541DBM5 LT AAAsf Affirmed AAAsf A-S 06541DBN3 LT AAAsf Affirmed AAAsf A-S-1 06541DBP8 LT AAAsf Affirmed AAAsf A-S-2 06541DBQ6 LT AAAsf Affirmed AAAsf A-S-X1 06541DBR4 LT AAAsf Affirmed AAAsf A-S-X2 06541DBS2 LT AAAsf Affirmed AAAsf A-SB 06541DCF9 LT AAAsf Affirmed AAAsf B 06541DBT0 LT AA-sf Affirmed AA-sf B-1 06541DBU7 LT AA-sf Affirmed AA-sf B-2 06541DBV5 LT AA-sf Affirmed AA-sf B-X1 06541DBW3 LT AA-sf Affirmed AA-sf B-X2 06541DBX1 LT AA-sf Affirmed AA-sf C 06541DBY9 LT A-sf Affirmed A-sf C-1 06541DBZ6 LT A-sf Affirmed A-sf C-2 06541DCA0 LT A-sf Affirmed A-sf C-X1 06541DCB8 LT A-sf Affirmed A-sf C-X2 06541DCC6 LT A-sf Affirmed A-sf D 06541DAL8 LT BBBsf Affirmed BBBsf E 06541DAN4 LT BBB-sf Affirmed BBB-sf F 06541DAQ7 LT BB-sf Affirmed BB-sf G 06541DAS3 LT B-sf Affirmed B-sf X-A 06541DCD4 LT AAAsf Affirmed AAAsf X-B 06541DCE2 LT AAAsf Affirmed AAAsf X-D 06541DAC8 LT BBB-sf Affirmed BBB-sf X-F 06541DAE4 LT BB-sf Affirmed BB-sf X-G 06541DAG9 LT B-sf Affirmed B-sf BANK5 2023-5YR4 A-3 06211FAV0 LT AAAsf Affirmed AAAsf A-3-1 06211FAW8 LT AAAsf Affirmed AAAsf A-3-2 06211FAX6 LT AAAsf Affirmed AAAsf A-3-X1 06211FAY4 LT AAAsf Affirmed AAAsf A-3-X2 06211FAZ1 LT AAAsf Affirmed AAAsf A-S 06211FBA5 LT AAAsf Affirmed AAAsf A-S-1 06211FBB3 LT AAAsf Affirmed AAAsf A-S-2 06211FBC1 LT AAAsf Affirmed AAAsf A-S-X1 06211FBD9 LT AAAsf Affirmed AAAsf A-S-X2 06211FBE7 LT AAAsf Affirmed AAAsf B 06211FBF4 LT AA-sf Affirmed AA-sf B-1 06211FBG2 LT AA-sf Affirmed AA-sf B-2 06211FBH0 LT AA-sf Affirmed AA-sf B-X1 06211FBJ6 LT AA-sf Affirmed AA-sf B-X2 06211FBK3 LT AA-sf Affirmed AA-sf C 06211FBL1 LT A-sf Affirmed A-sf C-1 06211FBM9 LT A-sf Affirmed A-sf C-2 06211FBN7 LT A-sf Affirmed A-sf C-X1 06211FBP2 LT A-sf Affirmed A-sf C-X2 06211FBQ0 LT A-sf Affirmed A-sf D 06211FAE8 LT BBBsf Affirmed BBBsf E-RR 06211FAG3 LT BBB-sf Affirmed BBB-sf F-RR 06211FAJ7 LT BB+sf Affirmed BB+sf G-RR 06211FAL2 LT BB-sf Affirmed BB-sf J-RR 06211FAN8 LT B-sf Affirmed B-sf X-A 06211FBR8 LT AAAsf Affirmed AAAsf X-D 06211FAC2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are as follows: 3.2% in BMARK 2023-B38; 3.6% in BANK 2023-BNK46; 3.3% in BANK5 2023-5YR1; 4.3% in BANK5 2023-5YR4; 3.2% in BANK5 2023-5YR2; 3.9% in BMARK 2023-V2. Fitch Loans of Concerns (FLOCs) comprise two loans in each of the BMARK 2023-B38 (13.3% of the pool) and BMARK 2023-V2 transactions (3.3%), and one loan in each of the BANK 2023-BNK46 (5.8%), BANK5 2023-5YR1 (2.9%), BANK5 2023-5YR4 (3.0%) and BANK5 2023-5YR2 (1.5%) transactions. No loans are currently in special servicing for any of the transactions, but one loan (0.5%) was reported as 30-days delinquent in the BMARK 2023-V2 transaction. The affirmations across the transactions reflect the generally stable pool performance and loss expectations since issuance. The Negative Outlooks in the BMARK 2023-B38 and BANK 2023-BNK46 transactions account for anticipated performance concerns with the 1201 Third Avenue office loan as the largest tenant Perkins Coie has verbally indicated its intent to exercise an early termination option; downgrades would be possible without a recovery in occupancy and/or cash flow to Fitch's view of sustainable property performance. Given the performance and tenant rollover concerns, the 1201 Third Avenue loan is no longer considered to be an investment grade credit opinion; the loan originally had a credit opinion of 'BBB+*' at issuance in the BMARK 2023-B38, BANK 2023-BNK46, BANK5 2023-5YR1, BANK5 2023-5YR2, and BMARK 2023-V2 transactions. FLOCs: The largest increase in loss expectations across five of the six transactions since issuance is the 1201 Third Avenue loan, which is secured by a 1.13 million-sf LEED Gold and Platinum certified office tower in downtown Seattle, WA. The loan accounts for 8.9% of BMARK 2023-B38, 5.8% of BANK 2023-BNK46, 2.9% of BANK5 2023-5YR1, 3.0% of BANK5 2023-5YR4, 1.5% of BANK5 2023-5YR2 and 0.9% of BMARK 2023-V2. As of June 2024, reported occupancy was 78% with a servicer-reported NOI DSCR of 3.02x which compares with 81% and 2.94x, respectively, at issuance. The largest tenant at the property, Perkins Coie (26% of NRA), with a lease expiration in December 2026, has verbally notified the borrower of its intent to exercise an early termination option, which it may do at any time during the final two years of the lease term, subject to 15 months' written notice. The tenant has not yet given formal written notification to date; doing so will trigger an excess cash flow sweep and payment of a $10.9 million lease termination fee ($37.01 psf), which would be reserved by the lender and applied towards the $90 psf TI/LC reserve structured in the loan documents at issuance. Additionally, the second largest tenant, WeWork (10% of NRA through June 2034), has filed for Chapter 11 bankruptcy protection. WeWork has a $3.5 million letter of credit that reduces by $200,000 per year starting July 1, 2025, as well as a $4.4 million corporate guaranty that reduces by $700,000 starting July 1, 2024. According to a bankruptcy filing by WeWork in May 2024, the subject location was not included on the schedule of rejected locations. Cumulatively, these two tenants account for 36% of the NRA and nearly 34% of base rent. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 2.7% reflects a 10.25% cap rate and an alternative value approach informed by existing building performance, as well as third-party market data and the appraisal, resulting in a Fitch sustainable net cash flow of $18.6 million, in line with Fitch NCF utilized in the BANK5 2023-5YR4 transaction at issuance. An additional sensitivity analysis was conducted, factoring a higher probability of default of 50% given the anticipated tenant departure and cash flow deterioration, resulting in a 'Bsf' sensitivity case loss of 10%, which drove the Negative Outlooks in the BMARK 2023-B38 and BANK 2023-BNK46 transactions. The largest increase in loss expectations in the BMARK 2023-V2 transaction is the Patewood Corporate Center, secured by a six-building office complex totaling 447,282 sf in Greenville, SC. As of June 2024, occupancy declined to 71% from 90% at issuance due to the departure of major tenants, RealPage (10.3% of NRA) and Wood Group (9.5%). Additionally, Ogletree Deakins has renewed its lease, but downsized from 9.3% to 4.5% of the NRA. As of YE 2023, NOI has declined by 8% from the originator's underwritten NOI from issuance; YE 2023 NOI DSCR was 2.00x. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 13% reflects a 10% cap rate, up from 9.50% at issuance to factor increased office sector concerns, and a 20% stress to the YE 2023 NOI to account for the decline in cash flow from tenant vacancies. Minimal Change in Credit Enhancement (CE): As of the November 2024 distribution date, the aggregate pool balances for five of the U.S. CMBS conduit transactions have been reduced by less than 1% since issuance due to scheduled amortization. The BANK5 2023-5YR4 transaction has paid down by 9.5% since issuance primarily due to the payoff of the Nvidia Santa Clara loan. There are no defeased loans in any of the transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to junior 'AAAsf', 'AAsf', 'Asf' category rated classes with Negative Outlooks could occur without sufficient recovery in occupancy and/or cashflow of the 1201 Third Avenue loan to Fitch's view of sustainable performance. Downgrades to 'BBBsf', 'BBsf' and 'Bsf' category rated classes could occur if deal-level losses increase significantly from deterioration in performance of FLOCs, additional loans transfer to special servicing and/or with outsized losses on larger FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, particularly 1201 Third Avenue. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Moody's Takes Action on 20 Bonds From 8 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 19 bonds and downgraded the rating of one bond from eight US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities Trust 2003-1 A-1, Upgraded to Aa1 (sf); previously on Jan 15, 2021 Downgraded to Ba1 (sf) A-2, Upgraded to Aa1 (sf); previously on Jan 15, 2021 Downgraded to Ba2 (sf) M-2, Upgraded to Caa1 (sf); previously on Mar 11, 2011 Downgraded to Ca (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2003-3 Cl. A-2, Upgraded to Aa2 (sf); previously on Nov 28, 2018 Upgraded to A2 (sf) Cl. M-1, Downgraded to Caa1 (sf); previously on Apr 24, 2020 Downgraded to B3 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Apr 24, 2020 Downgraded to C (sf) Issuer: RASC Series 2004-KS10 Trust Cl. M-3, Upgraded to Aa1 (sf); previously on May 30, 2023 Upgraded to Baa2 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on May 31, 2019 Upgraded to Caa1 (sf) Issuer: RASC Series 2004-KS5 Trust Cl. A-I-5, Upgraded to Aa1 (sf); previously on May 30, 2023 Upgraded to Aa3 (sf) Cl. A-I-6, Upgraded to Aa1 (sf); previously on May 30, 2023 Upgraded to Aa2 (sf) Cl. M-II-1, Upgraded to A3 (sf); previously on Jan 23, 2019 Upgraded to Ba2 (sf) Issuer: RASC Series 2004-KS8 Trust Cl. M-I-2, Upgraded to Aa1 (sf); previously on Jan 30, 2024 Upgraded to A1 (sf) Cl. M-II-1, Upgraded to Baa1 (sf); previously on Mar 17, 2017 Upgraded to Ba3 (sf) Issuer: RASC Series 2005-EMX1 Trust Cl. M-2, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to A1 (sf) Cl. M-3, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to Baa3 (sf) Cl. M-4, Upgraded to A2 (sf); previously on Jan 30, 2024 Upgraded to B3 (sf) Cl. M-5, Upgraded to Baa3 (sf); previously on May 30, 2023 Upgraded to Ca (sf) Issuer: RASC Series 2005-EMX4 Trust Cl. M-4, Upgraded to Baa1 (sf); previously on Jan 30, 2024 Upgraded to Caa2 (sf) Issuer: RASC Series 2005-KS3 Trust Cl. M-7, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to A2 (sf) Cl. M-8, Upgraded to Ba2 (sf); previously on Jan 30, 2024 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. Each of the upgraded bonds have displayed improved collateral performance, and credit enhancement levels, since 12 months ago, have grown on average by 15%. Moody's analysis also considered the existence of historical interest shortfalls for the bonds. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The rating downgrade of Class M-1 from Bear Stearns Asset Backed Securities Trust 2003-3 is the result of outstanding credit interest shortfalls that are unlikely to be recouped. The bond has a weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. Certain bonds in this review are currently impaired or expected to become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 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. [*] Moody's Takes Action on 8 Bonds From 4 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ABFC 2007-NC1 Trust Cl. A-2, Upgraded to A1 (sf); previously on Feb 15, 2024 Upgraded to Baa3 (sf) Issuer: Chase Funding Trust, Series 2003-6 Cl. IA-5, Upgraded to Ba1 (sf); previously on Jan 15, 2021 Downgraded to Ba3 (sf) Cl. IA-7, Upgraded to Ba1 (sf); previously on Jan 15, 2021 Downgraded to Ba3 (sf) Cl. IIA-2, Upgraded to Baa1 (sf); previously on Jan 15, 2021 Downgraded to Baa2 (sf) Cl. IM-1, Upgraded to B1 (sf); previously on May 5, 2014 Downgraded to Caa2 (sf) Cl. IM-2, Upgraded to Caa1 (sf); previously on Oct 21, 2013 Downgraded to Ca (sf) Issuer: Renaissance Home Equity Loan Trust 2005-3 Cl. AF-4, Upgraded to Baa2 (sf); previously on Feb 15, 2024 Upgraded to Ba1 (sf) Issuer: Saxon Asset Securities Trust 2007-4 Cl. A-1, Upgraded to Aaa (sf); previously on Feb 15, 2024 Upgraded to A1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. Most of the upgraded bonds have seen steady collateral performance and strong growth in credit enhancement since Moody's last review. The combination of these two factors has led to stronger loss coverage levels, which is the key driver for these upgrades. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, and the potential impact of any collateral volatility on the model output. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 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. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. 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The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. 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