/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250112.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 12, 2025, Vol. 29, No. 11 Headlines ACREC 2025-FL3: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches BAIN CAPITAL 2021-3: S&P Assigns BB- (sf) Rating on Cl. E-R Debt BALLYROCK CLO 15: S&P Assigns Prelim BB- (sf) Rating on E-R Notes BBCMS 2019-BWAY: Fitch Keeps 'B-sf' Rating on Watch Negative BBCMS TRUST 2015-SRCH: Fitch Alters Outlook on BB+ Rating to Neg BEAR STEARNS 2007-PWR18: DBRS Confirms C Rating on 3 Classes BWAY 2021-1450: DBRS Confirms CCC Rating on Class F Certs BX COMMERCIAL 2024-GPA3: DBRS Assigns BB(high) Rating on HRR Certs BX TRUST 2021-LBA: DBRS Confirms B(low) Rating on 2 Tranches CARLYLE US 2021-6: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CEDAR FUNDING IV: S&P Assigns Prelim BB- (sf) Rating on E-R3 Debt CHASE HOME 2024-11: DBRS Finalizes B(low) Rating on B-5 Certs CHESTNUT NOTES: DBRS Finalizes B(high) Rating on Class D Notes CIFC FUNDING 2016-I: S&P Assigns BB- (sf) Rating on E-RRR Notes CIFC FUNDING 2021-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CITIGROUP COMMERCIAL 2014-GC25: DBRS Cuts 2 Classes' Rating to CCC CLOVER CLO 2021-3: Moody's Assigns Ba3 Rating to $22.5MM E-R Notes COMM 2014-CCRE18: DBRS Confirms C Rating on Class F Certs COMM 2014-CCRE20: DBRS Confirms CCC Rating on 2 Tranches ELEMENT NOTES: DBRS Finalizes B(high) Rating on Class D Notes FIGRE TRUST 2024-HE6: DBRS Finalizes B(low) Rating on F Notes FMBT 2024-FBLU: DBRS Finalizes B(low) Rating on Class G Certs GEMINI NOTES: DBRS Finalizes B(high) Rating on Class D Notes GS MORTGAGE 2024-PJ11: DBRS Finalizes B(low) Rating on B5 Notes HUDSON'S BAY 2015-HBS: DBRS Confirms BB Rating on 2 Tranches JEFFERIES 2024-II: S&P Assigns Prelim 'BB-(sf)' Rating on E Notes JORDAN NOTES: DBRS Finalizes B(high) Rating on Class D Notes JP MORGAN 2022-ACB: DBRS Confirms B(low) Rating on Class G Certs JP MORGAN 2024-12: DBRS Finalizes B(low) Rating on Class B5 Certs KKR STATIC I: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes KSL COMMERCIAL 2024-HT2: DBRS Finalizes B(high) Rating on HRR Certs MADISON PARK XXII: Fitch Assigns 'BB+sf' Rating on Cl. E-R-2 Notes MERCHANTS FLEET 2023-1: DBRS Confirms BB Rating on Class E Notes MILL CITY 2021-NMR1: Fitch Assigns 'BBsf' Rating on Two Tranches NEUBERGER BERMAN 30: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes NYT 2019-NYT: DBRS Confirms BB Rating on Class F Certs OHA CREDIT 2: S&P Assigns Preliminary BB-(sf) Rating on E-R2 Notes OHA CREDIT 8: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ORL 2024-GLKS: DBRS Finalizes B(high) Rating on Class HRR Certs OZLM XIV: S&P Assigns Prelim BB- (sf) Rating on Class D-R3 Notes PRPM 2024-NQM4: DBRS Finalizes BB(low) Rating on Class B-1 Certs RAD CLO 9: Fitch Assigns 'BB+sf' Rating on Class E-R Notes READY CAPITAL 2019-6: DBRS Confirms BB Rating on Class F Certs RESERVOIR FINANCIAL: DBRS Gives Prov. BB Rating on Class D Loan RIPPLE NOTES: DBRS Finalizes B(high) Rating on Class D Notes SDART 2025-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes SEQUOIA MORTGAGE 2025-1: Fitch Assigns B+(EXP) Rating on B5 Certs SILVER POINT 7: Fitch Assigns 'BBsf' Final Rating on Class E Notes SILVER POINT 7: Moody's Assigns 'B3' Rating to $250,000 Cl. F Notes SUNNOVA AURORA I: DBRS Finalizes BB Rating on Class C Notes TCW CLO 2020-1: S&P Assigns BB- (sf) Rating on Class ERR Notes TIDAL NOTES: DBRS Finalizes B(high) Rating on Class D Notes TOWD POINT 2024-2: DBRS Finalizes B(low) Rating on Class B3 Notes UNITI FIBER 2025-1: Fitch Assigns BB-(EXP) Rating on Class C Notes VERUS SECURITIZATION 2025-1: S&P Assigns Prelim B-(sf) on B-2 Notes VISTA POINT 2024-CES3: DBRS Finalizes B Rating on B-2 Notes VITALITY RE XVI: Fitch Gives BB-(EXP)sf Rating on 2025 Cl. C Notes VITALITY RE XVI: S&P Assigns Prelim B+(sf) Rating on Cl. C Notes VOYA CLO 2020-2: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes VOYA CLO 2024-7: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLS FARGO 2025-5C3: Fitch Assigns B-(EXP)sf Rating on G-RR Certs WESTLAKE AUTOMOBILE 2025-1: S&P Assigns Prelim BB (sf) on E Notes WFRBS COMMERCIAL 2014-C23: DBRS Cuts Class C Certs Rating to BB WP GLIMCHER 2015-WPG: DBRS Confirms BB Rating on PR-2 Certs [*] DBRS Confirms 44 Ratings From 16 CPS Auto Receivables Trust [*] DBRS Reviews 422 Classes From 21 US RMBS Transactions [*] DBRS Takes Credit Rating Action on 8 Single-Family Rental Deals [*] Moody's Takes Action on 14 Bonds From 7 US RMBS Deals [*] Moody's Upgrades Ratings on 7 Bonds from 3 US RMBS Deals [*] S&P Takes Various Actions on 17 Classes From 13 US RMBS Deals ********* ACREC 2025-FL3: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to ACREC 2025-FL3 LLC as follows: - $583,000,000a class A 'AAAsf'; Outlook Stable; - $176,000,000a class A-S 'AAAsf'; Outlook Stable; - $71,500,000a class B 'AA-sf'; Outlook Stable; - $66,000,000a class C 'A-sf'; Outlook Stable; - $42,625,000ab class D 'BBBsf'; Outlook Stable; - $0ab class D-E 'BBBsf'; Outlook Stable; - $0abc class D-X 'BBBsf'; Outlook Stable; - $19,250,000ab class E 'BBB-sf'; Outlook Stable; - $0ab class E-E 'BBB-sf'; Outlook Stable; - $0abc class E-X 'BBB-sf'; Outlook Stable; - $35,750,000bd class F 'BB-sf'; Outlook Stable; - $0bd class F-E 'BB-sf'; Outlook Stable; - $0bcd class F-X 'BB-sf'; Outlook Stable; - $22,000,000bd class G 'B-sf'; Outlook Stable; - $0bd class G-E 'B-sf'; Outlook Stable; - $0bcd class G-X 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $83,875,000d Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes. The class D, E, F and G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 12.875% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $983,600,000 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 6, 2025. Transaction Summary The notes represent the beneficial interest in the trust, the primary assets of which are 25 loans secured by 25 commercial properties with an aggregate principal balance of $983,600,000 as of the cutoff date, including three delayed-close collateral interests totaling $107.6 million, which are expected to close within 60 days after the closing date. The pool also includes ramp-up collateral interest of $116.4 million. The loans were contributed to the trust by ACREC Loan Seller II LLC. The servicer is expected to be Situs Asset Management LLC, and the special servicer is expected to be Situs Holdings, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 70.7% of the loans by balance, and cash flow analysis and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on all 25 loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $37.0 million represents a 10.97% decline from the issuer's aggregate underwritten NCF of $41.6 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Higher Leverage: The pool has higher leverage compared to recent CRE-CLO transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) ratio of 148.1% is between the 2024 and 2023 CRE-CLO averages of 140.7% and 171.2%, respectively. The pool's Fitch NCF debt yield (DY) of 5.7% is between the 2024 and 2023 CRE-CLO averages of 6.5% and 5.6%, respectively. Better Pool Diversity: The pool diversity is better than that of recently rated Fitch CRE-CLO transactions. The top 10 loans make up 51.7% of the pool, which is lower than both the 2024 and 2023 CRE-CLO averages of 70.5% and 62.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 23.0. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool 100% comprises multifamily properties, compared with the 2024 and 2023 CRE-CLO averages of 78.4% and 82.6%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modelled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated MF1 CRE-CLO transactions. No Amortization: The pool is 100% comprised of interest-only loans. This is worse than both the 2024 and 2023 CRE-CLO averages of 56.8% and 35.3%, respectively, based on fully extended loan terms. As a result, the pool is expected to have zero principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE-CLO transactions in 2024 and 2023 were 0.6% and 1.7%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/lower than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. 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 KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAIN CAPITAL 2021-3: S&P Assigns BB- (sf) Rating on Cl. E-R Debt ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, and E-R replacement debt from Bain Capital Credit CLO 2021-3 Ltd./Bain Capital Credit CLO 2021-3 LLC, a CLO originally issued in June 2021 that is managed by Bain Capital Credit U.S. CLO Manager LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, and E debt following payment in full on the Jan. 7, 2025, refinancing date. S&P also affirmed its rating on the class D debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 7, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $307.50 million: Three-month CME term SOFR + 1.06% -- Class B-R, $72.50 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.90% -- Class E-R (deferrable), $17.50 million: Three-month CME term SOFR + 6.25% -- Subordinated notes, $48.20 million: Not applicable Original debt -- Class A, $307.50 million: Three-month CME term SOFR + 1.42%(i) -- Class B, $72.50 million: Three-month CME term SOFR + 1.91%(i) -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.26%(i) -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.36%(i) -- Class E (deferrable), $17.50 million: Three-month CME term SOFR + 6.76%(i) -- Subordinated notes, $48.20 million: Not applicable (i)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 "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 Bain Capital Credit CLO 2021-3 Ltd./ Bain Capital Credit CLO 2021-3 LLC Class A-R, $307.50 million: AAA (sf) Class B-R, $72.50 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class E-R (deferrable), $17.50 million: BB- (sf) Ratings Withdrawn Bain Capital Credit CLO 2021-3 Ltd./ Bain Capital Credit CLO 2021-3 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class E (deferrable) to NR from 'BB- (sf)' Rating Affirmed Bain Capital Credit CLO 2021-3 Ltd./ Bain Capital Credit CLO 2021-3 LLC Class D (deferrable), $30.00 million: BBB- (sf) Other Debt Bain Capital Credit CLO 2021-3 Ltd./ Bain Capital Credit CLO 2021-3 LLC Subordinated notes, $48.20 million: Not rated NR--Not rated. BALLYROCK CLO 15: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, and D-2-R replacement debt, and the proposed new class E-R debt from Ballyrock CLO 15 Ltd./Ballyrock CLO 15 LLC, a CLO originally issued in 2021 that is managed by Fidelity Management and Research Co. LLC. The preliminary ratings are based on information as of Jan. 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 15.2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- Class D will be split into D-1-R and D-2-R and there will be a new class E-R. -- All classes of notes are expected to be issued at a floating spread. -- The stated maturity, non-call date, and reinvestment periods will be extended by 3.75 years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Ballyrock CLO 15 Ltd./Ballyrock CLO 15 LLC Class A-1-R, $252.00 million: AAA (sf) Class A-2-R, $12.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Ballyrock CLO 15 Ltd./Ballyrock CLO 15 LLC Subordinated notes, $41.25 million: Not rated BBCMS 2019-BWAY: Fitch Keeps 'B-sf' Rating on Watch Negative ------------------------------------------------------------ Fitch Ratings has maintained Rating Watch Negative on classes A and X-NCP of BBCMS 2019-BWAY Mortgage Trust (BBCMS 2019-BWAY) commercial mortgage pass-through certificates. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-BWAY A 05492NAA1 LT B-sf Rating Watch Maintained B-sf X-NCP 05492NAQ6 LT B-sf Rating Watch Maintained B-sf KEY RATING DRIVERS RWN Maintained; New Special Servicer: The continuation of Rating Watch Negative on class A and X-NCP reflects the limited change regarding the workout status of the specially serviced 1407 Broadway loan since Fitch's prior rating action on July 12, 2024. The special servicer changed from Mount Street US LLP to Torchlight Loan Services LLP in August 2024. Torchlight indicated that discussions with the borrower regarding workout alternatives remain ongoing. The loan initially transferred to special servicing in August 2023 ahead of its second extended maturity date in November 2023. Fitch expects to resolve the Rating Watch status within six months as further updates on the progress of the loan workout become available, allowing time for the new special servicer to continue negotiations. As indicated at Fitch's prior rating action, there is a likelihood of downgrades to the classes A and X-NCP if the borrower and special servicer fail to reach a commercially viable modification agreement for the loan. Downgrades to the remaining distressed-rated classes are also possible if recovery prospects deteriorate due to a decline in value and/or significant increase in interest shortfalls. Performance Deterioration; Delinquent Loan; Value Decline: The property has had a significant decline in both the updated appraised value received in June 2024 and Fitch's value of the asset, leading to substantially lower recovery expectations at Fitch's July 2024 rating action. The current ratings also factor in the loan's delinquent status and the interest shortfalls affecting all classes since the June 2024 remittance. The decline in Fitch's value of the asset is driven by continued property performance deterioration and weaker market fundamentals beyond Fitch's view of sustainable performance. The value of the asset also incorporates an alternative approach using a discounted cash flow analysis to consider the adverse impact of the illiquid office lending market and the short remaining term on the ground lease. The ratings of class A and interest-only class X-NCP consider the possibility of a loan modification that could include terms resulting in a full recovery to these classes as the sponsor and special servicer continue to negotiate workout options. Significant Decline in Appraised Value: Fitch reviewed the appraisal performed by CBRE, which Fitch received a finalized copy in early June. The appraiser concluded a May 2024 as-is value of $136 million. This represents a 73% decline from the $510 million issuance appraised value. The appraisal also contemplated an as-stabilized value of $177 million in May 2029 with no ground lease extension, a hypothetical as-is value of $197 million with a ground lease extension and a hypothetical as-stabilized value of $286 million with a ground lease extension. Short-Term Leasehold Interest: The property is subject to a 76-year ground lease through December 2030, with one 18-year renewal option remaining, which would extend the ground lease through December 2048. The current ground lease payments are a fixed $414,000 per annum, which are set to increase to a fixed $450,000 per annum on January 2031 through December 2048. Specially Serviced Loan: The loan transferred to the special servicer in August 2023 ahead of its second extended maturity date in November 2023. The special servicer was subsequently transferred from KeyBank to Mount Street in November 2023. Fitch received a notice in June 2024 that the special servicer was being transferred by the new controlling class holder from Mount Street to Torchlight. As of the December 2024 payment date, the loan was reported as a non-performing matured balloon and was over 90 days past due, with the last paid through date as of March 2024. An appraisal reduction of $226.4 million has been applied to the loan balance as of the June 2024 remittance reporting, which has limited master servicer advancing on the loan. Interest shortfalls are currently affecting all classes per the remittance; full shortfalls are impacting classes B and below while classes A and X-NCP receive partial interest. Recovery of interest shortfalls are possible as the property continues to generate sufficient cash flow to pay debt service; however, recovery is reliant on the special servicer's application of cash flow to refund advances and interest shortfalls, and is also likely to depend on the terms of a potential modification. Cash Flow Declines: The servicer reported YE 2023 NCF was $19.5 million, compared with $22 million at YE 2022, $22.7 million at YE 2021, $28.7 million at YE 2020 and $36.5 million issuer underwritten NCF. Property operating expenses have increased as a percentage of income as rental revenue has declined due to higher vacancy. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A and X-NCP to 'CCCsf' or lower, including 'Dsf', are expected if workout negotiations stall, or if a modification that would result in a greater certainty of recovery to these classes does not occur or the property is transitioned to the lender. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely due to the loan's ongoing delinquent status and market conditions that could affect the property's cash flow and recovery value, but may be possible with an extension of the ground lease coupled with a sustained improvement in collateral performance and greater certainty on the ultimate resolution of the loan. 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. BBCMS TRUST 2015-SRCH: Fitch Alters Outlook on BB+ Rating to Neg ---------------------------------------------------------------- Fitch Ratings has affirmed eight classes of BBCMS Trust 2015-SRCH Mortgage Trust commercial mortgage pass-through certificates. The Rating Outlooks for classes B, C, D, E and X-B have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2015-SRCH A-1 05547HAA9 LT AAAsf Affirmed AAAsf A-2 05547HAC5 LT AAAsf Affirmed AAAsf B 05547HAJ0 LT AAsf Affirmed AAsf C 05547HAL5 LT Asf Affirmed Asf D 05547HAN1 LT BBB-sf Affirmed BBB-sf E 05547HAQ4 LT BB+sf Affirmed BB+sf X-A 05547HAE1 LT AAAsf Affirmed AAAsf X-B 05547HAG6 LT Asf Affirmed Asf KEY RATING DRIVERS Stable Performance; Single Tenant Lease Exposure: The affirmations reflect stable overall property-level performance that remains in line with issuance expectations and continued loan amortization. The Negative Outlooks on classes B, C, D, E and X-B reflect the potential for downgrades if Google fails to renew its lease (tenant is required to provide notice to renew by August 2025). The three collateral buildings are 100% leased by Google through August 2027 (co-terminus with the loan maturity). While there is a cash flow sweep in the event Google does not provide notice to renew, Fitch views the anticipated reserved amount ($25 psf or approximately $25MM) to be insufficient to stabilize the property should Google elect to vacate. The updated Fitch net cash flow (NCF) of $38.5 million is down 5% from the prior rating action and 5.7% from the Fitch issuance NCF of $40.9 million, due primarily to a higher submarket vacancy assumption. The most recent servicer-reported NCF debt service coverage ratio as of YE 2023 was 1.71x. Fitch's analysis maintained the issuance capitalization rate of 8.0%. In addition, submarket fundamentals for office properties continue to be challenged. According to Costar as of 3Q24, the office submarket vacancy, availability rate and average asking rent were reported to be 16.3%, 13.8% and $63.62 psf, respectively, compared with 15%, 14.2% and $61.15 psf at the last rating action. CoStar forecasts the vacancy rate to be 18.8% in 3Q27 when the Google lease expires. Recent media reports indicate that Google is looking to reduce its footprint in the San Francisco Bay Area region after making approximately 1.5 million square feet of space available for sublease. To address concerns with the upcoming rollover and weak submarket conditions, Fitch's analysis included an additional sensitivity scenario, which factored a higher vacancy assumption of 20% and a cap rate of 8.25%; this sensitivity scenario contributed to the Negative Outlooks. Amortization: The loan is interest-only for the first four years and eight months and then amortizes on a 30-year schedule, resulting in seven years of amortization. The loan began to amortize in August 2020, resulting in 6% paydown since issuance. By loan maturity in August 2027, the trust balloon balance is estimated to be $372.1 million ($395/sf), resulting in an approximate 13.5% reduction to the initial loan amount. Superior Collateral Quality in Strong Location: The loan is secured by the fee simple interest in three recently constructed, single-tenant office buildings, totaling 943,056 sf, leased to Google, Inc. in Sunnyvale, CA. The three buildings hold a LEED-Gold designation and are among the most technologically advanced in the area, which has a positive impact on the ESG score for Waste & Hazardous Materials Management; Ecological Impacts. The complex also includes a 52,500-sf amenities building (non-collateral) for the sole use of tenants, which includes fitness and weight equipment, studios for classes, full locker rooms and an outdoor pool. Fitch Leverage: The $396.6 million mortgage loan ($421 psf) has a Fitch debt service coverage ratio and loan-to-value of 1.0x and 89.6%, respectively, compared with 1.19x and 75% at the last rating action and 1.16x and 76.5% at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes A-1, A-2 and interest-only class X-A are not expected given continued amortization, but may be possible if Google fails to renew. Downgrades to classes B, C, D, E and X-B are possible should property NCF and occupancy and/or market conditions deteriorate beyond Fitch's reassessed view of sustainable performance, which could occur if Google does not provide notice to renew. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are not considered likely given the upcoming maturity, single-event risk and the current ratings reflect Fitch's view of sustainable performance. The Negative Outlooks could be revised to Stable if Google renews, submarket conditions stabilize and there is greater certainty on the borrower's ability to refinance the loan. 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 BBCMS 2015-SRCH has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the sustainable building practices including Green building certificate credentials, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BEAR STEARNS 2007-PWR18: DBRS Confirms C Rating on 3 Classes ------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2007-PWR18 issued by Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 as follows: -- Class B at C (sf) -- Class C at C (sf) -- Class D 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 continue to reflect Morningstar DBRS' loss projection upon the resolution of the sole remaining loan in the transaction, which is expected to erode the majority of the outstanding balance of Class B and the full outstanding balance of Class C, Class D, and the unrated Class E. Cumulative outstanding interest shortfalls totaling $28.4 million as of December 2024 reporting have also negatively affected the transaction. The interest shortfalls have risen to Class B, and in its analysis, Morningstar DBRS concluded that the outstanding shortfalls will also be realized as a loss to bondholders upon loan resolution. The remaining loan, Marriott Houston Westchase (Prospectus ID#6), is secured by a 604-key, full-service hotel in Houston. The loan has been delinquent since September 2020 with servicer advances totaling $3.7 million as of December 2024 reporting. According to servicer commentary, there is no updated workout proposal between the lender and the borrower. An April 2024 site inspection found the property to be in good condition; however, deferred maintenance was noted following a fire at the property in February 2024, which affected 271 keys. Servicer commentary noted the repairs had been completed and the insurance claim process was ongoing. Property operating performance continues to struggle as the servicer reporting for the trailing 12 months ended May 31, 2024 indicates a 57.4% occupancy rate and $118.26 average daily rate. The property was most recently appraised with a value of $37.5 million, dated January 2024, unchanged from the March 2023 appraised value. The value represents a decline of more than 70.0% from the issuance property value of $135.0 million. As of the December 2024 remittance, the loan had an outstanding principal balance of $69.9 million, with a total exposure of $75.0 million. Morningstar DBRS continues to project significant losses associated with the disposition of this asset, with an expected loss severity in excess of 85.0%. Notes: All figures are in U.S. dollars unless otherwise noted. BWAY 2021-1450: DBRS Confirms CCC Rating on Class F Certs --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass Through Certificates issued by BWAY 2021-1450 Mortgage Trust as follows: -- Class A at AA (sf) -- Class B at A (low) (sf) -- Class C at BB (high) (sf) -- Class X-NCP at BB (low) (sf) -- Class D at B (high) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) Class F has a credit rating that generally does not carry a trend in commercial mortgage backed securities (CMBS) credit ratings. All other classes have a Stable trend. The credit rating confirmations and Stable trends are reflective of performance that remains in line with Morningstar DBRS' expectations following the previous credit rating actions in April 2024. Occupancy at the subject remains depressed from issuance; however, the borrower has had success in renewing and securing new leases at the subject over the last eight months. Morningstar DBRS notes its ongoing concern regarding the property's exposure to WeWork as the second largest tenant. In addition, the loan has an upcoming final maturity in September 2026 where significant gap financing needs could affect the borrower's ability to secure takeout financing. The $215.0 million transaction is secured by the fee simple interest in 1450 Broadway, a Class A office tower located at the southeast corner of 41st Street and Broadway in Manhattan's Times Square South submarket. The collateral primarily consists of office space, with a small ground-floor retail component. The floating-rate loan had an initial loan term of two years, with three one-year extension options available for a fully extended maturity date of September 2026. There are no performance triggers associated with the extension terms; however, the borrower must purchase a rate cap at a price that will ensure a minimum DSCR of 1.20 times. The borrower has exercised its second of three extensions with a current maturity date in September 2025. The sponsor, ZG Capital Partners (the Zar Group), is a New York-based real estate investment firm with extensive ownership and operating experience. According to the July 2024 rent roll, the subject was 70.5% occupied down from the March 2023 occupancy of 85.9%. The largest collateral tenants include Shazdeh Fashion Inc (10.4% of the net rentable area (NRA), lease expiry in January 2029), WeWork (9.8% of the NRA, lease expiry in April 2029), and FGX International (5.8% of the NRA, lease expiry in May 2027). The decline in occupancy is attributable to the downsizing of the former largest tenant WeWork from 14.2% of NRA to its current footprint; downsizing of Iconix International Inc from 8.1% of NRA to 2.3% of NRA; and departure of the former tenant, Tarrant Apparel Group, which previously occupied 7.9% of the NRA. Offsetting some of these concerns are signs of continued leasing activity at the subject. According to the July 2024 rent roll, new leases representing 6.3% of the NRA have been signed and commenced between August and December 2024, indicating in-place occupancy of approximately 76.8%. There is minimal scheduled rollover over the next 12 months. The leasing agent is marketing approximately 8.5% of the NRA as available on the property's website. As of the Q3 2024 Reis report, the Midtown West submarket reported a vacancy rate of 12.9% with an effective rent of $54.61 per square foot (psf), compared with the Q3 2023 vacancy rate of 13.0% with an effective rent of $55.85 psf. The subject currently achieves an average rental rate of $62.38 psf. Morningstar DBRS' concerns with regards to WeWork center on the firm's bankruptcy filing in November 2023 and the expectation at that time that terms of nonrejected leases were likely to be amended over the near to medium term. Although unconfirmed by the servicer, it appears that WeWork has negotiated a reduction in its lease term to 2029 from 2035, as well as a reduction to its rental rate to $37.00 psf from its issuance rate of $56.50 psf. At issuance, WeWork's lease included a corporate guarantee from the parent company, WeWork Companies Inc., totaling $6.1 million ($97 psf), which would reduce annually to a minimum of $3.6 million ($53 psf). Although WeWork has since exited bankruptcy, Morningstar DBRS notes that the current value of this guaranty is likely negligible. According to the December 2024 reserve report, there is $7.7 million in leasing reserves and $2.0 million in tenant reserves on hand. The subject reported a net cash flow (NCF) of was $12.2 million for the trailing twelve-month period ended June 30, 2024, according to servicer reporting, down from the year-end 2023 NCF of $14.3 million. The June 2024 figure may not include year-end expense reimbursements paid by tenants; however, Morningstar DBRS expects WeWorks' rent reduction will have an impact on rental revenue. This will be partially offset by new leasing activity, which at the time of this writing appears to be positive. 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 this credit rating action, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 8.0% applied to the Morningstar DBRS NCF of $12.4 million. Morningstar DBRS also maintained positive qualitative adjustments to the Loan-to-Value Ratio (LTV) Sizing benchmarks totaling 2.0% to reflect the subject property's favorable location near Bryant Park consistent with other comparable properties within the area. The Morningstar DBRS concluded value of $154.9 million represents a -55.1% variance from the issuance appraised value of $345 million and implies an all-in LTV of 138.8%. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2024-GPA3: DBRS Assigns BB(high) Rating on HRR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-GPA3 (the Certificates) issued by BX Commercial Mortgage Trust 2024-GPA3 (the Trust): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The collateral for BX 2024-GPA3 (the Trust) includes the borrower's fee-simple interest in 32 student housing properties (or with respect to 2 properties subject to a PILOT lease, the Borrower's leasehold interest and is expected to include, the applicable lessor's fee interest in such properties) totaling 18,502 beds. The largest state representations in the portfolio are Texas, Kentucky, and Virginia. Transaction proceeds of $1.0 billion will be used to refinance $809.8 million of debt across the portfolio and debt for noncollateral, return $115.3 million to the sponsor, and cover remaining closing costs. While this transaction includes a $115.3 million equity distribution to the sponsor, the BX 2024-GPA2 transaction that was recently securitized and used to refinance the combined larger BX 2022-GPA portfolio included an $83.6 million equity injection from the sponsor. The five-year, fully extended loan is IO for the full term. Blackstone acquired American Campus Communities (ACC), the largest student housing owner, operator, and developer in the country, in August 2022. The various debt transactions used to take ACC private included BX 2022-GPA, which this transaction will be partially refinancing. This transaction will include only 32 of the original 51 properties financed as part of the BX 2022-GPA deal. Comparing the same 32 assets, the portfolio has observed an NOI increase of 35.2% compared with the prior securitization in 2022. There has been continued implementation of revenue generators at the property since the acquisition in 2022, including utility income, upfront leasing fees, parking, and landlord liability insurance, resulting in a total Other Income increase of 72.7% from 2021 to the budgeted figures for the upcoming 2024/2025 school year. Additionally, Blackstone and ACC have driven significant rent growth with an average rent per occupied bed (RPOB) increase from $664 in the 2022/2023 school year to a current RPOD of $755 as of October 2024. They have managed to compress operating expenses over the same period, down from 53.4% in 2021 to 47.9% as of the T-12 reporting period ended May 31, 2024. Occupancy has trailed slightly behind the previous school year. The portfolio is 93.5% occupied as of October 2024 compared with the actual occupancy of 95.8% for the 2023/2024 school year. While the occupancy has shown some decline, there is a 9.9% increase in gross potential income (GPI) year-over-year (YOY) driven by the increased RPOB. The subject portfolio consists of 32 assets spread across 19 universities in 11 states and has a WA year built of 2005 and an average distance to campus of 0.23 miles. Roughly 38.2% of the assets were built after 2010 and feature modern amenities, including fitness centers, study rooms, club rooms, and pools. Unit interiors feature beds, dressers, kitchen tables, couches, coffee tables, and standard appliance packages. Since 2012, the portfolio has received $161.2 million in capital improvements. All universities, except one (Minnesota State University, Mankato), are represented by either Power 5, Carnegie R1, or Carnegie R2. Approximately 65.4% of the Issuer's UW NCF is derived from universities in Power 5 conferences, including Texas Tech University, Texas A&M University, University of Louisville, University of Kentucky, University of Florida, Florida State University, Iowa State University, University of Illinois Urbana-Champaign, and University of Minnesota. The portfolio has demonstrated consistently strong rent growth and occupancy metrics, as the portfolio has never been below a WA occupancy of 93.6% dating back to 2012. The universities at which these properties serve have strong enrollment trends and brand recognition. As of the 2023/2024 academic year, the universities represented in the portfolio had an average enrollment of more than 35,000 students and have seen a 8.1% growth in enrollment since 2013. The Power 5 and Carnegie R1 universities have seen a higher growth rate in enrollment historically when compared with the national average. Additionally, new supply in the student housing sector has begun slow post-coronavirus. New supply each year, represented as a percentage of total university enrollment, was 1.7% between 2013 and 2019. Between 2021 and forward 2026 estimates, the new supply is estimated to be 0.5% of university enrollment. The lack of new supply provides the sponsor a strong opportunity to see continued rent growth and low vacancy throughout the loan term. The portfolio is owned and primarily managed by affiliates of ACC (20 of the 32 properties managed by ACC OP Management LLC; with the remaining 12 properties managed by Abacus Management B LLC), the largest student housing developer and operator in the country, who was acquired by Blackstone in August 2022. ACC was founded in 1993 and currently has more than 3,000 team members and a portfolio of assets spread across 93 campuses. The company was awarded the 2023 National Association of Home Builders Property Management Firm of the Year and was featured in Newsweek's 2022, 2023, and 2024 lists of America's most trusted companies. Since the acquisition, Blackstone has kept ACC involved in the property management because of its strong historical performance and expertise. Morningstar DBRS has a favorable view on the portfolio, driven by strong historical performance, consistent NOI growth, university representation, and institutional sponsorship and management. The portfolio has a WA occupancy of 96.1% dating back to 2019 (excluding Fall 2020). Between the acquisition in August 2022 and the latest rent roll as of October 2024, the portfolio has observed NOI growth of 35.2% driven by increased rental rates and ancillary income initiatives. In addition to the strong growth and performance metrics, the properties are ideally located on well-established university campuses. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2021-LBA: DBRS Confirms B(low) Rating on 2 Tranches ------------------------------------------------------------ DBRS, Inc. confirmed the credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LBA issued by BX Trust 2021-LBA: -- Class A-V at AAA (sf) -- Class B-V at AA (high) (sf) -- Class C-V at AA (low) (sf) -- Class D-V at A (sf) -- Class E-V at BBB (low) (sf) -- Class F-V at BB (low) (sf) -- Class G-V at B (low) (sf) -- Class X-V-NCP at A (high) (sf) -- Class A-JV at AAA (sf) -- Class B-JV at AA (high) (sf) -- Class C-JV at AA (low) (sf) -- Class D-JV at A (low) (sf) -- Class E-JV at BBB (low) (sf) -- Class F-JV at BB (low) (sf) -- Class G-JV at B (low) (sf) -- Class X-JV-NCP at A (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations as evidenced by the most recent net cash flow (NCF) and the stable occupancy rate. The transaction consists of two separate, uncrossed portfolios of assets, Pool 1 (Fund V; 16 assets) and Pool 2 (Fund JV; 35 assets), each of which supports the payments on its respective series of certificates. Generally, each of the portfolios consists of functional bulk warehouse product that exhibits strong functionality metrics and favorable locations with in major industrial markets. Since Morningstar DBRS' last review, there have been no changes to the underlying collateral. To date, one property has been released from Fund V, representing an 8.6% collateral reduction since issuance. Both mortgage loans have a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the first 30.0% of the unpaid principal balance at a release premium of 105.0% of the allocated loan amount, which increases to 110.0% for the remaining 70.0% of the principal balance. Both loans, which are floating-rate loans, are currently on the servicer's watchlist for their upcoming maturity in February 2025; however, the loans each have three, one-year extension options remaining. Servicer commentary indicates that the borrower has requested use of the third extension option and Morningstar DBRS believes the loans are generally well-positioned to exercise the option. Morningstar DBRS remains concerned with the elevated rollover risk throughout the fully extended loan term for both portfolios. At issuance, leases representing approximately 72.5% and 87.1% of Morningstar DBRS' base rent were scheduled to roll through the fully extended loan term across the Fund V and Fund JV portfolios, respectively. However, this risk is mitigated by the success of e-commerce as consumer demand for faster and ultimately same-day shipping times becomes commonplace. These property types have generally performed well given the continued dominance of e-commerce and demand for industrial space. The pool is located across several well-performing West Coast markets, with a geographic concentration in Southern California. Fund V consists of 16 industrial properties, totaling approximately 2.6 million square feet (sf) in four states (Arizona, California, Oregon, and Washington), and reported an occupancy rate of 96.0% with an annualized NCF of $24.7 million (a debt service coverage ratio (DSCR) of 1.11 times (x)) per the Q2 2024 financials compared with the Morningstar DBRS NCF of $19.8 million at issuance for the 16 remaining properties. Fund JV consists of 35 industrial properties, totaling approximately 6.6 million sf in six states (Washington, Nevada, California, Utah, Texas, and Colorado), and reported an occupancy rate of 97.5% with an NCF of $47.3 million (a DSCR of 1.16x) per the T-12 period ended June 30, 2024, financials compared with the Morningstar DBRS NCF of $34.1 million. In the analysis for this review, Morningstar DBRS maintained its NCF assumptions for the portfolios. For Fund V, Morningstar DBRS maintained the NCF assumption of $19.8 million and applied a capitalization rate of 6.75%, resulting in a Morningstar DBRS value of $293.7 million, a variance of 40.9% from the issuance appraised value of $496.8 million and a loan-to-value ratio (LTV) of 104.7%. For Fund JV, Morningstar DBRS maintained the NCF assumption of $34.1 million and a applied a capitalization rate of 7.0%, resulting in a Morningstar DBRS value of $487.3 million, a variance of 45.9% from the issuance appraised value of $900.0 million and an LTV of 113.9%. Morningstar DBRS maintained the positive qualitative adjustments for Fund V and Fund JV totaling 8.5% and 8.0%, respectively, to reflect the low cash flow volatility, good property quality, and strong market fundamentals. Morningstar DBRS penalizes transactions with this partial pro rata/sequential-pay structure as it is credit negative, particularly at the top of the capital stack. Under a partial pro rata paydown structure, deleveraging of the senior notes through the release of individual properties occurs at a slower pace compared with a sequential-pay structure. The borrower can also release individual properties across both portfolios with customary requirements. The sponsors under the mortgage loans are joint-venture partnerships between Blackstone Real Estate Income Trust, Inc. (BREIT) and LBA Logistics. BREIT is an affiliate of The Blackstone Group, Inc. (Blackstone), whose real estate group was founded in 1991 and has a global real estate portfolio valued at $602 billion. Blackstone is also one of the world's largest industrial landlords. LBA Logistics is the industrial arm of LBA Realty LLC, a real estate investment and management company with a diverse portfolio of industrial properties across the United States. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE US 2021-6: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2021-6, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2021-6, Ltd. X-R LT AAAsf New Rating A-L LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Carlyle US CLO 2021-6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C. that originally closed in August 2021. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 million (excluding defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.3, versus a maximum covenant, in accordance with the initial expected matrix point of 26.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.33% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.3% versus a minimum covenant, in accordance with the initial expected matrix point of 70.9%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1-R and class A-L, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-L, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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 2021-6, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CEDAR FUNDING IV: S&P Assigns Prelim BB- (sf) Rating on E-R3 Debt ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R3, A-R3, AL-R3, B-R3, C-R3, D-R3, and E-R3 replacement debt from Cedar Funding IV CLO Ltd./Cedar Funding IV CLO LLC, a CLO managed by Aegon USA Investment Management LLC, a subsidiary of Aegon Asset Management. S&P Global Ratings had rated the original transaction that was issued in 2014 and the first refinancing in 2017; however, the second refinanced transaction was not rated by S&P Global Ratings. The preliminary ratings are based on information as of Jan. 7, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 9, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the previously refinanced debt. At that time, S&P expects to assign ratings to the replacement debt. However, if the refinancing doesn't occur, it may withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture the transaction will be collateralized by at least 90.0% senior secured loans, cash, and eligible investments, with a minimum of 90.0% of the loan borrowers required to be based in the U.S., Canada, and United Kingdom. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Cedar Funding IV CLO Ltd./Cedar Funding IV CLO LLC Class X-R3, $5.70 million: AAA (sf) Class A-R3, $299.80 million: AAA (sf) Class AL-R3, $65.00 million: AAA (sf) Class B-R3, $68.40 million: AA (sf) Class C-R3 (deferrable), $34.20 million: A (sf) Class D-R3 (deferrable), $34.20 million: BBB- (sf) Class E-R3 (deferrable), $21.95 million: BB- (sf) Subordinated notes, $77.00 million: Not rated CHASE HOME 2024-11: DBRS Finalizes B(low) Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-11 (the Certificates) issued by Chase Home Lending Mortgage Trust 2024-11 (CHASE 2024-11) as follows: -- $309.1 million Class A-2 at AAA (sf) -- $309.1 million Class A-3 at AAA (sf) -- $309.1 million Class A-3-X at AAA (sf) -- $231.8 million Class A-4 at AAA (sf) -- $231.8 million Class A-4-A at AAA (sf) -- $231.8 million Class A-4-X at AAA (sf) -- $77.3 million Class A-5 at AAA (sf) -- $77.3 million Class A-5-A at AAA (sf) -- $77.3 million Class A-5-X at AAA (sf) -- $185.4 million Class A-6 at AAA (sf) -- $185.4 million Class A-6-A at AAA (sf) -- $185.4 million Class A-6-X at AAA (sf) -- $123.6 million Class A-7 at AAA (sf) -- $123.6 million Class A-7-A at AAA (sf) -- $123.6 million Class A-7-X at AAA (sf) -- $46.4 million Class A-8 at AAA (sf) -- $46.4 million Class A-8-A at AAA (sf) -- $46.4 million Class A-8-X at AAA (sf) -- $42.5 million Class A-9 at AAA (sf) -- $42.5 million Class A-9-A at AAA (sf) -- $42.5 million Class A-9-X at AAA (sf) -- $77.3 million Class A-11 at AAA (sf) -- $77.3 million Class A-11-X at AAA (sf) -- $77.3 million Class A-12 at AAA (sf) -- $77.3 million Class A-13 at AAA (sf) -- $77.3 million Class A-13-X at AAA (sf) -- $77.3 million Class A-14 at AAA (sf) -- $77.3 million Class A-14-X at AAA (sf) -- $77.3 million Class A-14-X2 at AAA (sf) -- $77.3 million Class A-14-X3 at AAA (sf) -- $77.3 million Class A-14-X4 at AAA (sf) -- $428.8 million Class A-X-1 at AAA (sf) -- $10.7 million Class B-1 at AA (low) (sf) -- $10.7 million Class B-1-A at AA (low) (sf) -- $10.7 million Class B-1-X at AA (low) (sf) -- $5.9 million Class B-2 at A (low) (sf) -- $5.9 million Class B-2-A at A (low) (sf) -- $5.9 million Class B-2-X at A (low) (sf) -- $4.3 million Class B-3 at BBB (low) (sf) -- $2.0 million Class B-4 at BB (low) (sf) -- $1.1 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.65% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.30%, 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. CHESTNUT NOTES: DBRS Finalizes B(high) Rating on Class D Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by Chestnut Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024 and the Second Supplemental Indenture dated as of December 20, 2024, entered into between Chestnut Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes at A (high) (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) -- Class D Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Second Supplemental Indenture, dated December 20, 2024, which amended the definition of PIKable Loan, as well as the satisfaction of certain conditions to finalize the credit ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Chestnut Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 149.00%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 136.96%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 123.65%; Threshold 113.00% Class D Overcollateralization Ratio Test: Actual 120.71%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 227.75%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 195.08%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 156.17%; Threshold 120.00% Class D Interest Coverage Ratio Test: Actual 147.35%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 47.18%; Threshold 60.00% Class B Advance Rate: Actual 53.08%; Threshold 67.50% Class C Advance Rate: Actual 60.94%; Threshold 77.50% Class D Advance Rate: Actual 62.90 %; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 12.70; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 33.06%; Threshold 40.00% Minimum WA Spread: Actual 5.25%; Threshold 5.00% Minimum Average Recovery Rate Test: Actual 60.50%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207) and CLO Insight Model v. 1.0.1.4. Model-based analysis, which incorporated the above-mentioned Second Supplemental Indenture, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS finalized the credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. Dollars unless otherwise noted. CIFC FUNDING 2016-I: S&P Assigns BB- (sf) Rating on E-RRR Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RRR, B-RRR, C-RRR, D-1-RRR, D-2-RRR, and E-RRR replacement debt from CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC, a CLO managed by CIFC Asset Management LLC that was originally issued in 2016 and underwent a second refinancing in Dec. 3, 2021. At the same time, S&P withdrew its ratings on the class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt following payment in full on the Jan. 3, 2025, refinancing date. S&P also affirmed its rating on the class F-R debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period was extended to July 3, 2025 for the replacement debt. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on replacement class E-RRR debt and the non-refinanced class F-R debt than today's rating actions on the debt reflects. However, we assigned our 'BB- (sf)' rating on the class E-RRR debt and affirmed our 'B- (sf)' rating on the class F-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has enter its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class F-R 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 December 2021 Debt Issuances Replacement debt -- Class A-RRR, $322.5 million: Three-month CME term SOFR + 1.00% -- Class B-RRR, $57.5 million: Three-month CME term SOFR + 1.45% -- Class C-RRR (deferrable), $30.0 million: Three-month CME term SOFR + 1.70% -- Class D-1-RRR (deferrable), $17.5 million: Three-month CME term SOFR + 2.30% -- Class D-2-RRR (deferrable), $12.5 million: Three-month CME term SOFR + 3.00% -- Class E-RRR (deferrable), $20.0 million: Three-month CME term SOFR + 6.00% December 2021 debt -- Class A-RR, $322.5 million: Three-month CME term SOFR + 1.08% + CSA(i) -- Class B-RR, $57.5 million: Three-month CME term SOFR + 1.70% + CSA(i) -- Class C-RR (deferrable), $30.0 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class D-1-RR (deferrable), $17.5 million: Three-month CME term SOFR + 2.90% + CSA(i) -- Class D-2-RR (deferrable), $12.5 million: Three-month CME term SOFR + 4.25% + CSA(i) -- Class E-RR (deferrable), $20.0 million: Three-month CME term SOFR + 7.50% + CSA(i) -- Class F-R (deferrable), $4.0 million: Three-month CME term SOFR + 10.15% + CSA(i) -- Subordinated notes, $49.25: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC Class A-RRR, $322.5 million: AAA (sf) Class B-RRR, $57.5 million: AA (sf) Class C-RRR (deferrable), $30.0 million: A (sf) Class D-1-RRR (deferrable), $17.5 million: BBB+ (sf) Class D-2-RRR (deferrable), $12.5 million: BBB- (sf) Class E-RRR (deferrable), $20.0 million: BB- (sf) Ratings Withdrawn CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-1-RR to NR from 'BBB+ (sf)' Class D-2-RR to NR from 'BBB- (sf)' Class E-RR to NR from 'BB- (sf)' Rating Affirmed CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC Class F-R: 'B- (sf)' Other Debt CIFC Funding 2016-I Ltd./CIFC Funding 2016-I LLC Subordinated notes, $49.25 million: NR NR--Not rated. CIFC FUNDING 2021-V: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2021-V, Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2021-V, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary CIFC Funding 2021-V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed in July 2021. This is the first full refinancing where the existing notes will be redeemed in full on Jan. 8, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.65, versus a maximum covenant, in accordance with the initial expected matrix point of 27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 95.09% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.72%, versus a minimum covenant, in accordance with the initial expected matrix point of 72.1%. 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 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 those of other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls, and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and analysis 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-1-R, between 'BBB-sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2021-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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CITIGROUP COMMERCIAL 2014-GC25: DBRS Cuts 2 Classes' Rating to CCC ------------------------------------------------------------------ DBRS Limited downgraded all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC25 issued by Citigroup Commercial Mortgage Trust as follows: -- Class X-B to BBB (sf) from AA (high) (sf) -- Class B to BBB (low) (sf) from AA (sf) -- Class C to CCC (sf) from A (low) (sf) -- Class PEZ to CCC (sf) from A (low) (sf) -- Class X-D to C (sf) from BBB (low) (sf) -- Class D to C (sf) from BB (high) (sf) -- Class X-E to C (sf) from BB (sf) -- Class E to C (sf) from BB (low) (sf) -- Class X-F to C (sf) from CCC (sf) -- Class F to C (sf) from CCC (sf) Morningstar DBRS changed the trends on Classes B and X-B to Negative from Stable. The remaining classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and Negative trends reflect the increased loss expectations for the six remaining loans in the pool, primarily driven by the Bank of America Plaza loan (Prospectus ID#1, 56.1% of the current pool balance), which received an updated appraisal following the loan's transfer to special servicing in July 2024 for maturity default. The loan is discussed in more detail below. At the last credit rating action in May 2024, Morningstar DBRS downgraded its credit ratings on six classes and changed trends on four classes to Negative from Stable, reflecting concerns with select loans that were exhibiting value deficiency and were facing elevated refinance risk. Since the previous credit rating action, 50 loans, previously representing 71.4% of the pool, were repaid in full, leaving just six loans remaining as of the December 2024 remittance. Morningstar DBRS considered liquidation scenarios for all remaining loans to determine recoverability for the remaining classes, the results of which suggest that losses could be incurred from Classes D to F, supporting the credit rating downgrades and Negative trends with this review. The largest loan in the pool, Bank of America Plaza, secured by a 1.4 million-square-foot Class A office complex in the central business district of Los Angeles, transferred to special servicing in July 2024 for imminent maturity default and was reappraised at a value of $188.9 million, representing a current loan-to-value ratio of 211.7% and a 68.8% decline from its issuance value of $605.0 million. The loan most recently reported an annualized net cash flow (NCF) of $34.1 million and a debt service coverage ratio of 2.07 times during the trailing six-month period ended June 30, 2024, with an occupancy rate of 78.9%. Morningstar DBRS expects occupancy to decline to approximately 66.8% as the property's third-largest tenant, Sheppard Mullin Richter, has indicated it will vacate upon lease expiry in December 2024. Following the tenant's departure and in absence of any additional leasing activity, NCF could decline to $29.6 million, implying a 15.7% capitalization rate on the most recent appraised value. The Bank of America Plaza loan is pari passu with two additional loans in deals rated by Morningstar DBRS: WFRBS 2014-C23 and GSMS 2014-GC26. With this review, given the precipitous value decline to the Bank of America Plaza as well as the pool's increased level of adverse selection with all six loans in special servicing, Morningstar DBRS based its analysis on the recoverability of the remaining assets. The liquidation scenario considered for the Bank of America Plaza resulted in implied losses exceeding $76.0 million (loss severity approaching 70.0%), which would erode into Class D. While the implied proceeds from the recoverability analysis suggest that Class B would remain insulated from loss, credit risk has increased significantly because of the expected credit erosion in the event that the loan is liquidated, supporting the credit rating downgrades and Negative trends. Notes: All figures are in U.S. dollars unless otherwise noted. CLOVER CLO 2021-3: Moody's Assigns Ba3 Rating to $22.5MM E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by Clover CLO 2021-3, LLC (the "Issuer"). Moody's rating action is as follows: US$315,000,000 Class A-R Senior Secured Floating Rate Notes due 2035 (the "Class A-R Notes"), Assigned Aaa (sf) US$65,000,000 Class B-R Senior Secured Floating Rate Notes due 2035 (the "Class B-R Notes"), Assigned Aa2 (sf) US$25,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2035 (the "Class C-R Notes"), Assigned A2 (sf) US$32,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2035 (the "Class D-R Notes"), Assigned Baa3 (sf) US$22,500,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035 (the "Class E-R Notes"), Assigned Ba3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Clover Credit Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period; benchmark definition change and updates to alternative benchmark replacement provisions. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2804 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.20% Weighted Average Recovery Rate (WARR): 46.07% Weighted Average Life (WAL): 5.6 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 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. COMM 2014-CCRE18: DBRS Confirms C Rating on Class F Certs --------------------------------------------------------- DBRS, Inc. confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE18 issued by COMM 2014-CCRE18 Mortgage Trust as follows: -- Class D at BBB (low) (sf) -- Class E at B (low) (sf) -- Class F at C (sf) -- Class X-B at BBB (sf) Morningstar DBRS changed the trends on Classes X-B, D, and E to Stable from Negative. Class F has a credit rating that typically does not carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Since the previous credit rating action in March 2024, a total of 29 loans have been repaid in full, contributing to a principal repayment of nearly $400.0 million, leaving the trust with a current balance of $61.5 million as of the December 2024 reporting. The credit rating confirmations reflect Morningstar DBRS' recoverability expectations for the two remaining loans, Southfield Town Center (Prospectus ID#4, 87.5% of the pool) and Bristol Village (Prospectus ID#33, 12.5% of the pool). Both loans are in special servicing for default, after failing to repay upon their scheduled maturities in May 2024; however, recent appraisals indicate improved values since issuance. 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 to determine the recoverability of the outstanding bonds. Morningstar DBRS concluded that the senior certificates, including Classes D and E, continue to be insulated from losses, while Class F continues to be exposed to loss given the reduced credit support of the nonrated Class G since issuance, which has a principal balance of only $3.6 million. In addition, the Class F certificate has been shorted interest since February 2024, exceeding Morningstar DBRS' tolerance levels, and the timing for recoverability is likely to be extended, further exposing the trust to expenses and interest shortfalls, further supporting the credit rating of C (sf). With this credit rating action, Morningstar DBRS also changed the trends on Classes D and E to Stable from Negative. 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 D and E are likely to be recovered. The larger of the two loans, Southfield Town Center, transferred to special servicing in February 2024 for imminent maturity default. The loan is secured by a 2.15 million-square-foot (sf), five-building suburban office property in the Detroit suburb of Southfield, Michigan. According to the servicer's commentary, the borrower was unsuccessful in its attempts to secure takeout financing prior to the May 2024 maturity date and has engaged a workout advisor. The special servicer has submitted a forbearance agreement to the lender for approval, and the lender has indicated it will be dual tracking foreclosure while documenting the agreement. As of the YE2023 reporting, the property reported a net cash flow (NCF) of $18.4 million (debt service coverage ratio (DSCR) of 2.07 times (x)), which represents an increase over the YE2022 and Morningstar DBRS figures of $17.8 million (DSCR of 2.00x) and $14.5 million (DSCR of 1.63x), respectively. Occupancy remained relatively flat since issuance, with the property reporting a YE2023 figure of 77.0%, which is in line with the YE2022 figure of 79.0%, but an increase from the 67.0% occupancy at issuance. The property was reappraised in May 2024 at $216.9 million, nearly a 20% improvement over the issuance appraised value of $181.0 million. The Bristol Village loan is secured by a 25,075-sf retail center in Costa Mesa, California. The loan transferred to special servicing ahead of its May 2024 maturity date. According to the servicer's commentary, the borrower and special servicer are in negotiations for a potential forbearance, and the borrower is likely to pay off by the end of March 2025. Per the YE2023 reporting, the property reported an NCF of $0.8 million (DSCR of 2.16x), which marks a decrease from the YE2022 NCF of $0.9 million (DSCR of 2.33x). Occupancy fell year over year as well, with the property reporting a YE2023 figure of 89.0%, a slight decrease from the YE2022 occupancy of 93.0%. The property was reappraised in June 2024 at $14.1 million, nearly a 10% improvement over the issuance appraised value of $12.9 million. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE20: DBRS Confirms CCC Rating on 2 Tranches -------------------------------------------------------- DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-CCRE20 issued by COMM 2014-CCRE20 Commercial Mortgage Trust as follows: -- Class X-B to BBB (low) (sf) from A (sf) -- Class PEZ to BB (high) (sf) from A (low) (sf) -- Class C to BB (high) (sf) from A (low) (sf) Morningstar DBRS also confirmed its credit ratings on the following classes: -- Class D at CCC (sf) -- Class X-C at CCC (sf) In addition, Morningstar DBRS changed the trends on Classes X-B, PEZ, and C to Stable from Negative. Classes D and X-C have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' current outlook and loss expectations for the transaction, which remain relatively unchanged from the prior credit rating action in January 2024. As the pool continues to wind down, Morningstar DBRS looked to a recoverability analysis, the results of which suggest that even in a conservative scenario, losses would be contained to the Class D certificate. However, the transaction is more exposed to adverse selection and an increased propensity for interest shortfalls given only four loans remain in the pool, three of which (representing 85.5% of the current pool balance) are in special servicing. As of the December 2024 remittance, cumulative unpaid interest totaled $5.8 million, up from $4.2 million at the last credit rating action. Interest payments on the Class D certificate have been shorted by approximately $700,000 to-date and are accruing by more than $130,000 per month. Morningstar DBRS' tolerance for unpaid interest is limited to one-to-two periods at the AA (sf) and A (sf) credit rating categories and six remittance periods at the BB (sf) and B (sf) credit rating categories. Although the Class C certificate continues to receive full interest due, the servicer could elect to withhold those payments if the workout periods for the specially serviced loans continue to extend, further supporting the credit rating downgrade of the Class C certificate. The largest specially serviced loan, Harwood Center (Prospectus ID#4, 41.7% of the pool), is secured by an office building in downtown Dallas. The loan transferred to special servicing in 2020 after the former largest tenant, Omnicom Group Inc., significantly reduced its footprint by almost 50.0% at the property as part of a lease extension to 2030. The loan became real estate owned in November 2021. According to the servicer, the lender and property manager are working toward leasing up the property while completing a renovation plan. The property was most recently appraised in March 2024 at a value of $64.8 million, below the April 2023 and issuance appraised values of $69.8 million and $124.0 million, respectively. According to Reis, office properties in the Dallas central business district submarket reported a Q3 2024 vacancy rate of 34.3%, compared with the Q3 2023 vacancy rate of 34.1%. Morningstar DBRS liquidated the loan in its analysis based on a haircut to the most recent appraised value, resulting in a loss severity greater than 40.0%. The second largest specially serviced loan, Beverly Connection (Prospectus ID#7, 34.5% of the pool) is secured by a 334,566-square foot power center in Los Angeles. Anchor tenants include Target, Nordstrom Rack, and Marshalls. The sponsor was unable to repay the loan at its maturity date in August 2024, and as of the most recent reporting, is delinquent having last paid in July of this year. Although the property was 91.8% occupied as of YE2023, net cash flow (NCF) was approximately 16.0% below the underwritten figure. A reinstatement agreement was executed in September 2023; however, during the process of returning the loan to the master servicer, the borrower requested to initiate discussions with the lender for a potential modification to extend the loan's maturity date. Morningstar DBRS considered a conservative recoverability approach for these loans, in addition to the other remaining loans in the pool. Although the Class C certificate is well insulated from loss, Morningstar DBRS remains concerned, however, with the timing of disposition of the remaining assets, and the likelihood that unpaid interest continues to accrue, as well as the potential for further value decline. Notes: All figures are in U.S. dollars unless otherwise noted. ELEMENT NOTES: DBRS Finalizes B(high) Rating on Class D Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by Element Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024 and the Second Supplemental Indenture dated as of December 20, 2024, entered into between Element Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes at A (high) (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) -- Class D Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Second Supplemental Indenture, dated December 20, 2024, which amended the definition of PIKable Loan, as well as the satisfaction of certain conditions to finalize the credit ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Element Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 149.00%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 136.96%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 123.53%; Threshold 113.00% Class D Overcollateralization Ratio Test: Actual 120.55%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 227.75%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 195.08%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 156.17%; Threshold 120.00% Class D Interest Coverage Ratio Test: Actual 147.35%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 55.41%; Threshold 60.00% Class B Advance Rate: Actual 62.34%; Threshold 67.50% Class C Advance Rate: Actual 71.58%; Threshold 77.50% Class D Advance Rate: Actual 73.88%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 12.70; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 33.06%; Threshold 40.00% Minimum WA Spread: Actual 5.24%; Threshold 5.00% Minimum Average Recovery Rate Test: Actual 60.50%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207) and CLO Insight Model v. 1.0.1.4. Model-based analysis, which incorporated the above-mentioned Second Supplemental Indenture, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS finalized the credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. Dollars unless otherwise noted. FIGRE TRUST 2024-HE6: DBRS Finalizes B(low) Rating on F Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2024-HE6 (the Notes) issued by FIGRE Trust 2024-HE6 (FIGRE 2024-HE6 or the Trust): -- $240.0 million Class A at AAA (sf) -- $21.6 million Class B at AA (low) (sf) -- $20.1 million Class C at A (low) (sf) -- $12.1 million Class D at BBB (low) (sf) -- $12.1 million Class E at BB (low) (sf) -- $12.1 million Class F at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 25.55% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and 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. This transaction is 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 US dollars unless otherwise noted. FMBT 2024-FBLU: DBRS Finalizes B(low) Rating on Class G Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-FBLU (the Certificates) issued by FMBT Trust 2024-FBLU: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The FBMT 2024-FBLU transaction is secured by the fee-simple and leasehold interests of five special purpose entities (collectively, the "Borrowers) in, among other things, a portion of the Fontainebleau Miami Beach Resort, a 1,594-key, full-service resort. Of the 1,594 keys, 846 keys are hotel guest rooms located in two towers, the Chateau and the Versailles. The remaining keys for the subject, located in the Trésor and Sorrento towers, are condominiums that are third-party owned but participate in the hotel revenue-sharing program further detailed in the presale report on this transaction. The historical participation rate for the condominium program has averaged 84.9% since 2011. The 15.5-acre resort is opportunely situated in the mid-beach area of Miami Beach, Florida. The resort provides a host of amenities for hotel guests and non-guests alike, which Morningstar DBRS views positively, in addition to its strong historical performance, property quality, and experienced and dedicated sponsor. Since 2005, the property has undergone approximately $1.1 billion in capital improvements including a comprehensive renovation of the entire property in 2008 for a total cost of $571.8 million. Since 2019 the property has spent approximately $232 million on capital improvements which includes the development costs for the convention center. Additionally, three of the four towers have had their guest rooms renovated over the last five years with the remaining tower, the Versailles, scheduled to undergo a $15.4 million renovation beginning in 2025, with $6.3 million spent in 2024 for materials. In total, approximately $38.0 million in planned capital improvements are scheduled to be completed between 2025 and 2027. The borrower sponsor for this transaction is Jeffrey Soffer, who runs Fontainebleau Development, a real estate development and hospitality group with a portfolio based on the premise of designing, owning, marketing, and operating its assets throughout the entire development of each project. The portfolio of hospitality assets includes the JW Turnberry Marriott, Hilton Nashville Downtown, and the Fontainebleau Las Vegas. Fontainebleau Development is led by Jeffrey Soffer, the loan guarantor, chairman, and chief executive officer, who has been investing in real estate for over 25 years, helping to expand the company from a regional leader to a nationally recognized organization. The resort is self-managed by the borrower. Notes: All figures are in U.S. dollars unless otherwise noted. GEMINI NOTES: DBRS Finalizes B(high) Rating on Class D Notes ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by Gemini Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024 and the Second Supplemental Indenture dated as of December 20, 2024, entered into between Gemini Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes at A (high) (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) -- Class D Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Second Supplemental Indenture, dated December 20, 2024, which amended the definition of PIKable Loan, as well as the satisfaction of certain conditions to finalize the credit ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Gemini Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 149.00%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 136.96%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 123.65%; Threshold 113.00% Class D Overcollateralization Ratio Test: Actual 120.71%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 227.17%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 194.59%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 156.28%; Threshold 120.00% Class D Interest Coverage Ratio Test: Actual 147.43%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 47.18%; Threshold 60.00% Class B Advance Rate: Actual 53.08%; Threshold 67.50% Class C Advance Rate: Actual 60.94%; Threshold 77.50% Class D Advance Rate: Actual 62.90%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 12.70; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 33.06%; Threshold 40.00% Minimum WA Spread: Actual 5.24%; Threshold 5.00% Minimum Average Recovery Rate Test: Actual 60.50%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207) and CLO Insight Model v. 1.0.1.4. Model-based analysis, which incorporated the above-mentioned Second Supplemental Indenture, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS finalized the credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. Dollars unless otherwise noted. GS MORTGAGE 2024-PJ11: DBRS Finalizes B(low) Rating on B5 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on 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 AAA (sf) -- $262.5 million Class A-2 at AAA (sf) -- $262.5 million Class A-3 at AAA (sf) -- $196.9 million Class A-4 at AAA (sf) -- $196.9 million Class A-5 at AAA (sf) -- $196.9 million Class A-6 at AAA (sf) -- $157.5 million Class A-7 at AAA (sf) -- $157.5 million Class A-8 at AAA (sf) -- $157.5 million Class A-9 at AAA (sf) -- $39.4 million Class A-10 at AAA (sf) -- $39.4 million Class A-11 at AAA (sf) -- $39.4 million Class A-12 at AAA (sf) -- $105.0 million Class A-13 at AAA (sf) -- $105.0 million Class A-14 at AAA (sf) -- $105.0 million Class A-15 at AAA (sf) -- $65.6 million Class A-16 at AAA (sf) -- $65.6 million Class A-17 at AAA (sf) -- $65.6 million Class A-18 at AAA (sf) -- $15.4 million Class A-19 at AAA (sf) -- $15.4 million Class A-20 at AAA (sf) -- $15.4 million Class A-21 at AAA (sf) -- $277.9 million Class A-22 at AAA (sf) -- $277.9 million Class A-23 at AAA (sf) -- $277.9 million Class A-24 at AAA (sf) -- $277.9 million Class A-25 at AAA (sf) -- $277.9 million Class A-X-1 at AAA (sf) -- $262.5 million Class A-X-2 at AAA (sf) -- $262.5 million Class A-X-3 at AAA (sf) -- $262.5 million Class A-X-4 at AAA (sf) -- $196.9 million Class A-X-5 at AAA (sf) -- $196.9 million Class A-X-6 at AAA (sf) -- $196.9 million Class A-X-7 at AAA (sf) -- $157.5 million Class A-X-8 at AAA (sf) -- $157.5 million Class A-X-9 at AAA (sf) -- $157.5 million Class A-X-10 at AAA (sf) -- $39.4 million Class A-X-11 at AAA (sf) -- $39.4 million Class A-X-12 at AAA (sf) -- $39.4 million Class A-X-13 at AAA (sf) -- $105.0 million Class A-X-14 at AAA (sf) -- $105.0 million Class A-X-15 at AAA (sf) -- $105.0 million Class A-X-16 at AAA (sf) -- $65.6 million Class A-X-17 at AAA (sf) -- $65.6 million Class A-X-18 at AAA (sf) -- $65.6 million Class A-X-19 at AAA (sf) -- $15.4 million Class A-X-20 at AAA (sf) -- $15.4 million Class A-X-21 at AAA (sf) -- $15.4 million Class A-X-22 at AAA (sf) -- $277.9 million Class A-X-23 at AAA (sf) -- $277.9 million Class A-X-24 at AAA (sf) -- $277.9 million Class A-X-25 at AAA (sf) -- $277.9 million Class A-X-26 at AAA (sf) -- $19.8 million Class B-1A at AA (low) (sf) -- $19.8 million Class B-X-1 at AA (low) (sf) -- $19.8 million Class B-1 at AA (low) (sf) -- $4.2 million Class B-2A at A (low) (sf) -- $4.2 million Class B-X-2 at A (low) (sf) -- $4.2 million Class B-2 at A (low) (sf) -- $3.4 million Class B-3 at BBB (low) (sf) -- $1.9 million Class B-4 at BB (low) (sf) -- $464.0 thousand Class B-5 at B (low) (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, and A-18 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. The AAA (sf) credit ratings on the Notes reflect 10.00% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.60%, 2.25%, 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. These classes were not issued. Notes: All figures are in US dollars unless otherwise noted. HUDSON'S BAY 2015-HBS: DBRS Confirms BB Rating on 2 Tranches ------------------------------------------------------------ DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-HBS issued by Hudson's Bay Simon JV Trust 2015-HBS as follows: -- Class X-A-7 at AAA (sf) -- Class A-7 at AA (high) (sf) -- Class X-B-7 at A (sf) -- Class B-7 at A (low) (sf) -- Class C-7 at BB (sf) -- Class D-7 at B (low) (sf) -- Class E-7 at CCC (sf) -- Class X-A-10 at AAA (sf) -- Class A-10 at AA (high) (sf) -- Class X-B-10 at A (sf) -- Class B-10 at A (low) (sf) -- Class C-10 at BB (sf) -- Class D-10 at B (low) (sf) -- Class E-10 at CCC (sf) All trends are Stable with the exception of Classes E-7 and E-10, which have credit ratings that do not typically carry trends in Commercial Mortgage Backed Securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' outlook on the transaction, which remains relatively unchanged since the previous credit rating action in January 2024. While the trust continues to pay down as a result of loan amortization and property releases, and exhibits healthy performance metrics, Morningstar DBRS maintains its conservative view on the transaction given the increased propensity for adverse selection and the portfolio's sustained high exposure to vacant properties. Morningstar DBRS maintained its use of a stressed value analysis for its review, which supported the credit rating confirmations. At issuance, the transaction consisted of an $846.2 million first-mortgage loan secured by 34 cross-collateralized properties previously leased to 24 Lord & Taylor stores and nine Saks Fifth Avenue stores in 15 states. The collateral properties represented 19 fee-simple ownership interests (64.1% of the pool balance) and 15 leasehold interests (35.9% of the pool balance), totaling 4.5 million square feet. Individual tenant storefronts are located in various malls and freestanding locations with concentrations in New Jersey and New York. The loan is sponsored by a joint venture between Hudson's Bay Company (HBC) and Simon Property Group (SPG). The loan included a $149.9 million floating-rate Component A, which was paid off as of the November 2023 payment period, as well as a $371.2 million fixed-rate Component B and a $324.9 million fixed-rate Component C. Principal proceeds are now being used to pay down Component B. Property releases are subject to release premiums of 115.0% of the allocated loan amount (ALA). Since Morningstar DBRS' last review, two additional properties, Natick Mall and Freehold Raceway Mall (formerly 3.9% of the issuance ALA in aggregate), were released from the portfolio at a combined premium of approximately $22.4 million, lower than each property's go-dark value derived in 2019. In total, four properties have been released since issuance and, along with loan amortization, the outstanding loan balance has been reduced to $598.5 million per the December 2024 reporting, representing a collateral reduction of 29.3%. The portfolio was formerly 100% leased to Lord & Taylor and Saks Fifth Avenue on two master leases with 20-year initial terms and six five-year extension options for each store. The operating leases are fully guaranteed by HBC. Following Lord & Taylor's bankruptcy filing in 2020, all Lord & Taylor stores were closed, resulting in 25 of the 34 collateral properties, representing 54.7% of the ALA, becoming fully vacant. The borrower continues to abide by the terms of the October 2021 loan modification that mandated the borrower to pay the full difference between total monthly rent and debt service as well as to use all excess cash flow to amortize the principal balance. Various reserves have also been funded to help reposition the dark collateral properties. As of December 2024, the loan reported a total of $8.6 million across all reserves. According to the most recent financials, the portfolio reported an annualized consolidated net cash flow (NCF) of $94.6 million for the trailing three months ended March 31, 2024, which excludes the released properties and reflects a debt service coverage ratio of 2.05 times. In comparison, the YE2023 and YE2022 NCFs were $90.1 million and $87.8 million, respectively, while Morningstar DBRS' NCF derived in 2020 was approximately $53.6 million (excluding released properties). The year-over-year improvement is driven by an increase in base rents. Despite the improvement, given the prolonged vacant status for majority of the Lord & Taylor properties, as well as the dated appraisals (which were finalized in 2019), Morningstar DBRS maintained a stressed scenario in its analysis for this review. For this review, Morningstar DBRS updated its value to exclude the released properties and applied a conservative haircut to the 2019 appraisal values, resulting in a value of $525.1 million, which represents a -52.7% variance from the 2019 as-is appraised value of $1.1 billion for the unreleased properties and reflects an as-is loan-to-value ratio of 114.0%. Notes: All figures are in U.S. dollars unless otherwise noted. JEFFERIES 2024-II: S&P Assigns Prelim 'BB-(sf)' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Jefferies Credit Partners Direct Lending CLO 2024-II Ltd./Jefferies Credit Partners Direct Lending CLO 2024-II LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Jefferies Credit Partners LLC. The preliminary ratings are based on information as of Jan. 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Jefferies Credit Partners Direct Lending CLO 2024-II Ltd./ Jefferies Credit Partners Direct Lending CLO 2024-II LLC Class X, $4.5000 million: AAA (sf) Class A-1, $136.0625 million: AAA (sf) Class A-1 loans, $61.6875 million: AAA (sf) Class A-2, $0.4375 million: AAA (sf) Class A-2 loans, $8.3125 million: AAA (sf) Class B-1, $20.9700 million: AA (sf) Class B-2, $10.5300 million: AA (sf) Class C-1 (deferrable), $22.2000 million: A (sf) Class C-2 (deferrable), $5.8000 million: A (sf) Class D-1 (deferrable), $14.7100 million: BBB- (sf) Class D-2 (deferrable), $6.2900 million: BBB- (sf) Class E (deferrable), $21.0000 million: BB- (sf) Subordinated notes, $45.7600 million: Not rated JORDAN NOTES: DBRS Finalizes B(high) Rating on Class D Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by Jordan Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024 and the Second Supplemental Indenture dated as of December 20, 2024, entered into between Jordan Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes at A (high) (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) -- Class D Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Second Supplemental Indenture, dated December 20, 2024, which amended the definition of PIKable Loan, as well as the satisfaction of certain conditions to finalize the credit ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Jordan Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 149.00%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 136.96%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 123.65%; Threshold 113.00% Class D Overcollateralization Ratio Test: Actual 120.71%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 227.60%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 194.96%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 156.07%; Threshold 120.00% Class D Interest Coverage Ratio Test: Actual 147.26%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 47.18%; Threshold 60.00% Class B Advance Rate: Actual 53.08%; Threshold 67.50% Class C Advance Rate: Actual 60.94%; Threshold 77.50% Class D Advance Rate: Actual 62.90%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 12.70; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 33.06%; Threshold 40.00% Minimum WA Spread: Actual 5.25%; Threshold 5.00% Minimum Average Recovery Rate Test: Actual 60.50%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207) and CLO Insight Model v. 1.0.1.4. Model-based analysis, which incorporated the above-mentioned Second Supplemental Indenture, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS finalized the credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. Dollars unless otherwise noted. JP MORGAN 2022-ACB: DBRS Confirms B(low) Rating on Class G Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-ACB issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the transaction's overall stable performance, as evidenced by cash flow and occupancy growth since Morningstar DBRS assigned the credit ratings in 2022. The loan is secured by the borrower's fee-simple interest in the American Copper Buildings, a Class A luxury multifamily property in midtown Manhattan. The property boasts extensive and superior amenities, including a rock-climbing wall, a fitness center and studios, a rooftop infinity pool, and spa facilities. The total trust loan amount of $611.4 million is backed by a joint venture between Black Spruce Management, LLC, which owns a portfolio of over 40 properties across four boroughs in New York, and The Orbach Group, LLC, which specializes in affordable housing. Both sponsors have real estate portfolios exceeding $1.0 billion. The $675 million floating-rate loan is interest only and includes an additional $63.5 million in mezzanine debt, which is further divided into two separate loans that are set to mature in March 2025. The loan matured in March 2024 and the borrower exercised the first of up to three one-year extension options, with a current maturity date of March 2025. The fully extended maturity date is March 2027. A cash flow sweep will commence upon an event of default or if the debt yield falls below 5.8% after March 2024. As of the trailing 12-month period ended June 30, 2024 (T-12), financial reporting, the debt yield remained above this threshold at 6.8% on the trust loan and 6.2% on the whole loan. The loan benefits from City of New York 421-A tax exemptions, which remain in effect until June 2038, 11 years after the fully extended loan maturity date. As a requirement to maintain its tax-exempt status, the property is required to lease designated affordable units. The property currently offers a total of 160 affordable units, representing approximately 21.0% of the total unit count. The tax abatement exempts the property from 100% of its taxes on improvements for the first 12 years. After that, the exemption percentage decreases in 20% increments every other year until Year 20, at which point the exemption expires. According to the T-12 financials, the property reported a net cash flow (NCF) of $41.7 million, representing a debt service coverage ratio (DSCR) of 0.83 times (x), which continues the upward trend over the YE2022 and YE2023 cash flow figures. The T-12 NCF represents an increase of 21.9% compared with the Morningstar DBRS NCF of $34.2 million at issuance. Despite this positive cash flow trend, the floating-rate nature of the loan has created downward pressure on the DSCR, which decreased from 1.33x at YE2022. The in-place interest rate cap agreement serves as a mitigant to the increased floating-rate benchmark. To exercise each available extension option, the borrower is required to purchase a new interest rate cap agreement with a strike price such that a minimum DSCR of 1.10x is achieved. The growth in cash flow is primarily a result of increased rental rates for the market-rate units. As of the June 30, 2024, rent roll, the average rental rate of all units was $5,481 per unit while the average rental rate of market-rate units and affordable housing were $6,746 per unit and $1,015 per unit, respectively. This is a significant increase from September 2022, when the overall average rental rate was $5,163 per unit for all units, $6,364 per unit for market-rate units, and $923 per unit for affordable units. In addition, vacancy at the property continued to remain low at 5.9% as of June 2024. In comparison, according to Reis' Q3 2024 data, the Stuyvesant/Turtle Bay submarket average asking rental and vacancy rates were $6,157 per unit and 3.1%, respectively. Vacancy is projected to tighten to 2.0% by 2029. The two ground-floor retail tenants, Bright Horizons and Hole in the Wall, have lease expiration dates in February 2037 and July 2029, respectively, beyond the loan's fully extended maturity date. Morningstar DBRS' credit ratings are based on a value analysis completed at issuance, which considered a capitalization rate of 5.75%, resulting in a Morningstar DBRS Value of $595.5 million and a loan-to-value (LTV) ratio of 102.7% on the mortgage loan. The Morningstar DBRS Value of $595.5 million represents a variance of -29.8% from the appraised value of $848.0 million at issuance. In addition, Morningstar DBRS maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 7.5% to reflect the high quality of the property, strong market fundamentals, and historically stable cash flow. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2024-12: DBRS Finalizes B(low) Rating on Class B5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-12 (the Certificates) issued by the J.P. Morgan Mortgage Trust 2024-12 (JPMMT 2024-12): -- $420.8 million Class A-2 at AAA (sf) -- $420.8 million Class A-3 at AAA (sf) -- $420.8 million Class A-3-X at AAA (sf) -- $315.6 million Class A-4 at AAA (sf) -- $315.6 million Class A-4-A at AAA (sf) -- $315.6 million Class A-4-X at AAA (sf) -- $105.2 million Class A-5 at AAA (sf) -- $105.2 million Class A-5-A at AAA (sf) -- $105.2 million Class A-5-X at AAA (sf) -- $252.5 million Class A-6 at AAA (sf) -- $252.5 million Class A-6-A at AAA (sf) -- $252.5 million Class A-6-X at AAA (sf) -- $168.3 million Class A-7 at AAA (sf) -- $168.3 million Class A-7-A at AAA (sf) -- $168.3 million Class A-7-X at AAA (sf) -- $63.1 million Class A-8 at AAA (sf) -- $63.1 million Class A-8-A at AAA (sf) -- $63.1 million Class A-8-X at AAA (sf) -- $49.5 million Class A-9 at AAA (sf) -- $49.5 million Class A-9-A at AAA (sf) -- $49.5 million Class A-9-X at AAA (sf) -- $46.8 million Class A-11 at AAA (sf) -- $46.8 million Class A-11-X at AAA (sf) -- $46.8 million Class A-12 at AAA (sf) -- $46.8 million Class A-13 at AAA (sf) -- $46.8 million Class A-13-X at AAA (sf) -- $46.8 million Class A-14 at AAA (sf) -- $46.8 million Class A-14-X at AAA (sf) -- $46.8 million Class A-14-X2 at AAA (sf) -- $46.8 million Class A-14-X3 at AAA (sf) -- $46.8 million Class A-14-X4 at AAA (sf) -- $517.1 million Class A-X-1 at AAA (sf) -- $517.1 million Class A-X-2 at AAA (sf) -- $517.1 million Class A-X-3 at AAA (sf) -- $9.4 million Class B-1 at AA (low) (sf) -- $9.4 million Class B-1-A at AA (low) (sf) -- $9.4 million Class B-1-X at AA (low) (sf) -- $11.3 million Class B-2 at A (low) (sf) -- $11.3 million Class B-2-A at A (low) (sf) -- $11.3 million Class B-2-X at A (low) (sf) -- $6.1 million Class B-3 at BBB (low) (sf) -- $2.8 million Class B-4 at BB (low) (sf) -- $1.4 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-11, A-11-X, A-12, A-13, A-13-X, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, A-8-A, A-11, A-12, A-13, and A-14 are super senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9 and A-9-A) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 6.00% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 4.30%, 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. KKR STATIC I: Fitch Assigns 'BB+sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR Static CLO I Ltd., refinancing notes. The Outlooks for all notes are Stable. Entity/Debt Rating Prior ----------- ------ ----- KKR Static CLO I Ltd. A-R 48255QAL7 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-R 48255QAM5 LT PIFsf Paid In Full AA+sf B-R2 LT AA+sf New Rating C-R 48255QAN3 LT PIFsf Paid In Full A+sf C-R2 LT A+sf New Rating D-R 48255QAP8 LT PIFsf Paid In Full BBB+sf D-R2 LT BBB+sf New Rating E 48255RAA9 LT PIFsf Paid In Full BB+sf E-R2 LT BB+sf New Rating Transaction Summary KKR Static CLO I Ltd. (the issuer) is a static arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC, that originally closed in July 2022 and refinanced in January 2024. The CLO's secured notes are refinanced on Jan. 7, 2025 (the second refinancing date) from the proceeds of new secured notes. 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 99.54% first-lien senior secured loans and has a weighted average recovery assumption of 74.78%. 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 resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. 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. KEY PROVISION CHANGES The refinancing is being implemented via the refinancing supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to; extending the refinancing notes non-call period until July 2025, increasing outstanding amount of 'AAAsf' rated note and reducing the other rated notes, extending the weighted average life test at the second refinance date to six years and reducing the refinancing notes liability spreads. FITCH ANALYSIS KKR Static CLO I Ltd. is a static pool CLO. The issuer is not permitted to purchase any loans after the closing date (other than rescue financing assets). As such, there are no collateral quality tests or concentration limitations. Fitch's analysis is based on the latest portfolio presented to Fitch from the arranger that includes 168 assets from 159 primarily high yield obligors. The portfolio balance, excluding any defaulted asset and the amount of positive cash, was approximately $291.9 million. The weighted average rating factor of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 39.0% of the current portfolio par balance; ratings for 61.0% of the portfolio were derived from using Fitch's IDR Equivalency Map. In lieu of a traditional stress portfolio, Fitch ran a maturity extension scenario on the current portfolio to account for the issuer's ability to extend the weighted average life of the portfolio to 6.0 years as a result of maturity amendments. The scenario also considers a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the derived rating of the obligor, as described in Fitch's CLO and Corporate CDO Rating Criteria. Fitch generated projected default and recovery statistics of the Fitch Stressed Portfolio (FSP) using its portfolio credit model (PCM) on the underlying collateral pool excluding defaulted assets. The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 54.6% and 39.7%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA+sf' rating stress were 53.5% and 49.0%, respectively. The PCM default and recovery rate outputs for the FSP at the 'A+sf' rating stress were 47.9% and 58.7%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 41.6% and 68.0%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB+sf' rating stress were 35.5% and 73.5%, respectively. In the analysis of the current portfolio, the class A-R2, B-R2, C-R2, D-R2, and E-R2 notes passed the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', and 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 10.1%, 4.3%, 4.1%, 9.5%, and 12.9%, respectively. In the analysis of the FSP, the class A-R, B-R, C-R, D-R, and E notes passed the 'AAAsf', 'AA+sf', 'A+sf', 'BBB+sf', and 'BB+sf' rating thresholds in all nice cash flow scenarios with a minimum cushion of 7.4%, 1.4%, 2.8%, 7.3%, and 8.8%, respectively. The Stable Outlook on the class A-R2, B-R2, C-R2, D-R2, and E-R2 notes reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. 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-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between 'B-sf' and 'BBB+sf' for class D-R2, and between less than 'B-sf' and 'BB+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR Static CLO I 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. KSL COMMERCIAL 2024-HT2: DBRS Finalizes B(high) Rating on HRR Certs ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-HT2 (the Certificates) issued by KSL Commercial Mortgage Trust 2024-HT2 (the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The Trust is secured by secured by the fee-simple and/or leasehold interests in 13 hospitality properties across six states. The portfolio consists of 2,384 total keys, including four properties (1,072 keys, representing 42.9% of allocated loan amount (ALA)) operating under the Marriott brand family; four properties (398 keys, representing 21.7% of ALA) as independent brands; three properties (549 keys, representing 20.6% of ALA) operating under the Hilton brand family; and two properties (365 keys, representing 14.9% of ALA) operating under the Hyatt brand family. The properties were constructed between 1904 and 2015 and have a weighted-average (WA) year built of 1997 and WA renovation year of 2021. The subject financing of $761.0 million, along with a $104.0 million mezzanine loan, will facilitate the refinancing of $740.9 million of existing debt, redistribute $77.6 million to the sponsor, establish a $29.2 million property improvement plan (PIP) letter of credit, and cover closing costs. The loan is a two-year, floating-rate (one-month Secured Overnight Financing Rate (SOFR) plus 2.800% per annum) interest-only mortgage loan with three one-year extension options. The borrower is expected to purchase an interest rate cap with a one-month Term SOFR strike price of 5.0%. The transaction sponsor is an affiliate of KSL Capital Partners (KSL). KSL is a private equity firm specializing in equity and debt investing in U.S. and international travel and leisure enterprises, spread across five primary sectors: hospitality, recreation, clubs, real estate, and travel services. KSL has been an industry leader for its 30 years of operation by strategically acquiring lodging and leisure-oriented assets and implementing management to help drive cash flow. Since 2005, KSL has raised more than $21 billion worth of capital commitments that focus solely on its travel and leisure endeavors, investing in more than 185 businesses across the world. The properties in the portfolio were constructed between 1904 and 2015. Since 2016, approximately $161.3 million ($67,647 per key) in capital expenditure (capex) was invested in the properties. An additional $29.2 million ($17,718 per key) of planned capex is budgeted for seven of the properties from 2024 through 2027. The planned capex is part of brand-mandated PIPs over the fully extended five-year loan term. In lieu of an upfront reserve to cover the cost of the brand-mandated PIPs, the sponsor is required to deliver a letter of credit in an amount equal to $29.2 million. Once/if performed, these improvements would allow the portfolio to maintain its competitive position and improve its overall financial performance. One property, which will potentially require a PIP upon an upcoming franchise expiry in 2025, is not included in the PIP cost estimate. Morningstar DBRS applied a $5.0 million Morningstar DBRS value adjustment to recognize the PIP shortfall during the initial loan term. The largest properties by net cash flow (NCF) are the Westin Philadelphia, the Boston Envoy, and the Hilton Garden Inn New York-Midtown East, which represent approximately 11.8%, 11.6%, and 10.7% of the trailing 12-month period (T-12) ended September 30, 2024, NCF, respectively. No other property represents more than 10.5% of portfolio NCF. The 13 properties average approximately 183 keys and the largest hotel, the Cadillac Hotel & Beach Club, Autograph Collection, contains 357 keys, or approximately 15.0% of the total keys in the portfolio. The portfolio is located across six states, with the largest concentration by ALA in New York and Florida, which account for approximately 39.6% and 23.0% of the loan balance by ALA, respectively. No other state accounts for more than 15.0% of the loan balance by ALA. Most of these markets are located within a Morningstar DBRS Market Rank of 7 or 8 (62.0% of ALA), and the WA portfolio Market Rank is 6.1. The locations within these markets are primarily high-barrier-to-entry urban markets that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. In 2019, prior to the coronavirus pandemic, the portfolio achieved an occupancy rate of 82.9% and an average daily rate (ADR) of $238.96, resulting in a revenue per available room (RevPAR) of $198.19. Following a significant decline during 2020 because of the coronavirus pandemic, the portfolio's performance was able to recover to pre-pandemic levels by 2022, with the YE2022 RevPAR of $198.43 just higher than the YE2019 RevPAR of $198.19. Over the past two years, the portfolio has continued to experience consistent top-line growth. During the T-12 ended September 30, 2024, the portfolio achieved an occupancy rate of 79.1%, representing a 3.9% increase over the YE2023 occupancy and an ADR of $278.63, representing an 0.6% increase over the YE2023 ADR. These figures resulted in a RevPAR of $220.46, representing a 4.5% increase over the YE2023 RevPAR and an 11.2% increase over the YE2019 RevPAR. Of the 13 properties in the portfolio, 11 achieved a higher RevPAR during the T-12 ended September 30, 2024, than in 2019, while 12 saw RevPAR increases from YE2023 to the T-12 ended September 30, 2024. The portfolio achieved a WA RevPAR penetration of 107.7% during the T-12 ended September 30, 2024, as well as 104.8% in YE2023, 99.9% in YE2022, and 102.2% in YE2019, indicating that the majority of properties in the portfolio have historically outperformed their respective competitive sets. Morningstar DBRS concluded a RevPAR of $219.19 based on an occupancy rate of 78.8% and an ADR of $278.24. This RevPAR figure is 0.6% lower than the T-12 ended September 30, 2024, RevPAR of $220.46 and 3.9% greater than the YE2023 RevPAR of $210.94. The overall portfolio appraised value is $1.25 billion, which equates to a moderate appraised total debt LTV of 69.1% (65.9% LTV based on the $1.31 bulk sale value). The Morningstar DBRS-concluded value of $906.5 million ($380,243 per key) represents a significant 27.6% discount to the appraised value and results in a Morningstar DBRS whole-loan LTV of 95.4%, which is indicative of high-leverage financing; however, the Morningstar DBRS value is based on a capitalization rate (cap rate) of 8.19%, which represents a significant stress over current prevailing market cap rates and accounts for a $5.0 million Morningstar DBRS value deduction to account for the PIP shortfall for the Hilton Garden Inn Tribeca during the initial loan term. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK XXII: Fitch Assigns 'BB+sf' Rating on Cl. E-R-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the refinancing notes issued by Madison Park Funding XXII, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding XXII, Ltd. A-1-R 55819XAY8 LT PIFsf Paid In Full AAAsf A-2-R 55819XBA9 LT PIFsf Paid In Full AAAsf A-R-2 LT AAAsf New Rating B-R-2 LT AA+sf New Rating C-R-2 LT A+sf New Rating D-1-R2 LT BBB+sf New Rating D-2-R2 LT BBB-sf New Rating E-R-2 LT BB+sf New Rating F LT NRsf New Rating Transaction Summary Madison Park Funding XXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. The transaction originally closed on Oct. 20, 2016 and was refinanced on Feb. 20, 2020. This is the deal's second refinancing. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $799 million (excluding defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/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 97.2% first lien senior secured loans and has a weighted average recovery assumption of 75.33%. 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 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-R-2, between 'BB+sf' and 'A+sf' for class B-R-2, between 'B+sf' and 'BBB+sf' for class C-R-2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'BB-sf' for class E-R-2. 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-R-2, 'AA+sf' for class C-R-2, 'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for class E-R-2. Upgrade scenarios are not applicable to the class A-R-2 notes as these notes are in the highest rating category of 'AAAsf'. 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. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding XXII, 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. MERCHANTS FLEET 2023-1: DBRS Confirms BB Rating on Class E Notes ---------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on thirteen securities issued by three Merchant Fleet Funding LLC transactions. Merchants Fleet Funding LLC, Series 2023-1 -- Class A Notes AAA (sf) Confirmed -- Class B Notes AA (sf) Confirmed -- Class C Notes A (sf) Confirmed -- Class D Notes BBB(sf) Confirmed -- Class E Notes BB (sf) Confirmed Merchants Fleet Funding LLC, Series 2024-1 -- Class A AAA (sf) Confirmed -- Class B AA (sf) Confirmed -- Class C A (high)(sf) Confirmed -- Class D BBB(sf) Confirmed -- Class E BB(sf) Confirmed The confirmations are based on the following analytical considerations: -- The transaction's capital structure and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The credit quality of the collateral pool and historical performance, with low delinquencies and charge-offs to date. -- The credit ratings address timely payment of interest on the notes as well as the ultimate payment of principal by legal final maturity. -- 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 Disease (COVID-19) 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. MILL CITY 2021-NMR1: Fitch Assigns 'BBsf' Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to seven previously unrated classes from two Mill City Mortgage Loan Trust (MCMLT) transactions issued in 2018 and 2021. Entity/Debt Rating ----------- ------ Mill City Mortgage Loan Trust 2021-NMR1 B3A 59982HAT7 LT BBB+sf New Rating B3B 59982HAU4 LT BBBsf New Rating B3 59982HAV2 LT BBBsf New Rating B4A 59982HAW0 LT BB+sf New Rating B4B 59982HAX8 LT BBsf New Rating B4 59982HAY6 LT BBsf New Rating Mill City Mortgage Loan Trust 2018-3 B3 59980XAM9 LT BB+sf New Rating Transaction Summary Fitch has rated other classes within these transactions since deal close. The additional classes with ratings assigned today are more junior than the classes with existing ratings and were unrated at deal close. Both of the transactions have performed well since closing with many of the previously rated bonds upgraded or assigned a Positive Outlook. All of the transactions are U.S. RMBS transactions collateralized by pools of re-performing loans (RPL). KEY RATING DRIVERS Lower Expected Losses for Seasoned Collateral (Positive): MCMLT 2018-3: The loans for MCMLT 2018-3 were seasoned approximately 133 months in aggregate at issuance and are currently seasoned 213 months. The expected losses, have decreased since issuance and since the prior review. Current average expected losses in the 'BBBsf' and 'BBsf' stresses are 11.5% and 9.3%, compared to 23.5% and 18.8% at issuance. Reduced loss expectation is primarily driven by a decline in sustainable loan-to-value (sLTV) driven by home price appreciation and borrower pay-downs. Average current sLTV is 68.9% compared to 97.4% at issuance in the base-case stress. Relatively consistent borrower performance has also been a contributing factor. MCMLT 2021-NMR1: The loans for MCMLT 2021-NMR1 were seasoned approximately 149 months in aggregate at issuance and are currently seasoned 198 months. The expected losses, have decreased since issuance and since the prior review. Current average expected losses in the 'BBBsf' and 'BBsf' stresses are 15.6% and 12.8%, compared to 27.5% and 23.5% at issuance. Reduced loss expectation is primarily driven by a decline in sLTV driven by home price appreciation and borrower pay-downs. Average current sLTV is 67.5% compared to 88.2% at issuance. Like MCMLT 2018-3, relatively consistent borrower performance has also been a contributing factor. Stable Performance (Positive): Although both transactions exhibit delinquencies (DQs) higher than the Fitch RPL sector average, both transactions have experienced consistent month over month and year over year performance trends, which has been a positive driver. Additionally, both transactions have maintained low and consistent serious DQs (90+ DQ%). MCMLT 2018-3: Current 30+ DQ% of the pool is currently 14.4%; up 130bp year-over-year. It is also approximately 550bps above the RPL sector average. Despite the significantly higher than average DQs, DQs for this pool have remained very much stable over the past several years. 90+ DQ% is currently 5.5% and has increased by 30bps since November 2022. Realized losses have also been limited with cumulative losses at $5.1 million or 1.1% of the original collateral balance. The unrated B-6 tranche is the first loss-piece and has been written down by $893,858. MCMLT 2021-NMR1: Current 30+ DQ% of the pool is currently 16.5%; up 30bp year-over-year. It is also approximately 760bps above the RPL sector average. Despite the significantly higher than average DQs, DQ for this pool has remained very much stable over the past several years. 90+ DQ% is currently 6.2% and has decreased by 24bps since November 2022. Realized losses have also been limited with cumulative losses at $911,113 or 0.29% of the original collateral balance. No bonds have taken any writedowns. No Advancing and Sequential-Pay Structure (Positive): Both of these transactions are structured to a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Other classes in both of these deals have experienced upgrade pressure since issuance including in their last review (September 2024) which has reflected strong performance. MCMLT 2018-3: Current deal factor is 48% at a deal age of 74 months. The B3 class currently has 11.3% worth of credit enhancement, which is up 5.3% since issuance. The hard dollar subordination is approximately $24.8 million, which is down approximately $760,000 from issuance after $893,858 in writedowns to the B6 class and $165,326 worth of overcollateralization. Relative credit enhancement has increased as a percentage of the total collateral balance as a result of paydowns and deleveraging. The B3 class has yet to begin amortizing principal. MCMLT 2021-NMR1: Current deal factor is 57% at a deal age of 45 months. The B3 and B4 classes currently have credit enhancements of 21.7% and 12.4% which are the results of increases of 8.3% and 5.0% respectively. The hard dollar subordination for the B4 class is approximately $24.7 million which has remained unchanged since issuance. Relative credit enhancement has increased as a percentage of the total collateral balance as a result of paydowns and deleveraging. Like MCMLT 2018-3, neither these classes, nor their respective A/B notes have begun to amortize principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected declines. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. At the 'BBB+sf' rating, a 10% MVD could result in a downgrade to 'BBsf', while a 20% or 30% MVD could result in a downgrade to a 'Bsf' or distressed rating. At the 'BB+sf' rating, it could result in a downgrade to 'Bsf' while a 20% MVD could result in a downgrade to a distressed rating. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. The analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices could result in an upgrade from 'BBB+sf' to 'A-sf' and an upgrade from 'BB+sf' to 'BBB-sf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Mill City Mortgage Loan Trust 2018-3 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEUBERGER BERMAN 30: S&P Assigns Prelim 'BB-' Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-L and B-L loans and class A1-R2, A-LR2, A2-R2, B-R2, B-LR2, C-R2, D1-R2, D2-R2, and E-R2 replacement debt from Neuberger Berman Loan Advisers CLO 30 Ltd./Neuberger Berman Loan Advisers CLO 30 LLC, a CLO originally issued in Jan. 22, 2019, that is managed by Neuberger Berman Loan Advisers LLC. The preliminary ratings are based on information as of Jan. 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 9, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P Said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Jan. 20, 2027. -- The reinvestment period will be extended to Jan. 20, 2030. -- The stated maturity will be extended to Jan. 20, 2039; however, the stated maturity date for the class A and B debt will be Jan. 20, 2037, until the controlling class condition is satisfied. -- The weighted average life test will be extended to nine years from the refinancing date. -- Minimal additional assets will be purchased on and after the Jan. 9, 2025 refinancing date, and the target initial par amount will be $450.00 million. If required, there will be an additional effective date and/or ramp-up period, and the first payment date following the refinancing is April 20, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- The subordinated notes will be increased by $9.35 million. In addition, the stated maturity date of the subordinated notes will be updated to match that of the secured debt. -- The transaction has made updates to conform to current rating agency methodology. Replacement And Original Debt Issuances Replacement debt -- Class A1-R2, $71.00 million: Three-month CME term SOFR + 1.24% -- Class A-L loans(i), $217.00 million: Three-month CME term SOFR + 1.24% -- Class A-LR2, $0.00 million(ii): Three-month CME term SOFR + 1.24% -- Class A2-R2, $9.00 million: Three-month CME term SOFR + 1.50% -- Class B-R2, $10.00 million: Three-month CME term SOFR + 1.60% -- Class B-L loans(i), $35.00 million: Three-month CME term SOFR + 1.60% -- Class B-LR2, $0.00 million(ii): Three-month CME term SOFR + 1.60% -- Class C-R2 (deferrable), $27.00 million: Three-month CME term SOFR + 1.75% -- Class D1-R2 (deferrable), $27.00 million: Three-month CME term SOFR + 2.80% -- Class D2-R2 (deferrable), $4.50 million: 7.74% -- Class E-R2 (deferrable), $ 13.50 million: Three-month CME term SOFR + 5.15% Subordinated notes, $54.48 million: Not applicable (i)The class A-L and B-L replacement loans will retain the same legal class names as the current existing class A-L and class B-L loans, respectively, following the Jan. 9, 2025, refinancing date. In addition, on the Jan. 9, 2025 refinancing date, the class A-L and B-L lenders may elect a cashless settlement and enter into amendments on the terms of their existing commitments of class A-L and B-L loans. (ii)The class A-LR2 and B-LR2 debt will be issued with a zero balance on the second refinancing date; however, they may be increased upon a class A-L and B-L loan conversion to the class A-LR2 and B-LR2 notes, respectively. Existing debt -- Class A-R, $51.379457 million: Three-month CME term SOFR + 1.01% + CSA(i) -- Class A-L loans, $217.157471 million: Three-month CME term SOFR + 1.01%+ CSA(i) -- Class A-L, $0.00 million: Three-month CME term SOFR + 1.01%+ CSA(i) -- Class B-R, $35.85 million: Three-month CME term SOFR + 1.40% + CSA(i) -- Class B-L loans, $35.00 million: Three-month CME term SOFR + 1.40% + CSA(i) -- Class B-L, $0.00 million: Three-month CME term SOFR + 1.40% + CSA(i) -- Class C-R (deferrable), $32.50 million: Three-month CME term SOFR + 1.75% + CSA(i) -- Class D-R (deferrable), $27.50 million: Three-month CME term SOFR + 2.85% + CSA(i) -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 6.20% + CSA(i) -- Subordinated notes, $45.13 million: Not applicable (i)The CSA is equal to 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Neuberger Berman Loan Advisers CLO 30 Ltd./ Neuberger Berman Loan Advisers CLO 30 LLC Class A1-R2, $71.00 million: AAA (sf) Class A-L Loans, $217.00 million: AAA (sf) Class A-LR2, $0.00 million: AAA (sf) Class A2-R2, $9.00 million: AAA (sf) Class B-R2, $10.00 million: AA (sf) Class B-L Loans, $35.00 million: AA (sf) Class B-LR2, $0.00 million: AA (sf) Class C-R2 (deferrable), $27.00 million: A (sf) Class D1-R2 (deferrable), $27.00 million: BBB- (sf) Class D2-R2 (deferrable), $4.50 million: BBB- (sf) Class E-R2 (deferrable), $ 13.50 million: BB- (sf) Subordinated notes, $54.48 million: Not rated NYT 2019-NYT: DBRS Confirms BB Rating on Class F Certs ------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-NYT issued by NYT 2019-NYT Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-EXT at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are stable. The credit rating confirmations and Stable trends reflect the long-term strength of the credit profile of the transaction. The transaction is secured by the borrower's leasehold interest on a portion of the New York Times Building, a Class A office building in midtown Manhattan. Collateral for the loan includes office space on floors 28 through 50, representing approximately 715,000 square feet (sf), and 23,000 sf of ground floor retail space. Floors 2 through 27, which are occupied by the New York Times, are not a part of the collateral. The collateral office property benefits from its desirable location in Midtown Manhattan, a factor that has contributed to historically high occupancy rates. Performance remains consistent with the analysis considered at Morningstar DBRS' previous credit rating action in April 2024, when the Morningstar DBRS capitalization (cap) rate and the qualitative adjustments derived at issuance were reassessed considering the shift in demand and use for office property types in the last several years. The resulting analysis contributed to credit rating downgrades for the four most junior bonds in the capital stack as part of that credit rating action in April 2024. The $635.0 million floating rate, interest-only whole loan has a current maturity date in December 2024. The loan was structured with a two-year initial term and five one-year extension options; As of the December 2024 reporting, the servicer's commentary indicated that the borrower had exercised the fifth and final extension option. The whole loan includes $515.0 million of senior debt and $120.0 million of un-securitized subordinate debt. Additionally, there is $115 million of unsecured mezzanine debt that is held outside of the transaction. The loan is sponsored by Forest City Enterprises L.P., and is owned by Brookfield Property Partners L.P., which contributed $279.6 million of sponsor equity at loan closing to acquire the property. According to the trailing six months ended June 30, 2024, financials, the collateral generated an annualized net cash flow (NCF) of $34.5 million (reflecting a debt service coverage ratio (DSCR) of 0.88 times (x)), a significant decline from the YE2023 NCF figure of $43.3 million (a DSCR of 1.21x) and the Morningstar DBRS NCF of $43.5 million. The decline is attributed to two separate 11-month rent abatements for the largest tenant at the property, Datadog Inc. (Datadog) (30.9% of net rentable area (NRA)). The abatements total $12.4 million, and the tenant began receiving the abatements in September 2022 and June 2023. In addition, according to recent servicer commentary, the tenant will receive approximately $15.2 million in additional abatements between December 2024 to March 2026, tied in part to additional space the tenant will lease from vacating tenant, Cam North America, LLC (Cam North America), as discussed below. According to the June 2024 rent roll, the property was 98.4% occupied, unchanged from YE2023. Recent servicer commentary confirmed that Cam North America (13.2% of NRA) will be vacating its space at lease expiration in December 2024; however, Datadog will backfill all three floors previously occupied by the tenant and will receive rent abatements through March 2026. In addition, the servicer confirmed that the second-largest tenant, Covington and Burling LLP (26.2% of NRA, lease expiring September 2027), will be moving a few blocks south, to 30 Hudson Yards, as part of an expansion of its space. The tenant is expected to vacate mid-2025 but, as there are no termination or contraction options available, will remain on the hook for its $17.5 million annual rent obligation until lease expiration in 2027. Although the pending departure of the second-largest tenant is a noteworthy development, Morningstar DBRS notes that the sponsor will have several years of lead time to pursue a replacement tenant and given the subject's location and demand within the submarket, it seems likely there will be prospects for the space. According to Reis, the submarket vacancy rate at Q3 2024 was 12.9%, with Reis forecasting vacancy rates to move to 13.7% by 2027 when the tenant's lease expires. The property's average rental rates as of the June 2024 rent roll were $95.20 per square foot (psf) compared with the Midtown West submarket figures of $69.50 psf. In the analysis for this review, Morningstar DBRS maintained the 7.00% cap rate applied at the previous credit rating action in April 2024, resulting in a Morningstar DBRS value of $622.0 million, a variance of -35.7% from the issuance appraised value of $967.8 million. The Morningstar DBRS value implies a loan-to-value (LTV) ratio of 82.8%, compared with the LTV of 50.9.2% on the issuance appraised value and the Morningstar DBRS LTV of 76.9% at issuance. As part of this analysis, Morningstar DBRS maintained positive qualitative adjustments totaling 5.25% in the LTV sizing benchmark to reflect the low historical vacancy, low cash flow volatility, and desirable property quality. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. OHA CREDIT 2: S&P Assigns Preliminary BB-(sf) Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class X-R2, A-R2, A-L, B-1-R2, B-L, B-2-R2, C-R2, D-1-R2, D-2-R2, and E-R2 notes and A-L and B-L loans from OHA Credit Funding 2 Ltd./OHA Credit Funding 2 LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in July 2019 and underwent a first refinancing in April 2021. The preliminary ratings are based on information as of Jan. 6, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 9, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the April 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the April 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the April 2021 debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R2, A-L, B-1-R2, B-L, C-R2, and E-R2 notes and A-L and B-L loans are expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- Class B-2-R2 fixed-rate notes will be issued in connection with this refinancing. -- The class D-R debt is being replaced with sequential class D-1-R2 and D-2-R2 debt, which is expected to be floating rate. -- The stated maturity will be extended to Jan. 21, 2038. -- The reinvestment period will be extended to Jan. 21, 2030, and the non-call period will be extended to Jan. 9, 2027. -- Class X-R2 notes will be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during the first eight payment dates beginning with the payment date in April 2025. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 2 Ltd./OHA Credit Funding 2 LLC Class X-R2, $1.2 million: AAA (sf) Class A-R2, $204.0 million: AAA (sf) Class A-L, $0.0 million: AAA (sf) Class A-L loans, $168.0 million: AAA (sf) Class B-1-R2, $27.0 million: AA (sf) Class B-L, $0.0 million: AA (sf) Class B-L loans, $42.0 million: AA (sf) Class B-2-R2, $15.0 million: AA (sf) Class C-R2 (deferrable), $36.0 million: A (sf) Class D-1-R2 (deferrable), $36.0 million: BBB- (sf) Class D-2-R2 (deferrable), $6.0 million: BBB- (sf) Class E-R2 (deferrable), $18.0 million: BB- (sf) Other Debt OHA Credit Funding 2 Ltd./OHA Credit Funding 2 LLC Subordinated notes, $50.9 million: Not rated OHA CREDIT 8: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-1-R, A-2-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt replacement debt from OHA Credit Funding 8 Ltd./OHA Credit Funding 8 LLC, a CLO managed by Oak Hill Advisors L.P. that was originally issued in March 2021. The preliminary ratings are based on information as of Jan. 3, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 9, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the March 2021 debt. S&P said, "At that time, we expect to withdraw our ratings on the March 2021 debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the March 2021 debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, B-1-R, C-R, D-1-R, and E-R notes are expected to be issued at a lower spread over three-month term SOFR than the original notes. -- The stated maturity will be extended to Jan. 20, 2038. -- The original class A debt is being replaced by two new classes: A-1-R and A-2-R. -- The original class D debt is being replaced by two new classes: D-1-R and D-2-R. -- The reinvestment period will be extended to Jan. 9, 2030, and the non-call period will be extended to Jan. 9, 2027. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 8 Ltd./OHA Credit Funding 8 LLC Class X-R, $1.40 million: AAA (sf) Class A-1-R, $369.00 million: AAA (sf) Class A-2-R, $39.00 million: Not rated Class B-1-R, $30.00 million: AA (sf) Class B-2-R, $18.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-1-R (deferrable), $36.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Other Debt OHA Credit Funding 8 Ltd./OHA Credit Funding 8 LLC Subordinated notes, $50.00 million: Not rated ORL 2024-GLKS: DBRS Finalizes B(high) Rating on Class HRR Certs --------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-GLKS (the Certificates) issued by ORL 2024-GLKS Mortgage Trust: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. The transaction is secured by the fee-simple interest in the Grande Lakes Resort, a 1,592-key, full-service hotel that includes both a 582-key Ritz Carlton and 1,010-key JW Marriott. The 409-acre resort is located within 30 minutes of Orlando's biggest attractions such as Universal Studios and Walt Disney World and is less than 15 minutes from Orlando International Airport. The differentiated hotel brands present different experiences that attract a more diverse guest base across leisure, corporate, and group demand. Morningstar DBRS has a positive view of the collateral considering the significant capital investment made into the property and post-COVID recovery. The resort offers a strong amenity package with 14 food and beverage (F&B) outlets, three pools, a waterpark and lazy river, a 40,000-square foot (sf) spa and fitness center, an 18-hole golf course, tennis courts, a kids club, and nearly 278,000 sf of meeting and event space. Most of the square footage for the meeting and event space is indoors with a variety of large ballroom offerings, which can be configured based on group needs, and smaller breakout rooms, but there are also outdoor terraces and venues for open-air events. The property's robust amenities appeal to leisure, corporate, and group demand, and allow the property to easily shift segmentation. Both hotels at Grande Lakes Resort have been recognized as Top 5 Hotels in Orlando by US News in 2024, with the Ritz Carlton as number one. Additionally, the Ritz Carlton is a AAA Five-Diamond rated hotel and the JW Marriott is a AAA Four-Diamond rated hotel. The sponsor acquired the collateral in 2018 for $870.0 million and subsequently invested $139.6 million across the resort. All 1,592 keys have been renovated with a full replacement of hard and soft goods. The Ritz Carlton has received $46.3 million ($79,500 per key) in renovations since 2019 and has an additional $6.1 million planned in 2025. In addition to the comprehensive renovations to the guest rooms, the Ritz has added a 14th-floor lounge known as the Ritz Club, refreshed various F&B outlets, and upgraded the pool areas. The 2025 capital improvements will be targeted toward the meeting rooms. The JW Marriott has seen $91.8 million ($90,900 per key) in renovations since 2019, which included a redesigned lobby, updates to the pool area, including the addition of three waterslides, several reimagined F&B outlets, and a full renovation of the meeting space. The total loan amount of $800.0 million will be used to refinance $750.0 million in existing CMBS debt (ORL 2023-GLKS), return $34.0 million to the sponsor, and cover closing costs. The two-year floating-rate loan is interest only and has three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus 2.65%. The borrower has entered into an interest rate cap agreement with an assumed SOFR cap of 5.50%. The borrower sponsor for this transaction will be a joint venture between Trinity Real Estate Investments LLC (Trinity) and Elliott Management Corporation (Elliott). While the subject is their first venture together, Trinity and Elliott have gone on to make several other hospitality-centered investments together. Trinity is a private real estate investment firm that specializes in value-add opportunities. The firm has made over $9.8 billion of investments throughout the U.S., Mexico, Europe, and Japan, and its portfolio comprises more than 7,800 hotel rooms. Elliott has a domestic and international strategy fund with a combined $70 billion under management since July 2024. Since 2009, Elliott has invested more than $13.0 billion in commercial real estate in the U.S., Europe, and Asia. Additionally, Elliott is headquartered in Florida. Following the recent renovations at the property, the collateral has seen positive momentum in average daily rate (ADR) and revenue per available room (RevPAR) with rates of $361.77 and $240.14, respectively, as of the trailing 12-month period ended September 2024. While ADR and RevPAR are stronger in 2024 than they were in 2023, when they were $345.76 and $236.85, respectively, occupancy continues to lag pre-pandemic levels and has even fallen slightly below 2023 performance at 66.4% compared with 68.5%. This is a somewhat common trend in the hospitality industry as hotels benefitted from pent-up demand following the pandemic, which has since slowed down in 2024. However, because of the timing of the renovations, it is possible that the resort has not fully realized the upside in performance on a go-forward basis. Notes: All figures are in U.S. dollars unless otherwise noted. OZLM XIV: S&P Assigns Prelim BB- (sf) Rating on Class D-R3 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-2R3, B-1R3, B-2R3, C-1R3, C-2R3, and D-R3 replacement debt from OZLM XIV Ltd./OZLM XIV LLC, a CLO originally issued in December 2015 that is managed by Sculptor Loan Management L.P. and was not rated by S&P Global Ratings. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sculptor Loan Management L.P. The preliminary ratings are based on information as of Jan. 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Jan. 10, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may withdraw our preliminary ratings on the replacement debt." The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OZLM XIV Ltd./OZLM XIV LLC Class X-R, $3.250 million: NR Class A-1R3, $201.500 million: NR Class A-2R3, $45.50 million: AA (sf) Class B-1R3 (deferrable), $19.500 million: A (sf) Class B-2R3 (deferrable), $7.450 million: A- (sf) Class C-1R3 (deferrable), $8.800 million: BBB (sf) Class C-2R3 (deferrable), $5.687 million: BBB- (sf) Class D-R3 (deferrable), $10.563 million: BB- (sf) Subordinated notes, $52.438 million: Not rated NR--Not rated. PRPM 2024-NQM4: DBRS Finalizes BB(low) Rating on Class B-1 Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Pass-Through Certificates, Series 2024-NQM4 (the Certificates) issued by PRPM 2024-NQM4 Trust (the Issuer) as follows: -- $276.9 million Class A-1 at AAA (sf) -- $9.5 million Class A-2 at AA (high) (sf) -- $29.3 million Class A-3 at A (high) (sf) -- $17.4 million Class M-1A at BBB (high) (sf) -- $14.9 million Class M-1B at BBB (low) (sf) -- $6.7 million Class B-1 at BB (low) (sf) The AAA (sf) credit rating on the Class A-1 Certificates reflects 25.85% of credit enhancement provided by the subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BBB (low) (sf), and 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. RAD CLO 9: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 9, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 9, Ltd. (f/k/a Kayne CLO 9, Ltd.) A-1 48661QAA9 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating Transaction Summary RAD CLO 9, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners, LP. On Jan. 7, 2025 the secured notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.31 versus a maximum covenant, in accordance with the initial 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 97.64% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.77% versus a minimum covenant, in accordance with the initial matrix point of 70.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RAD CLO 9, 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. READY CAPITAL 2019-6: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates issued by Ready Capital Mortgage Trust 2019-6: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class IO-A at AAA (sf) -- Class IO-B/C at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class F at BB (sf) -- Class G at B (high) (sf) The trends on Classes C, D, and IO-B/C are Positive. The trends on all remaining classes are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since the previous Morningstar DBRS credit rating action in February 2024. Two loans remain in special servicing, representing 8.8% of the current pool balance, and there are 18 loans on the servicer's watchlist, representing 48.0% of the current pool balance. Morningstar DBRS' analysis includes conservative adjustments made, where appropriate, to reflect increased credit risk, and its projections for these loans remains largely unchanged since the last credit rating action. Offsetting this concentration is the significant increase in credit support as a result of continued amortization and loan repayments. Since the previous credit rating action, two loans have been repaid. As of the November 2024 remittance, 50 of the original 89 loans remain in the pool with a current trust balance of $218.8 million, reflecting a collateral reduction of 49.2% since issuance. This forms the basis of the Positive trends placed on Classes C, D, and the interest-only Class IOBC. Credit support to Classes C and D has nearly doubled since issuance, indicating positive pressure in the middle of the capital stack. There are a number of loans scheduled to mature over the next 12 to 24 months. As the pool continues to deleverage and granted performance remains stable, these classes may be subject to future upgrades to reflect the improved credit enhancement. Upward ratings movement may be constrained by adverse selection and lack of resolution for underperforming loans. The largest loan in special servicing, 777 E 12th St (Prospectus ID#5; 8.4% of the pool balance), is secured by a mixed-use property in the Fashion District of downtown Los Angeles. The loan transferred to special servicing in October 2023 due to imminent monetary default, and the special servicer is pursuing foreclosure. Occupancy has declined in recent years, most recently reported at 80.1% as of the September 2024 rent roll, down from 91.6% as of September 2023. As of the Q3 2023 annualized net cash flow (NCF) provided by the servicer, the property generated a NCF of $1.1 million, equating to a debt service coverage ratio (DSCR) of 0.84 times (x). Morningstar DBRS has yet to receive an updated appraised value from the servicer; however, at issuance, the property's value was $31.6 million. Given the prolonged decline in operating cash flow, Morningstar DBRS believes the property's current market value has significantly declined. In its analysis, Morningstar DBRS considered a stressed value in its liquidation scenario resulting in a loss severity in excess of 50%. The other loan in special servicing, Lakeland Medical Office Building (Prospectus ID#81; 0.5% of the pool balance), is secured by an office property in Niles, Michigan. The loan has been in special servicing since September 2020 and became real estate owned in July 2022. While the servicer has not provided updated financials, the property was appraised for $1.5 million as of August 2023. Morningstar DBRS also assumed a liquidation scenario in its analysis of this loan, resulting in a loss severity above 60.0%. The cumulative projected losses from both specially serviced loans are projected to be contained to the unrated bond, Class H. The largest loan on the servicer's watchlist, 1001 Ross (Prospectus ID#2; 11.0% of the pool), is secured by a 204-unit multifamily property with a 30,164-square-foot retail component in downtown Dallas. Despite historically stable occupancy, the loan continues to be monitored for low DSCR, which was reported at 0.68x for the trailing 12 months (T-12) ended September 30, 2024. In September 2024, the loan was modified extending loan maturity to September 2025, inclusive of a 12-month extension subject to certain performance thresholds. As part of the modification the borrower paid down the loan by $2.5 million and purchased a new rate cap agreement with a 3.25% strike rate. In its current analysis, Morningstar DBRS applied increased loan-to-value ratio and probability of default adjustments to reflect the current credit risk of the loan. The adjustments resulted in a loan expected loss approximately 2x greater than the expected loss for the pool. Notes: All figures are in U.S. dollars unless otherwise noted. RESERVOIR FINANCIAL: DBRS Gives Prov. BB Rating on Class D Loan --------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Class A Loan, the Class B Loan, the Class C Loan, and the Class D Loan, and the Class E Loan (together, the Loans) issued by Reservoir Financial, LLC, pursuant to the terms of the Fourth Amended and Restated Loan Agreement (the Loan Agreement) dated December 20, 2024, among Reservoir Financial, LLC, as the Borrower; Delaware Life Insurance Company, as a Lender and the Managing Lender; Clear Spring Life and Annuity Company, as a Lender; and Cortland Capital Market Services LLC, as the Paying Agent and Calculation Agent: -- Class A Loan at (P) AA (low) (sf) -- Class B Loan at (P) A (low) (sf) -- Class C Loan at (P) BBB (sf) -- Class D Loan at (P) BB (sf) -- Class E Loan at (P) B (low) (sf) The provisional credit rating on the Class A Loan addresses the timely payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date. The provisional credit ratings on the Class B Loan, the Class C Loan, and the Class D Loan, and the Class E Loan address the ultimate payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date. The Loans could have an earlier Maturity Date (as defined in the Loan Agreement) if the proceeds from the liquidation of the assets of the Borrower, distributed pursuant to Section 1.4 of the Loan Agreement, would be sufficient so that after such distribution all interest and Deferred Interest (if any) due and payable and the outstanding principal amount of the Loans would be paid in full and the Aggregate Loan Balance reduced to zero. Should a Distribution Event (as defined in the Loan Agreement) occur, the Designated Lender (as defined in the Loan Agreement) shall have the right at any time, upon written notice to the Borrower, the Paying Agent, and the Rating Agency, to instruct the Paying Agent to distribute the Borrower's assets to the Designated Lenders. In consideration thereof, the Aggregate Loan Balance of the Loans will be reduced to zero and all obligations of the Borrower (except those which expressly survive the termination of the Loan Agreement) shall be deemed satisfied. CREDIT RATING RATIONALE/DESCRIPTION Reservoir Financial, LLC is a cash flow collateralized loan obligation (CLO) that will be collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans and managed by Delaware Life Insurance Company as the Servicer. Morningstar DBRS considers Delaware Life Insurance Company to be an acceptable CLO manager. At the time of assigning the provisional credit ratings on the Loans, Morningstar DBRS understood that the Lenders and the Servicer are affiliated entities (though the Lenders may sell or assign the Loans following the closing). As such, as of this date, certain key parties to this transaction are related parties. In addition, Delaware Life Insurance Company engaged Morningstar DBRS for the determination of the credit ratings on the Loans. The Scheduled Reinvestment Period Termination Date is the Payment Date immediately succeeding the date that is three years following the DBRS Final Ratings Effective Date, as defined in the Loan Agreement. The Legal Final Maturity Date is December 18, 2034. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Loans to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations. (5) Assessment of the CLO management capabilities of Delaware Life Insurance Company as the Servicer. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Applicable Row Level, selected by the Servicer, the following metrics are determined by the applicable row of the CQM: Maximum Weighted Average Life, Minimum Weighted Average Spread, and Maximum Risk Score. Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Overcollateralization Tests and the Collateral Quality Tests that Morningstar DBRS modelled during its analysis are presented below: Coverage Tests Class A Overcollateralization Test: 137.06% Class B Overcollateralization Test: 125.33% Class C Overcollateralization Test: 119.00% Class D Overcollateralization Test: 110.28% Class E Overcollateralization Test: 106.73% Collateral Quality Tests Minimum Weighted-Average Spread: Subject to Collateral Quality Matrix; 5.25% - 6.25% Minimum Weighted-Average Coupon: 5.50% Minimum Weighted-Average Recovery Rate: 52.5% Maximum Weighted-Average Risk Score: Subject to Collateral Quality Matrix; 30.0% - 35.0% Maximum Weighted-Average: Subject to Collateral Quality Matrix: 3.00 - 5.50 years Some particular strengths of the transaction are (1) collateral that consists of primarily U.S. senior-secured MM corporate loans, and (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, CQM-driven). Some challenges were identified: (1) the collateral will be revolving during the Reinvestment Period and will continue to ramp up after the Closing Date, and (2) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM) and the majority of the underlying loans are not expected to have public ratings. Morningstar DBRS modeled the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in the Morningstar DBRS "Global Methodology for Rating CLOs and Corporate CDOs." Morningstar DBRS' analysis produced satisfactory results, which supported the provisional credit ratings on the Loans. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Loans. Notes: All figures are in U.S. dollars unless otherwise noted. RIPPLE NOTES: DBRS Finalizes B(high) Rating on Class D Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by Ripple Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024 and the Second Supplemental Indenture dated as of December 20, 2024, entered into between Ripple Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes at A (high) (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) -- Class D Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Second Supplemental Indenture, dated December 20, 2024, which amended the definition of PIKable Loan, as well as the satisfaction of certain conditions to finalize the credit ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Ripple Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 149.00%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 136.96%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 123.65%; Threshold 113.00% Class D Overcollateralization Ratio Test: Actual 120.71%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 227.46%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 194.83%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 155.97%; Threshold 120.00% Class D Interest Coverage Ratio Test: Actual 147.16%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 47.18%; Threshold 60.00% Class B Advance Rate: Actual 53.08%; Threshold 67.50% Class C Advance Rate: Actual 60.94%; Threshold 77.50% Class D Advance Rate: Actual 62.90%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 12.70; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 33.06%; Threshold 40.00% Minimum WA Spread: Actual 5.25%; Threshold 5.00% Minimum Average Recovery Rate Test: Actual 60.50%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207) and CLO Insight Model v. 1.0.1.4. Model-based analysis, which incorporated the above-mentioned Second Supplemental Indenture, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS finalized the credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. Dollars unless otherwise noted. SDART 2025-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings expects to rate and assign Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2025-1. Entity/Debt Rating ----------- ------ Santander Drive Auto Receivables Trust 2025-1 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance — Stable Credit Quality: SDART 2025-1 is backed by collateral that is consistent with that of prior SDART series, with a weighted average (WA) FICO score of 605 and an internal WA loan funded score (LFS) of 535, both the same as in 2024-5. WA seasoning is 6.8 months, below the recent high for the platform of 10.6 months in 2024-5. New vehicles total 32.4% of the pool, up slightly from 30.7% in 2024-5. In addition, the pool is diverse in terms of vehicle models and geographic concentrations. The transaction's percentage of extended-term loans (61+ months) remains elevated at 93.1%, and greater-than-72-month term loans total 20.3%, up from 18.8% in 2024-5. Forward-Looking Approach to Derive Rating Case Proxy — Delinquencies Up, Losses Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series rating case loss proxy. Fitch used the 2007-2009 and 2015-2018 vintage ranges to derive the loss proxy for 2025-1, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. Fitch's rating case cumulative net loss (CNL) proxy for 2025-1 is 15.00%. Payment Structure — Adequate Credit Enhancement: Initial hard credit enhancement (CE) totals 42.60%, 31.30%, 21.80%, 10.75%, and 6.15% for classes A, B, C, D, and E, respectively. After a trend in declining CE over the past several transactions, initial hard CE increased in 2024-5. However, 2025-1 hard CE is 0.40%, 0.70%, and 0.20% lower for classes A through C, but 0.25% higher for class D, compared with 2024-5. The 2025-1 structure differs in that it is the first SDART transaction since 2021 to include class E. Excess spread is expected to be 9.33% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 15.00%. Operational and Servicing Risks — Consistent Origination/Underwriting/Servicing: Santander Consumer USA Inc. (SC) has adequate abilities as the originator, underwriter and servicer, as evident from historical portfolio and securitization performance. Fitch rates SC's ultimate parent, Banco Santander, S.A., 'A-'/Stable/'F2'. Fitch deems SC as capable of servicing this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 13.00%, based on Fitch's "Global Economic Outlook — December 2024" report and transaction-based forecast projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the rating case CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 loans from the statistical data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of hybrid and electric vehicles of approximately 5.9% did not have an impact on Fitch's ratings analysis or conclusion on this transaction and has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2025-1: Fitch Assigns B+(EXP) Rating on B5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2025-1 (SEMT 2025-1). Entity/Debt Rating ----------- ------ SEMT 2025-1 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B+(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 477 loans with a total balance of approximately $562.8 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 477 loans totaling approximately $562.8 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted average (WA) Fitch model FICO score of 778 and a 35.8% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with an 81.0% sustainable loan-to-value (sLTV) ratio and a 71.7% mark-to-market combined loan-to-value (cLTV) ratio. Overall, 93.2% of the pool loans are for a primary residence, while 6.8% are loans for second homes; 71.5% of the loans were originated through a retail channel. Additionally, 99.6% of the loans are designated as safe harbor qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices (SHPs), it views the home price values of this pool as 11.0% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% since the prior quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.9% yoy nationally as of September 2024, despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. After the credit support depletion date, principal will be distributed sequentially to the senior classes, which is more beneficial for the super-senior classes (A-9, A-12 and A-18). SEMT 2025-1 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance. CE Floor (Positive): A CE or senior subordination floor of 1.25% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 42.1% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Clayton, SitusAMC, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 24bp reduction to the 'AAAsf' expected loss. ESG Considerations SEMT 2025-1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2025-1 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SILVER POINT 7: Fitch Assigns 'BBsf' Final Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Silver Point CLO 7, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Silver Point CLO 7, 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 BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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 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. SILVER POINT 7: Moody's Assigns 'B3' Rating to $250,000 Cl. F Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Silver Point CLO 7, Ltd.: US$320,000,000 Class A-1 Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Silver Point 7 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 80% ramped as of the closing date. Silver Point CLO Management, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2947 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. SUNNOVA AURORA I: DBRS Finalizes BB Rating on Class C Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by Sunnova Aurora I Issuer, LLC, Series 2024-PR1 (Sunnova 2024-PR1 or the Issuer): -- $197,600,000 Series 2024-PR1 Class A Notes at AA (low) (sf) -- $17,900,000 Series 2024-PR1 Class B Notes at A (sf) -- $12,700,000 Series 2024-PR1 Class C Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The Morningstar DBRS credit ratings on the Notes are based upon a review by Morningstar DBRS of the following considerations: -- The transaction's capital structure and the form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, reserve account amounts, and excess spread create credit enhancement levels that are commensurate with the ratings. -- Transaction cash flows are sufficient to repay investors under all rating stress scenarios in accordance with the terms of the Sunnova 2024-PR1 transaction documents. -- The quality and credit characteristics of the solar lease customers. -- Structural features of the transaction that require the Notes to enter into full turbo principal amortization if performance deteriorates or if the Notes remain outstanding post-ARD. -- The experience, origination, and underwriting capabilities of Sunnova. -- Morningstar DBRS has performed an operational assessment of Sunnova and considers the entity to be an acceptable originator. -- The ability of the Servicer to perform collections on the collateral pool and other required activities. -- Morningstar DBRS has performed an operational assessment of Sunnova and considers the entity to be an acceptable servicer. -- The legal structure and legal opinions that address true sale, nonconsolidation, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2024 Update, published on December 19, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on the Class A Notes, Class B Notes, and Class C Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Note Interest and the Outstanding Note Balance on the Class A Notes, Note Interest, Interest on unpaid Note Interest, Class B Deferred Interest, interest on unpaid Class B Deferred Interest, and the Outstanding Note Balance on the Class B Notes, and Note Interest, Interest on unpaid Note Interest, Class C Deferred Interest, interest on unpaid Class C Deferred Interest, and the Outstanding Note Balance on the Class C Notes. Notes: All figures are in U.S. dollars unless otherwise noted. TCW CLO 2020-1: S&P Assigns BB- (sf) Rating on Class ERR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A1-R3, A2-R3, B-R3, C-R3, and D-R3 replacement debt from TCW CLO 2020-1 Ltd./TCW CLO 2020-1 LLC, a CLO managed by TCW Group Inc. that was originally issued in April 2020 and underwent a refinancing in May 2021. At the same time, S&P withdrew its ratings on the class A1RR, A2RR, BRR, CRR, and DRR debt following payment in full on the Jan. 3, 2025, refinancing date. S&P also affirmed its ratings on the class ERR and XRR debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 20, 2026. -- 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 ERR debt (which was not refinanced) than today's rating action reflects. However, we affirmed our 'BB- (sf)' rating on the class ERR debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down. In addition, we believe the payment of principal or interest on the class ERR 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 A1-R3, $300.0 million: Three-month CME term SOFR + 1.05% -- Class A2-R3, $25.0 million: Three-month CME term SOFR + 1.45% -- Class B-R3, $55.0 million: Three-month CME term SOFR + 1.60%(i) -- Class C-R3, $30.0 million: Three-month CME term SOFR + 2.00%(i) -- Class D-R3, $30.0 million: Three-month CME term SOFR + 3.40%(i) May 2021 debt -- Class XRR, $4.0 million: Three-month CME term SOFR + 1.11%(i) -- Class A1RR, $300.0 million: Three-month CME term SOFR + 1.42%(i) -- Class A2RR, $25.0 million: Three-month CME term SOFR + 1.71%(i) -- Class BRR, $55.0 million: Three-month CME term SOFR + 2.01%(i) -- Class CRR, $30.0 million: Three-month CME term SOFR + 2.31%(i) -- Class DRR, $30.0 million: Three-month CME term SOFR + 3.66%(i) -- Class ERR, $20.0 million: Three-month CME term SOFR + 7.01%(i) -- Subordinated notes, $55.5 million: Not applicable (i)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. "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 TCW CLO 2020-1 Ltd./TCW CLO 2020-1 LLC Class A1-R3, $300.0 million: AAA (sf) Class A2-R3, $25.0 million: AAA (sf) Class B-R3, $55.0 million: AA (sf) Class C-R3, $30.0 million: A (sf) Class D-R3, $30.0 million: BBB- (sf) Ratings Withdrawn TCW CLO 2020-1 Ltd./TCW CLO 2020-1 LLC Class A1RR to not rated from 'AAA (sf)' Class A2RR to not rated from 'AAA (sf)' Class BRR to not rated from 'AA (sf)' Class CRR to not rated from 'A (sf)' Class DRR to not rated from 'BBB- (sf)' Ratings Affirmed TCW CLO 2020-1 Ltd./TCW CLO 2020-1 LLC Class XRR: AAA (sf) Class ERR: BB- (sf) Other Debt TCW CLO 2020-1 Ltd./TCW CLO 2020-1 LLC Subordinated notes, $55.5 million: Not rated TIDAL NOTES: DBRS Finalizes B(high) Rating on Class D Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Class A Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by Tidal Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024 and the Second Supplemental Indenture dated as of December 20, 2024, entered into between Tidal Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes at A (high) (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) -- Class D Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, the Class C Notes, and the Class D Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the Second Supplemental Indenture, dated December 20, 2024, which amended the definition of PIKable Loan, as well as the satisfaction of certain conditions to finalize the credit ratings. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Tidal Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The integrity of the transaction structure. (2) Morningstar DBRS' assessment of the portfolio quality. (3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (4) Morningstar DBRS' assessment of the origination, servicing, and middle-market corporate loan management capabilities of 26North Direct Lending II LP. The transaction has a dynamic structural configuration that permits variations of certain asset metrics via the selection of an applicable row from a collateral quality matrix (the CQM). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, WAS Test, and Weighted-Average Recovery Rate (WARR). Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS reviewed in its analysis are presented below. Coverage Tests: Class A Overcollateralization Ratio Test: Actual 149.00%; Threshold 140.00% Class B Overcollateralization Ratio Test: Actual 136.96%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 123.53%; Threshold 113.00% Class D Overcollateralization Ratio Test: Actual 120.55%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 227.47%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 194.84%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 156.49%; Threshold 120.00% Class D Interest Coverage Ratio Test: Actual 147.62%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 58.93%; Threshold 60.00% Class B Advance Rate: Actual 66.29%; Threshold 67.50% Class C Advance Rate: Actual 76.11%; Threshold 77.50% Class D Advance Rate: Actual 78.57%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 12.70; Threshold 8 Maximum Morningstar DBRS Risk Score Test: Actual 33.06%; Threshold 40.00% Minimum WA Spread: Actual 5.24%; Threshold 5.00% Minimum Average Recovery Rate Test: Actual 60.50%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists of at least 95% of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (Minimum Diversity Score Test of 8); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the expected weighted-average (WA) credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix) and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207) and CLO Insight Model v. 1.0.1.4. Model-based analysis, which incorporated the above-mentioned Second Supplemental Indenture, produced satisfactory results. Considering the analysis, as well as the transaction's legal aspects and structure, Morningstar DBRS finalized the credit ratings on the Secured Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. Dollars unless otherwise noted. TOWD POINT 2024-2: DBRS Finalizes B(low) Rating on Class B3 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Asset-Backed Securities, Series 2024-2 (the Notes) issued by Towd Point Mortgage Trust 2024-2 (the Trust) as follows: -- $436.8 million Class A1A at AAA (sf) -- $79.5 million Class A1B at AAA (sf) -- $516.3 million Class A1 at AAA (sf) -- $12.6 million Class A2 at AA (sf) -- $6.0 million Class M1 at A (sf) -- $3.8 million Class M2 at BBB (high) (sf) -- $2.7 million Class B1 at BB (high) (sf) -- $1.4 million Class B2 at B (high) (sf) -- $1.1 million Class B3 at 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 AAA (sf) credit ratings reflect 5.45% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf), and 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 US dollars unless otherwise noted. UNITI FIBER 2025-1: Fitch Assigns BB-(EXP) Rating on Class C Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Uniti Fiber ABS Issuer LLC, Secured Fiber Network Revenue Term Notes, Series 2025-1 as follows: - $426,000,000 series 2025-1, class A-2, 'A-sf'; Outlook Stable; - $65,000,000 series 2025-1, class B, 'BBB-sf'; Outlook Stable; - $98,000,000 series 2025-1, class C, 'BB-sf'; Outlook Stable. The following class is not rated by Fitch: - $31,000,000(a) series 2025-1, class R. (a) Horizontal credit risk retention interest representing 5% of the 2025-1 notes. Transaction Summary The transaction is a securitization of contract payments derived from an existing enterprise fiber network. The collateral assets include conduits, cables, network-level equipment, access rights, customer contracts and transaction accounts. Debt is secured by net cash flow from operations and benefits from a perfected security interest in the securitized assets. The collateral network consists of the sponsor's enterprise fiber network, which includes approximately 14,100 fiber route miles (FRM), serves 10,000 buildings and supplies 4,000 wireless towers across multiple counties in Florida, Alabama, Louisiana and Mississippi. The collateral network supports 19,580 circuits that provide dark/lit backhaul for fiber-to-the-tower (FTTT) wireless customers, data transport, internet and ethernet connectivity solutions for enterprise businesses, voice services and wholesale last-mile fiber connections for wireline carriers. The ratings reflect a structured finance analysis of cash flow from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, Uniti Group Inc. (B+/Rating Watch Negative). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $56.3 million, implying a 14.1% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.5x, compared with debt/issuer NCF leverage of 9.0x. Based on the Fitch NCF and assumed annual revenue growth of 2%, and following the transaction's anticipated repayment date (ARD), the notes would be repaid 20.0 years from closing. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include the high quality of the underlying collateral networks, low historical churn, the creditworthiness of contract counterparties, market position, market diversity, capability of the operator and the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, customer churn, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 14.1% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'BBB-sf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from rate increases, additional customers, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'BBBsf'; class C from 'BB-sf' to 'BBsf'. Upgrades, however, are unlikely given the issuer's ability to issue additional pari passu notes. In addition, the senior classes are capped in the 'Asf' category. 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 KPMG LLP.The third-party due diligence described in Form 15E focused on fiber network assets and related contracts. 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. VERUS SECURITIZATION 2025-1: S&P Assigns Prelim B-(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2025-1's mortgage-backed notes. The note issuance is an RMBS securitization backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Jan. 8, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, prior credit events, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- S&P said, "One key change in our baseline forecast since September, wherein we expect the Federal Reserve to reduce the federal funds rate more gradually and reach an assumed neutral rate of 3.1% by fourth-quarter 2026 (was fourth-quarter 2025 previously). We continue to expect real GDP growth to slow from above-trend growth this year to below-trend growth in 2025. Heading into 2025, the U.S. economy is expanding at a solid pace and while President-elect Donald Trump outlined numerous policy proposals during his campaign, S&P Global Ratings' economic outlook for 2025 hasn't changed appreciably partly because we have taken a probabilistic approach and are assuming partial implementation of campaign promises. It will take time for changes in fiscal, trade, and immigration policy to be implemented and affect the economy. Our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency is therefore unchanged at 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through general national level home price behavior, unemployment rates, mortgage performance, and underwriting." Preliminary Ratings Assigned(i) Verus Securitization Trust 2025-1 Class A-1, $354,066,000: AAA (sf) Class A-2, $45,088,000: AA (sf) Class A-3, $68,600,000: A (sf) Class M-1, $36,237,000: BBB- (sf) Class B-1, $20,469,000: BB- (sf) Class B-2, $17,703,000: B- (sf) Class B-3, $11,065,419: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated Jan. 6, 2025. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. VISTA POINT 2024-CES3: DBRS Finalizes B Rating on B-2 Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2024-CES3 (the Notes) issued by Vista Point Securitization Trust 2024-CES3 (VSTA 2024-CES3 or the Trust): -- $185.8 million Class A-1 at AAA (sf) -- $13.5 million Class A-2 at AA (sf) -- $13.0 million Class A-3 at A (sf) -- $13.4 million Class M-1 at BBB (sf) -- $12.4 million Class B-1 at BB (sf) -- $8.2 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 27.30% of credit enhancement provided by subordinate Notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 22.00%, 16.90%, 11.65%, 6.80%, and 3.60% of credit enhancement, respectively. VSTA 2024-CES3 is a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2024-CES3 (the Notes). The Notes are backed by 1,314 mortgage loans with a total principal balance of 255,545,541 as of the Cut-Off Date (November 30, 2024). The portfolio, on average, is two months seasoned, though seasoning ranges from zero to 20 months. Borrowers in the pool represent prime and expanded-prime credit quality--weighted-average (WA) Morningstar DBRS-calculated FICO score of 734, Issuer-provided original combined loan-to-value ratio (CLTV) of 66.8%. The loans were generally originated with Morningstar DBRS defined full documentation standards. As of the Cut-Off Date, all but three loans (99.8% of the pool) were current. Since then, two loans (0.2%) that were 30 days delinquent have self-cured, leaving only one loan ( VITALITY RE XVI: Fitch Gives BB-(EXP)sf Rating on 2025 Cl. C Notes ------------------------------------------------------------------ Fitch Ratings expects to rate Series 2025 Principal-At-Risk Variable Rate Notes issued by Vitality Re XVI Limited (Vitality Re XVI, the Issuer), a Cayman Islands exempted company licensed as a Class C insurer. All classes of Notes have a scheduled termination date of Jan. 8, 2029 and a Final Extended Redemption Date of Jan. 8, 2030. The expected principal amount for the Class A Notes is $160,000,000, $60,000,000 for the Class B Notes and $30,000,000 for the Class C Notes with no amortization. The interest spread for the Notes will be determined at time of pricing. This preliminary rating is based on the 'weakest-link' of the following key rating drivers: i) medical benefit ratio excess-of-loss (XoL) risk assessment; ii) the Issuer Default Rating (IDR) of ceding insurer; and iii) the credit quality of the permitted investments. Fitch believes the risk assessment of the medical benefit ratio XoL presents the greatest risk. Entity/Debt Rating ----------- ------ Vitality Re XVI Limited Series 2025, Class A Notes Principal-at-Risk Variable Rate Notes due January 8, 2029 LT BBB+(EXP)sf Expected Rating Series 2025, Class B Principal-at-Risk Variable Rate Notes due January 8, 2029 LT BB+(EXP)sf Expected Rating Series 2025, Class C Principal-at-Risk Variable Rate Notes due January 8, 2029 LT BB-(EXP)sf Expected Rating This is the sixteenth medical benefit ratio "ILS bond" for covered business underwritten by Aetna Life Insurance Company (ALIC, the Covered Business Company). To date, noteholders have not experienced any principal loss on any prior transactions - of which, Vitality Re XII Limited (matures 2025), Vitality Re XIII Limited (2026), Vitality Re XIV Limited (2027) and Vitality Re XV Limited (2028) are outstanding following the issuance of Vitality Re XVI Limited. Capitalized but undefined terms have the meaning provided in the Offering Circular Supplement and the Offering Circular for the Notes. Transaction Summary The Series 2025 Notes (Class A, B, C) provide collateralized, multi-year, indemnity-based annual aggregate XoL reinsurance protection to Health Re, Inc., a Vermont domiciled special purpose financial insurance company that is wholly-owned by Aetna Inc. (Aetna), that assumes a quota share of certain commercial group health insurance policies (the Covered Business) underwritten by Aetna Life Insurance Company (ALIC). The Covered Business to be ceded to Health Re (and for which Vitality Re XVI will provide XoL coverage) primarily consists of commercial insured accident and health business, namely Preferred Provider Organization (PPO), Point of Service (POS) and Indemnity products, directly written by ALIC. These are reportable in ALIC's statutory annual statements as Accident and Health Group except for the Excluded Risks. For the nine months ended Sept. 30, 2024, ALIC earned $10.3 billion of premiums on approximately 1.9 million members for the Covered Business. Full-year premiums for the Covered Business for 2023 and 2022 were $12.9 billion and $11.9 billion, respectively. Each Class of Notes is "principal-at-risk," meaning a principal loss will occur if the Covered Business's medical benefit ratio (MBR) exceeds a predetermined attachment (MBR Attachment), set at inception and reset annually during the second, third and fourth Annual Risk Periods. The initial MBR Attachment level is 97% for Class C, 100% for the Class B and 106% for Class A. A total principal loss (MBR Exhaustion) occurs if the MBR reaches 100% for Class C, 106% for Class B and 122% for Class A. There are four Annual Risk Periods, each running from Jan. 1 to Dec. 31. Milliman, Inc. (Milliman) acting as Modeling Agent, will deliver the MBR Risk Analysis Report which informs the probabilities of attachment and expected loss. Milliman will also act as the Reset Agent, delivering a Reset Report for the second, third and fourth Annual Risk Periods using Updated Health Industry Exposure Data and the Updated Aetna Exposure Data. The updated MBR Attachment and updated MBR Exhaustion will be established to maintain the same modeled probability of attachment and expected loss as the initial modeled probabilities (used in the MBR Risk Analysis Report) and will be effective Jan. 1 of each Annual Risk Period. The interest spread will not change. The Notes may be redeemed due to specified Early Redemption Events, including: i) clean-up events; ii) Health Re's failure to meet Vermont capital requirements; iii) regulatory or legislative changes affecting ALIC (or Health Re) leading ALIC to terminate coverage; iv) Health Re defaulting on an Installment Premium payment; v) failure to replace the Reset Agent, Claims Reviewer, or Loss Reserve Specialist if they cannot perform their duties, or vi) Health Re's election to terminate the XoL Agreement under certain conditions. An Early Termination Event Premium will be paid to noteholders for events (ii) and (iv). Health Re may, at its option, elect to require Vitality Re XVI to extend the term of each XoL agreement (thereby extending the maturity date of the related Class of Notes) past the Scheduled Termination Date. This extension may be four additional quarters with the Final Extended Redemption Date being Jan. 8, 2030 and is not considered an additional risk period. Generally, claims incurred in a given calendar year are 99% completely paid within 12 months after the end of that year. KEY RATING DRIVERS Medical Benefit Ratio XoL Risk Assessment Third-Party Model is Complex (Neutral): The rating analysis in support of the risk assessment of the MBR XoL is highly model-driven and actual losses may differ from the results of simulation analyses. This model (and previous iterations) has been used on all prior Vitality transactions. Fitch reviewed this model according to its "Insurance Linked Securities Criteria". The model produces a MBR probability distribution as a combination of two separate component models: i) a Claims Trend Module comprising of nine sub-modules with corresponding data and assumptions; and ii) a Premium Trend Module consisting of nine sub-modules (including output from the Claims Trend Module). A total of two million simulations are run to generate a volume of modeling points in the tail of the distribution. Initial Modeled MBR Attachment Probability (Neutral Trait): The modeled one-year attachment probability based on the best estimate (base case) assumptions was 5 bp, 51 bp and 164 bp for the Class A, B and C Notes, respectively. These probabilities of first dollar loss correspond to 'bbb+' for Class A, 'bb+' for Class B and 'bb-' for Class C according to Fitch's ILS Calibration Matrix. Fitch qualitatively reviewed sensitivity analysis (see below) that generally showed a one to two rating downgrade possibility under adverse conditions. This review along with baseline modeled results determined Fitch's medical benefit ratio XoL risk assessment. Sensitivity Analysis Illustrated Downside but Limited Risks (Negative): Nine claim trend sensitivities were provided with the attachment probability for Class A ranging from VITALITY RE XVI: S&P Assigns Prelim B+(sf) Rating on Cl. C Notes ---------------------------------------------------------------- S&P Global Ratings assigned preliminary ratings of 'BBB+(sf)', 'BB+(sf)', and 'B+(sf)' to the class A, B, and C notes, respectively, to be issued by Vitality Re XVI Ltd. The series 2025 notes will cover claims payments of Health Re Inc.--and ultimately, Aetna Life Insurance Co. (ALIC; A-/Negative/--) related to the covered insurance business to the extent the medical benefits ratio (MBR) exceeds 106% for the class A notes, 100% for the class B notes, and 97% for the class C notes. The MBR is calculated on an annual aggregate basis. S&P bases its ratings on the lowest of the following: -- The MBR risk factor on the ceded risk ('bbb+' for the class A notes, 'bb+' for the class B notes, and 'b+' for the class C notes); -- The rating on ALIC (the underlying ceding covered business company); or -- The rating on the permitted investments ('AAAm') that will be held in the respective collateral accounts (there is a separate collateral account for each class of notes) at closing. According to the risk analysis provided by Milliman Inc., one of the world's largest providers of actuarial and related products and services, the primary driver of historical medical insurance financial fluctuations has been the volatility in per capita claim cost trends and lags in insurers' reactions to these trend changes in their premium rating actions. Other volatility factors include changes in expenses and target profit margins. Although these factors cause the majority of claims volatility, the extreme tail risk is affected by severe pandemics. Ratings List New Ratings Vitality Re XVI Limited -- Senior Secured Class A notes BBB+(sf)(prelim) -- Senior Secured Class B notes BB+(sf)(prelim) -- Senior Secured Class C notes B+(sf)(prelim) VOYA CLO 2020-2: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Voya CLO 2020-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Voya CLO 2020-2, Ltd. X LT AAAsf New Rating A-1RR LT AAAsf New Rating A-2RR LT AAAsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-1RR LT BBB-sf New Rating D-2RR LT BBB-sf New Rating E-RR LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Voya CLO 2020-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. The transaction originally closed in August 2020 and was first refinanced in September 2021. The CLOs existing secured notes will be refinanced in whole on Jan. 9, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provided financing on a portfolio of approximately $700 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.29, 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 96.34% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.07% versus a minimum covenant, in accordance with the initial expected matrix point of 69.1%. Portfolio Composition (Positive): The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1RR, 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 'BB+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, class A-1RR and 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, 'A-sf' 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 Voya CLO 2020-2, 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. VOYA CLO 2024-7: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2024-7, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2024-7, Ltd. X LT AAAsf New Rating A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Sub Notes LT NRsf New Rating Transaction Summary Voya CLO 2024-7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.08, versus a maximum covenant, in accordance with the initial expected matrix point of 25.09. 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 98.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.88% versus a minimum covenant, in accordance with the initial expected matrix point of 71.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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 'AAAsf' for class X, 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 X, class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-7, 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. WELLS FARGO 2025-5C3: Fitch Assigns B-(EXP)sf Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2025-5C3, commercial mortgage pass-through certificates, series 2025-5C3 as follows: - $8,135,000a class A-1 'AAAsf'; Outlook Stable; - $244,550,000a class A-2 'AAAsf'; Outlook Stable; - $318,059,000a class A-3 'AAAsf'; Outlook Stable; - $570,744,000b class X-A 'AAAsf'; Outlook Stable; - $135,552,000b class X-B 'A-sf'; Outlook Stable; - $51,978,000a class A-S 'AAAsf'; Outlook Stable; - $46,882,000a class B 'AA-sf'; Outlook Stable; - $36,691,000a class C 'A-sf'; Outlook Stable; - $32,613,000bc class X-D ' BBB-sf'; Outlook Stable; - $21,403,000bc class X-F ' BB-sf'; Outlook Stable; - $21,402,000ac class D 'BBBsf'; Outlook Stable; - $11,211,000ac class E 'BBB-sf'; Outlook Stable; - $21,403,000ac class F 'BB-sf'; Outlook Stable; - $14,269,000acd class G-RR 'B-sf'; Outlook Stable; Fitch is not expected to rate the following classes: - $40,767,428acd class J-RR; - $18,173,000f class Combined VRR Interest. (a)Class balances, excluding the combined vertical risk retention (VRR) interest, are net of their proportionate share of the VRR interest, totaling 2.18% of the notional amount of the certificates. (b)Net of its proportionate share of the vertical risk retention interest, and interest only. The total notional amount for X-A is $583,464,000, for X-B $138,573,000, for X-D $33,340,000 and for X-F $21,880,000. (c)Privately placed and pursuant to Rule 144A. (d)Class G-RR and J-RR certificates comprise the transaction's horizontal risk retention (HRR) interest. (e)The expected class A-2 balance range is $0 to $250,000,000, and the expected class A-3 balance range is $325,147,000 to $575,147,000, both net of their proportionate share of the combined VRR interest. The balance for class A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range, net of their proportionate share of the combined VRR interest. In the event the class A-3 certificates are issued at $575,147,000, the class A-2 certificates will not be issued. (f)The combined VRR interest comprises the transaction's VRR interest, and the certificate balance is subject to change based on the final pricing of all classes. Entity/Debt Rating ----------- ------ Wells Fargo Commercial Mortgage Trust 2025-5C3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating Combined VRR Interest LT NR(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating X-F LT BB-(EXP)sf Expected Rating Transaction Summary The certificates represent the beneficial ownership interest in the trust, whose primary assets consist of 30 loans secured by 63 commercial properties with an aggregate principal balance of $833,520,429 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, LMF Commercial, LLC, Goldman Sachs Mortgage Company and UBS AG. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Argentic Services Company LP. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 25 loans totaling 96.7% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $78.7 million represents a 14.3% decline from the issuer's underwritten aggregate pool NCF of $91.9 million. Higher Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent five-year multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan to value ratio (LTV) of 103.9% is worse than the 2024 and 2023 averages of 95.2% and 89.7%, respectively. The pool's Fitch NCF debt yield (DY) of 9.4% is lower than the 2024 and 2023 averages of 10.2% and 10.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 104.7% and 9.5%, respectively, compared to the equivalent 2024 LTV and DY averages of 96.0% and 9.9%, respectively. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loans: One loan, representing 3.0% of the pool, received an investment-grade credit opinion. Queens Center (3.0%) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is considerably lower than the 2024 and 2023 averages of 12.6% and 14.6%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.1% of the pool, which is higher than the 2024 level of 60.2% and 2023 level of 65.3%. The pool's effective loan count of 18.6 is slightly lower than the 2024 and 2023 average effective loan count of 22.7 and 19.7, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 1.0%, which is above the 2024 and 2023 averages of 0.4% and 0.4%, respectively. The pool has 23 interest-only loans, or 79.9% of pool by balance, which is lower than the 2024 and 2023 averages of 92.8% and 91.7%, respectively, but still high overall. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WESTLAKE AUTOMOBILE 2025-1: S&P Assigns Prelim BB (sf) on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2025-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 8, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.3%, 38.0%, 29.1%, 22.2%, and 19.0% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss (ECNL) of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC (Westlake Services) as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2025-1 Class A-1, $278.20 million: A-1+ (sf) Class A-2-A/A-2-B, $361.76 million: AAA (sf) Class A-3, $125.00 million: AAA (sf) Class B, $86.12 million: AA (sf) Class C, $138.29 million: A (sf) Class D, $110.63 million: BBB (sf) Class E, $60.34 million: BB (sf) WFRBS COMMERCIAL 2014-C23: DBRS Cuts Class C Certs Rating to BB --------------------------------------------------------------- DBRS Limited downgraded the credit ratings on nine classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C23 issued by WFRBS Commercial Mortgage Trust 2014-C23 as follows: -- Class B to BBB (high) (sf) from AA (low) (sf) -- Class C to BB (sf) from A (low) (sf) -- Class PEX to BB (sf) from A (low) (sf) -- Class D to C (sf) from BBB (low) (sf) -- Class E to C (sf) from BB (sf) -- Class F to C (sf) from B (sf) -- Class X-B to C (sf) from BBB (sf) -- Class X-C to C (sf) from BB (high) (sf) -- Class X-D to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes A-S, X-A, B, C, and PEX to Negative from Stable. Classes D, E, F, X-B, X-C, and X-D have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trend on Class A-5 remains Stable. The credit rating downgrades and Negative trends reflect the increased loss expectations for the six remaining loans in the pool, primarily driven by the Bank of America Plaza loan (Prospectus ID#1; 40.1% of the current pool balance), which received an updated appraisal following the loan's transfer to special servicing in July 2024 for maturity default. At the last credit rating action in May 2024, Morningstar DBRS changed the trends on Classes X-B, D, X-C, E, X-D, and F to Negative from Stable, reflecting concerns with select loans that were exhibiting value deficiency and were facing elevated refinance risk. Since the previous credit rating action, 61 loans, previously representing 60.0% of the pool, were repaid in full, leaving just six loans remaining as of the December 2024 remittance. Morningstar DBRS considered liquidation scenarios for all remaining loans to determine recoverability for the remaining classes, the results of which suggest that losses could be incurred into Class D, supporting the credit rating downgrades and Negative trends with this review. The largest loan in the pool, Bank of America Plaza, secured by a 1.4 million-square-foot Class A office complex in the Central Business District of Los Angeles, transferred to special servicing in July 2024 for imminent maturity default and was re-appraised at a value of $188.9 million, representing a current loan-to-value ratio of 211.7% and a 68.8% decline from its issuance value of $605.0 million. The loan most recently reported an annualized net cash flow (NCF) of $34.1 million and a debt service coverage ratio of 2.07 times during the trailing six-month period ended June 30, 2024, with an occupancy rate of 78.9%. Occupancy is expected to decline to approximately 66.8% as the property's third-largest tenant, Sheppard Mullin Richter, has indicated it will vacate upon lease expiry in December 2024. Following the tenant's departure and in the absence of any additional leasing activity, NCF could decline to $29.6 million, implying a 15.7% capitalization rate on the most recent appraised value. The Bank of America Plaza loan is pari passu with two additional deals rated by Morningstar DBRS: CGCMT 2014-GC25 and GSMS 2014-GC26. With this review, given the precipitous decline in value of the Bank of America Plaza loan as well as the pool's increased level of adverse selection with five loans, representing 76.5% of the pool, in special servicing, Morningstar DBRS based its analysis on the recoverability of the remaining assets. The liquidation scenario considered for Bank of America Plaza resulted in implied losses exceeding $80.0 million (loss severity approaching 70.0%), which would erode into Class D. While the implied proceeds from the recoverability analysis suggest that Classes A-5 through C remain insulated from loss, credit risk has increased significantly as a result of the expected credit erosion in the event that the loan is liquidated, supporting the credit rating downgrades and Negative trends. Notes: All figures are in U.S. dollars unless otherwise noted. WP GLIMCHER 2015-WPG: DBRS Confirms BB Rating on PR-2 Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-WPG issued by WP Glimcher Mall Trust 2015-WPG as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X at A (sf) -- Class C at A (low) (sf) -- Class PR-1 at BBB (low) (sf) -- Class SQ-1 at BBB (low) (sf) -- Class PR-2 at BB (sf) -- Class SQ-2 at BB (low) (sf) -- Class SQ-3 at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since Morningstar DBRS' last credit rating action in January 2024, with no changes to the collateral and performance metrics since then remaining in line with expectations. Both loans continue to report net cash flow (NCF) in line with or above issuance levels. Morningstar DBRS updated its values for both loans with this review. While the current credit ratings are lower than the results implied by the loan-to-value ratio (LTV) sizing benchmarks, the borrower may face challenges refinancing the loans at their June 2025 maturity dates due to the current higher-interest-rate environment, supporting the credit rating confirmations with this review. This transaction is backed by portions of the senior debt and all of the subordinate debt secured by Scottsdale Quarter (Prospectus ID#2, 39.2% of the pool), a 541,386-square-foot (sf) mixed-use retail center in Scottsdale, Arizona, and Pearlridge Center (Prospectus ID#1, 60.8% of the pool), a 1.14 million-sf super-regional mall in Aiea, Hawaii, the state's largest enclosed shopping center. Both properties are managed by Washington Prime Group and are not cross-collateralized or cross-defaulted. Pearlridge Center is an enclosed center, originally built in 1972 and located just north of Pearl Harbor. The mall is anchored by Macy's (18.4% of net rentable area (NRA)), which has a lease expiration in February 2027. Inclusive of the vacant anchor box, which was previously ground-leased by Sears, the mall's occupancy was reported at 72.8% as of June 2024, in line with the prior year. The sponsor has assumed the Sears lease and continues to evaluate leasing opportunities. The loan reported a Q2 2024 annualized NCF of $21.0 million (whole loan debt service coverage ratio (DSCR) of 2.60 times (x)), which remains in line with the YE2023 NCF of $22.8 million (whole loan DSCR of 2.83x). Morningstar DBRS expects NCF to remain steady as the loan approaches its June 2025 maturity date given the granularity of the mall's tenancy and minimal upcoming lease rollover. Scottsdale Quarter is a Class A, mixed-use, open-air lifestyle center 17 miles northeast of Phoenix, Arizona, in the affluent Kierland neighborhood of north Scottsdale. The collateral includes an office component representing 32.5% of the NRA. The two largest tenants at the property are both office users, Starwood Hotels & Resorts (14.8% of NRA, lease expiration February 2027) and co-working tenant Spaces (8.7% of NRA, lease expiration December 2033). Major retail tenants include Landmark Theatres, Restoration Hardware, and Pottery Barn. Per the June 2024 rent roll, the property was 84.7% occupied, which is below the YE2023 and YE2022 figures of 94.0% and 93.0%, respectively. NCF has increased approximately 50% since the lows experienced during 2021, with the property reporting a trailing 12-month NCF for the period ended June 30, 2024, of $21.9 million (DSCR of 3.70x), an increase from the YE2023 and YE2022 NCF of $21.7 million (DSCR of 3.67x) and $19.2 million (DSCR of 3.25x), respectively. In the analysis for this review, Morningstar DBRS derived updated values for both properties, using the YE2023 NCFs for each, with a 2.0% haircut (HC) applied for Pearlridge Center and a 20.0% HC for Scottsdale Quarter. For Pearlridge Center, a capitalization (cap) rate of 7.25% was applied, resulting in an updated Morningstar DBRS value of $307.9 million (whole loan LTV of 73.1%), in line with the previous Morningstar DBRS value derived in 2023. Morningstar DBRS maintained a positive qualitative adjustment to the LTV sizing benchmarks totaling 4.0% to reflect the property's quality and strong market fundamentals, as the property benefits from its location and strong competitive position. For Scottsdale Quarter, Morningstar DBRS maintained its blended cap rate approach from the last review, assuming a 7.25% cap rate for the retail space and a 10.0% cap rate for the office space, resulting in an overall cap rate of 8.25%. The resulting Morningstar DBRS value was $210.0 million (whole loan LTV of 78.6%). Morningstar DBRS maintained a positive qualitative adjustment to the LTV sizing benchmarks totaling 1.0%, which included a -1.0% adjustment for cash flow volatility given the soft office market and a 2.0% adjustment for above-average property quality. The Morningstar DBRS credit ratings assigned to Classes C, PR-1, PR-2, SQ-1, SQ-2, and SQ-3 are lower than the results implied by the LTV sizing benchmarks. The variances are warranted as both loans are scheduled to mature in June 2025, and given the higher-interest-rate environment, the borrower may face additional challenges securing takeout financing. Furthermore, to evaluate the potential for upgrades, Morningstar DBRS applied a conservative 20.0% upgrade stress to the YE2023 NCFs for both properties. The LTV sizing benchmarks resulting from that stressed analysis indicated that upgrades were not warranted with this review. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Confirms 44 Ratings From 16 CPS Auto Receivables Trust --------------------------------------------------------------- DBRS, Inc. confirmed 44 credit ratings and upgraded 15 credit ratings from Sixteen CPS Auto Receivables Trust. The Affected Ratings are available at https://bit.ly/40m5cUs The Issuers are: CPS Auto Receivables Trust 2021-B CPS Auto Receivables Trust 2022-B CPS Auto Receivables Trust 2022-D CPS Auto Receivables Trust 2022-C CPS Auto Receivables Trust 2023-D CPS Auto Receivables Trust 2023-C CPS Auto Receivables Trust 2023-B CPS Auto Receivables Trust 2023-A CPS Auto Receivables Trust 2024-C CPS Auto Receivables Trust 2021-C CPS Auto Receivables Trust 2024-B CPS Auto Receivables Trust 2021-D CPS Auto Receivables Trust 2020-C CPS Auto Receivables Trust 2024-A CPS Auto Receivables Trust 2022-A CPS Auto Receivables Trust 2021-A The credit rating actions are based on the following analytical considerations: -- For CPS Auto Receivables Trust 2020-C through CPS Auto Receivables Trust 2021-C, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations. The current level of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at a multiple of coverage commensurate with the credit ratings. -- For CPS Auto Receivables Trust 2021-D through CPS Auto Receivables Trust 2023-C, 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. -- For CPS Auto Receivables Trust 2023-D through CPS Auto Receivables Trust 2024-C, losses are tracking in line with 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. Morningstar DBRS's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance. [*] DBRS Reviews 422 Classes From 21 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 422 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. The 21 transactions reviewed are classified as agency credit-risk transfer transactions. Of the 422 classes reviewed, Morningstar DBRS upgraded its credit ratings on 385 classes and confirmed its credit ratings on 37 classes. The Affected Ratings are available at https://bit.ly/423SJ94 The Issuers are: Fannie Mae Freddie Mac Freddie Mac STACR REMIC Trust 2021-DNA2 Freddie Mac STACR REMIC Trust 2020-DNA2 Structured Agency Credit Risk Debt Notes, Series 2017-DNA2 Structured Agency Credit Risk Debt Notes, Series 2017-HQA3 Structured Agency Credit Risk Debt Notes, Series 2017-HRP1 Structured Agency Credit Risk Debt Notes, Series 2018-DNA2 Structured Agency Credit Risk Debt Notes, Series 2018-HQA1 Structured Agency Credit Risk Debt Notes, Series 2018-HQA2 Structured Agency Credit Risk Debt Notes, Series 2018-HRP2 Structured Agency Credit Risk Debt Notes, Series 2019-DNA3 Structured Agency Credit Risk Debt Notes, Series 2019-HRP1 Freddie Mac STACR Trust 2019-DNA1 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. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Takes Credit Rating Action on 8 Single-Family Rental Deals ------------------------------------------------------------------- DBRS Limited conducted a surveillance review of eight multi-borrower single-family rental (MB SFR) transactions. Most of the credit rating actions were credit rating confirmations with a few credit ratings being upgraded. One transaction has three classes for which the trends were maintained as Negative. All other trends are Stable. The Affected Ratings are available at https://bit.ly/3WaXgCL The Issuers are: CoreVest American Finance 2020-1 Trust B2R Mortgage Trust 2015-1 B2R Mortgage Trust 2015-2 CoreVest American Finance 2018-1 Trust CoreVest American Finance 2018-2 Trust CoreVest American Finance 2019-1 Trust CoreVest American Finance 2019-3 Trust CoreVest American Finance 2020-3 Trust The rating confirmations reflect the overall stable performance of the transactions with the reported cash flows and other performance metrics of most loans generally in line with Morningstar DBRS' expectations. The credit rating upgrades generally reflect the significantly increased credit support, whether through principal repayments or increased loan payoffs, coupled with a lack of a significant concentration of loans showing performance declines since issuance. Performance data for each transaction were analyzed, including loan repayments, cash flow and/or occupancy changes for the collateral properties, special servicing transfers, and watchlist additions. In the case of larger loans in special servicing that were exhibiting performance declines from issuance and/or were reporting payment or maturity defaults, Morningstar DBRS considered liquidation scenarios based on a value stress determined by the severity of the performance decline. For some loans exhibiting increased risks that were not liquidated in the analysis, a higher probability of default was analyzed to increase the expected loss. The November 2024 remittance reports showed the servicer's watchlist concentrations ranged between 17.4% and 55.1%, with concentrations of delinquent loans between 0.0% and 11.4% across the eight transactions. Realized losses to date have been generally minimal. Historically, liquidations across these pools have shown somewhat binary outcomes, with many loans reporting no or very small losses at disposition, while other loans report high loss severities sometimes exceeding 100%. Weighted-average loss severities ranged between 0.0% and 41.0%. The CAF 2019-1 transaction had the highest watchlist concentration, with the majority of loans being monitored for deferred maintenance and/or failure to report updated financials, while the CAF 2018-1 transaction had the highest delinquency concentration, with two loans listed as 30 to 59 days delinquent. The CAFL 2019-3 transaction has the most barbelled structure of the eight transactions, with the largest amount of principal repayment during the last 12 months totaling more than $93.0 million (or a collateral reduction of 24.7%) and the second-highest delinquency rate at 10.2%, increased from 8.1% in January 2024 and 7.6% in January 2023. Given the significant increase in credit support toward the top of the capital stack, Morningstar DBRS upgraded three senior certificates, while maintaining Negative trends on the three most junior certificates as a result of the increased delinquency and specially serviced loans, which represent 10.2% and 21.5% of the pool, respectively. While two (9.6% of the pool) of the three largest specially serviced loans were brought current in October 2024, both loans are made to the same borrower, have been in special servicing since October 2021, and are now considered matured non-performing. The special servicer has noted there are cash flow and possible liquidity issues that could impair the ability to refinance or cure the outstanding defaults. Another loan (1.8% of the pool) in special servicing made its last debt service payment in November 2021 and is listed with discounted payoff as the workout strategy. Based on the increased risks for these loans, in its analysis Morningstar DBRS liquidated them from the trust with an implied loss of $4.7 million. Notes: All figures are in U.S. dollars unless otherwise noted. [*] Moody's Takes Action on 14 Bonds From 7 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 14 bonds from seven US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Acquisition Corp. 2006-WMC1 Cl. A-5, Upgraded to A3 (sf); previously on Mar 12, 2024 Upgraded to Ba3 (sf) Issuer: Ownit Mortgage Loan Trust 2006-2 Cl. A-1, Upgraded to Aaa (sf); previously on Mar 12, 2024 Upgraded to Aa2 (sf) Cl. A-2C, Upgraded to A1 (sf); previously on Mar 12, 2024 Upgraded to Ba2 (sf) Issuer: RAMP Series 2005-RS1 Trust Cl. M-I-1, Upgraded to A1 (sf); previously on Mar 12, 2024 Upgraded to Ba1 (sf) Cl. M-II-2, Upgraded to Caa3 (sf); previously on Mar 28, 2017 Upgraded to Ca (sf) Issuer: RASC Series 2006-EMX1 Trust Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 12, 2024 Upgraded to B2 (sf) Issuer: SG Mortgage Securities Trust 2006-OPT2 Cl. A-1, Upgraded to Aaa (sf); previously on Mar 15, 2024 Upgraded to Aa1 (sf) Cl. A-2, Upgraded to Ba1 (sf); previously on Jun 9, 2023 Upgraded to B1 (sf) Cl. A-3C, Upgraded to B2 (sf); previously on May 25, 2017 Upgraded to Caa3 (sf) Cl. A-3D, Upgraded to Caa2 (sf); previously on May 25, 2017 Upgraded to Caa3 (sf) Issuer: Specialty Underwriting and Residential Finance Trust, Series 2003-BC2 Cl. M-1, Upgraded to A3 (sf); previously on Mar 12, 2024 Downgraded to Ba1 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Mar 12, 2024 Downgraded to B1 (sf) Issuer: Specialty Underwriting and Residential Finance Series 2006-AB1 Cl. A-4, Upgraded to Aa1 (sf); previously on Mar 15, 2024 Upgraded to A2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 17, 2009 Downgraded to C (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Most of the upgraded bonds have seen growth in credit enhancement since Moody's last review, which is the key driver for these upgrades. The credit enhancement since 12 months ago has grown on average by 14% for the tranches upgraded. Moody's analysis also considered the existence of historical interest shortfalls for the bonds. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, and the potential impact of any collateral volatility on the model output. Certain bonds in this review are currently impaired or expected to become impaired. Moody's ratings on those bonds reflect any losses to date as well as Moody's expected future loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades Ratings on 7 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of seven bonds from three US residential mortgage-backed transactions (RMBS), backed by agency eligible prime and investor mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=hjgioY A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: PMT Loan Trust 2021-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on May 17, 2023 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Mar 5, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 17, 2023 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Mar 5, 2024 Upgraded to Ba3 (sf) Issuer: Provident Funding Mortgage Trust 2020-1 Cl. B-3, Upgraded to Aaa (sf); previously on Mar 11, 2024 Upgraded to Aa1 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Mar 11, 2024 Upgraded to Baa1 (sf) Issuer: Provident Funding Mortgage Trust 2021-INV2 Cl. B-5, Upgraded to Ba3 (sf); previously on Mar 11, 2024 Upgraded to B2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The transactions continue to display strong collateral performance, with cumulative loss for the transactions below 0.05% and a small number of loans in delinquencies. In addition, enhancement levels for the tranches have grown significantly, as the pool amortize relatively quickly. The credit enhancement since closing has shown relative growth of over 3x for the non-exchangeable tranches upgraded from Provident Funding Mortgage Trust 2020-1 and, on average, 19.9% for the other non-exchangeable tranches upgraded from other transactions. 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 other rated classes in this deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 17 Classes From 13 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 17 classes from 13 U.S. RMBS transactions issued between 2004 and 2006. The review yielded seven downgrades and 10 discontinuances. S&P said, "The rating actions reflect our analysis of the transactions' interest shortfalls and/or missed interest payments on the affected classes. We lowered our ratings in accordance with our "S&P Global Ratings Definitions," published Dec. 2, 2024, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. In this review, seven classes from seven transactions were affected. "In accordance with our surveillance and withdrawal policies, we discontinued 10 ratings from six transactions that had observed interest shortfalls or missed interest payments during recent remittance periods. We had previously lowered our rating on these classes to 'D (sf)' because of principal losses, accumulated interest shortfalls, missed interest payment, and/or credit related reductions in interest due to loan modification. We view a subsequent upgrade to a rating higher than 'D (sf)' is unlikely under the relevant criteria within this review. "We will continue to monitor our ratings on securities that experience interest shortfalls and/or missed interest payments, and we will further adjust our ratings as we consider appropriate." Ratings list Rating Issuer Series Class CUSIP To From Asset Backed Securities Corporation Home Equity Loan Trust Series 2005-HE3 2005-HE3 M6 04541GQZ8 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Bear Stearns Asset Backed Securities I Trust 2004-AC4 2004-AC4 A-1 073879EA2 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Bear Stearns Asset Backed Securities I Trust 2004-AC4 2004-AC4 A-4 073879ED6 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. CSFB Home Equity Pass-Through Certificates, Series 2005-FIX1 Trust 2005-FIX1 A-5 22541S5U8 CCC (sf) B- (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. CWABS Asset Backed Certificates Trust 2005-16 2005-16 MV-4 126670PL6 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. GE-WMC Mortgage Securities Trust 2006-1 2006-1 A-2a 36829JAA9 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. GSAMP Trust 2006-S6 2006-S6 A-1B 36245CAB8 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. GSAMP Trust 2006-S6 2006-S6 A-1C 36245CAC6 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. GSAMP Trust 2006-S6 2006-S6 A-2 36245CAD4 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. GSAMP Trust 2006-S6 2006-S6 A-3 36245CAE2 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. HSI Asset Securitization Corporation Trust 2006-OPT2 2006-OPT2 M-2 40430HEB0 CCC (sf) B- (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Park Place Securities, Inc. 2004-WCW2 M-6 70069FBC0 D (sf) CC (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Park Place Securities, Inc. 2005-WCH1 M-4 70069FFL6 BB (sf) BBB- (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Park Place Securities, Inc. 2005-WCW1 M-4 70069FKH9 D (sf) CC (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. PPT Asset-Backed Certificates Series 2004-1 2004-1 A 693525AF4 BB (sf) BBB- (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Saxon Asset Securities Trust 2005-1 2005-1 M-4 805564RQ6 NR D (sf) Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Securitized Asset Backed Receivables LLC Trust 2004-DO2 2004-DO2 M-1 81375WBV7 CCC (sf) B- (sf) Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. NR--Not rated. ********* 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. 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