/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250105.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, January 5, 2025, Vol. 29, No. 4 Headlines AB BSL CLO 5: S&P Assigns BB- (sf) Rating on Class E Notes ANCHORAGE CAPITAL 20: Moody's Gives Ba3 Rating to $21MM E-R Notes ANCHORAGE CAPITAL 30: Fitch Assigns 'BB-sf' Rating on Class E Notes APEX CREDIT 2019-II: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes APIDOS CLO XXV: Fitch Assigns 'BB+sf' Rating on Two Tranches APIDOS CLO XXV: Moody's Assigns B3 Rating to $250,000 F-R3 Notes BAIN CAPITAL 2024-6: Fitch Assigns 'BB-sf' Rating on Class E Notes BALBOA BAY 2024-2: Fitch Assigns 'BB+sf' Rating on Class E Notes BAMLL 2024-LB1: DBRS Finalizes BB(low) Rating on E Certs BENCHMARK 2021-B25: Fitch Affirms 'B-sf' Rating on Two Tranches BENCHMARK 2024-V12: Fitch Assigns B-sf Final Rating on Cl. J Certs BENEFIT STREET XXXVIII: S&P Assigns BB- (sf) Rating on Cl. E Notes BIRCH GROVE 11: Fitch Assigns 'BB-sf' Rating on Class E Notes BLACKROCK BAKER 2021-1: S&P Lowers Cl. D Notes Rating to 'BB+(sf)' BLUEMOUNTAIN CLO XXV: Fitch Assigns BB-sf Rating on Cl. E-RR Notes BRYANT PARK 2024-25: S&P Assigns BB- (sf) Rating on Class E Notes BX COMMERCIAL 2022-AHP: DBRS Confirms B(low) Rating on F Certs BXHPP TRUST 2021-FILM: DBRS Puts BB Rating on Cl. E Debt on Review CANYON CLO 2020-1: S&P Assigns BB- (sf) Rating on Class E-R2 Notes CANYON CLO 2024-2: Fitch Assigns 'BB+sf' Rating on Class E Notes CARLYLE US 2024-8: Fitch Assigns 'BB-sf' Rating on Class E Notes CHASE HOME 2024-11: DBRS Gives Prov. B(low) Rating on B5 Certs CHASE HOME 2024-11: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs CIFC FUNDING 2024-V: Fitch Assigns 'BB-sf' Rating on Class E Notes CITIGROUP 2024-RP4: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes CITIGROUP COMMERCIAL 2014-GC21: DBRS Cuts Rating on 2 Debts to CCC COMM 2014-CCRE21: DBRS Confirms C Rating on 2 Tranches COMM 2018-HOME: Fitch Affirms 'BBsf' Rating on Cl. HRR Certificates COMM 2024-CBM: DBRS Finalizes B(low) Rating on Class F Certs CREEKSOURCE 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes DIAMETER CREDIT III: Moody's Ups Rating on $24MM Cl. E Notes to Ba2 ELEVATION CLO 2016-5: Fitch Assigns BB-sf Rating on Cl. E-RR Notes ELEVATION CLO 2016-5: Moody's Assigns B3 Rating to Cl. F-RR Notes FIGRE TRUST 2024-HE6: DBRS Gives Prov. B(low) Rating on F Notes GS MORTGAGE 2024-PJ11: DBRS Gives Prov. B(low) Rating on B5 Notes GS MORTGAGE 2024-PJ11: Moody's Assigns B3 Rating to Cl. B-5 Certs HILTON USA 2016-SFP: Moody's Lowers Rating on 2 Tranches to C INVESCO US 2024-4: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes INVESCO US 2024-4: Fitch Assigns 'BB-sf' Rating on Class E Notes JP MORGAN 2011-C3: DBRS Confirms C Rating on 5 Tranches JP MORGAN 2024-12: DBRS Gives Prov. B(low) Rating on B5 Certs JP MORGAN 2024-1: Fitch Assigns B-sf Final Rating on Cl. B-5 Certs MAGNETITE XLI: Fitch Assigns 'BB+sf' Rating on Class E Notes MORGAN STANLEY 2013-C7: DBRS Confirms C Rating on 4 Tranches MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs NASSAU 2017-I: S&P Lowers Class D Notes Rating to 'D (sf)' NATIXIS COMMERCIAL 2020-2PAC: DBRS Confirms B(low) on 2 Classes OCP CLO 2024-38: S&P Assigns BB- (sf) Rating on Class E Notes OCTAGON INVESTMENT 39: Moody's Cuts Rating on $12MM F Notes to Caa2 PMT LOAN 2024-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs PRPM TRUST 2024-NQM4: DBRS Gives Prov. BB(low) Rating on B-1 Certs READY CAPITAL 2018-4: DBRS Confirms B(low) Rating on G Certs REGATTA 30: Fitch Assigns 'BB-sf' Rating on Class E Notes REGATTA XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RR4 LTD: Fitch Assigns 'BB+sf' Rating on Class D-RR Notes SILVER POINT 7: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes STUDENT LOAN 2007-2: Fitch Lowers Rating on Class B Notes to 'Bsf' TIKEHAU US II: Fitch Assigns 'BB-sf' Rating on Class ER Notes TOWD POINT 2024-2: DBRS Gives Prov. B(low) Rating on B3 Notes TRIMARAN CAVU 2019-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes TRINITAS CLO XIX: Moody's Assigns Ba3 Rating to $17.5MM E-R Notes TRTX 2019-FL3: DBRS Cuts Class G Notes Rating to C UBS COMMERCIAL 2018-C14: Fitch Affirms BBsf Rating on Two Tranches UBS-CITIGROUP 2011-C1: DBRS Confirms C Rating on 3 Tranches VELOCITY COMMERCIAL 2024-6: DBRS Finalizes B Rating on 2 Tranches WARWICK CAPITAL 5: S&P Assigns BB- (sf) Rating on Class E Notes WELLS FARGO 2016-NXS6: DBRS Cuts 3 Tranches' Rating to C WELLS FARGO 2021-C59: Fitch Lowers Rating on Two Tranches to 'Bsf' WELLS FARGO 2021-C60: Fitch Affirms B-sf Rating on J-RR Debt WFRBS COMMERCIAL 2013-C18: DBRS Cuts Class D Certs Rating to D WIND RIVER 2014-3: Moody's Cuts Rating on $6MM F-R2 Notes to Caa3 [*] DBRS Confirms 19 Ratings From 6 American Credit Transactions [*] DBRS Reviews 435 Classes From 42 US RMBS Transactions [*] Fitch Lowers 33 Classes on 24 US CMBS Conduit Transactions [*] Moody's Upgrades Ratings on 27 Bonds From 5 US RMBS Deals ********* AB BSL CLO 5: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to AB BSL CLO 5 Ltd./AB BSL CLO 5 LLC's floating-rate debt. The debt issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The transaction is managed by AB Broadly Syndicated Loan Manager LLC, a subsidiary of Alliance Bernstein L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned AB BSL CLO 5 Ltd./AB BSL CLO 5 LLC Class A-1, $127.00 million: AAA (sf) Class A-L, $125.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $37.21 million: Not rated ANCHORAGE CAPITAL 20: Moody's Gives Ba3 Rating to $21MM E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued and one class of refinancing loans incurred (the "Refinancing Debt") by Anchorage Capital CLO 20, Ltd. (the "Issuer"). Moody's rating action is as follows: US$73,200,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$170,800,000 Class A-R Loans due 2035, Assigned Aaa (sf) US$21,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Anchorage Collateral Management, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Debt, a couple of other changes to transaction features will occur in connection with the refinancing including reinstatement and extension of the non-call period. 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: $389,679,229 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3319 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.68% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.4% Weighted Average Life (WAL): 5.65 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. ANCHORAGE CAPITAL 30: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 30, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 30, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Anchorage Capital CLO 30, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. 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 25.44, 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 74.64% versus a minimum covenant, in accordance with the initial expected matrix point of 68.05%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AAAsf' for class A-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 'BBB-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, '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 Anchorage Capital CLO 30, 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. APEX CREDIT 2019-II: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apex Credit CLO 2019-II Ltd. reset transaction. Entity/Debt Rating ----------- ------ Apex Credit CLO 2019-II Ltd. X-RR LT AAAsf New Rating A-RR Loans LT AAAsf New Rating A-RR Notes LT AAAsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-1FR LT BBBsf New Rating D-1NR LT BBBsf New Rating D-2RR LT BBB-sf New Rating E-RR LT BB-sf New Rating F-RR LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Apex Credit CLO 2019-II Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Apex Credit Partners LLC. The transaction originally closed in October 2019 and was first refinanced in December 2021. The CLOs existing secured notes will be refinanced in whole on Dec. 27, 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 $393 million of primarily first lien senior secured leveraged loans (excluding defaults). KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.53, versus a maximum covenant, in accordance with the initial expected matrix point of 23.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.76% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.89% versus a minimum covenant, in accordance with the initial expected matrix point of 68.38%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 'AAAsf' for class X-RR, between 'BBB+sf' and 'AA+sf' for class A-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BBB-sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for class D-2RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-RR and class A-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-1RR, 'Asf' for class D-2RR, 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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Apex Credit CLO 2019-II Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. APIDOS CLO XXV: Fitch Assigns 'BB+sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Apidos CLO XXV Reset Transaction. Entity/Debt Rating ----------- ------ Apidos CLO XXV LTD X-R3 LT NRsf New Rating A-1R3 LT NRsf New Rating A-2R3 LT AAAsf New Rating B-R3 LT AA+sf New Rating C-R3 LT A+sf New Rating D-1R3 LT BBB+sf New Rating D-2R3 LT BBB-sf New Rating E-1R3 LT BB+sf New Rating E-2R3 LT BB+sf New Rating F-R3 LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Apidos CLO XXV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CVC Credit Partners, LLC. The CLO originally closed in October 2016, had the its first refinancing in November 2018 and a second refinancing in March 2024 and will be reset on Dec. 27, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. 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 (CE) and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.92% first lien senior secured loans and has a weighted average (WA) recovery assumption of 75.53%. 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 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 (P&I) 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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-1R3, between less than 'B-sf' and 'BB+sf' for class D-2R3, between less than 'B-sf' and 'BBsf' for class E-1R3, and between less than 'B-sf' and 'BB-sf' for class E-2R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R3 notes, as these notes are in the highest rating category of 'AAAsf'. For the remaining classes, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes'' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1R3, 'Asf' for class D-2R3, 'BBB+sf' for class E-1R3, and 'BBB+sf' for class E-2R3. 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 XXV LTD. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. APIDOS CLO XXV: Moody's Assigns B3 Rating to $250,000 F-R3 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XXV (the Issuer): US$2,300,000 Class X-R3 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$292,500,000 Class A-1R3 Senior Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$250,000 Class F-R3 Mezzanine Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, 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 three 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 seven other classes of secured 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: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3004 Weighted Average Spread (WAS): 3.14 Weighted Average Coupon (WAC): 5.60% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or 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. BAIN CAPITAL 2024-6: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2024-6, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2024-6, 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 BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2024-6, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.8, versus a maximum covenant, in accordance with the initial expected matrix point of 27.7. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.48% versus a minimum covenant, in accordance with the initial expected matrix point of 74.80%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB-sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS Dissemination of the final rating RAC is pending on the closing of the transaction on Dec 27, 2024 ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2024-6, 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. BALBOA BAY 2024-2: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Balboa Bay Loan Funding 2024-2 Ltd. Entity/Debt Rating ----------- ------ Balboa Bay Loan Funding 2024-2 Ltd A-1 LT NRsf New Rating A-1LA LT NRsf New Rating A-1LB LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Balboa Bay Loan Funding 2024-2 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pacific Investment Management Company LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category have 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% 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 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 those of other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Balboa Bay Loan Funding 2024-2 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BAMLL 2024-LB1: DBRS Finalizes BB(low) Rating on E Certs -------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on 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 AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at 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. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2021-B25: Fitch Affirms 'B-sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of Benchmark 2021-B25 Mortgage Trust commercial mortgage pass-through certificates series 2021-B25 (BMARK 2021-B25). The Rating Outlooks on six classes remain Negative. Fitch has also affirmed 19 classes of Benchmark 2021-B28 Mortgage Trust commercial mortgage pass-through certificates, series B28 (BMARK 2021-B28). Fitch has revised the Outlook for six classes to Negative from Stable. Fitch has additionally affirmed 18 classes of Benchmark 2021-B29 Mortgage Trust commercial mortgage pass-through certificates, series B29 (BMARK 2021-B29). Fitch has revised the Outlook for four classes to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2021-B25 A-1 08163DAA5 LT AAAsf Affirmed AAAsf A-2 08163DAB3 LT AAAsf Affirmed AAAsf A-3 08163DAC1 LT AAAsf Affirmed AAAsf A-4 08163DAD9 LT AAAsf Affirmed AAAsf A-5 08163DAE7 LT AAAsf Affirmed AAAsf A-S 08163DAJ6 LT AAAsf Affirmed AAAsf A-SB 08163DAF4 LT AAAsf Affirmed AAAsf B 08163DAK3 LT AA-sf Affirmed AA-sf C 08163DAL1 LT A-sf Affirmed A-sf D 08163DAV9 LT BBBsf Affirmed BBBsf E 08163DAX5 LT BBB-sf Affirmed BBB-sf F 08163DAZ0 LT BB-sf Affirmed BB-sf G 08163DBB2 LT B-sf Affirmed B-sf X-A 08163DAG2 LT AAAsf Affirmed AAAsf X-B 08163DAH0 LT A-sf Affirmed A-sf X-D 08163DAM9 LT BBB-sf Affirmed BBB-sf X-F 08163DAP2 LT BB-sf Affirmed BB-sf X-G 08163DAR8 LT B-sf Affirmed B-sf BMARK 2021-B28 A-1 08163GAQ3 LT AAAsf Affirmed AAAsf A-2 08163GAR1 LT AAAsf Affirmed AAAsf A-3 08163GAS9 LT AAAsf Affirmed AAAsf A-4 08163GAT7 LT AAAsf Affirmed AAAsf A-4A1 08163GAA8 LT AAAsf Affirmed AAAsf A-5 08163GAU4 LT AAAsf Affirmed AAAsf A-S 08163GAW0 LT AAAsf Affirmed AAAsf A-SB 08163GAV2 LT AAAsf Affirmed AAAsf B 08163GAX8 LT AA-sf Affirmed AA-sf C 08163GAY6 LT A-sf Affirmed A-sf D 08163GAB6 LT BBBsf Affirmed BBBsf E 08163GAC4 LT BBB-sf Affirmed BBB-sf F 08163GAD2 LT BB-sf Affirmed BB-sf G 08163GAE0 LT B-sf Affirmed B-sf X-A 08163GAZ3 LT AAAsf Affirmed AAAsf X-B 08163GBA7 LT A-sf Affirmed A-sf X-D 08163GAG5 LT BBB-sf Affirmed BBB-sf X-F 08163GAH3 LT BB-sf Affirmed BB-sf X-G 08163GAJ9 LT B-sf Affirmed B-sf BMARK 2021-B29 A-1 08163JAA2 LT AAAsf Affirmed AAAsf A-2 08163JAB0 LT AAAsf Affirmed AAAsf A-3 08163JAC8 LT AAAsf Affirmed AAAsf A-4 08163JAD6 LT AAAsf Affirmed AAAsf A-5 08163JAE4 LT AAAsf Affirmed AAAsf A-S 08163JAJ3 LT AAAsf Affirmed AAAsf A-SB 08163JAF1 LT AAAsf Affirmed AAAsf B 08163JAK0 LT AA-sf Affirmed AA-sf C 08163JAL8 LT A-sf Affirmed A-sf D 08163JAV6 LT BBBsf Affirmed BBBsf E 08163JAX2 LT BBB-sf Affirmed BBB-sf F 08163JAZ7 LT BB-sf Affirmed BB-sf G 08163JBB9 LT B-sf Affirmed B-sf X-A 08163JAG9 LT AAAsf Affirmed AAAsf X-B 08163JAH7 LT A-sf Affirmed A-sf X-D 08163JAM6 LT BBB-sf Affirmed BBB-sf X-F 08163JAP9 LT BB-sf Affirmed BB-sf X-G 08163JAR5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable 'Bsf' Loss Expectations: The affirmations across all three transactions reflect the generally stable pool performance and loss expectations since Fitch's prior rating action. Deal-level 'Bsf' rating case loss is 4.2% in BMARK 2021-B25, 4.3% in BMARK 2021-B28, and 3.9% in BMARK 2021-B29. The BMARK 2021-B25 transaction has seven Fitch Loans of Concern (FLOCs; 11.0% of the pool), including three loans (2.3%) in special servicing. The BMARK 2021-B28 transaction has four FLOCs (8.7%); no loans are currently in special servicing. The BMARK 2021-B29 transaction has one specially serviced FLOC (2.5%). The Negative Outlooks in BMARK 2021-B25 reflect the high office concentration in the pool of 61%, particularly with performance concerns on the SOMA Teleco Office (8.6%), Phillips Point (4.1%), 1985 Marcus (2.9%), and specially serviced 141 Livingston (1.0%) loans. Additionally, the Negative Outlooks consider potential refinance concerns with the Boca Office Portfolio loan, which matures in March 2026. The Negative Outlooks in BMARK 2021-B28 reflect the pool's office concentration of 33%, as well as performance deterioration and/or elevated losses on the FLOCs, including Doral Concourse (4.1%), Koppers Building (2.3%), Colonnade Corporate Center (1.7%), and 3915 14th Avenue (0.7%). The Negative Outlooks also considers the refinance risk for the five-year loans (4.4% of the pool) scheduled to mature in 2026. The Negative Outlooks in BMARK 2021-B29 reflect the recent transfer of the Independence Lofts loan (2.5%) to special servicing and also considers an additional sensitivity scenario on the 524 Courtlandt loan (2.5%) that factors its heightened probability of default due to upcoming rollover of its second largest tenant, which represents nearly 31% of the NRA. The pool has an office concentration of 22% and five-year loans that mature in 2026 comprise 7.5%. The largest increase in loss since the prior rating action in BMARK 2021-B25 is the 141 Livingston loan pool, which transferred to special servicing in October 2024. The loan is secured by a 213,745-sf office building located in Brooklyn, NY and originally constructed in 1959. The property serves as a mission critical location for Brooklyn's civil court systems with The City of New York Department of Citywide Administrative Services (NYC DCAS) occupying 96% of the total NRA. NYC DCAS occupies its space under a lease with an original term that is set to expire in December 2025. The loan transferred to special servicing after NYC DCAS did not renew its lease for a five-year term 18-months prior to the original lease expiration date, which triggered monthly reserve obligations that the borrower has not posted. As a result of the monthly reserve non-compliance, the master servicer ceased applying debt service payments and the loan went delinquent. Per the servicer, NYC DCAS was prepared to sign a two-year renewal with three extension options which, if exercised, would extend the renewal lease term to five years beyond the current expiration. Legal counsel determined that the two-year renewal with extension options did not meet the requirements outlined in the loan agreement. Negotiations over renewal terms with NYC DCAS are ongoing. The property has been 100% occupied since issuance and the YE 2023 NOI DSCR was 2.85x. Fitch's 'Bsf' rating case loss of 19.4% (prior to a concentration adjustment) is based on a 9.25% cap rate and Fitch's sustainable net cash flow (NCF) from issuance. Additionally, Fitch's loss expectation for the loan factors in an adjustment to the probability of default as the loan was transferred to special servicing as a result of a technical default; the property's performance remains stable and lease renewal negotiations are ongoing with the major tenant. The largest contributor to overall loss expectations in BMARK 2021-B25 is the SOMA Teleco Office loan, secured by a 110,717-sf mixed-use property with a data center and office component, located in San Francisco, CA. The property is centrally located at a primary junction point of underground fiber cables, which provides Verizon with connectivity to the fiber cable network and as a result, serves as a link between the telecommunications network and the smaller subnetworks. Approximately 84% of the property is leased to creditworthy tenants, including the two largest tenants, Verizon (46.3%; March 2040) and Adyen Inc (38.1%; January 2026). The property has remained 94% occupied since issuance, with no tenants rolling until 2026. The servicer-reported NOI DSCR was 2.32x at Q2 2024, compared to 2.17x at YE 2023, 2.02x at YE 2022, and 1.94x at YE 2021. Fitch's 'Bsf' rating case loss of 6.6% (prior to a concentration adjustment) is based on an 8.75% cap rate and a 10% haircut to Fitch's sustainable NCF from issuance given upcoming rollover concerns. The largest contributor to overall loss expectations in BMARK 2021-B28 is the Doral Concourse loan, secured by a 240,669-sf office in Doral, FL. The largest tenant, Starboard Holdings (25.1%; April 2030), is a subsidiary of LVMH that operates in the cruise line industry. The other major tenants include Infinity Insurance Company (16.3%; December 2025) and Transportation Security Admin (TSA; 12.3%; November 2026). As of Q1 2024, the property was 97% occupied, unchanged from YE 2023, and slightly down from 98% at YE 2022. The property has seven tenants, representing 29.6% of the NRA, rolling in 2025, and four tenants (25.5% of the NRA) rolling in 2026. The servicer-reported NOI DSCR was 3.24x as of Q1 2024, compared to 2.96x at YE 2023 and 2.86x at YE 2022. The property benefits from being within a strong office submarket, with CoStar reporting a vacancy rate of 8.4% as of Q3 2024. Fitch's 'Bsf' rating case loss of 7.4% (prior to a concentration adjustment) is based on a 9.75% cap rate and Fitch's sustainable NCF from issuance, which considered the high upcoming rollover in 2025 and 2026. The second largest increase in loss since the prior rating action and the third largest contributor to overall loss expectations in BMARK 2021-B28 is the Koppers Building loan, secured by a 347,133-sf office located in Pittsburgh, PA. The property was built in 1929 and most recently renovated in 2017. The sponsor has invested over $17.4 million in capital improvements, TIs, and LCs since acquiring the property in 2013. Major tenants at the property include Koppers Inc (23.6%; December 2028), Allegheny County Bar Association (7.4%; December 2030), and Allegheny County of Economic Development (6.8%; September 2036). Koppers had an option in their lease to give back space as of December 2023, which they exercised, downsizing by roughly 4% of the total NRA. A termination fee has paid and put into a tenant improvement reserve. As of the November 2024 reporting, the reserve had approximately $85,000. The property was 70% occupied as of the September 2024 rent roll, down from 78% at YE 2023, and 81% at YE 2022. The servicer-reported NOI DSCR was 1.85x at YE 2023, compared to 2.06x at YE 2022, and 1.95x at YE 2021. Fitch's 'Bsf' rating case loss of 10.6% (prior to a concentration adjustment) is based on a 10% cap rate and a 20% stress to YE 2023 NOI, which accounts for the decline in occupancy since YE 2023, along with poor submarket fundamentals. The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in BMARK 2021-B29 is the Independence Lofts loan. The loan transferred to special servicing in August 2024 due to the various ongoing defaults with the borrower. The sponsor purchased the building in 2005 for $5.0 million when it was a vacant industrial property. The sponsor invested approximately $31.6 million to convert the property into a 95-unit multifamily building, and began leasing in 2019. The most recent rent roll provided by the servicer was as of November 2023, when the property was 82% occupied, unchanged from the reported occupancy at YE 2022 and YE 2021, but down from 100% at issuance. The servicer-report NOI DSCR was 0.83x as of September 2023, compared to 1.32x at YE 2022 and 1.39x at YE 2021. Fitch requested an updated rent roll and additional information on the workout strategy, but it was not provided. Fitch's 'Bsf' rating case loss of 29.1% (prior to a concentration adjustment) is based on an 8.75% cap rate, Fitch's sustainable NCF from issuance, and factors a heightened probability of default due to the loan's delinquency status. Minimal Changes to Credit Enhancement (CE): As of the December 2024 distribution date, the pool's aggregate balance in BMARK 2021-B25 has been paid down by 1.2% to $1.36 billion from $1.38 billion at issuance. One loan (1.1% of the pool) is fully defeased. There are 31 loans (75.3%) that are full-term interest-only, five loans (5.3%) are still in the interest-only period, and the remaining 11 loans (19.5%) are amortizing. As of the December 2024 distribution date, the pool's aggregate balance in BMARK 2021-B28 has been paid down by 1.6% to $1.35 billion from $1.38 billion at issuance. One loan (0.5% of the pool) is fully defeased. There are 38 loans (64.8%) that are full-term interest-only, five loans (4.3%) are still in the interest-only period, and the remaining 28 loans (30.9%) are amortizing. As of the December 2024 distribution date, the pool's aggregate balance in BMARK 2021-B28 has been paid down by 1.1% to $1.11 billion from $1.12 billion at issuance. There are 31 loans (76.0%) that are full-term interest-only, two loans (3.1%) are still in the interest-only period, and the remaining 14 loans (20.9%) are amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes. - Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, may occur with outsized loss expectations on the FLOCs and/or specially serviced loans, including 141 Livingston and 1985 Marcus in BMARK 2021-B25, Doral Concourse and Koppers Building in BMARK 2021-B28, and Independence Lofts in BMARK 2021-B29, increase beyond expectations, and with limited to no improvement in these classes' CE. - Downgrades to the 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilized performance on 141 Livingston and 1985 Marcus in BMARK 2021-B25, Doral Concourse and Koppers Building in BMARK 2021-B28, and Independence Lofts in BMARK 2021-B29. - 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. BENCHMARK 2024-V12: Fitch Assigns B-sf Final Rating on Cl. J Certs ------------------------------------------------------------------ Fitch Ratings has assined final ratings and Rating Outlooks to the Benchmark 2024-V12 Mortgage Trust commercial mortgage pass-through certificates as follows: - $209,000 class A-1 'AAAsf'; Outlook Stable; - $500,000,000 class A-3 'AAAsf'; Outlook Stable; - $73,245,000 class A-S 'AAAsf'; Outlook Stable; - $573,454,000 class X-A 'AAAsf'; Outlook Stable; - $36,623,000 class B 'AA-sf'; Outlook Stable; - $36,623,000 class X-B 'AA-sf'; Outlook Stable; - $27,690,000 class C 'A-sf'; Outlook Stable; - $15,185,000 class D 'BBBsf'; Outlook Stable; - $7,146,000 class E 'BBB-sf'; Outlook Stable; - $8,390,000 class F 'BBsf'; Outlook Stable; - $7,146,000 class G 'BB-sf'; Outlook Stable; - $8,390,000 class J 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $29,477,250 class K; - $24,274,750 class RR interest only; - $13,335,000 class RR certificate. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 fixed-rate commercial mortgage loans secured by fee simple and leasehold interests in 156 commercial properties with an aggregate principal balance of $752,195,000 as of the cutoff date. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Citi Real Estate Funding Inc., German American Capital Corporation, Bank of Montreal and Barclays Capital Real Estate Inc. The master servicer is Wells Fargo Bank, N.A. and the special servicer is K-Star Asset Management LLC. Midland Loan Services, a Division of PNC Bank, National Association, is acting as primary servicer with respect to loans contributed by Citi, pursuant to a primary servicing agreement with the master servicer. The trustee and certificate administrator are Computershare Trust Company, N.A. The certificates will follow a sequential paydown structure. Since Fitch published its expected ratings on Dec. 12, 2024, the balances for classes A-2 and A-3 were finalized. At the time the expected ratings were published, the expected class A-2 balance range was $0 to $200,000,000 and the expected class A-3 balance range was $300,000,000 to $500,000,000. Certificate balances for classes A-2 and A-3 reflect the midpoint respective value of each range. The final class balance for class A-2 is $0 and was not offered, hence the expected rating of 'AAA(EXP)sf' has been withdrawn. The final class balance for class A-3 is $500,000,000. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 17 loans totaling 81.1% of the pool balance. Fitch's aggregate net cash flow (NCF), including the pro-rated trust portion of any pari passu loan, is $75.1 million, which represents a 15.0% decline from the issuer's aggregate underwritten net cash flow NCF of $88.3 million. Higher Fitch Leverage: The pool has higher leverage than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 99.2% is worse than both the 2024 YTD and 2023 five-year multiborrower transaction averages of 94.8% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.9% is weaker than both the 2024 YTD and 2023 averages of 10.2% and 10.6%, respectively. Investment- Grade Credit Opinion Loans: Three loans representing 16.6% of the pool balance received investment-grade credit opinions. Queens Center (10.0% of pool) received an investment-grade credit opinion of 'BBBsf*' on a standalone basis. CBM Portfolio (4.0% of pool) received an investment-grade credit opinion of 'A-sf*' on a standalone basis. ICONIQ Multifamily Portfolio (2.7% of pool) received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. The pool's total credit opinion percentage is higher than both the 2024 YTD average of 12.7% and the 2023 average of 14.6% for Fitch-rated five-year multiborrower transactions. Excluding the credit opinion loans, the pool's Fitch LTV and DY are 105.0% and 9.4%, respectively. High Loan Concentration: The pool is more concentrated than recently rated Fitch transactions. The largest 10 loans represent 62.8% of the pool, which is worse than both the 2024 YTD five-year multiborrower average of 60.0% but better than the 2023 average of 65.3%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.1. Property Type Concentration: The pool's effective property type count of 4.5 is slightly better than the 2024 YTD and 2023 averages of 4.3 and 4.0, respectively, but the transaction is modestly concentrated overall. The largest property type concentration is multifamily (30.1% of the pool), which is higher than the 2024 YTD and 2023 multifamily averages of 20.7% and 10.9%, respectively, for five-year multiborrower transactions rated by Fitch. The second largest property type is hotels, with six loans totaling 25.8% of the pool, including three of the largest 10 loans (Cheyenne Mountain Resort, Hotel Fort Des Moines, and CBM Portfolio). This is above the YTD 2024 and 2023 averages of 11.9% and 13.1%, respectively. The third largest property type concentration is retail (22.1% of the pool), which is higher than the 2024 YTD retail average of 19.7% but lower than the 2023 retail average of 31.6%. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributable to the shorter window of exposure to potentially adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-f'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'BBsf'/'B+sf'/'B-sf'/CCCsf. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: AAAsf;/AA-sf;/A-f;/BBBsf;/BBB-sf;/BBsf;/BB-sf;/B-sf; - 10% NCF Increase: AAAsf;/AA+sf;/Asf;/BBB+sf;/BBBsf;/BBB-sf;/BBsf;/B+sf. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of 3, unless otherwise disclosed in this section. A score of 3 means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XXXVIII: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 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 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 BIRCH GROVE 11: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 11 Ltd. Entity/Debt Rating ----------- ------ Birch Grove CLO 11 Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Birch Grove CLO 11 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.96, versus a maximum covenant, in accordance with the initial expected matrix point of 24. 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 94.71% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.5% versus a minimum covenant, in accordance with the initial expected matrix point of 68.325%. 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 '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, '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, 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 Birch Grove CLO 11 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. BLACKROCK BAKER 2021-1: S&P Lowers Cl. D Notes Rating to 'BB+(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class D and E debt from BlackRock Baker CLO 2021-1 Ltd., a U.S. middle-market CLO managed by BlackRock Capital Investment Advisors LLC. At the same time, S&P removed the ratings from CreditWatch, where they were placed with negative implications on Oct. 9, 2024. S&P also affirmed its ratings on the class X, A-1, A-F, A-L, B, and C debt and removed the rating on the class C debt from CreditWatch, where it was placed with negative implications on Oct. 9, 2024. The rating actions follow S&P's review of the transaction's performance using data from the Nov. 5, 2024, trustee report. The downgrades reflect the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D and E debt. The amount of 'CCC' assets held in the portfolio increased to $119.8 million (more than 27% of the total portfolio) as of the November 2024 trustee report from $15.3 million (approximately 3%) as of the March 2022 trustee report, the first trustee report after closing. The trustee also reported an increase in defaulted assets to $19.3 million from $0 over the same time period. The deteriorated credit quality among the underlying portfolio combined with par loss has led to declines in the trustee-reported overcollateralization (O/C) ratios since March 2022. Even after interest proceed distributions on the October 2024 payment date to cure the coverage tests, only the class A/B O/C test is above its required threshold. The declines include: -- The class A/B O/C ratio declined to 140.71% from 150.36%; -- The class C O/C ratio declined to 122.05% from 130.70%; -- The class D O/C ratio declined to 122.05% from 130.70%; and -- The class E O/C ratio declined to 122.05% from 130.70%. S&P said, "The class D and E principal balances are excluded from the O/C denominator calculation, but the tests have separate thresholds for determining whether they fail. We note that the transaction has been structured such that the class D and E notes can be paid down prior to other more senior classes of debt due to a turbo feature that allows the recapture of excess spread that would otherwise flow out to the CLO equity. "The cash flow results for the class C debt showed that, due to a combination of senior debt paydowns and decreasing exposure to 'CCC' assets since October 2024, the rating is passing at the current rating level. The cash flow results also indicated a lower rating on the class E debt (which is passing only at the 'CCC+' rating level), but we lowered the rating to 'B-' because the class E debt does not meet our definition of 'CCC' risk. However, further increases in defaults or par losses, in addition to the total accumulation of deferred interest, could lead to potential negative rating actions. S&P said, "The cash flow results also indicated a higher rating for the class B debt. However, we took into account that the transaction is still in its reinvestment period, which is not scheduled to end until January 2026. Future reinvestment activity could change the portfolio characteristics. Our rating committee also considered the declining O/C ratio when deciding not to upgrade the class--in line with the cash flow results on a standalone basis and preserve some cushion against further credit and/or par deterioration." The affirmations reflect adequate credit support at the current rating levels. 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 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. Ratings Lowered And Removed From CreditWatch BlackRock Baker CLO 2021-1 Ltd. Class D to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E to 'B- (sf)' from 'BB- (sf)/Watch Neg' Rating Affirmed And Removed From CreditWatch BlackRock Baker CLO 2021-1 Ltd. Class C to 'A- (sf)' from 'A- (sf)/Watch Neg' Ratings Affirmed BlackRock Baker CLO 2021-1 Ltd. Class X: AAA (sf) Class A-1: AAA (sf) Class A-F: AAA (sf) Class A-L: AAA (sf) Class B: AA (sf) BLUEMOUNTAIN CLO XXV: Fitch Assigns BB-sf Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to BlueMountain CLO XXV Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ BlueMountain CLO XXV Ltd. X LT NRsf New Rating A-1RR LT NRsf New Rating A-2RR LT AAAsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-1RR LT BBBsf New Rating D-2RR LT BBB-sf New Rating E-RR LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary BlueMountain CLO XXV Ltd. (the issuer) is a reset of an arbitrage cash flow CLO that will be managed by Sound Point Capital Management, LP. The CLO originally closed in June 2019 and refinanced in July 2021. Net proceeds from the issuance of the secured and subordinated notes for the reset will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.12, 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 94.86% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.76%, versus a minimum covenant, in accordance with the initial expected matrix point of 69.6%. Portfolio Composition (Positive): The largest three industries may constitute up to 45% 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 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 the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls, and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and analysis of matrices 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-2RR; between 'BB+sf' and 'A+sf' for class B-RR; between 'B+sf' and 'BBB+sf' for class C-RR; between less than 'B-sf' and 'BBB-sf' for class D-1RR; between less than 'B-sf' and 'BB+sf' for class D-2RR; 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 class A-2RR 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-1RR, 'Asf' for class D-2RR 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 BlueMountain CLO XXV 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. BRYANT PARK 2024-25: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 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 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 2022-AHP: DBRS Confirms B(low) Rating on F Certs -------------------------------------------------------------- DBRS Inc. confirmed the following credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2022-AHP issued by BX Commercial Mortgage Trust 2022-AHP: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the continued stable performance of the portfolio, as evidenced by the stable to improved net cash flow (NCF) and occupancy rates since issuance. The collateral for the transaction is backed by a portfolio of affordable housing properties spread across several markets in Florida that continue to exhibit low vacancy rates. Previously, Morningstar DBRS had noted concerns regarding increased insurance expenses. As of the most recent financial statements, the portfolio's expense ratio appears to have stabilized, primarily driven by increases in rental revenue. Morningstar DBRS expects the portfolio will continue to exhibit stable performance through loan maturity. The transaction is secured by the borrower's fee-simple interest in 43 affordable housing multifamily properties, totaling 10,965 units located throughout the state of Florida. The sponsor, Blackstone Real Estate Income Trust (BREIT), contributed over $1.2 billion of equity in the $2.7 billion acquisition of the subject portfolio. The interest-only (IO) floating-rate loan was structured with an initial two-year term and three one-year extension options, the first of which was previously exercised extending maturity to January 2025. Each extension option requires the purchase of an interest rate cap agreement. According to the servicer, the borrower is likely to exercise the second extension option, however, the extension has not been officially documented as of this commentary. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydowns of the first 30.0% of the original principal balance. The prepayment premium for the release of individual assets is 105.0% of the ALA for the first 30.0% of the principal balance and 110.0% of the ALA thereafter. Morningstar DBRS considers the release premium to be weaker than the generally credit-neutral standard of 115.0%. To date, there have been no property releases. As of the June 2024 reporting, the portfolio reported an occupancy of 98.2% remaining in line with issuance expectations. According to Reis, the weighted-average (WA) affordable housing market vacancy rate for the portfolio's five largest properties is approximately 0.4% as of Q3 2024, with a WA five-year forecast vacancy rate of 0.9%. The portfolio's market exposure includes Miami (17 properties representing 42.7% of the allocated loan amount (ALA)), Fort Lauderdale (eight properties representing 20.0% of the ALA), Tampa-St. Petersburg (six properties representing 10.4% of the ALA), and several smaller markets, each containing less than 10.0% of the ALA. Given these locations and the heavy impact of storms during the 2024 hurricane season, Morningstar DBRS reviewed servicer reports for indications of sustained damage, but so far none have been confirmed. The majority of the underlying collateral is situated away from Florida's gulf coast, and all underlying properties are required to carry insurance as per the loan agreement. Annualizing the June 2024 financials yields an NCF of approximately $95.2 million, up from the YE2023 NCF of $87.6 million and in line with the Morningstar DBRS issuance derived figure of $89.3 million. The debt service coverage ratio (DSCR) has declined below breakeven given the increased interest rate environment and the loan's floating rate. However, the borrower is required to maintain an interest rate cap agreement that results in a minimum DSCR of 1.10 times (x). At issuance, Morningstar DBRS derived a value of $1.6 billion based on the Morningstar DBRS NCF of $89.3 million and a capitalization rate of 5.5%. Morningstar DBRS maintained this value approach for purposes of this review, resulting in a Morningstar DBRS Loan-to-Value Ratio (LTV) of 93.9%, compared with the LTV of 54.7% based on the appraised value at issuance. Positive qualitative adjustments to the LTV Sizing Benchmarks, totaling 7.5%, were maintained to reflect the portfolio granularity, favorable occupancy trends, and strong underlying market fundamentals for the property type. Notes: All figures are in U.S. dollars unless otherwise noted. BXHPP TRUST 2021-FILM: DBRS Puts BB Rating on Cl. E Debt on Review ------------------------------------------------------------------ DBRS Limited placed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-FILM issued by BXHPP Trust 2021-FILM Under Review with Negative Implications as follows: -- Class A rated AAA (sf) -- Class B rated AA (low) (sf) -- Class X-NCP rated A (sf) -- Class C rated A (low) (sf) -- Class D rated BBB (low) (sf) -- Class E rated BB (sf) There are no trends for these credit rating actions. The transaction is secured by the borrower's fee-simple and/or leasehold interests in five Class A office properties, totaling 967,000 square feet (sf), and three studio facilities, totaling approximately 1.3 million sf, in Los Angeles. The office and studio components collectively form a creative campus for digital content, providing synergistic value to tenants. At issuance, Morningstar DBRS noted that the properties (specifically the studio component) have historically benefited from high barriers to entry, largely because of the high cost of land in the Hollywood submarket, which is economically unattractive for new construction. However, despite these aspects, which Morningstar DBRS previously expected to contribute to cash flow stability over the loan term, operating performance across the collateral portfolio has consistently remained below issuance expectations. Additional details are outlined below. The loan is sponsored by a joint venture between Blackstone Property Partners and Hudson Pacific Properties, L.P. The interest-only (IO), floating-rate loan had an initial two-year term with three one-year extension options. The loan is currently scheduled to mature in August 2025; however, the sponsor has one extension option remaining. Morningstar DBRS notes that the near-term maturity date presents elevated refinance risk, particularly as in-place cash flow declines could have contributed to a deterioration in the portfolio's value since issuance. According to the financial reporting for the trailing six-month period ended June 30, 2024, the portfolio generated $76.8 million of net cash flow (NCF) (annualized), reflecting a debt service coverage ratio of 1.03 times, in line with the YE2023 figure of $76.6 million but considerably below the issuance and Morningstar DBRS figures of $99.6 million and $91.3 million, respectively. The decline in cash flow has been driven by a combination of lower revenue and higher operating expenses. It was previously noted that the variance between in-place revenue and the Issuer's underwritten figure was the result of a combination of factors, including rent abatements and the inclusion of future rent steps, as well as letters of intent from two tenants committed to studio spaces. It was also noted that expense increases were attributed to one-time costs that were not expected to recur in the future. However, income and expenses have yet to normalize even as the full year's rent for new and abated tenants is reflected in the most recent financial reporting. As of June 2024, the portfolio was 80.2% occupied, down from 88.5% at YE2023. Although the office component remains well occupied, occupancy across the studio component has declined to approximately 77.0%. Following Hollywood's dual labor strike in 2023, return to production has been slow, leading to stage vacancy across the region. The servicer noted that there has been increasing interest for stage space in the near to moderate term as production companies begin to ramp up activity; however, studio leases are generally short-term in nature (typically six to 12 months), resulting in frequent tenant turnover from year to year. The largest tenant occupies 56.7% of net rentable area, across both the studio and office space. The tenant has significantly invested in the space and uses the property as its production headquarters. With this credit rating action, Morningstar DBRS considered a stressed value scenario, applying a blended capitalization rate of 7.5% (derived during the April 2024 review) to the in-place NCF. That analysis suggests a sizable as-is value decline for the subject portfolio, resulting in significant downward pressure across the capital stack and supporting the Under Review with Negative Implications designation with this review. In order to derive a sustainable cash flow for the subject portfolio on a go-forward basis, Morningstar DBRS has requested additional information from the servicer to further clarify the drivers behind the variance in revenue and the elevated operating expenses. Notes: All figures are in U.S. dollars unless otherwise noted. CANYON CLO 2020-1: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R2, A-L-R2, A-L1-R2, A-L2-R2, B-R2, C-R2, D-R2, and E-R2 replacement debt from Canyon CLO 2020-1 Ltd./Canyon CLO 2020-1 LLC, a CLO managed by Canyon CLO Advisors LLC that was originally issued in May 2020 and underwent a refinancing in May 2021. At the same time, S&P withdrew its ratings on the class A-R, A-L, A-L1, A-L2, B-R, C-R, D-R, and E-R debt following payment in full on the Dec. 30, 2024, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Dec. 30, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R2 debt than the rating action on the debt reflects. However, we assigned our 'BB- (sf)' rating on the class E-R2 debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction. We expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class E-R2 debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our guidance criteria." Replacement And May 2021 Debt Issuances Replacement debt -- Class A-R2, $88.20 million: Three-month CME term SOFR + 1.08% -- Class A-L-R2, $0.00 million: Three-month CME term SOFR + 1.08%(i) -- Class A-L1-R2, $195.80 million: Three-month CME term SOFR + 1.08% -- Class A-L2-R2, $100.00 million: Three-month CME term SOFR + 1.08% -- Class B-R2, $72.00 million: Three-month CME term SOFR + 1.65% -- Class C-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 1.95% -- Class D-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 3.10% -- Class E-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 6.25% -- Subordinated notes, $50.00 million: Not applicable (i)The outstanding principal amount of the class A-L-R2 notes will be $0.00 on the closing date, but it may increase up to $195,800,000 upon the exercise of the conversion option, which will affect the conversion of the class A-L1-R2 loans into class A-L-R2 notes. May 2021 debt -- Class A-R, $88.20 million: Three-month CME term SOFR + 1.44%(ii) -- Class A-L, $0.00 million: Three-month CME term SOFR + 1.44%(ii) -- Class A-L1, $195.80 million: Three-month CME term SOFR + 1.44%(ii) -- Class A-L2, $100.00 million: Three-month CME term SOFR + 1.44%(ii) -- Class B-R, $72.00 million: Three-month CME term SOFR + 1.96%(ii) -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 2.31%(ii) -- Class D-R (deferrable), $36.00 million: Three-month CME term SOFR + 3.41%(ii) -- Class E-R (deferrable), $24.00 million: Three-month CME term SOFR + 6.61%(ii) -- Subordinated notes, $50.00 million: Not applicable (ii)Includes a credit spread adjustment of 0.26%. 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 Canyon CLO 2020-1 Ltd./Canyon CLO 2020-1 LLC Class A-R2, $88.20 million: AAA (sf) Class A-L-R2, $0.00: AAA (sf) Class A-L1-R2, $195.80 million: AAA (sf) Class A-L2-R2, $100.00 million: AAA (sf) Class B-R2, $72.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Class D-R2 (deferrable), $36.00 million: BBB- (sf) Class E-R2 (deferrable), $24.00 million: BB- (sf) Subordinated notes, $50.00 million: NR Ratings Withdrawn Canyon CLO 2020-1 Ltd./Canyon CLO 2020-1 LLC Class A-L to NR from 'AAA (sf)' Class A-L1 to NR from 'AAA (sf)' Class A-L2 to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' NR--Not rated. CANYON CLO 2024-2: Fitch Assigns 'BB+sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Canyon CLO 2024-2, Ltd. Entity/Debt Rating ----------- ------ Canyon CLO 2024-2, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Canyon CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors L.P. 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 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 74.77%. 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 notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, '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 Canyon CLO 2024-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARLYLE US 2024-8: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2024-8, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2024-8, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Carlyle US CLO 2024-8, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.90, versus a maximum covenant, in accordance with the initial expected matrix point of 26.95. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.40% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.99% versus a minimum covenant, in accordance with the initial expected matrix point of 70.70%. 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Carlyle US CLO 2024-8, 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. CHASE HOME 2024-11: DBRS Gives Prov. B(low) Rating on B5 Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-11 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2024-11 (CHASE 2024-11) as follows: -- $309.1 million Class A-2 at (P) AAA (sf) -- $309.1 million Class A-3 at (P) AAA (sf) -- $309.1 million Class A-3-X at (P) AAA (sf) -- $231.8 million Class A-4 at (P) AAA (sf) -- $231.8 million Class A-4-A at (P) AAA (sf) -- $231.8 million Class A-4-X at (P) AAA (sf) -- $77.3 million Class A-5 at (P) AAA (sf) -- $77.3 million Class A-5-A at (P) AAA (sf) -- $77.3 million Class A-5-X at (P) AAA (sf) -- $185.4 million Class A-6 at (P) AAA (sf) -- $185.4 million Class A-6-A at (P) AAA (sf) -- $185.4 million Class A-6-X at (P) AAA (sf) -- $123.6 million Class A-7 at (P) AAA (sf) -- $123.6 million Class A-7-A at (P) AAA (sf) -- $123.6 million Class A-7-X at (P) AAA (sf) -- $46.4 million Class A-8 at (P) AAA (sf) -- $46.4 million Class A-8-A at (P) AAA (sf) -- $46.4 million Class A-8-X at (P) AAA (sf) -- $42.5 million Class A-9 at (P) AAA (sf) -- $42.5 million Class A-9-A at (P) AAA (sf) -- $42.5 million Class A-9-X at (P) AAA (sf) -- $77.3 million Class A-11 at (P) AAA (sf) -- $77.3 million Class A-11-X at (P) AAA (sf) -- $77.3 million Class A-12 at (P) AAA (sf) -- $77.3 million Class A-13 at (P) AAA (sf) -- $77.3 million Class A-13-X at (P) AAA (sf) -- $77.3 million Class A-14 at (P) AAA (sf) -- $77.3 million Class A-14-X at (P) AAA (sf) -- $77.3 million Class A-14-X2 at (P) AAA (sf) -- $77.3 million Class A-14-X3 at (P) AAA (sf) -- $77.3 million Class A-14-X4 at (P) AAA (sf) -- $428.8 million Class A-X-1 at (P) AAA (sf) -- $10.7 million Class B-1 at (P) AA (low) (sf) -- $10.7 million Class B-1-A at (P) AA (low) (sf) -- $10.7 million Class B-1-X at (P) AA (low) (sf) -- $5.9 million Class B-2 at (P) A (low) (sf) -- $5.9 million Class B-2-A at (P) A (low) (sf) -- $5.9 million Class B-2-X at (P) A (low) (sf) -- $4.3 million Class B-3 at (P) BBB (low) (sf) -- $2.0 million Class B-4 at (P) BB (low) (sf) -- $1.1 million Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.65% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.30%, 2.00%, 1.05%, 0.60%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-11 (the Certificates). The Certificates are backed by 395 loans with a total principal balance of $478,418,856 as of the Cut-Off Date (December 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. 100% of the loans are traditional, nonagency, prime jumbo mortgage loans. Approximately 70.4% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator of 100% of the pool and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as Securities Administrator. U.S. Bank Trust National Association will act as Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in US dollars unless otherwise noted. CHASE HOME 2024-11: Fitch Assigns Bsf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-11 (Chase 2024-11). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-11 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-14-X2 LT AAAsf New Rating AAA(EXP)sf A-14-X3 LT AAAsf New Rating AAA(EXP)sf A-14-X4 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf A-R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2024-11 (Chase 2024-11), as indicated above. The certificates are supported by 395 loans with a total balance of approximately $478.63 million as of the cutoff date. The scheduled balance as of the cutoff date is $478.42 million. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations (reps) and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.4% above a long-term sustainable level (vs. 11.6% on a national level as of 2Q24, up 0.1% since last quarter), based on Fitch's updated view on sustainable home prices. Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.3% YoY nationally as of August 2024 despite modest regional declines, but are still being supported by limited inventory. High Quality Prime Mortgage Pool (Positive): The pool consists of 395 high quality, fixed-rate, fully amortizing loans with maturities of 15 to 30 years that total $478.42 million. In total, 100% of the loans qualify as SHQM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of 5.2 months, according to Fitch. The pool has a WA FICO score of 770, as determined by Fitch, and is based on the original FICO for newly originated loans and the updated FICO for loans seasoned at 12 months or more. Based on the transaction documents the updated FICO is 764. These high FICO scores are indicative of very high credit-quality borrowers. A large percentage of the loans have a borrower with a Fitch-derived FICO score equal to or above 750. Fitch determined that 78.1% of the loans have a borrower with a Fitch-determined FICO score equal to or above 750. Based on Fitch's analysis of the pool, the original weighted average (WA) combined loan-to-value (CLTV) ratio is 75.5%, which translates to a sustainable loan-to-value (sLTV) ratio of 83.3%. This represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Of the pool, 100% of the loans are designated as Safe Harbor (APOR) QM loans. Of the pool, 100% comprises loans where the borrower maintains a primary or secondary residence (89.2% primary and 10.8% secondary). Single-family homes, and planned unit developments (PUDs) constitute 91.7% of the pool, condominiums make up 6.7%, and the remaining 1.6% are co-ops. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (93.3%), cash out refinances (1.3%) and rate-term refinances (5.4%). Fitch views favorably that no loans are for investment properties and a majority of mortgages are purchases. Of the pool loans, 24.9% are concentrated in Texas, followed by Florida and California. The largest MSA concentration is in the Dallas MSA (11.6%), followed by the Miami MSA (8.4%) and the New York MSA (6.7%). The top three MSAs account for 26.7% of the pool. As a result, no probability of default (PD) penalty was applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicer, JPMCB, is obligated to advance delinquent principal and interest (P&I) until deemed nonrecoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association is the trustee that will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once the B-1-A class is written off, losses will be allocated to class A-9-A first and then to the super senior classes pro-rata once class A-9-A is written off. Net interest shortfalls on the non-retained portion will be allocated first to the A-X-1 class and the subordinated classes pro-rata based on the current interest accrued for each class until the amount of current interest is reduced to zero and then to the senior classes (excluding class A-X-1) pro-rata based on the current interest accrued for each class until the amount of current interest is reduced to zero. CE Floor (Positive): A CE or senior subordination floor of 1.50% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.85% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.14% at the 'AAAsf' stress due to 58.5% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58.5% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations Chase 2024-11 has an ESG Relevance Score of '4 [+]' for Transaction Parties and Operational Risk. Operational risk is well controlled in Chase 2024-11, including strong transaction due diligence. Additionally, the entire pool is originated by an 'Above Average' originator, and all of the pool loans are serviced by a servicer rated 'RPS1-'. All of these attributes result in a reduction in expected losses and are relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2024-V: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2024-V, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2024-V, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CIFC Funding 2024-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.28, versus a maximum covenant, in accordance with the initial expected matrix point of 25.3. 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 98.93% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.18% 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 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY A 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 CIFC Funding 2024-V, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP 2024-RP4: Fitch Assigns Bsf Final Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2024-RP4 (CMLTI 2024-RP4). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2024-RP4 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 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 B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed notes to be issued by 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 Fitch does not provide ESG relevance scores for CMLTI 2024-RP4. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP COMMERCIAL 2014-GC21: DBRS Cuts Rating on 2 Debts to CCC ------------------------------------------------------------------ DBRS, Inc. downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC21 issued by Citigroup Commercial Mortgage Trust 2014-GC21 as follows: -- Class E to CCC (sf) from B (sf) -- Class X-C to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class F at C (sf) -- Class X-B at A (high) (sf) -- Class X-D at C (sf) -- Class PEZ at A (sf) The trends on Classes C, D, X-B, and PEZ have been changed to Stable from Negative. Classes E, F, X-C, and X-D have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating actions reflect Morningstar DBRS' recoverability expectations for the remaining loans in the pool. Since the last credit rating action in January 2024, 31 loans have repaid from the pool, leaving only three remaining, all of which are in special servicing. Given the concentration of defaulted loans, Morningstar DBRS' analysis included liquidation scenarios for all three loans to determine the recoverability of the outstanding bonds. Based on various stresses to the most recent appraised values, Morningstar DBRS concluded that liquidation losses would be contained to the Class E certificate, the primary consideration for the downgrade of Class E. Morningstar DBRS' liquidation scenarios also suggested Classes C and D were well insulated from losses, which was a key factor in the trend change to Stable for those classes. Morningstar DBRS notes that the disposition timeline for the remaining assets is uncertain, and although all three loans are current as of the November 2024 remittance, there is increased propensity for interest shortfalls given the makeup of the remaining collateral. Morningstar DBRS' loss expectations are primarily driven by the largest remaining loan in the pool, Maine Mall (Prospectus ID#1, 80.8% of the pool), which is secured by a 730,444 square foot (sf) portion of a 1.0 million sf super-regional mall in Portland, Maine. The $125.0 million loan is pari passu with a note securitized in the GS Mortgage Securities Trust 2014-GC22 transaction, which is also rated by Morningstar DBRS. The loan transferred to the special servicer in February 2024 following the borrower's notification that it would be unable to repay the loan at scheduled maturity in April 2024. According to the November 2024 remittance, the special servicer is discussing workout strategies with the borrower, while dual tracking foreclosure. Occupancy at the subject has declined in recent years, reported at 84.1% as of the June 2024 rent roll, down from 97% at issuance. In addition, approximately 39.5% of the collateral tenants have lease expiries within the next 12 months. Cash flow has been stabilizing, however, and Morningstar DBRS notes that the nearest competing mall is located 37 miles away. An August 2024 appraisal valued the property at $196.0 million, down from the issuance appraised value of $395.0 million. Given the declining occupancy, high near-term rollover, and considerable decline in value, Morningstar DBRS used a liquidation scenario based on a haircut to the August 2024 appraised value, which implied loss severity of nearly 40.0%. The two other remaining loans in the pool, Regional One Medical (Prospectus ID#11, 10.0% of the pool) and Brier Creek Corporate Center 6 (Prospectus ID#12, 9.2% of the pool), are secured by office properties in Memphis, Tennessee, and Raleigh, North Carolina, respectively. Both loans defaulted at maturity and are in special servicing. Both assets received updated appraisals, dated August 2024, which indicated value decline from issuance; however, even with conservative haircuts applied to those values, Morningstar DBRS' loss expectations for these loans are not considered material to the analysis. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE21: DBRS Confirms C Rating on 2 Tranches ------------------------------------------------------ DBRS Limited upgraded the credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE21 issued by COMM 2014-CCRE21 as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class X-B to AA (high) (sf) from A (high) (sf) -- Class C to AA (sf) from A (sf) -- Class PEZ to AA (sf) at A (sf) Additionally, Morningstar DBRS confirmed the following credit ratings: -- Class X-C at BB (low) (sf) -- Class D at B (high) (sf) -- Class E at B (low) (sf) -- Class F at C (sf) -- Class G at C (sf) All trends are Stable, with the exception of Classes F and G, which are assigned credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating upgrades reflect the pool's large exposure to fully defeased loans (33.9% of the pool) and the significant deleveraging of the underlying pool since issuance because of continued paydowns and the overall stable-to-improving performance of the remaining collateral in the pool. Since Morningstar DBRS' last credit rating action in January 2024, 32 loans (formerly 74.9% of the pool at last review) were repaid in full, including two specially serviced loans, Kings Shops (Prospectus ID#3; formerly 8.4% of the pool) and Santa Fe Arcade (Prospectus ID#22; formerly 1.9% of the pool). Additionally, another specially serviced loan, 3137 Peach Orchard Road (Prospectus ID#53; formerly 0.4% of the pool), was liquidated from the trust at a loss that was in line with Morningstar DBRS' expectations. There has been an overall collateral reduction of 83.4% since issuance as of the November 2024 remittance, with only 14 of the original 59 loans remaining in the pool that are set to mature by YE2024, except for one recently modified loan in special servicing. Overall, Morningstar DBRS expects most of the remaining loans will ultimately repay in full, with projected liquidated losses generally contained to the C (sf) rated Class G certificate. The transaction is generally well distributed by property type, and based on the most recent financials, the remaining loans reported a healthy weighted-average debt service coverage ratio and debt yield of approximately 1.53 times and 12.0%, respectively (excluding defeased loans). There are eight loans (39.7% of the pool) on the servicer's watchlist, which are predominantly monitored for upcoming loan maturity. There remain challenges for the two specially serviced loans (26.5% of the pool) and select loans on the servicer's watchlist, supporting the C (sf) credit rating confirmation for the Class F certificate. In addition, interest shortfalls continue to accumulate, with Classes G through J shorted. There were total outstanding shortfalls of $4.0 million as of the November 2024 remittance. The servicer recently clawed back $5.8 million in advances deemed nonrecoverable for the largest specially serviced loan, Marine Club Apartments (Prospectus ID#9; 16.2% of the pool), reflecting an 85.4% reduction of the Class J certificate balance. Both specially serviced loans have reported updated appraisal values that are lower than what Morningstar DBRS considered at last review. Morningstar DBRS updated the liquidation scenarios to reflect those values and the resulting analysis determined that the most recent appraisal values could collectively withstand further declines of nearly 44.0% before Class F would be at risk of a loss. The Marine Club Apartments loan is secured by a fractured condominium community in Philadelphia, with 204 of the total 301 units serving as collateral. The loan transferred to special servicing in October 2020 for payment default and has been delinquent since August 2020. Collateral occupancy was 70.6% per the June 2024 rent roll, a drop from the issuance figure of 91.0%, with an average rental rate that is well below the average asking rent of the Center City submarket, as of Q3 2024, suggesting the collateral performance has significantly deteriorated since issuance. Although information regarding the loan's workout has not been updated since 2023, Morningstar DBRS expects the lender to proceed with foreclosure as the borrower has stopped responding to matters pertaining to the property. An updated appraisal, dated August 2024, valued the property at $32.5 million, down from the issuance appraised value of $35.0 million, reflecting an as-is loan-to-value ratio of 89.3% (including accrued advances). Morningstar DBRS applied a haircut to the most recent value and liquidated the loan in the analysis for this review, resulting in an implied loss exceeding $19.0 million and a loss severity above 42.0%. There are only two loans in the pool that are secured by office collateral (18.4% of the pool), the largest of which is the 12650 Ingenuity Drive loan (Prospectus ID#16; 10.3% of the pool) that is secured by an office building in Orlando. The loan transferred to special servicing in March 2024 for imminent default and was brought current as of the May 2024 payment period. A loan modification was executed in June 2024, the terms of which included an extension of the maturity date to December 2026, an $1.6 million principal paydown, as well as a conversion to interest-only (IO) payments. The loan is also cash managed with all excess cash being applied to pay down the principal balance. Although the loan modification suggests the sponsor has a longer-term commitment to the property, a May 2024 appraisal valued the property at $12.6 million, less than half of the issuance value. As such, Morningstar DBRS expects a loss will ultimately be incurred at disposition, projected at approximately $7.3 million based on the 2024 appraised value and expected liquidation expenses. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2018-HOME: Fitch Affirms 'BBsf' Rating on Cl. HRR Certificates ------------------------------------------------------------------- Fitch Ratings has affirmed all classes of COMM 2018-HOME Mortgage Trust (COMM 2018-HOME) commercial mortgage pass through certificates. Entity/Debt Rating Prior ----------- ------ ----- COMM 2018-HOME A 20048JAA8 LT AAAsf Affirmed AAAsf B 20048JAE0 LT AA-sf Affirmed AA-sf C 20048JAG5 LT A-sf Affirmed A-sf D 20048JAJ9 LT BBBsf Affirmed BBBsf HRR 20048JAL4 LT BBsf Affirmed BBsf KEY RATING DRIVERS The Gateway; Sustained Performance Decline: The Negative Outlooks on classes C, D and HRR reflect sustained underperformance and slow improvement of property-level net cash flow (NCF) on The Gateway loan, secured by a 1,254-unit San Francisco, CA multifamily property, which represents approximately 30% of the transaction. Fitch does not expect NCF will recover to issuance levels given lower rents, higher operating expenses and softness in the San Francisco multifamily market. This has resulted in Fitch revising its sustainable NCF to $20.5 million, which is 34% below Fitch's issuance NCF of $31.2 million. In addition, the Negative Outlooks reflect a sensitivity scenario where the transaction is adversely selected and the TriBeCa House and Aalto57 loans payoff and the Gateway remains. Property occupancy at Gateway has remained slightly above the lower level reported at YE 2021 of 91.4%; occupancy was 92.6% as of June 2024, 93.5% at YE 2023, and 93.2% at YE 2022. It still remains below the 97% reported at issuance. As of June 2024, the servicer-reported NCF debt service coverage ratio (DSCR) was 2.30x, compared with 1.96x at YE 2023, 1.82x at YE 2022, 2.03x at YE 2021, 2.59x at YE 2020 and 3.01x at YE 2019. The updated Fitch NCF of $20.5 million reflects rental income from leases in-place as of the November 2024 rent roll which have nearly rebounded to rates at issuance. However, expenses are 52.7% higher than at issuance. In-place average rent per unit as of the November 2024 rent roll is $3,031, up from $2,929 at YE 2023, $2,810 at YE 2022 and $2,738 at YE 2021, but remains slightly below $3,049 at issuance. Fitch relied on YE 2023 reporting for the majority of the operating expenses, with insurance, utilities and repairs and maintenance expenses being considerably higher than issuance and real estate taxes being in line with issuance assumptions, reflecting Fitch's Proposition 13 analysis. TriBeCa House (503-units; TriBeCa neighborhood of Manhattan): Occupancy was 97.4% as of June 2024, compared with 93.9% at YE 2023, 98.2% at YE 2022 and 93% at issuance. Fitch's updated NCF of $20 million has improved 13.7% from issuance NCF of $17.5 million due to improved occupancy and higher in-place rents. The June 2024 servicer-reported NCF DSCR increased to 2.70x from 2.43x at YE 2023, 2.41x at YE 2022, 1.36x at YE 2021, 2.13x at YE 2020 and 2.62x at YE 2019. Fitch's updated NCF factored in rents as of June 2024 and incorporated a 15% increase in insurance expense to address the expectation for future increase in premiums. Aalto57 (169-units; Sutton Place neighborhood of Manhattan's Upper East Side): Occupancy improved to 96.4% as of June 2024 from 98.2% at YE 2023, 96.5% at YE 2022 and 76.3% at YE 2020, exceeding 96% at issuance. Overall property performance and Fitch NCF remains in line with issuance expectations. Fitch's current NCF of $10.6 million, which factored in a 15% increase in insurance expense, is in line with the $10.2 million Fitch NCF at issuance. The June 2024 servicer-reported NCF DSCR was 2.62x compared with 2.58x at YE 2023, 2.18x at YE 2022, 1.90x at YE 2021, 2.11x at YE 2020 and 2.54x at YE 2019. Low Fixed Rate Coupons: The loans have fixed rate coupons between 3.72% and 3.92%. In its analysis, Fitch applied an upward loan-to-value (LTV) hurdle adjustment due to the low coupons. The loans mature in 2028. Trust Leverage: The Fitch stressed DSCR and loan-to-value (LTV) for the transaction were 1.19x and 74.6%, respectively, with a trust debt psf of $327,103. At issuance, the stressed DSCR and LTV were 1.16x and 75.1%, respectively. Concentrated Pool: The pool is secured by three loans, all of which are secured by multifamily properties, one in San Francisco, CA and two in Manhattan. Fitch's analysis considered an additional sensitivity scenario which assumed the Tribeca House and Aalton57 loans would refinance at maturity given their stable to improved performance since issuance, with The Gateway loan as the remaining asset. The Outlooks reflect this sensitivity scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes C, D and HRR are possible if cash flow fails to improve at The Gateway within the next 12 months-24 months. Should average rents and NCF demonstrate sustainable growth, the Outlooks maybe revised to Stable. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While upgrades are considered unlikely, should The Gateway demonstrate significant and sustained performance improvement exceeding Fitch's expectation of sustainable performance, future upgrades are possible. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2024-CBM: DBRS Finalizes B(low) Rating on Class F Certs ------------------------------------------------------------ DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-CBM (the Certificates) to be issued by COMM 2024-CBM Mortgage Trust (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-CP at BBB (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The COMM 2024-CBM Mortgage Trust (COMM 2024-CBM or the Trust) transaction is secured by the borrower's fee-simple and/or leasehold interest in 52 hospitality properties across 25 states, totaling 7,677 keys. The loan will be secured by the borrower's fee-simple interest in six assets, leasehold interest in seven assets, and both fee-simple and leasehold interest in the remaining 39 assets, whereby the land parcels are currently owned by a sister entity to CBM Two Hotels LP. The land owned by CBM Two Hotels LP for these 39 assets will be included as part of the collateral. The portfolio was previously securitized in the COMM 2020-CBM Mortgage Trust (COMM 2020-CBM) transaction, rated by Morningstar DBRS, and there have been no downgrades since issuance. Since the prior securitization in 2020, the portfolio has seen a value decrease of -7.7% to the current appraised value of $1.10 billion from the previous appraised value of $1.18 billion. Additionally, there has been a -22.4% decrease in the Morningstar DBRS NCF and a -31.1% decrease in the Morningstar DBRS Value since the 2020 securitization. The portfolio's RevPAR performance has rebounded following the coronavirus pandemic to levels slightly above 2019, but the increased expense load has caused NOI to decrease from pre-coronavirus levels. The sponsor acquired the portfolio (including 18 other hotels--noncollateral) in 2005 for $822.7 million. This purchase price includes the allocable share of the hotel portfolio acquisition in March 2005, the ground lease acquisition in December 2005, redemption of Host Hotels' interest in September 2009, and the acquisition of Marriott's interest in June 2012. The sponsor has since invested $647.2 million into the portfolio (roughly $12.4 million per asset) and has a total cost basis of $1.02 billion. The sponsor has an estimated 92.7% cost to value ratio based on the current appraised value. All 52 hotels are branded Courtyard by Marriott limited-service hotels managed by Marriott. The properties were built between 1985 and 1990, with a WA vintage of 1988. The sponsor has spent $647.2 million on capital improvements across the portfolio since 2005, with $323.2 million invested since 2019 as part of Marriott's North American brand modernization effort. All properties in the portfolio received, or are currently receiving, an exterior re-imagining and a guest room refresh that is expected to be completed shortly. As of September 2024, approximately nine hotels are still undergoing renovations (0.96% of available room nights). The sponsor for this transaction is CBM Joint Venture Limited Partnership, a joint venture between Clarion Partners LLC and a large domestic pension fund. Clarion Partners has more than $75.0 billion in assets under management (AUM) and offers a broad range of real estate investment strategies. The sponsor acquired the portfolio beginning in 2005 and currently has a total cost basis of $1.02 billion. The sponsor has successfully refinanced the subject portfolio twice (COMM 2015-LC21 Mortgage Trust and COMM 2020-CBM), including $684 million most recently in 2020. Morningstar DBRS rated the prior COMM 2020-CBM transaction and, as of the date of this report, all payments are current and there have been no bond downgrades since issuance in late 2020. The whole mortgage loan proceeds of $677.0 million, along with $20.0 million of sponsor equity, will refinance approximately $684.0 million of existing debt and cover remaining closing costs of approximately $13.0 million. The loan is a five-year, fixed-rate IO mortgage loan with an assumed whole-loan coupon of approximately 7.680%. Based on the portfolio appraised value of $1.10 billion, the loan has an LTV of 61.5%. Morningstar DBRS has concluded a value of $678.9 million using a cap rate of 9.50%, resulting in a Morningstar DBRS Whole Loan LTV of 99.7%. The portfolio has observed a consistent RevPAR trend in recent years, ranging between $89.36 in YE2022 and $97.84 as of the trailing twelve-month period ended September 2024. The subject has consistently outperformed their respective competitive sets. As of the September 2024 TTM, the portfolio has an average RevPAR penetration of 119.4%. Their average NCF growth between 2022 and the September 2024 TTM period is 5.0% and RevPAR has observed an annual growth of 4.7% per year over the same period. The growth has slowed; however, as NCF and RevPAR growth between 2023 and September 2024 TTM was 1.1% and 1.9%, respectively. The Morningstar DBRS NCF results in a DSCR of 1.19x and a debt yield (DY) of 9.9%. The portfolio appears to be achieving a stabilized NCF following the large-scale renovations that is nearly complete and the nationwide hotel disruptions from the coronavirus pandemic. Prior to 2020, the portfolio observed a RevPAR of $94.99 in 2018 and $91.60 in 2019, so the subject has surpassed RevPAR levels observed prior to the large-scale renovations and the coronavirus pandemic. However, the portfolio has seen a -9.6% decline in total NCF between 2019 and the September 2024 TTM, primarily driven by increased expenses. While the NCF has not been able to fully rebound to levels observed in 2019, the portfolio continues to see growth. Additionally, the September 2024 TTM NCF of approximately $67.9 million sufficiently covers the whole loan's debt service of $44.6 million by approximately $23.3 million. Notes: All figures are in U.S. dollars unless otherwise noted. CREEKSOURCE 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CreekSource 2024-1 (Dunes Creek) CLO, Ltd. Entity/Debt Rating ----------- ------ CreekSource 2024-1 (Dunes Creek) CLO, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary CreekSource 2024-1 (Dunes Creek) CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CreekSource 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. The weighted average rating factor (WARF) of the indicative portfolio is 23.57, versus a maximum covenant, in accordance with the initial expected matrix point of 25.1. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.44% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.13% versus a minimum covenant, in accordance with the initial expected matrix point of 73.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 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 the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CreekSource 2024-1 (Dunes Creek) CLO, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. DIAMETER CREDIT III: Moody's Ups Rating on $24MM Cl. E Notes to Ba2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding III, LTD.: US$50,000,000 Class B Senior Secured Fixed Rate Notes due 2038 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on October 8, 2020 Assigned Aa3 (sf) US$20,000,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2038 (the "Class C Notes"), Upgraded to A2 (sf); previously on October 8, 2020 Assigned A3 (sf) US$20,000,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2038 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on October 8, 2020 Assigned Baa3 (sf) US$24,000,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2038 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on October 8, 2020 Assigned Ba3 (sf) Diameter Credit Funding III, LTD., issued in October 2020, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in October 2025. 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 of the notes as indicated by the deal's overcollateralization (OC) ratios as well as the benefit of the shortening of the weighted average life (WAL) covenant since October 2020 which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. The notes also benefit from the short period of time remaining before the end of the deal's reinvestment period in October 2025, after which note repayments are expected to commence. Based on Moody's calculation, the deal currently has excess par of approximately $3.5 million over the initial target par of $275 million. The current OC ratios Moody's calculated and modeled for the Class A/B, Class C, Class D, and Class E notes are 162.70%, 150.56%, 140.10%, and 129.32%, respectively. Moody's also modeled a portfolio WAL of 6 years compared to 11 years when the deal originally closed in 2020. Additionally, the deal currently reports passing all its covenants. No action was taken on the Class A notes because its expected loss remains commensurate with its current rating, after taking into account the CBO'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: $400,000,000 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3323 Weighted Average Coupon (WAC): 5.60% Weighted Average Recovery Rate (WARR): 34.69% Weighted Average Life (WAL): 6 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. ELEVATION CLO 2016-5: Fitch Assigns BB-sf Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Elevation CLO 2016-5, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Elevation CLO 2016-5, Ltd. X-RR LT NRsf New Rating A-1-RR LT NRsf New Rating A-2-RR LT AAAsf New Rating B-RR LT AA+sf New Rating C-1-RR LT A+sf New Rating C-2-RR LT A+sf New Rating D-1-RR LT BBB+sf New Rating D-2-RR LT BBB-sf New Rating E-RR LT BB-sf New Rating F-RR LT NRsf New Rating Senior Subordinated LT NRsf New Rating Junior Subordinated LT NRsf New Rating Transaction Summary Elevation CLO 2016-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by ArrowMark Colorado Holdings, LLC. This transaction will reset for the second time on Dec. 27, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. This transaction is upsized and original notes will be paid in full. 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 96.59% first-lien senior secured loans and has a weighted average recovery assumption of 74.61%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and '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, 'AA+sf' for class C-RR, 'A+sf' for class D-1-RR, 'Asf' for class D-2-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Elevation CLO 2016-5, 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. ELEVATION CLO 2016-5: Moody's Assigns B3 Rating to Cl. F-RR Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of refinancing notes (the Refinancing Notes) issued by Elevation CLO 2016-5, Ltd. (the Issuer): US$4,000,000 Class X-RR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$240,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-RR Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of senior unsecured loans, second lien loans, first-lien last-out loans and permitted non-loan assets. ArrowMark Colorado Holdings 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 other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2848 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.75% Weighted Average Life (WAL): 8.08 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. FIGRE TRUST 2024-HE6: DBRS Gives Prov. B(low) Rating on F Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2024-HE6 (the Notes) to be issued by FIGRE Trust 2024-HE6 (FIGRE 2024-HE6 or the Trust): -- $240.0 million Class A at (P) AAA (sf) -- $21.6 million Class B at (P) AA (low) (sf) -- $20.1 million Class C at (P) A (low) (sf) -- $12.1 million Class D at (P) BBB (low) (sf) -- $12.1 million Class E at (P) BB (low) (sf) -- $12.1 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 25.55% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 18.85%, 12.60%, 8.85%, 5.10%, and 1.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Morningstar DBRS assigned provisional credit ratings to the Trust, a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 4,384 loans (individual HELOC draws), which correspond to 4,074 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $322,339,191 and a total current credit limit of $348,782,347 as of the Cut-Off Date (November 30, 2024). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 11 months. All the HELOCs are current and have been performing since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of October 2024, Figure originated, funded, and serviced more than 159,000 HELOCs totaling approximately $11.9 billion. Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the transaction's Sponsor, and FIGRE 2024-HE6 is its 11th rated securitization of HELOCs. Also, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. The transaction includes mostly junior liens (primarily second liens) and some first-lien HELOCs. In this transaction, all HELOCs except two are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from three to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 96.8% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Newrez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Shellpoint will retain servicing responsibilities on all loans that were being special serviced by Shellpoint at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian, and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, D, E, F, and G Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- it will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitization Rules and the UK Securitization Rules respectively; -- it will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitization Rules or the UK Securitization Rules; -- it will confirm its EU and UK Retained Interest in the SR Investor Report; and -- it will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (a) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (b) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,128,187 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in January 2030, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in January 2030 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificate holder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificate holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificate holder. The Reserve Account's required amount will become $0 on the payment date in January 2030 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) 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. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (December 2025) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro-rata pay structure amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro rata classes (Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2024-PJ11: DBRS Gives Prov. B(low) Rating on B5 Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2024-PJ11 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2024-PJ11: -- $262.5 million Class A-1 at (P) AAA (sf) -- $262.5 million Class A-2 at (P) AAA (sf) -- $262.5 million Class A-3 at (P) AAA (sf) -- $196.9 million Class A-4 at (P) AAA (sf) -- $196.9 million Class A-5 at (P) AAA (sf) -- $196.9 million Class A-6 at (P) AAA (sf) -- $157.5 million Class A-7 at (P) AAA (sf) -- $157.5 million Class A-8 at (P) AAA (sf) -- $157.5 million Class A-9 at (P) AAA (sf) -- $39.4 million Class A-10 at (P) AAA (sf) -- $39.4 million Class A-11 at (P) AAA (sf) -- $39.4 million Class A-12 at (P) AAA (sf) -- $105.0 million Class A-13 at (P) AAA (sf) -- $105.0 million Class A-14 at (P) AAA (sf) -- $105.0 million Class A-15 at (P) AAA (sf) -- $65.6 million Class A-16 at (P) AAA (sf) -- $65.6 million Class A-17 at (P) AAA (sf) -- $65.6 million Class A-18 at (P) AAA (sf) -- $15.4 million Class A-19 at (P) AAA (sf) -- $15.4 million Class A-20 at (P) AAA (sf) -- $15.4 million Class A-21 at (P) AAA (sf) -- $277.9 million Class A-22 at (P) AAA (sf) -- $277.9 million Class A-23 at (P) AAA (sf) -- $277.9 million Class A-24 at (P) AAA (sf) -- $277.9 million Class A-25 at (P) AAA (sf) -- $277.9 million Class A-X-1 at (P) AAA (sf) -- $262.5 million Class A-X-2 at (P) AAA (sf) -- $262.5 million Class A-X-3 at (P) AAA (sf) -- $262.5 million Class A-X-4 at (P) AAA (sf) -- $196.9 million Class A-X-5 at (P) AAA (sf) -- $196.9 million Class A-X-6 at (P) AAA (sf) -- $196.9 million Class A-X-7 at (P) AAA (sf) -- $157.5 million Class A-X-8 at (P) AAA (sf) -- $157.5 million Class A-X-9 at (P) AAA (sf) -- $157.5 million Class A-X-10 at (P) AAA (sf) -- $39.4 million Class A-X-11 at (P) AAA (sf) -- $39.4 million Class A-X-12 at (P) AAA (sf) -- $39.4 million Class A-X-13 at (P) AAA (sf) -- $105.0 million Class A-X-14 at (P) AAA (sf) -- $105.0 million Class A-X-15 at (P) AAA (sf) -- $105.0 million Class A-X-16 at (P) AAA (sf) -- $65.6 million Class A-X-17 at (P) AAA (sf) -- $65.6 million Class A-X-18 at (P) AAA (sf) -- $65.6 million Class A-X-19 at (P) AAA (sf) -- $15.4 million Class A-X-20 at (P) AAA (sf) -- $15.4 million Class A-X-21 at (P) AAA (sf) -- $15.4 million Class A-X-22 at (P) AAA (sf) -- $277.9 million Class A-X-23 at (P) AAA (sf) -- $277.9 million Class A-X-24 at (P) AAA (sf) -- $277.9 million Class A-X-25 at (P) AAA (sf) -- $277.9 million Class A-X-26 at (P) AAA (sf) -- $19.8 million Class B-1A at (P) AA (low) (sf) -- $19.8 million Class B-X-1 at (P) AA (low) (sf) -- $19.8 million Class B-1 at (P) AA (low) (sf) -- $4.2 million Class B-2A at (P) A (low) (sf) -- $4.2 million Class B-X-2 at (P) A (low) (sf) -- $4.2 million Class B-2 at (P) A (low) (sf) -- $3.4 million Class B-3 at (P) BBB (low) (sf) -- $1.9 million Class B-4 at (P) BB (low) (sf) -- $464.0 thousand Class B-5 at (P) B (low) (sf) -- $262.5 million Class A-1L at (P) AAA (sf) -- $262.5 million Class A-2L at (P) AAA (sf) -- $262.5 million Class A-3L at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super senior notes. These classes benefit from additional protection from the senior support note (Class A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 10.00% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.60%, 2.25%, 1.15%, 0.55%, and 0.40% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 256 loans with a total principal balance of $308,825,465 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of mostly 15 to 30 years. The weighted-average original combined loan-to-value (CLTV) for the portfolio is 69.6%. A small portion of the pool (29.7%) comprises loans with Morningstar DBRS-calculated current CLTV ratios between 80.0% and 90.0%, while none of the pool falls above 90.0% current CLTV. In addition, 99.9% of the loans in the pool were originated in accordance with the general Qualified Mortgage rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (UWM; 36.3%), PennyMac Loan Services, LLC (PennyMac; 15.1%), CMG Mortgage doing business as (dba) CMG Financial (11.0%), and various other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez, LLC dba Shellpoint Mortgage Servicing (78.4%), PennyMac (21.0%), and UWM/Cenlar FSB (0.6%). Computershare Trust Company, N.A. (Computershare; rated AA with a Stable trend by Morningstar DBRS) will act as the Paying Agent, Loan Agent, and Custodian. Computershare Delaware Trust Company will act as Delaware Trustee. Computershare Trust Company, N.A. will act as Collateral Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representation and Warranty Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Class A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Class A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2024-PJ11: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 60 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2024-PJ11, and sponsored by Goldman Sachs Mortgage Company (GSMC). The securities are backed by a pool of prime jumbo (91.8% by balance) and GSE-eligible (8.2% by balance) residential mortgages aggregated by MAXEX Clearing LLC (MAXEX; 8.8% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-PJ11 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aaa (sf) Cl. A-X-15*, Definitive Rating Assigned Aaa (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Definitive Rating Assigned Aa2 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa2 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1L Loans, Class A-2L Loans and Class A-3L Loans, assigned on December 13, 2024, because the issuer will not be issuing these classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.42%, in a baseline scenario-median is 0.21% and reaches 5.11% 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. HILTON USA 2016-SFP: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes and affirmed the ratings on two classes of Hilton USA Trust 2016-SFP, Commercial Mortgage Pass-Through Certificates, Series 2016-SFP as follows: Cl. A, Downgraded to B1 (sf); previously on Jun 27, 2024 Downgraded to Baa1 (sf) Cl. B, Downgraded to Caa1 (sf); previously on Jun 27, 2024 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Jun 27, 2024 Downgraded to B1 (sf) Cl. D, Downgraded to C (sf); previously on Jun 27, 2024 Downgraded to Caa1 (sf) Cl. E, Downgraded to C (sf); previously on Jun 27, 2024 Downgraded to Caa3 (sf) Cl. F, Affirmed C (sf); previously on Jun 27, 2024 Downgraded to C (sf) Cl. X-E*, Affirmed C (sf); previously on Jun 27, 2024 Downgraded to C (sf) RATINGS RATIONALE The ratings on the five principal and interest (P&I) classes were downgraded primarily due to an increase in Moody's LTV as a result of the further decline in the properties' performance and the continued negative net cash flow (NCF). The properties' combined revenue has been insufficient to cover their operating expenses and the loan's debt service payments, resulting in an increase in outstanding advances. The properties' NCF initially rebounded from the COVID-related lows and reported a marginal positive NCF in 2023, however, the reported trailing 12 months (TTM) net operating income (NOI) as of September 2024 turned to negative $22.8 million due to combination of lower revenues and increased operating expenses as compared to 2023. The servicer commentary indicates the 2024 operating loss is now expected to reach approximately $30.0 million due to both lower year over year group business and a labor strike that began in late September 2024 that has caused cancellations and disruptions at the properties. The downgrades also reflect the interest shortfalls and the potential for higher losses due to the uncertainty around the timing and proceeds from the ultimate resolution as well as the accumulation of loan advances. The outstanding advances (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) increased to $61.1 million in December 2024 from $39.0 million in June 2024 and servicer commentary indicates another $5.0 million is anticipated by year-end 2024. As of the December 2024 remittance statement, the loan was last paid through its May 2023 payment date and the master servicer made a non-recoverability determination in December 2024 on the loan in relation to P&I advances. As a result, no interest was distributed to any of the outstanding classes and interest shortfalls are expected to continue and impact all outstanding classes. While the master servicer is not expected to make additional P&I advances due to their non-recoverability determination, the master servicer is still expected to advance for property protection advances resulting in accumulation of further advances based on the negative cash flow. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. The rating on the most junior P&I class was affirmed because the rating is consistent with Moody's expected loss. The rating on the interest only (IO) class, Cl. X-E, was affirmed based on the credit quality of its referenced classes. In this credit rating action, Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. DEAL PERFORMANCE As of the December 6, 2024 distribution date, the transaction's aggregate certificate balance remains unchanged at $725 million. The securitization is backed by a fixed-rate loan collateralized by two adjacent full-service hotels, the Hilton San Francisco Union Square and the Hilton Parc 55 San Francisco. The Hilton San Francisco Union Square was constructed in 1964 and features 1,919 guestrooms in four interconnected buildings. The property offers approximately 130,000 square feet (SF) of meeting space, a swimming pool, fitness center, 505 parking spaces, and two food & beverage outlets. The Hilton Parc 55 San Francisco, constructed in 1984, is located adjacent to the Hilton San Francisco Union Square and provides 1,024 guestrooms, approximately 29,900 SF of meeting space. The Properties are located within walking distance of Union Square, Market Street, and the Moscone Convention Center. The properties' NCF had previously been on an upward trajectory since securitization peaking at $93.7 million in 2019. However, with the coronavirus outbreak the properties were not able to generate positive NCF between 2020 and 2022. While the properties reported a marginal positive NCF of less than $1 million in 2023, the reported cash flow turned significantly negative again in 2024 and servicer commentary indicated the 2024 operating loss is expected to reach approximately $30.0 million. Furthermore, the property has been impacted by lower group business and a labor strike at hotels that began in late September and has resulted in cancellations and disruptions at the properties. The servicer reported a combined 46% occupancy, $245 average daily rate (ADR), and $111 Revenue per Available Room (RevPAR) for the TTM period ending September 2024. Furthermore, the Downtown San Francisco submarket continues to face an elongated recovery. According to CBRE EA, Downtown San Francisco's RevPAR was $137 as of the third quarter of 2024, 6% lower than its RevPAR of $146 in 2023 and 41% lower than its RevPAR of $232 in 2019. The loan originally had a maturity date in November 2023, however, the original borrower stopped making debt service payments and funding all debt service and operating shortfalls in May 2023 and the loan has been in special servicing since June 2023. The receiver was appointed in October 2023 and selected Eastdil Secured to sell the properties. The servicer commentary indicates that offers are under review and the receiver has authority to sell the property through March 31, 2025. As of the December 2024 distribution date, there are outstanding total advances and accrued unpaid interest totaling approximately $61.1 million, causing the aggregate loan exposure to be $786.1 million. While the loan is deemed non-recoverable and no additional P&I advances will be made at this time, the master servicer is expected to advance for property protection advances. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. As results of the non-recoverable determination, no interest was distributed to any of the outstanding classes. There are outstanding interest shortfalls totaling $12.3 million affecting all of the outstanding classes and there are no cumulative losses as of the current distribution date. Interest shortfalls are expected to continue and impact all outstanding classes due the non-recoverable determination by the master servicer. The first mortgage balance of $725 million represents a Moody's LTV of 170%. The Moody's LTV takes into account a significant decline in value due to the continued lag of business and corporate travel demand to San Francisco, the decline in group business and revenue at the properties as well as the cancellations and disruptions caused by the labor strike at the properties. INVESCO US 2024-4: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Invesco U.S. CLO 2024-4, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2024-4, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Invesco U.S. CLO 2024-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 5 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.23, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.34% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.14% versus a minimum covenant, in accordance with the initial expected matrix point of 70.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Invesco U.S. CLO 2024-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. INVESCO US 2024-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2024-4, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2024-4, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Invesco U.S. CLO 2024-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Invesco CLO Equity Fund 5 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.23, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.34% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.14% versus a minimum covenant, in accordance with the initial expected matrix point of 70.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to 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 Invesco U.S. CLO 2024-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. JP MORGAN 2011-C3: DBRS Confirms C Rating on 5 Tranches ------------------------------------------------------- DBRS Limited downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2011-C3 issued by JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3 as follows: -- Class C to BB (high) (sf) from BBB (high) (sf) In addition, Morningstar DBRS also confirmed the following credit ratings: -- Class B at A (high) (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class H at C (sf) -- Class J at C (sf) Morningstar DBRS changed the trends on Classes B and C to Stable from Negative. There are no trends on Classes D, E, F, G, H, and J, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrade is reflective of Morningstar DBRS' concerns regarding the lack of resolution over the past year for the two remaining assets in the pool, Holyoke Mall (Prospectus ID#1, 76.6% of the current pool balance) and Sangertown Square (Prospectus ID#6, 23.4% of the current pool balance). Both loans share common sponsorship in Pyramid Management Group (Pyramid), a privately held shopping mall developer that has encountered difficulty in meeting debt payments and maturity dates on other encumbered assets within its portfolio in recent years. Both loans were modified at their initial maturity dates in 2021, which included three-year maturity extensions. However, the borrower was unable to secure refinancing prior to the extended maturity dates in 2024 and the loans transferred back to the special servicer. The most recent servicer commentary for both loans notes that the sponsor and special servicer have agreed upon terms for a potential modification; however, no modifications have been confirmed as of this writing. Given the concentration of defaulted loans remaining, Morningstar DBRS' analysis considered conservative liquidation scenarios for both loans, based on stresses to the most recent appraised values ranging from 20-40%, to determine the recoverability of the outstanding bonds. Morningstar DBRS concluded that the senior certificates, including Classes B and C, continue to be insulated from losses. However, the timing for recoverability is likely to be extended, further exposing the trust to expenses and interest shortfalls. This expectation was considered a primary factor in Morningstar DBRS' decision to downgrade Class C below investment-grade. With this rating action, Morningstar DBRS also changed the trend on Classes B and C to Stable. This is reflective of the slight improvement in performance of both loans since the last review. Both assets have received updated appraisals, which indicate that, even in a stressed value scenario, Classes B and C are likely to be recovered. Holyoke Mall is secured by a 1.6 million-square-foot (sf) regional mall in Holyoke, Massachusetts. There is $35.0 million of mezzanine debt that amortizes pro rata with the $215.0 million first mortgage debt. The loan transferred to the special servicer in January 2024 for failing to repay at its extended maturity date, though the loan is current on the debt payments as of the November 2024 remittance report. The mall is anchored by collateral tenants Target (11.7% of the net rentable area (NRA), lease expiry in January 2025), JCPenney (11.2% of the NRA, lease expiry in May 2028), and non-collateral tenant Macy's. A collateral anchor space that was previously occupied by Sears remains vacant. As per the rent roll dated September 2024, the collateral was 71.7% occupied, with leases totaling approximately 10% scheduled to rollover by December 2025. The property was reappraised in April 2024 at $185.0 million, slightly less than the 2020 appraised value of $200.0 million, and a decline of 53.8% from the issuance value of $400.0 million. The updated value represents a loan-to-value (LTV) ratio of 87.5% based on the outstanding senior note and a whole-loan LTV of 106.4% when factoring in the $35.0 million mezzanine loan. Sangertown Square is secured by an 894,127-sf regional mall in New Hartford, New York. The loan's modification 2021 included a conversion to interest-only (IO) payments for a 24-month period through May 2023. Upon completion of the IO period, the loan was again transferred to the special servicer for imminent monetary default and subsequently failed to repay at its extended January 2024 maturity date. As per the November 2024 remittance report, the loan is delinquent, last paid through August 2024. The mall is anchored by collateral tenants Boscov's (19.4% of the NRA, lease expiry in January 2037), Target (14.2% of the NRA, lease expiry in January 2028), and Dick's Sporting Goods (5.8% of the NRA, lease expiry in October 2028). The remaining two anchor spaces, previously occupied by JCPenney and Macy's, remain vacant. As per the rent roll dated September 2024, the subject was 55.9% occupied, with minimal rollover risk in the next 12 months. The property was reappraised in March 2024 at $21.2 million, marking a slight improvement from the 2021 appraised value of $19.1 million, but ultimately representing an 80.2% decline from the issuance value of $107.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-12: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2024-12 (the Certificates) to be issued by the J.P. Morgan Mortgage Trust 2024-12 (JPMMT 2024-12): -- $420.8 million Class A-2 at (P) AAA (sf) -- $420.8 million Class A-3 at (P) AAA (sf) -- $420.8 million Class A-3-X at (P) AAA (sf) -- $315.6 million Class A-4 at (P) AAA (sf) -- $315.6 million Class A-4-A at (P) AAA (sf) -- $315.6 million Class A-4-X at (P) AAA (sf) -- $105.2 million Class A-5 at (P) AAA (sf) -- $105.2 million Class A-5-A at (P) AAA (sf) -- $105.2 million Class A-5-X at (P) AAA (sf) -- $252.5 million Class A-6 at (P) AAA (sf) -- $252.5 million Class A-6-A at (P) AAA (sf) -- $252.5 million Class A-6-X at (P) AAA (sf) -- $168.3 million Class A-7 at (P) AAA (sf) -- $168.3 million Class A-7-A at (P) AAA (sf) -- $168.3 million Class A-7-X at (P) AAA (sf) -- $63.1 million Class A-8 at (P) AAA (sf) -- $63.1 million Class A-8-A at (P) AAA (sf) -- $63.1 million Class A-8-X at (P) AAA (sf) -- $49.5 million Class A-9 at (P) AAA (sf) -- $49.5 million Class A-9-A at (P) AAA (sf) -- $49.5 million Class A-9-X at (P) AAA (sf) -- $46.8 million Class A-11 at (P) AAA (sf) -- $46.8 million Class A-11-X at (P) AAA (sf) -- $46.8 million Class A-12 at (P) AAA (sf) -- $46.8 million Class A-13 at (P) AAA (sf) -- $46.8 million Class A-13-X at (P) AAA (sf) -- $46.8 million Class A-14 at (P) AAA (sf) -- $46.8 million Class A-14-X at (P) AAA (sf) -- $46.8 million Class A-14-X2 at (P) AAA (sf) -- $46.8 million Class A-14-X3 at (P) AAA (sf) -- $46.8 million Class A-14-X4 at (P) AAA (sf) -- $517.1 million Class A-X-1 at (P) AAA (sf) -- $517.1 million Class A-X-2 at (P) AAA (sf) -- $517.1 million Class A-X-3 at (P) AAA (sf) -- $9.4 million Class B-1 at (P) AA (low) (sf) -- $9.4 million Class B-1-A at (P) AA (low) (sf) -- $9.4 million Class B-1-X at (P) AA (low) (sf) -- $11.3 million Class B-2 at (P) A (low) (sf) -- $11.3 million Class B-2-A at (P) A (low) (sf) -- $11.3 million Class B-2-X at (P) A (low) (sf) -- $6.1 million Class B-3 at (P) BBB (low) (sf) -- $2.8 million Class B-4 at (P) BB (low) (sf) -- $1.4 million Class B-5 at (P) B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 4.30%, 2.25%, 1.15%, 0.65%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2024-12 (the Certificates). The Certificates are backed by 426 loans with a total principal balance of $ 550,086,650 as of the Cut-Off Date (December 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 95.3% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 4.7% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) originated 57.3% of the pool and PennyMac Loan Services, LLC originated 9.7%. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by UWM (57.3%), Shellpoint (24.1%), and Fay Servicing (5.62%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (March 1, 2025). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. Notes: All figures are in US dollars unless otherwise noted. JP MORGAN 2024-1: Fitch Assigns B-sf Final Rating on Cl. B-5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to JP Morgan Seasoned Mortgage Trust 2024-1 (JPSMT 2024-1). Entity/Debt Rating Prior ----------- ------ ----- JPSMT 2024-1 A-2 LT AA+sf New Rating AA+(EXP)sf A-2-A LT AA+sf New Rating AA+(EXP)sf A-2-X LT AA+sf New Rating AA+(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-A LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AA+sf New Rating AA+(EXP)sf A-9-A LT AA+sf New Rating AA+(EXP)sf A-9-X LT AA+sf New Rating AA+(EXP)sf A-X-1 LT AA+sf New Rating AA+(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf FB LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the residential mortgage-backed certificates issued by J.P. Morgan Seasoned Mortgage Trust 2024-1 (JPSMT 2024-1) as indicated above. The transaction is expected to close on Dec. 20, 2024. The certificates are supported by one collateral group that consists of 390 seasoned performing loans (SPLs) with a total balance of approximately $318.86 million, which includes $354,993, or 2.8%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the statistical calculation date, per transaction documents. The main originators in the transaction are Banc of California, NA. and First Republic Bank, with all other originators making up less than 10% of the pool. Of the loans in the transaction, 100% are seasoned 24 months or more. For seasoned loans, Fitch's analysis puts less emphasis on the originator and the origination process. NewRez, rated 'RPS2' by Fitch, will service 70.5% of the loans; Chase, rated 'RPS1-', will service 27.9% of the loans. United Wholesale Mortgage LLC (not assessed by Fitch) will service the remaining 1.6% of the loans. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, shifting interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The servicers will provide full advancing until deemed non-recoverable for the life of the transaction. The collateral is 65.5% fixed rate and 34.5% ARM loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. Since the presale was published, four loans were dropped and the transaction was re-sized. Fitch re-ran the loss analysis and determined that the change had no impact on the given losses as a result, its loss expectations remained unchanged from the losses disclosed in the presale report. The credit enhancement on the classes did change, but the classes still have sufficient CE to pass their previously assigned expected rating stresses. As a result, the final ratings remain as the expected ratings. The revised CEs are below: Super Senior Classes: AAAsf, 15.0%; Senior/Senior Support Classes: AA+, 10.75%; Class B-1: AA-, 6.15%; Class B-2: A-, 3.65%; Class B-3: BBB-, 2.0%; Class B-4: BB-; 1.10%; Class B-5: B-; 0.65%. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 9.8% above a long-term sustainable level, compared with 11.6% on a national level as of 2Q24. This is up 0.1% since last quarter, based on Fitch's updated view of home price sustainability. Housing affordability is the worst it has been in decades, driven by 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. Seasoned Performing Credit Quality (Mixed): The collateral consists of 390 seasoned, performing fully amortizing and interest only fixed-rate and adjustable-rate mortgage loans secured by first liens on primarily one- to four-family residential properties, planned unit developments (PUDs), two-to-four family homes, condominiums, townhouses, and cooperatives, totaling $318.86 million, which includes $354,993 of non-interest-bearing deferred principal amounts. The loans have maturities of up to 40 years. The loans are seasoned approximately 70 months in aggregate, according to Fitch (68 months per the transaction documents). The loans were originated mainly by Banc of California, NA. (54.3%) and First Republic Bank (16.8%), with all other originators making up less than 10% of the loan pool. The loans are being serviced by NewRez (70.5%), Chase (27.9%) and United Wholesale Mortgage, LLC (1.6%). The borrower profile is typical of recent seasoned prime transactions Fitch has seen. The borrowers have a moderate credit profile (756 FICO, according to Fitch, and 757 per the transaction documents) and low current leverage. The borrower profile also includes a current combined LTV of 48.4% per the transaction documents, an original CLTV of 66.3% as determined by Fitch, and a sustainable LTV (sLTV) as determined by Fitch of 55.2%. The borrowers have a WA debt-to-income ratio (DTI) of 33.6%. Of the pool, 1.9% of the loans have been modified. As of the cutoff date, the pool is 100% current. Specifically, 90.9% of the loans have had clean payment histories for the past two years. The pool consists of 81.9% of loans where the borrower maintains a primary residence, while 18.1% are investment properties or second homes. Fitch viewed the high percentage of primary residences as a positive feature in its analysis. Geographic Concentration (Negative): Approximately 62.6% of the pool is concentrated in California. The largest MSA concentrations are in the Los Angeles MSA (33.6%), the San Francisco MSA (11.9%) and New York MSA (9.1%). The top three MSAs account for 54.5% of the pool. As a result, there was a 1.14x probability of default (PD) penalty for geographic concentration, which increased the 'AAAsf' loss by 0.75%. Loan Count Concentration (Negative): The loan count for this pool (390 loans) results in a loan count concentration penalty. The loan count concentration penalty applies when the WA number (WAN) of loans is less than 300; in this pool, the WAN is 170. The loan count concentration for this pool results in a 1.24x penalty, which increases loss expectations by 164 bps at the 'AAAsf' rating category. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans until deemed non-recoverable. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicers are unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 5.50% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 2.50% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome because the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION One criteria variation was used in the analysis. The variation was to Fitch's "U.S. RMBS Loan Loss Model Criteria." Fitch used lower LS floors that start at 20% for the 'AAAsf' stress and end at 5% at the base case, rather than starting at 30% for the 'AAAsf' stress and ending at 10% in the base case in the analysis of this pool due to the seasoning of the loans and the very low LTVs. Using a 30% LS floor is overly punitive, since almost 37% of the pool will liquidate without a loss under Fitch's analysis if no LS floor is applied at the 'AAAsf' stress. Not applying this criteria variation would result in a one-category differential in the ratings. Fitch used a customized model for the analysis so the lower LS floors could be used. 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. A third-party due diligence review was performed on 65.1% of the loans in the final pool by AMC and Opus. These loans had a credit, compliance, valuations, and data integrity review completed by SitusAMC and Clayton, which are assessed by Fitch as 'Acceptable' third-party review (TPR) firms. 100% of the loans received a tax and title lien search by AMC. All the loans are serviced by NewRez, Chase and United Wholesale Mortgage; the servicers have stated that they follow standard servicing practices to monitor lien status, tax and title issue and advances as needed to maintain the current lien status of the loans. As a result, no adjustments were made to the expected losses to account for any tax and lien search findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 65.1% of the loans in the final pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Additionally, 100% of the loans received a tax and title lien search by AMC. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations 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. MAGNETITE XLI: Fitch Assigns 'BB+sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Magnetite XLI, Limited. Entity/Debt Rating ----------- ------ Magnetite XLI, Limited A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XLI, 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 $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.07% first-lien senior secured loans and has a weighted average recovery assumption of 74.56%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XLI, 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. MORGAN STANLEY 2013-C7: DBRS Confirms C Rating on 4 Tranches ------------------------------------------------------------ DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2013-C7 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 as follows: -- Class C to BB (low) (sf) from A (low) (sf) -- Class X-B to BB (sf) from A (sf) -- Class PST to BB (low) (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) The trends on Classes C, X-B, and PST are Negative. Classes D, E, F, and G have credit ratings that generally do not carry a trend in commercial mortgage-backed securities (CMBS). The credit rating downgrades on Classes C, X-B, and PST are a result of the outstanding interest shortfalls throughout the capital stack, which total $9.2 million as of November 2024 reporting and are expected to increase given the concentration of delinquent and specially serviced assets in the transaction (four loans, representing 92.7% of the current trust balance). The resolution and disposition strategies of these loans are likely to be drawn out, supporting the Negative trends as increased resolution timelines would result in additional expenses incurrent by the trust. At the last credit rating action in January 2024, cumulative unpaid interest shortfalls totaled $5.0 million. As of the November 2024 remittance, interest shortfalls affect up to the Class D certificate, currently rated C (sf). Morningstar DBRS' tolerance for unpaid interest is limited to one to two remittance periods at the A (sf) credit rating category and six remittance periods at the BB (sf) and B (sf) credit rating categories. As of the November 2024 remittance, 11 loans remain in the pool, representing a collateral reduction of 88.6% since issuance. There have been no additional paydowns or liquidations since the last credit rating action. The four specially serviced loans are secured by regional malls and smaller retail properties, which have reported significant value declines from issuance. All four loans were liquidated from the trust with this review, discussed further below. The remaining seven loans, representing 7.3% of the pool, are secured by single-tenant retail properties, 100% leased to Walgreens. These loans are fully amortizing fixed-rate loans with maturity dates ranging from June 2025 to November 2035. The largest remaining loan is Solomon Pond Mall (Prospectus ID#2, 51.4% of the pool), which is backed by 399,266 square feet (sf) of in-line space in an 884,758-sf regional mall in Marlborough, Massachusetts, approximately 30 miles west of downtown Boston. The mall is anchored by noncollateral tenants JCPenney and Macy's. A third anchor space previously occupied by a noncollateral Sears remains dark following the store closure in 2021. The loan transferred to special servicing in June 2020 for imminent monetary default and a receiver was appointed in September 2021. The loan was last paid in December 2023. The receiver continues its attempts to stabilize the property and has begun the receiver sale process. According to the June 2024 rent roll, occupancy has increased to 85.4%, up slightly from 83.7% in February 2023 and the low occupancy rate of 69.0% in June 2021. Within the next 12 months, there is a cumulative tenant rollover risk of approximately 36.0% of the collateral net rentable area. According to the most recent financials provided by the servicer, the net cash flow (NCF) as of YE2023 was $2.6 million, resulting in a debt service coverage ratio (DSCR) of 0.42 times (x). The NCF figure remained well below the issuance figure of $13.2 million. A January 2024 appraisal valued the subject at $29.7 million, similar with the March 2023 value of $30.4 million, but a steep decline from the issuance appraised value of $200.0 million. The sponsor, Simon Property Group, has classified the subject property in its "Other Properties" category as of its Q3 2024 supplement report, which aligns with the 11 months of delinquent debt service payments and illustrates the lack of sponsor commitment. Given the sustained value decline with the most recent appraisal, tenant rollover risk, lack of sponsor commitment, and poor financial performance, Morningstar DBRS assumed a stressed scenario in its analysis, resulting in a full loss to the loan. The second-largest loan is Valley West Mall (Prospectus ID#7, 23.5% of the pool), an 856,248-sf, regional mall in West Des Moines, Iowa. The loan transferred to special servicing in September 2019 for imminent default and a receiver was appointed in 2020. In an effort to entice a potential sale, the receiver worked with the municipality to rezone the subject to a mixed-use property as of June 2024, according to several online articles. Although the rezoning is a positive development, occupancy continues to decline, which was most recently reported at 43.0% as of the June 2024 rent roll, down from the 62.0% occupancy rate as of September 2023. At issuance, the subject was anchored by JCPenney, Younkers, and Von Maur; however, only JCPenney remains at the property, as Younkers vacated in 2018 and Von Maur relocated in 2022 to a competing mall located five miles from the subject. Financial performance continues to decline with negative cash flow figures reported since 2022. The January 2024 appraisal valued the subject at $14.5 million, a continued decline from the $18.0 million valuation as of February 2023 and well below the $95.0 million valuation at issuance. Morningstar DBRS assumed a stressed scenario in its liquidation analysis, resulting in a full loss to the loan. The final two specially serviced loans are 494 Broadway (Prospectus ID#19, 11.6% of the pool) and 440 Broadway (Prospectus ID#28, 6.2% of the pool), secured by two retail properties in the Soho neighborhood of New York City. Both loans transferred to special servicing for maturity default. 440 Broadway is now real estate owned while the foreclosure process remains ongoing for 494 Broadway. Both loans received updated appraised values in 2024 below the 2023 and issuance appraised values. Both loans were liquidated from the pool in Morningstar DBRS' analysis at a cumulative loss in excess of $21.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs ------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2011-C3 issued by MSC 2011-C3 Mortgage Trust as follows: -- Class E at BBB (sf) -- Class F at BB (high) (sf) -- Class X-B at B (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' stable performance outlook for the remaining loans in the pool, including the recoverability expectation for the largest remaining loan in the transaction, Westfield Belden Village (Prospectus ID#2, 92.3% of the pool). The loan is secured by a portion of a regional mall in Canton, Ohio, and was most recently reappraised in 2021 at a value of $81.6 million, representing a 48.7% decline from its issuance appraised value of $159.0 million in 2011. Morningstar DBRS analyzed the recoverability prospects for the loan by applying a stressed capitalization rate (cap rate) to the YE2023 net cash flow (NCF). While the results of the recoverability scenario suggest a loss to the trust is likely, Morningstar DBRS expects it to be contained to the unrated Class H certificate, which totals $42.1 million as of the November 2024 remittance, supporting the credit rating confirmations with this review. Westfield Belden Village is anchored by a collateral Macy's (29.3% of the collateral net rentable area (NRA), lease expiring in February 2026) and a noncollateral Dillard's. The mall's former Sears box has been leased to Dave & Buster's and Dick's Sporting Goods, neither of which are collateral for the subject loan. The loan was modified in 2021, resulting in a five-year maturity extension to July 2026. According to the September 2024 rent roll, the collateral occupancy rate was 95.2%, with tenants representing 16.1% of NRA scheduled to roll throughout 2025. According to the financials for the trailing six months ended June 30, 2024, property operations yielded a debt service coverage ratio (DSCR) of 1.26 times (x), a decline from the YE2023 DSCR of 1.44x. As a result of the decline in DSCR, the loan was added to the servicer's watchlist and is currently in a cash sweep period, with approximately $591,000 trapped as of November 2024. In its analysis for this review, to test the durability of the credit ratings, Morningstar DBRS derived an updated property value of $58.1 million (loan-to-value ratio of 152.1%) by applying a stressed cap rate of 16.0% to the YE2023 NCF. Morningstar DBRS expects that in a default scenario, losses associated with this loan would be contained to the unrated Class H, with implied proceeds sufficient to repay all remaining rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. NASSAU 2017-I: S&P Lowers Class D Notes Rating to 'D (sf)' ---------------------------------------------------------- S&P Global Ratings lowered its rating on Nassau 2017-I Ltd.'s class D to 'D (sf)' from 'CCC- (sf)' and subsequently discontinued it. At the same time, S&P discontinued its ratings on the class A-2, B, and C notes. Nassau 2017-I Ltd. is U.S. cash flow CLO transaction. The rating actions follow its review of the transaction's redemption, which occurred on Dec. 27, 2024. According to the notices provided by the trustee, the class D noteholders unanimously agreed to receive a lower amount than the redemption price, which permitted the redemption to proceed. Following this, the transaction liquidated all collateral obligations from its portfolio and used the principal proceeds to pay down the rated notes on Dec. 27, 2024. The class A-2, B, and C notes were paid down completely and, as a result, S&P discontinued its ratings on these notes. The amount of principal proceeds received from the liquidation, however, was inadequate to pay in full the rated balance of the interest due (including deferred) and principal of the class D notes. Though the class D noteholders agreed to receive a lower amount, our ratings address the likelihood that securities receive their timely interest and full principal by their legal final maturity date. S&P lowered the rating on the class D notes to 'D (sf)' as a reflection of these rated balances not being fully repaid, and then subsequently discontinued it. Rating Lowered, Then Discontinued Nassau 2017-I Ltd. Class D to 'D (sf)' from 'CCC- (sf)' Class D to NR from 'D (sf)' Ratings Discontinued Nassau 2017-I Ltd. Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AAA (sf)' Class C to NR from 'BBB+ (sf)' NR--Not rated. NATIXIS COMMERCIAL 2020-2PAC: DBRS Confirms B(low) on 2 Classes --------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-2PAC, Amazon Phase VII Loan Specific Certificates issued by Natixis Commercial Mortgage Securities Trust 2020-2PAC (NCMS 2020-2PAC) as follows: -- Class AMZ1 at BBB (low) (sf) -- Class AMZ2 at BB (low) (sf) -- Class AMZ3 at B (low) (sf) -- Class V-AMZ at B (low) (sf) All trends are Stable. The rating confirmations reflect performance that remains in line with Morningstar DBRS' expectations, as evidenced by stable occupancy and cash flow reporting. The loan is secured by the borrower's fee-simple interest in Amazon Phase VII, a 12-story, Class A office property in Seattle, Washington. The Amazon Phase VII whole loan of $220.0 million is composed of $160.0 million of senior debt and $60.0 million of junior debt. The fixed-rate, interest-only loan has an anticipated repayment date (ARD) in April 2025, with a final maturity in December 2026. The Amazon Phase VII A note was contributed to the subject trust and split into four components: one senior pooled component with an outstanding principal balance of $100.1 million and three subordinate nonpooled components totaling $59.9 million, which serve as collateral for these rated loan-specific certificates. Morningstar DBRS does not rate the NCMS 2020-2PAC pooled certificates. The property was constructed in 2015 and was built to suit for Amazon Corporate LLC (Amazon), a subsidiary of Amazon.com, Inc, an investment-grade-rated tenant. The building is LEED Gold certified and totals 318,617 square feet (sf), including 5,651 sf of ground-floor retail space, a four-level subterranean parking garage containing 429 parking spaces, a public plaza, and a landscaped rooftop terrace with sweeping views of Seattle. The property is one of more than 40 office buildings comprising Amazon's corporate headquarters campus in Seattle's South Lake Union submarket. Amazon occupies 98.2% of the net rentable area and its lease is structured with a 9.3% rent increase every three years and is fully guaranteed by the parent company. The lease commenced on September 2015 and expires in August 2031, well beyond the ARD of April 2025 and the final maturity of December 2026. In addition, the lease is structured with two five-year extension options and no early termination options. At issuance, the tenant was paying a rental rate of $33.98 per sf (psf) and the most recent rent step from September 2024 has increased the rate to $40.57 psf. The property was 100.0% occupied and reported an annualized net cash flow (NCF) figure of $11.8 million, according to a financial statement for the trailing six month period ended June 30, 2024. In comparison, the YE2022 NCF was $11.7 million, and the Morningstar DBRS NCF derived at issuance was $10.9 million. Morningstar DBRS' NCF figure includes a straight-line credit for Amazon's rent over the loan term given its consideration as a long-term credit tenant. Morningstar DBRS' previous credit rating action, dated April 2024, included an update to the valuation of the asset. For more information regarding the approach and analysis conducted, please refer to the press release titled "Morningstar DBRS Takes Rating Actions on North American Single-Asset/Single-Borrower Transactions Backed by Office Properties," published on April 15, 2024. For purposes of today's credit rating action, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.25% applied to the Morningstar DBRS NCF of $10.9 million. Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing benchmarks totaling 6.0%, reflective of the asset's high quality, good location and expectation for minimal cash flow volatility. The Morningstar DBRS concluded value of $150.4 million represents a -45.3% variance from the issuance appraised value of $275 million and implies an all-in LTV of 146.2%. Notes: All figures are in U.S. dollars unless otherwise noted. OCP CLO 2024-38: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to OCP CLO 2024-38 Ltd./OCP CLO 2024-38 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 Onex Credit Partners LLC, a subsidiary of Onex Corp. The ratings reflect our 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 OCP CLO 2024-38 Ltd./OCP CLO 2024-38 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB (sf) Class D-2 (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $50.00 million: Not rated OCTAGON INVESTMENT 39: Moody's Cuts Rating on $12MM F Notes to Caa2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Octagon Investment Partners 39, Ltd.: US$27,600,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to Aa1 (sf); previously on March 18, 2024 Upgraded to Aa3 (sf) US$37,800,000 Class D Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to Baa1 (sf); previously on March 18, 2024 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$12,000,000 Class F Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on August 7, 2020 Confirmed at B3 (sf) Octagon Investment Partners 39, Ltd., originally issued in November 2018 and partially refinanced in March 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Class C and Class D notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since March 2024. The Class A-R notes have been paid down by approximately 35.7% or $133.1 million since then. Based on Moody's calculation, the OC ratios for the Class C and Class D notes are currently 128.99% and 115.94%, respectively, versus March 2024 levels of 122.17% and 113.06%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F notes is currently 104.08% versus a March 2024 level of 104.30%. Furthermore, Moody's calculated weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are currently 2924 and 3.42%, respectively, compared to 2760 and 3.67%, respectively, in March 2024. No actions were taken on the Class A-R, Class B-R and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $432,171,198 Defaulted par: $5,386,822 Diversity Score: 69 Weighted Average Rating Factor (WARF): 2924 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.42% Weighted Average Recovery Rate (WARR): 47.22% Weighted Average Life (WAL): 3.50 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. PMT LOAN 2024-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2024-INV2, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2024-INV2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned 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 0.78%, in a baseline scenario-median is 0.48% and reaches 7.79% 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. PRPM TRUST 2024-NQM4: DBRS Gives Prov. BB(low) Rating on B-1 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Pass-Through Certificates, Series 2024-NQM4 (the Certificates) to be issued by PRPM 2024-NQM4 Trust (the Issuer) as follows: -- $276.9 million Class A-1 at (P) AAA (sf) -- $9.5 million Class A-2 at (P) AA (high) (sf) -- $29.3 million Class A-3 at (P) A (high) (sf) -- $17.4 million Class M-1A at (P) BBB (high) (sf) -- $14.9 million Class M-1B at (P) BBB (low) (sf) -- $6.7 million Class B-1 at (P) BB (low) (sf) The (P) AAA (sf) credit rating on the Class A-1 Certificates reflects 25.85% of credit enhancement provided by the subordinated certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BBB (low) (sf), and (P) BB (low) (sf) credit ratings reflect 23.30%, 15.45%, 10.80%, 6.80%, and 5.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 762 mortgage loans with a total principal balance of $373,371,330 as of October 31, 2024 (the Cut-Off Date). PRPM 2024-NQM4 represents the eighth securitization issued from the PRPM NQM shelf, which is backed by both nonqualified mortgages (non-QM) and business-purpose investment property loans underwritten using debt service coverage ratios (DSCR). PRP V AIV Holdings, L.P., a fund owned by the aggregator, Balbec Capital LP & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. OCMBC Inc. doing business as (dba) LoanStream Mortgage (LoanStream; 26.9%) is the largest originator of the mortgage loans; 73.2% of the loans were originated by various originators, each of which originated less than 10% of the loans. Fay Servicing, LLC (Fay; 86.7%) & NewRez LLC dba Shellpoint Mortgage Servicing (Shellpoint; 13.3%) are the Servicers of the loans in this transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association will act as Custodian. For 37.7% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. In addition, 2.6% of the pool comprises investment property loans underwritten using debt-to-income ratios (DTI). Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and TILA / RESPA Integrated Disclosure rule. For 36.4% of the pool, the mortgage loans were originated to satisfy the CFPB's Ability-to-Repay (ATR) rules, but were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (20.0%), and QM Rebuttable Presumption (3.2%) by unpaid principal balance (UPB). The Sponsor, or the Depositor, a majority-owned affiliate of the Sponsor, will retain the requisite portion of the Class B-3 and the Class XS Certificates, representing an eligible horizontal interest of at least 5% of the aggregate fair value of the 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 earlier of (1) the distribution date in December 2027 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification, and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association (MBA) method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Class A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Prior to a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1, A-2, and A-3 before being applied sequentially to amortize the balances of the senior and subordinate Certificates. After a Trigger Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 note balance before a similar allocation of funds to the Class A-2 (IPIP). Monthly Excess Cash flow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1, A-2, A-3, M-1A, M1B, and B-1 (if applicable). For this transaction, the Class A-1, A-2, and A-3 fixed rates step up by 100 basis points on and after the payment date in November 2028. On or after January 2029, interest and principal otherwise payable to the Class B-3 may also be used to pay any Class A Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. READY CAPITAL 2018-4: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------ DBRS, Inc. confirmed all credit ratings on the classes of Ready Capital Mortgage Trust 2018-4 Commercial Mortgage Pass-Through Certificates issued by Ready Capital Mortgage Trust 2018-4 as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class IO-A at AAA (sf) -- Class IO-B/C at AAA (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction. As of the November 2024 remittance, 22 of the original 50 loans remain in the pool. The initial pool balance of $164.96 million has been reduced by 63.2%, to $60.6 million, which includes $1.42 million of losses from loan liquidations. Loans secured by retail properties represent the greatest property-type concentration, accounting for 35.5% of the current pool balance, followed by multifamily properties at 18.9%. The largest geographic concentration is North Carolina, accounting for 20.5% of the balance, followed by Georgia at 10.8%. Ten loans, representing 41.3% of the pool balance, are on the servicer's watchlist, and there are no loans in special servicing. The loans on the servicer's watchlist have been flagged for a variety of reasons, including below breakeven debt service coverage ratios (DSCRs), declines in property occupancy rates, and deferred maintenance issues. The largest loan on the servicer's watchlist, The Shops at Northgate (Prospectus ID#5, 8.8% of the current trust balance), is secured by a retail property in Durham, North Carolina. The loan has been on the servicer's watchlist since September 2023 for a low DSCR as a result of a decline in occupancy. While the loan remains current, the borrower has been unsuccessful in increasing the occupancy rate at the subject, which was reported at 64.0% as of the June 2024 rent roll. The figure is unchanged from the occupancy rate as reported in the October 2023 rent roll. The property has been negatively affected by the closure of the adjacent Northgate Mall, which historically helped drive traffic to the subject property. Vacant spaces at the subject range in size from 1,245 square feet (sf) to 10,153 sf. The largest tenant, Sky Zone (27.2% of the NRA), executed an early five-year lease extension in 2023 with a lease expiration date in October 2029. The lease of the second-largest tenant, Planet Fitness (21.7% of the NRA), does not expire until July 2027. According to the trailing six month's financials ended June 30, 2024, property cash flow yielded a DSCR of 0.88x, a decline from the YE2023 figure of 0.99x. Given the ongoing leasing challenges at the property and prolonged decline in cash flow, Morningstar DBRS applied an increased Probability of Default adjustment to the loan, which resulted in an increased loan expected loss. The loan expected loss is approximately two times greater than the weighted-average expected loss for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. REGATTA 30: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta 30 Funding Ltd. Entity/Debt Rating ----------- ------ Regatta 30 Funding Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Regatta 30 Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.78 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 97.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.44% 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 Regatta 30 Funding Ltd. REGATTA XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXIV Funding Ltd. reset transaction. Entity/Debt Rating ----------- ------ Regatta XXIV Funding Ltd. X LT AAAsf New Rating A-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 Regatta XXIV Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Napier Park Global Capital (US) LP that originally closed in December 2021. 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 24.11 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 98.66% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.57% versus a minimum covenant, in accordance with the initial expected matrix point of 72.4%. 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 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XXIV Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RR4 LTD: Fitch Assigns 'BB+sf' Rating on Class D-RR Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 24 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 24 Ltd A-1a-RR LT AAAsf New Rating AAA(EXP)sf A-1b-R 75000HAN4 LT PIFsf Paid In Full AAAsf A-1b-RR LT AAAsf New Rating AAA(EXP)sf A-2-R 75000HAQ7 LT PIFsf Paid In Full AA+sf A-2-RR LT AA+sf New Rating AA+(EXP)sf B-R 75000HAS3 LT PIFsf Paid In Full A+sf B-RR LT A+sf New Rating A+(EXP)sf C-1-R 75000HAU8 LT PIFsf Paid In Full BBB+sf C-1a-RR LT BBB+sf New Rating BBB+(EXP)sf C-1b-RR LT BBB-sf New Rating BBB-(EXP)sf C-2-R 75000HAW4 LT PIFsf Paid In Full BBB-sf C-2-RR LT BBB-sf New Rating BBB-(EXP)sf D-R 75000CAG0 LT PIFsf Paid In Full BB+sf D-RR LT BB+sf New Rating BB+(EXP)sf E-RR LT NRsf New Rating NR(EXP)sf X LT AAAsf New Rating AAA(EXP)sf Transaction Summary RR 24 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Redding Ridge Asset Management LLC. That originally closed in December 2022. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $697 (excluding defaults) million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.69% first lien senior secured loans and has a weighted average recovery assumption of 74.09%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1a-RR, between 'BBB+sf' and 'AA+sf' for class A-1b-RR, between 'BB+sf' and 'A+sf' for class A-2-RR, between 'B+sf' and 'BBB+sf' for class B-RR, between less than 'B-sf' and 'BBB-sf' for class C-1a-RR, between less than 'B-sf' and 'BB+sf' for class C-1b-RR, between less than 'B-sf' and 'BB+sf' for class C-2-RR, and between less than 'B-sf' and 'BB-sf'for class D-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1a-RR and class A-1b-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 A-2-RR, 'AA+sf' for class B-RR, 'A+sf' for class C-1a-RR, 'Asf' for class C-1b-RR, 'A-sf' for class C-2-RR, and 'BBB+sf' for class D-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for RR 24 LTD., 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. SILVER POINT 7: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Silver Point CLO 7, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 7, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Silver Point CLO 7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 97.95% first-lien senior secured loans and has a weighted average recovery assumption of 74.17%. 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, '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 assesses the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the rating agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 7, 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. STUDENT LOAN 2007-2: Fitch Lowers Rating on Class B Notes to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has affirmed 19 Federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings from 11 transactions at their current levels. The Rating Outlook on the class B notes of SLC Student Loan Trust (SLC) 2006-1 has been revised to Positive from Stable. Outlooks remain Stable for the remaining classes of notes affirmed at their current rating levels, except for the class B notes of SLC 2006-2, the outstanding notes of SLC 2008-1 and the class A notes of SLC 2009-3, which remain Negative. Fitch has also downgraded three FFELP SLABS ratings from two transactions. The class A-6 notes of SLC 2006-2 were downgraded to 'Asf' from 'AA+sf' and assigned a Stable Outlook. The class A-3 notes of SLC 2007-2 were downgraded to 'BBsf' from 'Asf' and assigned a Negative Outlook, and the class B notes of SLC 2007-2 were downgraded to 'Bsf' from 'BBBsf' and assigned a Stable Outlook. Fitch has upgraded the class B notes of SLC 2005-1 to 'AAsf' from 'Asf' and assigned a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- SLC Student Loan Trust 2004-1 A-7 784423AG0 LT B-sf Affirmed B-sf B 784423AH8 LT B-sf Affirmed B-sf SLC Student Loan Trust 2006-1 A-6 784427AF3 LT AA+sf Affirmed AA+sf B 784427AG1 LT Asf Affirmed Asf SLC Student Loan Trust 2007-2 A-3 784422AC1 LT BBsf Downgrade Asf B 784422AD9 LT Bsf Downgrade BBBsf SLC Student Loan Trust 2008-1 A-4A 78444LAD5 LT AAsf Affirmed AAsf A-4B 78444LAF0 LT AAsf Affirmed AAsf B 78444LAE3 LT AAsf Affirmed AAsf SLC Student Loan Trust 2009-3 A 78444TAA4 LT AA+sf Affirmed AA+sf SLC Student Loan Trust 2005-3 A-4 784420AQ4 LT AA+sf Affirmed AA+sf B 784420AR2 LT Asf Affirmed Asf SLC Student Loan Trust 2007-1 A-5 784424AG8 LT AAsf Affirmed AAsf B 784424AE3 LT Asf Affirmed Asf SLC Student Loan Trust 2008-2 A-4 78444NAD1 LT Dsf Affirmed Dsf B 78444NAE9 LT Csf Affirmed Csf SLC Student Loan Trust 2009-1 A-2 78444QAB8 LT AAsf Affirmed AAsf SLC Student Loan Trust 2005-1 A-4 784420AD3 LT AA+sf Affirmed AA+sf B-1 784420AE1 LT AAsf Upgrade Asf SLC Student Loan Trust 2005-2 A-4 784420AJ0 LT AA+sf Affirmed AA+sf B 784420AK7 LT Asf Affirmed Asf SLC Student Loan Trust 2006-2 A-6 784428AF1 LT Asf Downgrade AA+sf B 784428AG9 LT Asf Affirmed Asf Transaction Summary In cash flow modeling for SLC 2004-1, the class A-7 notes miss their legal final maturity date under Fitch's credit and maturity base cases. A default of the senior class would result in interest payments being diverted away from class B, which would cause that note to default as well. In affirming the rating at 'B-sf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, the time horizon until the A-7 maturity date, current rate of amortization and the eventual full payment of principal in modeling. Since there is no revolving credit facility in place from Navient for SLC 2004-1, Fitch has affirmed the class A-7 and B notes at 'B-sf'. For the SLC 2006-2 A-6 class notes, the downgrade to 'AAsf' from 'AA+sf' reflects a tightening in maturity cushions for the notes observed since the prior review, while on the other hand, credit risk remains low. Outlook is maintained as Negative given Fitch's expectations of tighter cushions in the model for future reviews at the current rating level. For SLC 2007-2 A-3 class notes, the downgrade of the senior notes to 'BBsf' from 'Asf' reflects a persistent performance deterioration since the prior review. The notes have displayed increased maturity risk and sensitivity to weighted average remaining term, which has remained stable at 184 months, compared to the prior review. The Outlook following the downgrade is Negative due to the possibility of future negative rating pressure if remaining term stays stable or increases. Subsequently, the downgrade of the B class notes to 'Bsf' from 'BBBsf' is due to the notes also facing increased maturity risk and sensitivity to remaining term. Outlook following the downgrade is Stable in order to give credit to potential support from servicer at maturity. For SLC 2008-1, a currency swap provided by Credit Suisse International (CS) supports euro-denominated payments on the class A-4B notes. Fitch affirmed CS, a subsidiary of UBS AG, at 'A+'/'F1' on June 3, 2024. The transaction's swap documents do not clearly envisage collateral posting in line with Fitch counterparty criteria. While Credit Suisse was rated below 'A' by Fitch, Fitch was informed by transaction parties that the swap counterparty would post, at a minimum, the mark-to-market (mtm) of the swap when the swap is out-of-money for the swap counterparty. Additionally, under the swap documents, Credit Suisse International (CS) would need to be replaced as swap counterparty if downgraded below 'BBB+' or 'F2' by Fitch, regardless of collateral posting. Fitch considers the combination of the collateral posting of the mtm of the swap and the replacement trigger in line with Fitch criteria to sufficiently mitigate counterparty risk and support ratings on the senior notes at a rating level of 'AAsf', which acts as a rating cap on the notes. The 'AAsf' ratings on all other 2008-1 notes are also constrained by the rating on the A-4B notes. For SLC Student Loan Trust 2008-2, the affirmation of the class A-4 notes at 'Dsf' reflects the default on the senior class A-4 notes in the payment of their outstanding principal on their legal final maturity date on June 15, 2021. The notes will remain at 'Dsf' so long as the event of default is continuing. The class B notes are affirmed at 'Csf', reflective of the high level of credit risk for the notes, resulting from the occurrence of an event of default in the transaction. Thus far the class B notes have continued to make interest payments; however, pursuant to the trust indenture, the trust could switch to a post-event of default waterfall, directing all payments to the class A-4 notes until the balance is paid in full, which would result in interest payments being diverted away from the class B notes. If this course of action were followed, the class B notes would not pass Fitch's base case cashflow scenarios, as reflected by the current rating on the notes. Fitch will continue monitoring remedies to the occurrence of the event of default implemented by the noteholders or transaction parties, as provided under the trust indenture, and take any additional rating action based on the impact of those remedies, as deemed appropriate. KEY RATING DRIVERS U.S. Sovereign: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. All notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and special allowance payments (SAP) provided by the ED. Fitch currently rates the U.S. sovereign 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, the claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cashflow modeling. Fitch is revising the sustainable constant default rates (sCDR) for the following transactions: - SLC 2004-1 to 2.00% from 1.50%; - SLC 2006-1 to 2.00% from 1.60%; - SLC 2006-2 to 2.00% from 2.50%; - SLC 2007-1 to 4.50% from 3.60%; - SLC 2007-2 to 2.00% from 2.10%; - SLC 2009-1 to 4.50% from 4.00%; - SLC 2009-3 to 4.00% from 3.00%. For the remaining transactions, Fitch is maintaining the sCDR assumptions ranging from 2.00% to 5.30%. Fitch is revising the sustainable constant prepayment rates (sCPR) upwards for the following transactions: - SLC 2005-1 to 8.00% from 6.30%; - SLC 2005-2 to 8.00% from 6.00%; - SLC 2005-3 to 8.00% from 7.00%; - SLC 2006-1 to 8.00% from 6.00%. For the remaining transactions, Fitch is maintaining the sCPR assumptions ranging from 8.00% to 9.50%. The 'AA+sf' default rates range from approximately 30.00% to 100.00%, and the 'Bsf' default rates range from 10.00% to 48.00%. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) range from 2.11% to 6.47%, 8.55% to 19.75%, and 16.57% to 33.84%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefits range from 0.02% to 0.27%, based on information provided by the sponsor. Swap Counterparty Exposure: The transaction's swap documents do not clearly envisage collateral posting in line with Fitch counterparty criteria. While Credit Suisse was rated below 'A' by Fitch, Fitch was informed by transaction parties that the swap counterparty would post, at a minimum, the mark-to-market (mtm) of the swap when the swap is out-of-money for the swap counterparty. CS, a subsidiary of UBS AG, is currently rated 'A+'/'F1'/Stable by Fitch, with a derivative counterparty rating of 'A+'(dcr), at which level no collateral posting is expected under Fitch's counterparty criteria. Additionally, under the swap documents, CS would need to be replaced as swap counterparty if downgraded below 'BBB+' or 'F2' by Fitch, regardless of collateral posting. In Fitch's experience, unhedged foreign exchange (FX) risk in structured finance transactions is rarely a marginal rating driver. Fitch considers the combination of the collateral posting of the mtm of the swap and the replacement trigger in line with Fitch criteria to sufficiently mitigate counterparty risk and support ratings on the senior notes at a rating level of 'AAsf', which acts as a rating cap on the notes. Based on prior collateral posting by CS, collateral posting is not expected to include liquidity adjustments and volatility cushions linked to Fitch ratings in addition to the mtm of the swap, which represents a criteria variation to Fitch's 'Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum'. Without this criteria variation, according to Fitch's counterparty criteria, the available contractual replacement trigger of 'BBB+' or 'F2' would support, without giving credit to collateral arrangements, ratings up to the 'A' category. Basis and Interest Rate Risks: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for special allowance payments (SAP) and the securities. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread where available and for the class A notes, subordination provided by the class B notes where available. As of the most recent distribution, reported total parity ratios range from 100.00% to 117.6%. Liquidity support is provided by reserve accounts that are at their floors for all transactions except for SLC 2008-2, which is sized at $0. All transactions are releasing cash as of the latest distribution except for SLC 2004-1 and 2009-1, which have fallen below 10% of their initial pool balances, and SLC 2008-2, given the event of default. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt servicing activities. ESG -- Transaction Parties & Operational Risk: Credit Suisse International, a subsidiary of UBS AG, provides a currency swap for SLC Student Loan Trust 2008-1. Collateral posting does not include liquidity adjustments and volatility cushions linked to Fitch's ratings in addition to the mtm of the swap, which represents a criteria variation to Fitch's 'Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum.' The transaction's currency swap documentation is a negative factor for the credit profile as the documentation constrains the ratings implicitly lower than the results of Fitch's cashflow modeling for the transaction would otherwise indicate. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 50% over the base case. The credit stress sensitivity is viewed by increasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by increasing remaining term and IBR usage and decreasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible current and model-implied ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the notes affirmed at 'Bsf' and below, the current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead to positive rating action. CRITERIA VARIATION A currency swap provided by Credit Suisse supports euro-denominated payments on the class A-4B notes. Collateral posting does not include liquidity adjustments and volatility cushions linked to Fitch ratings in addition to the mtm of the swap, which represents a criteria variation to Fitch's 'Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum.' Without this criteria variation, according to Fitch's counterparty criteria, the available contractual replacement trigger of 'BBB+' or 'F2' would support, without giving credit to collateral arrangements, ratings up to the 'A' category. 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 SLC Student Loan Trust 2008-1 has an ESG Relevance Score of '5' for Transaction Parties & Operational Risk due to the transaction's swap documentation, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in an implicitly lower rating than the results of Fitch's cashflow modeling for the transaction would otherwise indicate. 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. TIKEHAU US II: Fitch Assigns 'BB-sf' Rating on Class ER Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Tikehau US CLO II Ltd reset transaction. Entity/Debt Rating ----------- ------ Tikehau US CLO II Ltd. XR LT AAAsf New Rating A1R LT NRsf New Rating AJR LT AAAsf New Rating BR LT AAsf New Rating CR LT Asf New Rating D1FR LT BBBsf New Rating D1NR LT BBBsf New Rating DJR LT BBB-sf New Rating ER LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Tikehau US CLO II Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Tikehau Structured Credit Management LLC. This is the first refinancing in which the existing secured notes will be refinanced in whole, on Dec. 30, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $325 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 23.4, versus a maximum covenant, in accordance with the initial expected matrix point of 23.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.52% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.92% versus a minimum covenant, in accordance with the initial expected matrix point of 66.18%. 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 that of other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.05-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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class AJR, between 'BB+sf' and 'A+sf' for class BR, between 'B+sf' and 'BBB+sf' for class CR, between less than 'B-sf' and 'BBB-sf' for class D1NR, between less than 'B-sf' and 'BB+sf' for class DJR, and between less than 'B-sf' and 'B+sf' for class ER. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class AJR 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 BR, 'AAsf' for class CR, 'A+sf' for class D1NR, 'BBB+sf' for class DJR, and 'BBB+sf' for class ER. 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 Tikehau US CLO II Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2024-2: DBRS Gives Prov. B(low) Rating on B3 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Asset Backed Securities, Series 2024-2 (the Notes) to be issued by Towd Point Mortgage Trust 2024-2 (the Trust) as follows: -- $436.8 million Class A1A at (P) AAA (sf) -- $79.5 million Class A1B at (P) AAA (sf) -- $516.3 million Class A1 at (P) AAA (sf) -- $12.6 million Class A2 at (P) AA (sf) -- $6.0 million Class M1 at (P) A (sf) -- $3.8 million Class M2 at (P) BBB (high) (sf) -- $2.7 million Class B1 at (P) BB (high) (sf) -- $1.4 million Class B2 at (P) B (high) (sf) -- $1.1 million Class B3 at (P) B (low) (sf) The Class A1 Notes are exchangeable. This class can be exchanged for combinations of exchange notes as specified in the offering documents. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit ratings reflect 5.45% of credit enhancement provided by subordinated certificates. The (P) AA (sf), (P) A (sf), (P) BBB (high) (sf), (P) BB (high) (sf), (P) B (high) (sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 2.05%, 1.35%, 0.85%, 0.60%, and 0.40% of credit enhancement, respectively. The Trust is a securitization of a portfolio of predominantly seasoned performing and reperforming first-lien mortgages funded by the issuance of asset-backed notes (the Notes). The Notes are backed by 860 loans with a total scheduled principal balance of $546,058,171 as of the Cut-Off Date (December 1, 2024). The portfolio is approximately 92 months seasoned with 100.0% of the pool seasoned for more than 24 months. The portfolio contains 0.7% modified loans, and modifications happened more than two years ago for 100.0% of the modified loans in the pool. Within the pool, none of the mortgages have non-interest-bearing deferred amounts. As of the Cut-Off Date, 99.5% of the pool is current under the Mortgage Bankers Association (MBA) delinquency method. Approximately 91.7% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method (ignoring delinquencies due to servicing transfer). Morningstar DBRS assumed approximately 18.4% of the pool is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. Additionally, Morningstar DBRS assumed 1.6% of the loans is designated as Temporary QM Safe Harbor or QM Safe Harbor, and 80.0% to be Non-QM based on the results of the third-party due diligence. FirstKey Mortgage, LLC (FirstKey) will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. (Cerberus). Upon acquiring the loans from the transferring trusts, FirstKey, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, FirstKey, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. All of the loans will be serviced by Select Portfolio Servicing, Inc. (SPS). The SPS aggregate servicing fee rate for each payment date is 0.1050% per annum. In its analysis, Morningstar DBRS applied a higher servicing fee rate. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until the loans become 180 days delinquent under the MBA delinquency method or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make certain advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties. FirstKey, as the Asset Manager, has the option to sell certain nonperforming loans or real estate-owned (REO) properties to unaffiliated third parties individually or in bulk sales. Such sales require an asset sale price to at least equal a minimum reserve amount of the product of (1) 92.65 % and (2) the current principal amount of the mortgage loans or REO properties as of the sale date. When the aggregate pool balance of the mortgage loans is reduced to less than 20% of the Cut-Off Date balance, the Call Option Holder (an affiliate of the Sponsor, the Seller, the Asset Manager, the Depositor, and the Risk Retention Holder) will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers so long as the aggregate proceeds meet a minimum price. When the aggregate pool balance is reduced to less than 10% of the balance as of the Cut-Off Date, the Call Option Holder may purchase all of the mortgage loans, REO properties, and other properties from the Issuer, as long as the aggregate proceeds meet a minimum price. The transaction allows for the issuance of Class A1 Loans in which the Issuer may enter into a Credit Agreement to borrow up to the balance of the Class A1 Loans from Class A1 Lenders on the Closing Date. For the TPMT 2024-2 transaction, the Class A1 Loans will not be issued at closing. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and more subordinate bonds will not be paid from principal proceeds until the Class A1A and A1B Notes are retired. Notes: All figures are in U.S. dollars unless otherwise noted. TRIMARAN CAVU 2019-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-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 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. At the same time, S&P withdrew its ratings on the original class A-1, B, C-1, C-2, D, and E debt following payment in full on the Dec. 27, 2024, refinancing date. S&P Global Ratings did not rate the class A-2 debt. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The weighted average cost of debt of the replacement debt is lower than the original debt. -- Class X-R debt was issued in connection with this refinancing. This debt will be paid down using interest proceeds during the first 11 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 (class B-1, B-1X, B-2, B-2X, B-3, B-3X, B-4, B-4X, C-1-1, C-1-1X, C-1-2, C-1-2X, C-1-3, C-1-3X, C-1-4, C-1-4X, D-1, D-1X, D-2, D-2X, D-3, D-3X, D-4, D-4X, E-1, E-1X, E-2, E-2X, E-3, E-3X, E-4, and E-4X notes). The replacement debt does not have the same features. -- The reinvestment period and non-call periods were extended 3.5 years to January 2028 and January 2026, respectively. -- The stated maturity was 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." 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) Ratings Withdrawn Trimaran CAVU 2019-1 Ltd./Trimaran CAVU 2019-1 LLC Class A-1 to NR from 'AAA (sf)' Class B(i) to NR from 'AA (sf)' Class C-1(i)to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D(i) to NR from 'BBB- (sf)' Class E(i) to NR from 'BB- (sf)' Exchangeable note combinations(iv) Combination 5: Class B-1(ii) to NR from 'AA (sf)' Class B-1X(iii) to NR from 'AA (sf)' Combination 6: Class B-2(ii) to NR from 'AA (sf)' Class B-2X(iii) to NR from 'AA (sf)' Combination 7: Class B-3(ii) to NR from 'AA (sf)' Class B-3X(iii) to NR from 'AA (sf)' Combination 8: Class B-4(ii) to NR from 'AA (sf)' Class B-4X(iii) to NR from 'AA (sf)' Combination 9: Class C-1-1(ii) to NR from 'A (sf)' Class C-1-1X(iii) to NR from 'A (sf)' Combination 10: Class C-1-2(ii) to NR from 'A (sf)' Class C-1-2X(iii) to NR from 'A (sf)' Combination 11: Class C-1-3(ii) to NR from 'A (sf)' Class C-1-3X(iii) to NR from 'A (sf)' Combination 12: Class C-1-4(ii) to NR from 'A (sf)' Class C-1-4X(iii) to NR from 'A (sf)' Combination 13: Class D-1(ii) to NR from 'BBB- (sf)' Class D-1X(iii) to NR from 'BBB- (sf)' Combination 14: Class D-2(ii) to NR from 'BBB- (sf)' Class D-2X(iii) to NR from 'BBB- (sf)' Combination 15: Class D-3(ii) to NR from 'BBB- (sf)' Class D-3X(iii) to NR from 'BBB- (sf)' Combination 16: Class D-4(ii) to NR from 'BBB- (sf)' Class D-4X(iii) to NR from 'BBB- (sf)' Combination 17: Class E-1(ii) to NR from 'BB- (sf)' Class E-1X(iii) to NR from 'BB- (sf)' Combination 18: Class E-2(ii) to NR from 'BB- (sf)' Class E-2X(iii) to NR from 'BB- (sf)' Combination 19: Class E-3(ii) to NR from 'BB- (sf)' Class E-3X(iii) to NR from 'BB- (sf)' Combination 20: Class E-4(ii) to NR from 'BB- (sf)' Class E-4X(iii) to NR from 'BB- (sf)' Other Debt Trimaran CAVU 2019-1 Ltd./Trimaran CAVU 2019-1 LLC Subordinated notes, $62.5 million: NR Exchangeable note combinations(iv) Combination 1: Class A-2-1(ii): NR Class A-2-1X(iii): NR Combination 2: Class A-2-2(ii): NR Class A-2-2X(iii): NR Combination 3 Class A-3-3(ii)L: NR Class A-3-3X(iii): NR Combination 4: Class A-4-4(ii): NR Class A-4-4X(iii): NR (i)The class A-2 (which S&P Global Ratings did not rate), B, C-1, D, and E notes were exchangeable for proportionate interest in combinations of MASCOT P&I notes and interest-only notes of their respective classes. In aggregate, the cost of debt, outstanding balance, stated maturity, subordination levels, and payment priority following such an exchange remained the same. Reference the Exchangeable note combinations lists for the respective combinations. (ii)MASCOT P&I notes had the same principal balance as the class A-2, B, C-1, D, and E notes, as applicable, surrendered in the exchange. (iii)Interest-only notes earned a fixed-rate interest on its notional balance and were not entitled to any payments of principal. The notional balance equaled the principal balance of the corresponding MASCOT P&I note of the respective combination. (iv)Applicable combinations had an aggregate interest rate equal to that of the exchanged note. MASCOT--Modifiable and splitable/combinable tranche. P&I--Principal and interest. NR--Not rated. TRINITAS CLO XIX: Moody's Assigns Ba3 Rating to $17.5MM E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the "Refinancing Notes") issued by Trinitas CLO XIX, Ltd. (the "Issuer"). US$270,000,000 Class A-1-R Floating Rate Notes due 2033, Assigned Aaa (sf) US$60,000,000 Class B-R Floating Rate Notes due 2033, Assigned Aa1 (sf) US$17,500,000 Class E-R Deferrable Floating Rate Notes due 2033, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Trinitas Capital Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a couple of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the stated non-call period and the updates to alternative benchmark replacement provisions. No action was taken on the Class A-2 notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels.. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $488,392,993 Diversity Score: 74 Weighted Average Rating Factor (WARF): 2878 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.25% Weighted Average Coupon (WAC): 4.46% Weighted Average Recovery Rate (WARR): 46.73% Weighted Average Life (WAL): 4.50 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TRTX 2019-FL3: DBRS Cuts Class G Notes Rating to C -------------------------------------------------- DBRS, Inc. downgraded the credit ratings on two classes of notes issued by TRTX 2019-FL3 Issuer, Ltd. as follows: -- Class F to BB (high) (sf) from BBB (low) (sf) -- Class G to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at AA (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) The trend on Class F is Negative. Class G has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrades on Classes F and G and the trend change on Class F reflect Morningstar DBRS' increased loss expectations for two loans: City Plaza (Prospectus ID #32; 23.9% of the pool) and Del Amo Crossing (Prospectus ID #28; 19.8% of the pool). The largest asset in the pool, City Plaza, is real estate owned and is secured by an 18-story office property in Orange, California. The loan transferred to special servicing in November 2023 and a deed-in-lieu of foreclosure transaction was initiated in January 2024. The property's performance has deteriorated in recent years with the occupancy rate most recently reported at 11.3% as of the June 2024 rent roll. An updated appraisal did not appear in the investor reporting package as of the November 2024 remittance report. Morningstar DBRS considered a stressed value in its liquidation scenario, with the projected realized loss expected to fully erode the remainder of the unrated PREF equity class along with a portion of Class G, driving the credit rating downgrade on Class G. The projected liquidated loss also reduces cushion against loss for Class F, supporting the credit rating downgrade for that class with this review. The credit rating downgrade and Negative trend on Class F are further supported by Morningstar DBRS' view that there are significantly increased risks for the Del Amo Crossing loan because of the lack of stabilization of the collateral property ahead of its upcoming final maturity in January 2025. The loan, which is secured by an eight-building office and retail property in Torrance, California, was only 63.9% occupied as of June 2024, down slightly from 65.4% as of YE2023. In the recoverability analysis for this review, Morningstar DBRS applied a stressed cap rate to the most recent net cash flow for the trailing 12 months (T-12) ended June 30, 2024, resulting in a loan-to-value ratio (LTV) in excess of 100%. Morningstar DBRS also notes the servicer is shorting interest through Class G, with total outstanding shortfalls of $1.1 million as of the November 2024 remittance. Interest shortfalls first occurred with the November 2023 reporting and are a direct result of the City Plaza loan delinquency. As such, shortfalls are expected to continue to increase through the remainder of the resolution period for that loan. The credit rating confirmations on the remaining classes reflect the increased credit support to the bonds since issuance, with collateral reduction of 78.6% as a result of successful loan repayments and principal proceeds recovered on liquidated loans. The PREF class has realized losses of $50.6 million as of the November 2024 remittance. As of the November 2024 remittance, the pool comprised five loans with a cumulative trust balance of $263.3 million. The transaction had a 24-month reinvestment period that ended in October 2021. Since the previous Morningstar DBRS credit rating action in January 2024, the $17.2 million Lenox Park Portfolio loan repaid in full. The remaining loan in the transaction, apart from the office concentration noted above, is secured by a multifamily property (14.0% of the current trust balance). The remaining collateral pool exhibits elevated leverage from issuance with a current weighted-average (WA) appraised LTV) of 72.8% and a WA stabilized LTV of 64.2%. In comparison, these figures were 77.4% and 64.4%, respectively, at closing. Given the performance challenges for some of the remaining loans, Morningstar DBRS expects the as-is LTVs have likely increased from the issuance appraisals. In the analysis for this review, Morningstar DBRS conducted a recoverability analysis based on updated Morningstar DBRS values derived from in-place property-level financial reporting with stressed market and property type specific capitalization rates. That analysis suggested the exposure to loans with LTVs in excess of 100% could extend into Class G. As of November 2024, two loans, representing 41.4% of the trust balance, are on the servicer's watchlist. The larger of two loans, 888 Broadway (Prospectus ID #5; 21.6% of the pool), is secured by two adjoining office buildings in the Flatiron/Union Square submarket of New York. The collateral comprises the fee-simple interest in 888 Broadway (totaling 90,376 square feet (sf) of office space) and the leasehold interest in 38 East 19th Street (totaling 130,936 sf of office space). The loan was modified in November 2024, extending loan maturity to March 2025 to allow additional time for the borrower to market the property for sale. The modification also includes three additional extension options through the fully extended maturity date of December 2025. As part of the modification, the borrower paid the loan down by $7.0 million. The property was 85.0% leased as of July 2024. According to the financials for the T-12 ended June 30, 2024, the property generated cash flow of $11.6 million, equating to a debt service coverage ratio of 0.84 times and debt yield of 7.7%. In the recoverability analysis for this review, Morningstar DBRS considered an updated value that reflected an LTV of nearly100%. Notes: All figures are in U.S. dollars unless otherwise noted. UBS COMMERCIAL 2018-C14: Fitch Affirms BBsf Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of UBS Commercial Mortgage Trust 2018-C14. The Rating Outlook for class C was revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C14 A-3 90278KAZ4 LT AAAsf Affirmed AAAsf A-4 90278KBA8 LT AAAsf Affirmed AAAsf A-S 90278KBD2 LT AAAsf Affirmed AAAsf A-SB 90278KAY7 LT AAAsf Affirmed AAAsf B 90278KBE0 LT AA-sf Affirmed AA-sf C 90278KBF7 LT A-sf Affirmed A-sf D 90278KAJ0 LT BBBsf Affirmed BBBsf E 90278KAL5 LT BBsf Affirmed BBsf F 90278KAN1 LT CCCsf Affirmed CCCsf G 90278KAQ4 LT CCCsf Affirmed CCCsf X-A 90278KBB6 LT AAAsf Affirmed AAAsf X-B 90278KBC4 LT AA-sf Affirmed AA-sf X-D 90278KAA9 LT BBsf Affirmed BBsf X-F 90278KAC5 LT CCCsf Affirmed CCCsf X-G 90278KAE1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses increased to 5.1% from 4.9% at Fitch's prior rating action. Nine loans (21.5%) were flagged as Fitch Loans of Concern (FLOCs), including two loans (3.5%) in special servicing. The affirmations reflect increasing loss expectations that have been largely offset by increasing credit enhancement (CE) due to paydown. The Negative Outlooks reflect the potential for downgrades with higher than expected losses from continued performance deterioration and/or lack of stabilization on the FLOCS, particularly GNL Portfolio (8.3%), which is the largest loan in the transaction, and Clevelander South Beach (6%). The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations is the largest loan in the pool, GNL Portfolio, which is secured by seven cross-collateralized, single tenant office/industrial properties totaling 647,713 sf and located across six states and seven distinct markets. The loan, which is sponsored by Global Net Lease, was designated FLOC due to occupancy declines. The GNL Portfolio's Nimble Storage property (25% of portfolio NRA; San Jose, CA) is currently vacant after the sole tenant Nimble Storage vacated at lease expiration in October 2021. The borrower has a contract for the sale of the vacated Nimble Storage property, with an estimated closing date by the end of 2024. A partial release will be required. Fitch maintains a 10% cap rate for the office component, and net cash flow is based on the TTM June 2024 NOI. The loan remains a FLOC. However, once the vacant property release is settled and performance improves, the loan may no longer be considered a FLOC. TTM June 2024 NOI DSCR declined to 0.95x from 1.15x at YE 2023, 1.10x at YE 2022, 2.14x at YE 2021 and 2.10x at YE 2020. Fitch's Bsf' rating case loss (prior to concentration add-on) of 18.7% reflects a 10% cap rate to the TTM June 2024 NOI. The second largest increase in loss since the prior rating action and second largest contributor to overall pool loss expectations is Clevelander South Beach, which is secured by a 59-key full-service hotel located in Miami Beach, FL. The servicer-reported occupancy and NOI DSCR were 70% and 1.51x, respectively at YE 2023, compared to 65% and 1.62x at YE 2022. Fitch's 'Bsf' rating case loss of 10.3% (prior to concentration adjustments) is based on a 11.75% cap rate and a 15% stress to YE 2023 NOI. Change in Credit Enhancement (CE): As of the November 2024 remittance report, the transaction has been reduced by 18.1% since issuance. Four loans (6.2%) are defeased. Interest shortfalls of approximately $518,000 are impacting non-rated class NR. 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 high CE and senior position in the capital structure, continued expected amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, particularly those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include GNL Portfolio, Clevelander South Beach and Nebraska Crossing. Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories, particularly those with Negative Outlooks, could occur with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including GNL Portfolio and Clevelander South Beach. Upgrades to the 'BBBsf' category rated class would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to the 'BBsf' category-rated class are unlikely until the later years of a transaction. These upgrades will only occur if the remaining pool's performance is stable and there is sufficient CE for the classes. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries of specially serviced loans or improved performance of 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. UBS-CITIGROUP 2011-C1: DBRS Confirms C Rating on 3 Tranches ----------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates Series 2011-C1 issued by UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1 as follows: -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) All classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit ratings are reflective of continued unpaid interest to all remaining classes. The sole remaining loan in the transaction, Poughkeepsie Galleria (Prospectus ID#2), is secured by the borrower's fee-simple interest in a 691,325-square foot (sf) portion of a 1,206,057-sf regional mall in Poughkeepsie, New York. The loan was modified in June 2023, terms of which included an extension of the maturity date to January 2025 with two one-year extension options in addition to the loan remaining in cash management. The interest rate was also reduced, which has contributed to ongoing interest shortfalls. Classes E, F, and G have been shorted interest for a year or more as of the November 2024 remittance. The subject is anchored by Target and Macy's, neither of which are collateral for the loan. The largest collateral tenants are Regal Cinemas and Dick's Sporting Goods. Although performance has continued to stabilize since the loan was modified, the most recent appraised value of $68.0 million, dated March 2023, represents a 71.3% decline from the issuance appraised value of $237 million. The mall is owned and operated by Pyramid Management Group, which has faced challenges meeting debt payments and maturity dates on other encumbered assets within its portfolio. Although the subject loan is not currently in special servicing and continues to perform in accordance with the modification terms, Morningstar DBRS' analysis included a liquidation scenario to determine recoverability of the bonds. Based on a stress to the most recent appraised value, all remaining classes may be exposed to losses, further supporting the credit ratings. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2024-6: DBRS Finalizes B Rating on 2 Tranches ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Certificates, Series 2024-6 (the Certificates) issued by Velocity Commercial Capital Loan Trust 2024-6 (VCC 2024-6 or the Issuer) as follows: -- $200.9 million Class A at AAA (sf) -- $16.1 million Class M-1 at AA (low) (sf) -- $14.8 million Class M-2 at A (low) (sf) -- $33.8 million Class M-3 at BBB (low) (sf) -- $15.4 million Class M-4 at BB (sf) -- $13.0 million Class M-5 at B (high) (sf) -- $4.1 million Class M-6 at B (sf) -- $200.9 million Class A-S at AAA (sf) -- $200.9 million Class A-IO at AAA (sf) -- $16.1 million Class M1-A at AA (low) (sf) -- $16.1 million Class M1-IO at AA (low) (sf) -- $14.8 million Class M2-A at A (low) (sf) -- $14.8 million Class M2-IO at A (low) (sf) -- $33.8 million Class M3-A at BBB (low) (sf) -- $33.8 million Class M3-IO at BBB (low) (sf) -- $15.4 million Class M4-A at BB (sf) -- $15.4 million Class M4-IO at BB (sf) -- $13.0 million Class M5-A at B (high) (sf) -- $13.0 million Class M5-IO at B (high) (sf) -- $4.1 million Class M6-A at B (sf) -- $4.1 million Class M6-IO at 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 AAA (sf) credit ratings on the Certificates reflect 33.40% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), B (high) (sf), and 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 US dollars unless otherwise noted. WARWICK CAPITAL 5: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Warwick Capital CLO 5 Ltd./Warwick Capital CLO 5 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Warwick Capital CLO Management LLC--Management Series, a subsidiary of Warwick Capital Partners LLP. The 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 Warwick Capital CLO 5 Ltd./Warwick Capital CLO 5 LLC Class A-1, $256 million: AAA (sf) Class A-2, $6 million: AAA (sf) Class B, $42 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D-1 (deferrable), $24 million: BBB- (sf) Class D-2 (deferrable), $4 million: BBB- (sf) Class E (deferrable), $12 million: BB- (sf) Subordinated notes, $35 million: Not rated WELLS FARGO 2016-NXS6: DBRS Cuts 3 Tranches' Rating to C -------------------------------------------------------- DBRS Limited downgraded the credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2016-NXS6 issued by Wells Fargo Commercial Mortgage Trust 2016-NXS6 as follows: -- Class C to A (low) (sf) from A (high) (sf) -- Class X-B to A (sf) from AA (low) (sf) -- Class X-D to CCC (sf) from BBB (high) (sf) -- Class D to CCC (sf) from BBB (sf) -- Class E to C (sf) from CCC (sf) -- Class X-E to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class G at C (sf) Morningstar DBRS changed the trends on Classes D, C and X-B to Negative from Stable. Classes E, F, G, X-D, and X-E have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) ratings. All other classes have Stable trends. The credit rating downgrades to Classes D, E, F, X-D, and X-E reflect ongoing interest shortfalls, which have exceeded Morningstar DBRS' tolerance for timely interest to rated bonds. As of the November 2024 remittance, cumulative unpaid interest totalled approximately $3.8 million, up from $2.5 million at the last credit rating action in March 2024. Unpaid interest continues to accrue month over month, primarily driven by special servicing fees and appraisal subordinate entitlement reduction from the largest loan in special servicing, Cassa Times Square (Prospectus ID#6; 5.8% of the pool). Morningstar DBRS' tolerance for unpaid interest is limited to three to four remittance periods at the BBB (sf) credit rating category and six remittance periods at the BB (sf) and B (sf) credit rating categories. The credit rating downgrades and trend change to Negative on Classes C and X-B reflect the increased propensity for interest shortfalls and the uncertain resolution of the Crate and Barrel loan (Prospectus ID#12; 3.7% of the pool), which transferred to special servicing in March 2024. The single tenant office building in the Northbrook suburb of Chicago is fully leased to Crate and Barrel with a lease expiration coterminous with the loan maturity in November 2025. The tenant has not yet renewed its lease and, should the tenant vacate at its lease expiry, the loan's refinancing prospects will be severely challenged. To reflect the increased credit risk, Morningstar DBRS analyzed this loan with an elevated probability of default and loan-to-value, resulting in an expected loss that is approximately three times (x) the pool average. As of the November 2024 remittance, 46 of the original 50 loans remain in the pool, representing a collateral reduction of 22.1% since issuance. The pool is well diversified by property type, with the four largest concentrations being retail (24.7% of the pool), mixed-use (20.2%), multifamily (18.3%), and office properties (17.9%). The office loans in the pool are generally performing in line with issuance expectations with a weighted-average YE2023 debt service coverage ratio of 2.06 times. Morningstar DBRS' loss expectations for Cassa Times Square remains unchanged from the prior credit rating action. The loan is secured by an 86-key boutique hotel along with 8,827 square feet of retail space in Manhattan, New York. The servicer is dual tracking foreclosure while also considering an option for a potential note sale. Given the loan's continued delinquency, Morningstar DBRS' analysis of this loan included a liquidation scenario based on a stressed haircut to the most recent appraisal, which valued the property at $33.8 million as of May 2024. Morningstar DBRS' liquidation scenario resulted in an implied loss severity in excess of 65.0%, which would erode the entirety of the unrated Class H. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2021-C59: Fitch Lowers Rating on Two Tranches to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed 34 classes of Wells Fargo Commercial Mortgage Trust 2021-C59 (WFCM 2021-C59). Fitch assigned Outlook Negative to classes F and X-F following their downgrade and revised the Outlook to Negative from Stable for classes D, E and X-D. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2021-C59 A-1 95003CAA8 LT AAAsf Affirmed AAAsf A-2 95003CAB6 LT AAAsf Affirmed AAAsf A-3 95003CAC4 LT AAAsf Affirmed AAAsf A-4 95003CAE0 LT AAAsf Affirmed AAAsf A-4-1 95003CBW9 LT AAAsf Affirmed AAAsf A-4-2 95003CAF7 LT AAAsf Affirmed AAAsf A-4-X1 95003CAG5 LT AAAsf Affirmed AAAsf A-4-X2 95003CAH3 LT AAAsf Affirmed AAAsf A-5 95003CAJ9 LT AAAsf Affirmed AAAsf A-5-1 95003CBX7 LT AAAsf Affirmed AAAsf A-5-2 95003CAK6 LT AAAsf Affirmed AAAsf A-5-X1 95003CAL4 LT AAAsf Affirmed AAAsf A-5-X2 95003CAM2 LT AAAsf Affirmed AAAsf A-S 95003CAN0 LT AAAsf Affirmed AAAsf A-S-1 95003CBY5 LT AAAsf Affirmed AAAsf A-S-2 95003CAP5 LT AAAsf Affirmed AAAsf A-S-X1 95003CAQ3 LT AAAsf Affirmed AAAsf A-S-X2 95003CAR1 LT AAAsf Affirmed AAAsf A-SB 95003CAD2 LT AAAsf Affirmed AAAsf B 95003CAS9 LT AA-sf Affirmed AA-sf B-1 95003CBZ2 LT AA-sf Affirmed AA-sf B-2 95003CAT7 LT AA-sf Affirmed AA-sf B-X1 95003CAU4 LT AA-sf Affirmed AA-sf B-X2 95003CAV2 LT AA-sf Affirmed AA-sf C 95003CAW0 LT A-sf Affirmed A-sf C-1 95003CCA6 LT A-sf Affirmed A-sf C-2 95003CAX8 LT A-sf Affirmed A-sf C-X1 95003CAY6 LT A-sf Affirmed A-sf C-X2 95003CAZ3 LT A-sf Affirmed A-sf D 95003CBE9 LT BBBsf Affirmed BBBsf E 95003CBG4 LT BBB-sf Affirmed BBB-sf F 95003CBJ8 LT Bsf Downgrade BB-sf G-RR 95003CBL3 LT CCCsf Downgrade B-sf X-A 95003CBU3 LT AAAsf Affirmed AAAsf X-B 95003CBV1 LT A-sf Affirmed A-sf X-D 95003CBA7 LT BBB-sf Affirmed BBB-sf X-F 95003CBC3 LT Bsf Downgrade BB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case loss is 5.6%. Fitch Loans of Concerns (FLOCs) comprise 10 loans (27.8% of the pool), including one specially serviced loan (2.1%). The downgrades reflect increased loss expectations since Fitch's prior rating action, driven by the newly specially serviced 8800 Baymeadows loan (2.1%) and performance and refinancing concerns for FLOCs secured by office properties (19.6%), particularly Two Penn Center (8.4%) and 160 Pine Street (3.4%). The Negative Outlooks reflect the potential for downgrades if realized losses increase on the specially serviced loan and/or performance declines on office properties. The transaction has a high concentration of loans secured by office properties (37.1%), including three single tenant office properties (14%) among the top 10 loans. The largest contributor to the change in overall loss expectations is the 8800 Baymeadows loan, which recently transferred to special servicing in December 2024 due to imminent monetary default. The loan matures in February 2026 and is secured by a 219,457-sf suburban office building in Jacksonville, FL originally built in 1993 as a built-to-suit single tenant office building for AT&T. Per the September 2024 rent roll, the property was 56% occupied, compared with 80% at year-end 2022 and 76% at underwriting. Occupancy declined in 2023 as the former top tenant, Lenderlive Network (46.9%), vacated after lease expiration in October 2023. Rollover included 18.7% of NRA in 2025 and 2% in 2026. Per CoStar, as of QTD 4Q2024, comparable properties in the Butler/Baymeadows office submarket had a 26.5% vacancy rate, 29% availability rate and $26.13 market asking rent, while the total submarket had a 15.8% vacancy rate, 16.8% availability rate and $23.77 market asking rent. Per the September 2024 rent roll, the property had average in-place rent of $21.79 psf. Fitch's 'Bsf' rating case loss of 32% (prior to concentration add-ons) reflects a 10% cap rate and the June 2024 net operating income (NOI), which is 54% below year-end 2023 and 40% below the Fitch issuance net cash flow (NCF). The expected loss also reflects the loan's recent default and specially serviced status. The second-largest contributor to overall loss expectations is the Two Penn Center loan, which is secured by a 516,108-sf, 20-story office building in Philadelphia, PA. Per the November 2023 rent roll, the property was 82.9% occupied, compared with 82% at year-end 2022 and 85% at underwriting. The loan is a FLOC due to rollover risk, which included 13.1% of NRA in 2024, 11% in 2025 and 10.1% in 2026. All top five tenants roll during the loan term. Per CoStar, as of QTD 4Q2024, comparable properties in the Market Street West Office submarket had a 17.2% vacancy rate, 22% availability rate and $36.96 market asking rent, while the total submarket had a 14.7% vacancy rate, 18.4% availability rate and $34.70 market asking rent. Per the November 2023 rent roll, the property had average in-place rent of $27.95 psf. Fitch's 'Bsf' rating case loss of 8% (prior to concentration add-ons) reflects a 10% cap rate and a 10% stress to the Fitch issuance NCF for concerns regarding rollover and sustainability of cash flow growth since issuance for office loans in this market. The third-largest contributor to overall loss expectations is the 160 Pine Street loan, which is secured by a San Francisco, CA 88,174-sf mid-rise office property with ground floor retail. The loan was flagged as FLOC given performance declines, rollover risk and submarket concerns. Per the September 2024 rent roll, the property was 59.9% occupied, compared with 79% at year-end 2021 and 76% at underwriting. The year-end 2023 NOI is 24%, below the year-end 2022 level and 20% below the Fitch issuance NCF. The annualized June 2024 NOI is in line with the year-end 2023 level. Rollover included 12.4% of NRA in 2025 and 30.6% in 2026. The top three tenants roll in 2025-2026. Per CoStar, as of QTD 4Q2024, comparable properties in the Financial District Office submarket had a 35% vacancy rate, 40.7% availability rate and $42.13 market asking rent, while the total submarket had a 30.3% vacancy rate, 33.6% availability rate and $51.16 market asking rent. Per the September 2024 rent roll, the property had average in-place rent of $49.30 psf. Fitch's 'Bsf' rating case loss of 18% (prior to concentration add-ons) reflects a high probability of default as well as a 10% cap rate and a 10% stress to the year-end 2023 NOI. Limited Change to Credit Enhancement: As of the November 2024 remittance report, the transaction has been reduced by 1.9% since issuance. In addition, 1.3% (one loan) of the pool was defeased. Loan maturities are concentrated in 2031 with 54 loans for 83.4% of the pool. Cumulative interest shortfalls are $18,500 affecting the non-rated class H-RR and VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs, including the specially serviced loan. If expected losses increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the high credit enhancement and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 8800 Baymeadows, and top 10 loans including Two Penn Center and 160 Pine Street. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particular those with Negative Outlooks, could occur with higher than expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including 8800 Baymeadows, Two Penn Center and 160 Pine Street. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2021-C60: Fitch Affirms B-sf Rating on J-RR Debt ------------------------------------------------------------ Fitch Ratings has affirmed 37 classes of Wells Fargo Commercial Mortgage Trust 2021-C60 (WFCM 2021-C60) and 36 classes of Wells Fargo Commercial Mortgage Trust 2021-C61 (WFCM 2021-C61). The Outlook for class J-RR in WFCM 2021-C60 remains Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2021-C61 A-2 95003QAC3 LT AAAsf Affirmed AAAsf A-3 95003QAG4 LT AAAsf Affirmed AAAsf A-3-1 95003QAJ8 LT AAAsf Affirmed AAAsf A-3-2 95003QAL3 LT AAAsf Affirmed AAAsf A-3-X1 95003QAN9 LT AAAsf Affirmed AAAsf A-3-X2 95003QAQ2 LT AAAsf Affirmed AAAsf A-4 95003QAS8 LT AAAsf Affirmed AAAsf A-4-1 95003QAU3 LT AAAsf Affirmed AAAsf A-4-2 95003QAW9 LT AAAsf Affirmed AAAsf A-4-X1 95003QAY5 LT AAAsf Affirmed AAAsf A-4-X2 95003QBA6 LT AAAsf Affirmed AAAsf A-S 95003QBG3 LT AAAsf Affirmed AAAsf A-S-1 95003QBJ7 LT AAAsf Affirmed AAAsf A-S-2 95003QBL2 LT AAAsf Affirmed AAAsf A-S-X1 95003QBN8 LT AAAsf Affirmed AAAsf A-S-X2 95003QBQ1 LT AAAsf Affirmed AAAsf A-SB 95003QAE9 LT AAAsf Affirmed AAAsf B 95003QBS7 LT AA-sf Affirmed AA-sf B-1 95003QBU2 LT AA-sf Affirmed AA-sf B-2 95003QBW8 LT AA-sf Affirmed AA-sf B-X1 95003QBY4 LT AA-sf Affirmed AA-sf B-X2 95003QCA5 LT AA-sf Affirmed AA-sf C 95003QCC1 LT A-sf Affirmed A-sf C-1 95003QCE7 LT A-sf Affirmed A-sf C-2 95003QCG2 LT A-sf Affirmed A-sf C-X1 95003QCJ6 LT A-sf Affirmed A-sf C-X2 95003QCL1 LT A-sf Affirmed A-sf D 95003QCQ0 LT BBBsf Affirmed BBBsf E 95003QCS6 LT BBB-sf Affirmed BBB-sf F-RR 95003QCU1 LT BBB-sf Affirmed BBB-sf G-RR 95003QCW7 LT BB+sf Affirmed BB+sf H-RR 95003QCY3 LT BB-sf Affirmed BB-sf J-RR 95003QDA4 LT B-sf Affirmed B-sf X-A 95003QBC2 LT AAAsf Affirmed AAAsf X-B 95003QBE8 LT A-sf Affirmed A-sf X-D 95003QCN7 LT BBB-sf Affirmed BBB-sf WFCM 2021-C60 A-1 95003DBA5 LT AAAsf Affirmed AAAsf A-2 95003DBB3 LT AAAsf Affirmed AAAsf A-3 95003DBD9 LT AAAsf Affirmed AAAsf A-3-1 95003DBE7 LT AAAsf Affirmed AAAsf A-3-2 95003DBF4 LT AAAsf Affirmed AAAsf A-3-X1 95003DBG2 LT AAAsf Affirmed AAAsf A-3-X2 95003DBH0 LT AAAsf Affirmed AAAsf A-4 95003DBJ6 LT AAAsf Affirmed AAAsf A-4-1 95003DBK3 LT AAAsf Affirmed AAAsf A-4-2 95003DBL1 LT AAAsf Affirmed AAAsf A-4-X1 95003DBM9 LT AAAsf Affirmed AAAsf A-4-X2 95003DBN7 LT AAAsf Affirmed AAAsf A-S 95003DCG1 LT AAAsf Affirmed AAAsf A-S-1 95003DBS6 LT AAAsf Affirmed AAAsf A-S-2 95003DBT4 LT AAAsf Affirmed AAAsf A-S-X1 95003DBU1 LT AAAsf Affirmed AAAsf A-S-X2 95003DBV9 LT AAAsf Affirmed AAAsf A-SB 95003DBR8 LT AAAsf Affirmed AAAsf B 95003DBW7 LT AA-sf Affirmed AA-sf B-1 95003DBX5 LT AA-sf Affirmed AA-sf B-2 95003DBY3 LT AA-sf Affirmed AA-sf B-X1 95003DBZ0 LT AA-sf Affirmed AA-sf B-X2 95003DCA4 LT AA-sf Affirmed AA-sf C 95003DCB2 LT A-sf Affirmed A-sf C-1 95003DCC0 LT A-sf Affirmed A-sf C-2 95003DCE6 LT A-sf Affirmed A-sf C-X1 95003DCD8 LT A-sf Affirmed A-sf C-X2 95003DCF3 LT A-sf Affirmed A-sf D 95003DAC2 LT BBB+sf Affirmed BBB+sf E-RR 95003DAE8 LT BBBsf Affirmed BBBsf F-RR 95003DAG3 LT BBB-sf Affirmed BBB-sf G-RR 95003DAJ7 LT BB+sf Affirmed BB+sf H-RR 95003DAL2 LT BB-sf Affirmed BB-sf J-RR 95003DAN8 LT B-sf Affirmed B-sf X-A 95003DBP2 LT AAAsf Affirmed AAAsf X-B 95003DBQ0 LT A-sf Affirmed A-sf X-D 95003DAA6 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.3% in WFCM 2021-C60 and 5.9% in WFCM 2021-C61. Fitch Loans of Concerns (FLOCs) comprise four loans (10.8% of the pool) in WFCM 2021-C60, including one specially serviced loan (0.9%), and nine loans (14%) in WFCM 2021-C61, including two specially serviced loans (1.9%). The affirmations in each transaction reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlook for class J-RR in WFCM 2021-C60 reflects the potential for downgrade if expected losses increase from the specially serviced loan Boonton Industrial (0.9% pool) and performance concerns for the 884 Riverside Drive loan (1.5% pool) which has experienced cash flow declines, intermittent delinquency, and is now past due for taxes. The specially serviced Boonton Industrial loan in WFCM 2021-C60 initially transferred in December 2022 due to payment default and subsequently transferred to a new special servicer effective April 2023. Current financial reporting has been requested but not received. Interest has been paid to October 2022. A foreclosure complaint was filed in March 2023 and a receiver was appointed in November 2023 and has assumed control of the asset. Fitch's 'Bsf' rating case loss of 1% (prior to concentration add-ons) reflects a stress to the most recently reported appraised value, which remains above the loan amount. The 884 Riverside Drive loan in WFCM 2021-C60 is secured by a 60-unit multifamily property located in New York, NY in the Washington Heights neighborhood of Manhattan. Per servicer reporting, the loan has been intermittently 30 days delinquent and now is overdue for taxes. Per the servicer, taxes totaling $138,055 were due for 2023 tax year and remain outstanding as of June 2024. Fitch's 'Bsf' rating case loss of 26% (prior to concentration add-ons) reflects an elevated probability of default as well as an 8% cap rate and a 7.50% stress to the YE 2023 NOI. The YE 2023 NOI is 17% below YE 2022 and 13% below the Fitch issuance NCF. The largest contributor to overall loss expectations in WFCM 2021-C61 is the 1201 Lake Robbins loan (9.6%), which is secured by a 30-story, 807,586-sf office building located in The Woodlands, Texas. The property is 100% leased through December 2032 to Occidental Petroleum who does not have any termination options. The property was previously the headquarters of Anadarko Petroleum, which was acquired by Occidental in August 2019. The sponsor acquired the property from Occidental in 2019 in conjunction with a sale-leaseback. Fitch's 'Bsf' rating case loss of 8% (prior to concentration add-ons) reflects a 9.25% cap rate and the Fitch issuance NCF given concerns regarding the sustainability of the exhibited cash flow growth since issuance for office loans in this market. Defeasance: As of the November 2024 remittance report, respective defeasance percentages in the WFCM 2021-C60 and WFCM 2021-C61 transactions include 0.8% (one loan) and 1.8% (one loan) respectively. Increased Credit Enhancement (CE): As of the November 2024 remittance report, the aggregate balances of the WFCM 2021-C60 and WFCM 2021-C61 transactions have been reduced by 2.7% and 4.7%, respectively, since issuance. Loan maturities are concentrated in 2031 with 50 loans for 77.8% of the pool in WFCM 2021-C60 and 51 loans for 82.1% of the pool in WFCM 2021-C61. Cumulative interest shortfalls for the WFCM 2021-C60 and WFCM 2021-C61 transactions are $250,700 and $22,700, respectively; in each transaction, they are affecting the non-rated class M-RR or L-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlook reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particular those with Negative Outlooks, could occur with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WFRBS COMMERCIAL 2013-C18: DBRS Cuts Class D Certs Rating to D -------------------------------------------------------------- DBRS Limited downgraded the credit rating on the remaining Class of Commercial Mortgage Pass-Through Certificates, Series 2013-C18 issued by WFRBS Commercial Mortgage Trust 2013-C18 as follows: -- Class D to D (sf) from C (sf) Following the credit rating downgrade, Morningstar DBRS will subsequently discontinue and withdraw its credit rating on Class D. This concludes Morningstar DBRS' surveillance of this transaction. The credit rating action on Class D follows a loss to the trust that was realized with the November 2024 remittance. The trust incurred a loss of $16.6 million, fully eroding the remainder of the Class E certificate and part of Class D. This loss was attributed to liquidation of Cedar Rapids Office Portfolio (Prospectus ID#9). In the September 2024 review, Morningstar DBRS analyzed this loan with a liquidation scenario, assuming a full loss to the trust. For more information on this transaction, please see the press release dated September 30, 2024. Notes: The principal methodology is North American CMBS Surveillance Methodology. WIND RIVER 2014-3: Moody's Cuts Rating on $6MM F-R2 Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Wind River 2014-3 CLO Ltd.: US$6,000,000 Class F-R2 Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $6,436,643.15) (the "Class F-R2 Notes"), Downgraded to Caa3 (sf); previously on August 7, 2020 Downgraded to Caa1 (sf) Wind River 2014-3 CLO Ltd., originally issued in January 2015, reset in 2018, and last partially refinanced in October 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 October 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F-R2 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 F-R2 notes is 100.28% versus July 2024 level of 101.27%. Moody's also note that the Class F-R2 notes have been deferring interest since July 2024. No actions were taken on the Class A-1a-2, Class A-1b-2R, Class A-2-R2, and Class E-R2 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: $246,100,742 Defaulted par: $1,202,125 Diversity Score: 53 Weighted Average Rating Factor (WARF): 2929 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.20% Weighted Average Recovery Rate (WARR): 47.01% Weighted Average Life (WAL): 3.7 years Par haircut in OC tests and interest diversion test: 2.27% 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. [*] DBRS Confirms 19 Ratings From 6 American Credit Transactions ---------------------------------------------------------------- DBRS, Inc. confirmed 19 credit ratings and upgraded five credit ratings from six American Credit Acceptance Receivables Trust as detailed in the summary chart below. The Affected Ratings are available at https://bit.ly/4h0r7WB The Issuers are: American Credit Acceptance Receivables Trust 2024-1 American Credit Acceptance Receivables Trust 2022-3 American Credit Acceptance Receivables Trust 2021-3 American Credit Acceptance Receivables Trust 2023-3 American Credit Acceptance Receivables Trust 2023-1 American Credit Acceptance Receivables Trust 2022-1 The credit rating actions are based on the following analytical considerations: -- For American Credit Acceptance Receivables Trust 2021-3, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectation. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For American Credit Acceptance Receivables Trust 2022-1 through American Credit Acceptance Receivables Trust 2024-1, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- The transaction capital structures and form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, 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. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. [*] DBRS Reviews 435 Classes From 42 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 435 classes from 42 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 42 transactions reviewed, 40 are classified as legacy RMBS and two are classified as HELOC. Of the 435 classes reviewed, Morningstar DBRS upgraded its credit ratings on 28 classes and confirmed its credit ratings on 407 classes. The Affected Ratings are available at https://bit.ly/41UnFbR The Issuers are: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3 Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE1 Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust C-BASS 2004-CB5 Trust C-BASS 2004-CB6 Trust C-BASS 2004-CB8 Trust C-BASS 2006-RP1 Trust C-BASS 2007-MX1 Trust C-BASS 2005-CB7 Trust C-BASS 2006-CB8 Trust C-BASS 2006-CB1 Trust C-BASS 2006-CB6 Trust C-BASS 2006-CB2 TRUST C-BASS 2005-CB5 Trust C-BASS 2007-SL1 Trust Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2 Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-6 BNC Mortgage Loan Trust 2007-4 Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5 New Century Home Equity Loan Trust 2004-3 New Century Home Equity Loan Trust 2004-4 C-BASS 2006-CB3 Trust C-BASS 2005-CB8 Trust Park Place Securities Inc., Series 2005-WCH1 Park Place Securities Inc., Series 2004-WHQ2 Citigroup Mortgage Loan Trust 2014-A GSAMP Trust 2005-HE3 Fremont Home Loan Trust 2005-D BNC Mortgage Loan Trust 2007-1 J.P. Morgan Mortgage Trust 2005-A2 PRMI Securitization Trust 2022-CMG1 Saluda Grade Alternative Mortgage Trust 2023-FIG4 Morgan Stanley Capital I Inc. Trust 2006-NC2 Citigroup Mortgage Loan Trust 2006-WFHE3 First Franklin Mortgage Loan Trust 2005-FFH3 Securitized Asset Backed Receivables LLC Trust 2005-OP2 Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6 Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3 CWABS Asset-Backed Certificates Trust 2004-AB2 Meritage Mortgage Loan Trust 2005-2 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 Lowers 33 Classes on 24 US CMBS Conduit Transactions -------------------------------------------------------------- Fitch Ratings has downgraded 33 classes and affirmed 84 classes from 24 U.S. CMBS multi-borrower transactions from the 2013 vintage. All transactions are concentrated by the remaining number of loans/assets. The Rating Outlooks were revised to Negative, from Stable, on three classes, and remain Negative on 34 of the affirmed classes. Negative Outlooks were assigned to 12 classes following their downgrades. Entity/Debt Rating Prior ----------- ------ ----- COMM 2013-CCRE11 D 12626LAY8 LT BBB-sf Affirmed BBB-sf E 12626LBA9 LT BBsf Affirmed BBsf F 12626LBC5 LT CCCsf Affirmed CCCsf COMM 2013-CCRE9 E 12625UAL7 LT CCsf Affirmed CCsf F 12625UAN3 LT Csf Affirmed Csf MSBAM 2013-C10 B 61762MBZ3 LT Asf Affirmed Asf C 61762MCB5 LT BBBsf Affirmed BBBsf D 61762MBC4 LT CCCsf Affirmed CCCsf E 61762MBE0 LT CCsf Affirmed CCsf F 61762MBG5 LT Csf Downgrade CCsf G 61762MBJ9 LT Csf Affirmed Csf H 61762MBL4 LT Csf Affirmed Csf PST 61762MCA7 LT BBBsf Affirmed BBBsf Citigroup Commercial Mortgage Trust 2013-GC15 E 17321JAR5 LT B-sf Affirmed B-sf F 17321JAT1 LT CCsf Affirmed CCsf X-C 17321JAM6 LT B-sf Affirmed B-sf WFRBS 2013-C14 A-S 92890PAG9 LT AAAsf Affirmed AAAsf B 92890PAH7 LT BBBsf Affirmed BBBsf C 92890PAJ3 LT BBsf Affirmed BBsf D 92890PBG8 LT CCsf Affirmed CCsf E 92890PBJ2 LT Csf Affirmed Csf F 92890PBL7 LT Csf Affirmed Csf PEX 92890PAK0 LT BBsf Affirmed BBsf X-A 92890PAL8 LT AAAsf Affirmed AAAsf X-B 92890PAM6 LT BBBsf Affirmed BBBsf COMM 2013-CCRE12 A-M 12591KAG0 LT BBsf Downgrade BBBsf B 12591KAH8 LT CCsf Downgrade CCCsf C 12591KAK1 LT Csf Downgrade CCsf D 12624SAE9 LT Csf Affirmed Csf E 12624SAG4 LT Dsf Downgrade Csf F 12624SAJ8 LT Dsf Downgrade Csf PEZ 12591KAJ4 LT Csf Downgrade CCsf X-A 12591KAF2 LT BBsf Downgrade BBBsf X-B 12624SAA7 LT CCsf Downgrade CCCsf JPMCC 2013-C10 C 46639JAK6 LT BBB-sf Affirmed BBB-sf D 46639JAL4 LT BBsf Affirmed BBsf E 46639JAP5 LT CCCsf Affirmed CCCsf F 46639JAR1 LT CCsf Affirmed CCsf WFRBS 2013-C11 B 92937EAG9 LT Asf Downgrade AAsf C 92937EAH7 LT BBBsf Downgrade Asf D 92937EAJ3 LT BBsf Downgrade BBB-sf E 92937EAL8 LT Bsf Downgrade BBsf F 92937EAN4 LT CCsf Downgrade CCCsf X-B 92937EAU8 LT BBBsf Downgrade Asf WFRBS 2013-C15 A-S 92938CAF4 LT Asf Affirmed Asf B 92938CAH0 LT BBsf Affirmed BBsf C 92938CAJ6 LT CCsf Affirmed CCsf D 92938CAL1 LT Csf Affirmed Csf E 92938CAN7 LT Csf Affirmed Csf F 92938CAQ0 LT Csf Affirmed Csf PEX 92938CAK3 LT CCsf Affirmed CCsf X-A 92938CAG2 LT Asf Affirmed Asf GS Mortgage Securities Trust 2013-GC10 C 36192CAN5 LT Asf Affirmed Asf D 36192CAQ8 LT BBB-sf Affirmed BBB-sf E 36192CAS4 LT Bsf Affirmed Bsf F 36192CAU9 LT CCsf Downgrade CCCsf X-B 36192CAJ4 LT Asf Affirmed Asf MSBAM 2013-C12 C 61762XAZ0 LT A-sf Affirmed A-sf D 61762XAC1 LT BBsf Affirmed BBsf E 61762XAE7 LT CCCsf Affirmed CCCsf F 61762XAG2 LT CCsf Affirmed CCsf G 61762XAJ6 LT Csf Affirmed Csf PST 61762XAY3 LT A-sf Affirmed A-sf CGCMT 2013-GCJ11 E 17320DAW8 LT BBsf Affirmed BBsf F 17320DAY4 LT Bsf Affirmed Bsf JPMBB 2013-C15 D 46640NAP3 LT B-sf Downgrade BBB-sf E 46640NAR9 LT CCsf Downgrade Bsf F 46640NAT5 LT Csf Downgrade CCCsf WFCM 2013-LC12 B 94988QAQ4 LT Bsf Affirmed Bsf C 94988QAS0 LT CCsf Affirmed CCsf D 94988QAU5 LT Csf Affirmed Csf E 94988QAW1 LT Csf Affirmed Csf F 94988QAY7 LT Dsf Downgrade Csf PEX 94988QBJ9 LT CCsf Affirmed CCsf JPMBB 2013-C17 E 46640UAP7 LT B-sf Affirmed B-sf F 46640UAQ5 LT CCCsf Affirmed CCCsf WFRBS 2013-C13 D 92937UAJ7 LT BBsf Downgrade BBB-sf E 92937UAL2 LT Bsf Downgrade BBsf F 92937UAN8 LT CCCsf Downgrade B-sf JPMBB 2013-C14 C 46640LAK8 LT BBsf Affirmed BBsf D 46640LAN2 LT CCsf Downgrade CCCsf E 46640LAQ5 LT Csf Downgrade CCsf F 46640LAS1 LT Csf Affirmed Csf G 46640LAU6 LT Csf Affirmed Csf COMM 2013-CCRE13 C 12630BBF4 LT BBsf Downgrade BBBsf D 12630BAE8 LT CCCsf Downgrade B-sf E 12630BAG3 LT Csf Downgrade CCsf F 12630BAJ7 LT Csf Affirmed Csf PEZ 12630BBE7 LT BBsf Downgrade BBBsf GS Mortgage Securities Trust 2013-GC13 A-S 36198EAP0 LT AA-sf Affirmed AA-sf B 36198EAS4 LT A-sf Affirmed A-sf C 36198EAY1 LT Bsf Affirmed Bsf D 36198EBB0 LT CCsf Affirmed CCsf E 36198EBE4 LT Csf Affirmed Csf F 36198EBH7 LT Csf Affirmed Csf PEZ 36198EAV7 LT Bsf Affirmed Bsf X-B 36198EAH8 LT Csf Affirmed Csf CGCMT 2013-GC17 D 17321RAM8 LT BBsf Affirmed BBsf E 17321RAP1 LT CCCsf Affirmed CCCsf F 17321RAR7 LT CCsf Affirmed CCsf X-C 17321RAV8 LT CCCsf Affirmed CCCsf UBS-BB 2013-C5 B 90270YAG4 LT Asf Affirmed Asf C 90270YAL3 LT BBsf Affirmed BBsf D 90270YAN9 LT CCsf Downgrade CCCsf E 90270YAQ2 LT Csf Affirmed Csf EC 90270YAJ8 LT BBsf Affirmed BBsf F 90270YAS8 LT Csf Affirmed Csf XB 90270YAE9 LT Asf Affirmed Asf UBS-BB 2013-C6 D 90349GAS4 LT Csf Affirmed Csf E 90349GAU9 LT Csf Affirmed Csf F 90349GAW5 LT Csf Affirmed Csf WFRBS 2013-C16 D 92938EBR3 LT BBsf Affirmed BBsf E 92938EBU6 LT CCCsf Affirmed CCCsf F 92938EBX0 LT Csf Affirmed Csf WFRBS 2013-C18 D 96221QAM5 LT Dsf Downgrade CCCsf E 96221QAP8 LT Dsf Downgrade CCsf F 96221QAR4 LT Dsf Downgrade Csf Automatic Withdrawal of the Last Default Rating Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Pool Concentration; Adverse Selection: These transactions are concentrated with fewer than seven loans/assets, with the majority of the loans being Fitch Loans of Concerns (FLOCs). Due to these factors, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). In some cases, this analysis resulted in rating caps given the weak collateral quality of the remaining loans and issues with refinanceability or ultimate resolutions. The affirmed classes reflect stable pool performance and loss expectations since the last rating action. The downgrades reflect higher pool loss expectations, driven by FLOCs, secured mostly by retail and office properties where performance has either not stabilized or has deteriorated further, and specially serviced loans/assets in the transactions. Of the 33 downgraded classes: - Three were from an investment-grade to a lower investment-grade rating; - Seven were from an investment-grade to a below investment-grade rating; - Five were from a below investment-grade to a lower below investment-grade or distressed rating ('CCCsf' or below); - 18 were from an already distressed rating to a lower distressed rating due to greater certainty of losses, or to 'Dsf' due to a principal loss to the class. Investment-Grade Downgrades: In COMM 2013-CCRE12 and COMM 2013-CCRE13, the downgrades primarily reflected higher loss expectations since the last rating action on the 175 West Jackson loan, which is secured by a 22-story 1.45 million-sf office building located in downtown Chicago, IL. Occupancy remains challenged with reported occupancy of 58% as of September 2024, which is slightly improved over 55% at year-end 2023, but down from 61% at year-end 2022 and 65% at YE 2021. The servicer-reported NOI DSCR was 0.85x as of September 2024, compared with 1.34x as of year-end 2023 and 0.68x as of year-end 2022. The lender is in discussions with the borrower about a potential cooperative marketing/sale of the property and/or a deed-in-lieu of foreclosure. The master servicer has deemed outstanding advances on the loan as non-recoverable. In JPMBB 2013-C15, the downgrades primarily reflect higher loss expectations since the last rating action on the 1615 L Street loan, which is secured by a 417,383-sf office property located in downtown Washington, D.C. constructed in 1984 and renovated in 2009. The property was 69% occupied as of June 2024 and the latest appraisal reflects significant value decline since issuance. Fitch's loss expectations of approximately 60% considers a haircut to the most recent appraisal value, reflecting a stressed value of $136 psf. In WFRBS 2013-C11, the downgrades reflect higher loss expectations on the two remaining office FLOCs in the pool. Republic Plaza is a 1.3 million sf office property located in Denver, CO that was constructed in 1982 and renovated in 2002. Occupancy declined to 72% as of September 2024 from 78% at June 2023. While with the special servicer in 2023, the loan maturity date was extended to March 2026 with interest-only debt service installments effective through the extended loan term. 515 Madison Avenue is a 324,265-sf office property located in Manhattan that was constructed in 1931 and renovated in 2010. Occupancy was 82% as of June 2024 and YTD June 2024 NOI DSCR was 0.76x. While with the special servicer in 2023, the loan maturity date was extended to January 2025. An extension beyond the current extended loan maturity date is currently under review. In WFRBS 2013-C13, the downgrades primarily reflect higher loss expectations since the last rating action on the two remaining FLOCs in the pool, both of which are in special servicing and experiencing value declines, per the latest appraisals. 301 South College Street (92% of the pool) is a 988,646-sf office property in Charlotte, NC that was constructed in 1988 and renovated in 2012. Occupancy has declined to 51% and the year-end 2023 NOI DSCR was at 0.68x. Fitch's loss expectations of approximately 9% considers a haircut to the most recent appraisal value, reflecting a stressed value of $146 psf. The Negative Outlooks on classes in each transaction reflect a high concentration of FLOCs, including specially serviced loans, and the classes' reliance on FLOCs to repay. The FLOCs in these transactions include: - CGCMT 2013-GC17: One Union Square, Park Place Shopping Center; - CGCMT 2013-GCJ11: Empire Hotel & Retail; - CGCMT 2013-GC15: 735 Sixth Avenue, Spectrum Office Building, O'Malley Square, Rivers Business Commons, Cayuga Professional Center; - COMM 2013-CCRE9: Valley Hills Mall, Lunds at Cobalt, Winn Dixie-New Orleans; - COMM 2013-CCRE11: Oglethorpe Mall, Parkview Tower, Hartford Gardens Portfolio; - COMM 2013-CCRE12: 175 West Jackson, Oglethorpe Mall, Harbourside North, The MAve Hotel, The Crossings, 111 Mercer Street, Walgreens Marketplace Bel Air; - COMM 2013-CCRE13: 175 West Jackson, Park Plaza, 525 West 22nd Street, Plaza Riviera, Hampton Inn Pittsburgh Airport, Walgreens - Silsbee, TX; - GSMS 2013-GC10: Empire Hotel & Retail, One Technology Plaza, 701 Technology Drive; - GSMS 2013-GC13: Mall St. Matthews, Crossroads Center, Plaza America Towers III & IV, Holiday Inn - 6th Avenue, 643-647 Ninth Avenue; - JPMBB 2013-C14: Meadows Mall, Southridge Mall, 10 South Broadway; - JPMBB 2013-C15: 1615 L Street; - JPMBB 2013-C17: Chinatown Row, 801 Travis, Deville Plaza; - JPMCC 2013-C10: Gateway Center, West County Center, 17600 North Perimeter; - MSBAM 2013-C10: Westfield Citrus Park, Milford Plaza Fee, Oak Brook Office Center, 262-270 East Fordham Road; - MSBAM 2013-C12: 15 MetroTech Center, Westfield Countryside, 385 Fifth Avenue, Deer Springs Town Center, Winter Haven Citi Centre, Hermitage Crossing - UBS-BB 2013-C5: Valencia Town Center, Harborplace - A note, Harborplace - B note; - UBS-BB 2013-C6: Broward Mall, The Heights, 240 Park Avenue South; - WFCM 2013-LC12: Carolina Place, White Marsh Mall, Hotel Vetiver; - WFRBS 2013-C11: Republic Plaza, 515 Madison Avenue; - WFRBS 2013-C13: 301 South College Street, Johnson City Town Center; - WFRBS 2013-C14: Midtown I & II, White Marsh Mall, 301 South College Street, Continental Plaza - Columbus, Mobile Festival Centre, 808 Broadway; - WFRBS 2013-C15: Augusta Mall, Carolina Place, Kitsap Mall - WFRBS 2013-C16: Augusta Mall, Raleigh Office Portfolio, West Mall Office Park, Rivoli Crossing; - WFRBS 2013-C18: Staybridge Suites Royersford. Office Concentration and Regional Mall Exposure: As of the November 2024 reporting, 17 of the transactions feature loans secured by office assets, and eight have at least 50% office exposure. WFRBS 2013-C11, JPMBB 2013-C15 and WFRBS 2013-C13 have the highest office concentrations among the 24 loan pools, reporting office exposures of 100%, 95% and 92%, respectively. 14 of the transactions feature loans secured by low-tier regional malls, and nine have at least 50% regional mall exposure. WFRBS 2013-C15, JPMBB 2013-C14 and WFCM 2013-LC12 have the highest regional mall concentrations among the 24 loan pools, reporting regional mall exposures of 98%, 89% and 80%, respectively. Change to Credit Enhancement: As of the November 2024 reporting, the aggregate pool balance of these 24 transactions from the 2013 vintage fell by an average of approximately 88% (ranging from 75% to 99%). There is limited to no defeasance in these transactions, with the exception of MSBAM 2013-C12 and WFRBS 2013-LC12 each of which have one fully defeased loan remaining and comprise 1.4% and 1.0% of the respective pools. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades stemming from issues with potential further declines in performance that could result in higher expected losses on the FLOCs. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' and 'AAsf' category rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better-than-expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Moody's Upgrades Ratings on 27 Bonds From 5 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 27 bonds from five US residential mortgage-backed transactions (RMBS). OBX 2022-J2 Trust is backed by prime jumbo and agency eligible mortgage loans. Bayview MSR Opportunity Master Fund Trust 2021-INV4 and Citigroup Mortgage Loan Trust 2021-INV3 are backed by agency eligible investor (INV) mortgage loans. OBX 2024-HYB1 Trust and OBX 2024-HYB2 Trust are backed by hybrid (100% ARM) loans. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bayview MSR Opportunity Master Fund Trust 2021-INV4 Cl. B-1, Upgraded to Aa1 (sf); previously on May 9, 2023 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 6, 2024 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Mar 6, 2024 Upgraded to Baa1 (sf) Issuer: Citigroup Mortgage Loan Trust 2021-INV3 Cl. B-1, Upgraded to Aa1 (sf); previously on May 9, 2023 Upgraded to Aa2 (sf) Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on May 9, 2023 Upgraded to Aa2 (sf) Cl. B-1-IOW*, Upgraded to Aa1 (sf); previously on May 9, 2023 Upgraded to Aa2 (sf) Cl. B-1-IOX*, Upgraded to Aa1 (sf); previously on May 9, 2023 Upgraded to Aa2 (sf) Cl. B-1W, Upgraded to Aa1 (sf); previously on May 9, 2023 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Mar 6, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Mar 6, 2024 Upgraded to Ba2 (sf) Issuer: OBX 2022-J2 Trust Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 5, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Aug 5, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 5, 2022 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Aug 5, 2022 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 5, 2022 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 5, 2022 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 5, 2022 Definitive Rating Assigned B2 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Aug 5, 2022 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Aug 5, 2022 Definitive Rating Assigned A2 (sf) Issuer: OBX 2024-HYB1 Trust Cl. B-1, Upgraded to Ba1 (sf); previously on Feb 9, 2024 Definitive Rating Assigned Ba2 (sf) Cl. B-2, Upgraded to Ba3 (sf); previously on Feb 9, 2024 Definitive Rating Assigned B2 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Feb 9, 2024 Definitive Rating Assigned A2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Feb 9, 2024 Definitive Rating Assigned Baa2 (sf) Issuer: OBX 2024-HYB2 Trust Cl. B-1, Upgraded to Baa3 (sf); previously on Mar 15, 2024 Definitive Rating Assigned Ba2 (sf) Cl. B-2, Upgraded to Ba3 (sf); previously on Mar 15, 2024 Definitive Rating Assigned B2 (sf) Cl. M-1, Upgraded to A1 (sf); previously on Mar 15, 2024 Definitive Rating Assigned A2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Mar 15, 2024 Definitive Rating Assigned Baa2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions continue to display strong collateral performance, with cumulative loss for the transactions below 0.01% and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement for each tranche upgraded has grown by, on average, 15.8% 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, credit enhancement, and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***