/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/250202.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, February 2, 2025, Vol. 29, No. 32 Headlines AASET 2021-1 TRUST: S&P Raises Class C Notes Rating to BB+ (sf) ABFC TRUST 2002-NC1: Moody's Lowers Rating on 2 Tranches to Caa1 ACHM TRUST 2023-HE1: DBRS Confirms B(low) Rating on Class C Notes ACRE COMMERCIAL 2021-FL4: DBRS Confirms BB(low) Rating on F Notes ANCHORAGE CAPITAL 21: Moody's Assigns Ba3 Rating to $20MM E-R Notes BAIN CAPITAL 2019-3: Moody's Assigns Ba3 Rating to $30MM E-RR Notes BARINGS CLO 2018-III: S&P Raises Class F Notes Rating to 'B- (sf)' BBCMS MORTGAGE 2023-C19: Fitch Lowers Rating on G-RR Debt to 'Bsf' BENEFIT STREET XXIX: S&P Assigns Prelim 'BB-' Rating on E-R Notes BLP COMMERCIAL 2023-IND: DBRS Confirms B(low) Rating on G Certs CARVAL CLO III: Moody's Assigns Ba3 Rating to $28.4MM E-R2 Notes CFCRE 2016-4: Fitch Affirms Bsf Rating on 2 Tranches CIG AUTO 2021-1: Moody's Upgrades Rating on Class E Notes to Ba2 COLT 2025-1: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs COLUMBIA CENT 31: S&P Affirms 'BB- (sf)' Rating on Class E Notes COMM 2014-CCRE14: Moody's Lowers Rating on Class E Certs to Csf COMM 2014-UBS2: DBRS Confirms C Rating on Class E Certs CORNHUSKER FUNDING 1C: DBRS Confirms B Rating on Class C Notes ELMWOOD CLO 37: S&P Assigns B- (sf) Rating on Class F Notes ELMWOOD CLO 38: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes GENERATE CLO 20: S&P Assigns BB- (sf) Rating on Class E Notes GS MORTGAGE 2013-G1: Fitch Affirms 'CCC' Rating on 2 Tranches GS MORTGAGE 2014-GC22: DBRS Confirms C Rating on 3 Classes GS MORTGAGE 2019-GC39: Fitch Lowers Rating on Cl. F Notes to 'B-sf' GS MORTGAGE 2025-PJ1: DBRS Gives Prov. BB(low) Rating on B4 Notes HOMES 2025-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes INDYMAC MH 1997-1: Moody's Lowers Rating on 5 Tranches to Ba1 ISLAND FINANCE 2025-1: DBRS Gives Prov. BB(high) Rating on C Notes ISLAND FINANCE 2025-1: S&P Assigns 'BB+' Rating on Class C Notes JP MORGAN 2011-C3: S&P Affirms CCC- (sf) Rating on Cl. J Certs LIBRA SOLUTIONS 2023-1: DBRS Confirms BB Rating on Class B Notes LOANCORE 025-CRE8: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G Notes MADISON PARK XXVII: Fitch Assigns 'BB+(EXP)sf' Rating on E-R Notes MADISON PARK XXVII: Moody's Assigns (P)B3 Rating to Cl. F-R Notes MF1 2025-FL17: Fitch Assigns 'BB+(EXP)sf' Rating on Class F-X Notes MORGAN STANLEY 2013-C9: DBRS Confirms C Rating on 2 Classes MTN COMMERCIAL 2022-LPFL: DBRS Confirms BB(low) Rating on E Certs NASSAU 2021-I: S&P Assigns BB- (sf) Rating on Class E-R Notes NEUBERGER BERMAN 44: S&P Assigns BB- (sf) Rating on Cl. E-R Notes NEWARK BSL 2: Moody's Affirms Ba3 Rating on $20MM Class D Notes OCEAN TRAILS XIV: Fitch Assigns 'BBsf' Rating on Class E-R Notes OCEAN TRAILS XIV: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes OCTAGON LOAN: Moody's Cuts Rating on $20.7MM Cl. E-RR Notes to B1 OFSI BSL XII: S&P Assigns Prelim BB- (sf) Rating on E-R Notes PIKES PEAK 8: Fitch Assigns 'BB-sf' Rating on Class E-R Notes POST ROAD 2025-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes PRET 2025-RPL1: DBRS Gives Prov. B Rating on Class B-2 Notes RAD CLO 27: Fitch Assigns 'BB-sf' Rating on Class E Notes RAD CLO 28: S&P Assigns BB- (sf) Rating on Class E Notes RCKT MORTGAGE 2025-CES1: Fitch Gives 'Bsf' Rating on 5 Tranches SANTANDER DRIVE 2025-1: Fitch Assigns 'BBsf' Rating on Cl. E Notes SCULPTOR CLO XXVII: Moody's Assigns Ba3 Rating to $19.1MM E-R Notes SEQUOIA MORTGAGE 2025-1: Fitch Assigns 'B+sf' Rating on Cl. B Certs SIGNAL PEAK 14: S&P Assigns BB- (sf) Rating on Class E Notes SILVER POINT 1: Fitch Assigns 'BB+sf' Rating on Class E-R Notes SILVER POINT 1: Moody's Assigns B3 Rating to $250,000 F-R Notes SUTTONPARK 2021-A: DBRS Keeps BB Rating of D Notes Under Review TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on Class E Advances UBS COMMERCIAL 2017-C6: Fitch Cuts Rating on Two Tranches to Bsf UBS-BAMLL TRUST 2012-WRM: S&P Cuts Cl. E Certs Rating to 'D (sf)' VOYA CLO 2020-3: S&P Assigns BB-(sf) Rating on Class E-RR Notes WELLS FARGO 2014-LC16: DBRS Confirms C Rating on Class C Certs ZAYO ISSUER 2025-1: Fitch Gives 'BB-(EXP)sf' Rating on Cl. C Notes [*] Moody's Takes Action on 8 Bonds From 4 US RMBS Deals [*] Moody's Upgrades Ratings on 13 Bonds From 11 US RMBS Deals [*] S&P Takes Various Actions on 72 Classes From Eight US RMBS Deal [] Fitch Takes Various Action on College Loan Trust I Indentures [] Moody's Takes Action on 11 Bonds From 4 US RMBS Deals ********* AASET 2021-1 TRUST: S&P Raises Class C Notes Rating to BB+ (sf) --------------------------------------------------------------- S&P Global Ratings completed its review of 15 ratings from four aircraft ABS transactions. The review yielded 13 upgrades and two affirmations. S&P said, "The upgrades primarily reflect the increase in the respective notes' credit enhancement due to principal repayments backed by strong collateral collections (base rent, maintenance reserves, end-of-lease payment, and sale of aircraft) and sustained stable portfolio performance leading to decreases in loan-to-value (LTV) ratios since our last review. The affirmations reflect the constraints related to the application of our counterparty risk criteria for those notes, although the performance has remained strong." The sections below provide more transaction-specific details from this review. All statistics reported herein are as of the December 2024 payment date. AASET 2021-1 Trust S&P said, "We raised our ratings on the class B and C notes and affirmed our rating on the class A notes from AASET 2021-1 Trust. "The upgrades primarily reflect the sustained stable performance of the underlying aircraft pool, the paydown of the notes since the prior review, and the resulting decline in the LTV ratios. The affirmation reflects the constraints related to the application of our counterparty risk criteria, although the performance has remained strong." The portfolio is backed by 31 aircraft that were manufactured between 2000 and 2015, with a weighted average age of 14.2 years and weighted average remaining lease term of 3.7 years (based on the lower of mean and median [LMM] of the half-life appraised values as of October 2024). One aircraft is currently off lease and one aircraft is due to come off lease in the next 12 months. The portfolio is well-diversified across lessees and jurisdictions with a majority of narrowbody aircraft. S&P said, "Since our most recent review in July 2023, the transaction has paid down the class A, B and C notes by approximately $161.9 million, $51.5 million, and $2.9 million, respectively, primarily from cash flows from base and utilization rents. From the July 2023 payment date to the January 2025 payment date the LTV ratio has decreased for class A to 52.75% from 67.93%, for class B to 63.00% from 83.95%, and for class C to 73.85% from 93.64%. "Our cash flow analysis suggests a higher rating for all three classes. However, we considered the structural subordination of the class B and C notes, as well as their respective LTVs relative to the age of the portfolio and the results of additional cash flow runs that applied additional haircuts to cash flows. In general, we also considered the replacement framework, and the rating threshold associated with the bank account and liquidity facility providers, while determining the ratings assigned herein. "We also note that if our rating of the liquidity provider and/or the bank account provider were to be lowered below a certain level or if either provider is replaced by a counterparty with a lower rating, it could lead to a potential change in the notes' rating based on the application of our counterparty risk criteria." MAPS 2018-1 Ltd. S&P raised its ratings on the class A, B, and C notes from MAPS 2018-1 Ltd. The upgrades primarily reflect the sustained stable performance of the underlying aircraft pool, the paydown of the notes since the prior review, and the resulting decline in the LTV ratios. The portfolio is backed by nine aircraft and two engines manufactured between 2002 and 2011, with a weighted average age of 14.5 years and a weighted average remaining lease term of 3.7 years (based on the LMM of the half-life appraised values as of September 2024). The portfolio is fully leased with 10.84% of the leases expiring in the next 12 months. Since S&P's most recent review for this deal in September 2023, the class A, B, and C notes have been paid down in aggregate by approximately $141 million, $27.7 million, and $16.5 million, respectively. From the September 2023 payment date to the January 2025 payment date, the LTV ratio (based on the LMM of the half-life appraised values) decreased for the class A notes to 32.31% from 63.16%, for the class B notes to 36.38% from 74.28%, and for the class C notes to 45.24% from 84.53%. These decreases have been driven by cashflows from rental collections and the sales of seven aircraft since S&P's last review. S&P said, "Our cash flow results indicated a higher rating for all the three classes. However, we considered the structural subordination for the class B and C notes and the increased portfolio concentration as the transaction continues to undertake opportunistic aircraft dispositions. In general, we also considered the replacement framework and the rating threshold associated with the liquidity facility provider (after the class A notes are paid off) and the bank account provider while determining the ratings assigned herein. "We also note that if our rating of the liquidity provider and/or the bank account provider were to be lowered below a certain level or if either provider is replaced by a counterparty with a lower rating, it could lead to a potential change in the notes' rating based on the application of our counterparty risk criteria." MAPS 2021-1 Trust S&P raised its ratings on the class B and C notes and affirmed its rating on the class A notes from MAPS 2021-1 Trust. The upgrades primarily reflect the continued stable performance of the underlying aircraft pool, the paydown of the notes since the prior review, and the subsequent decline in the LTV ratios. The affirmation reflects the constraints related to the application of S&P's counterparty risk criteria, although the performance has remained strong. The portfolio is backed by nine aircraft manufactured between 2000 and 2014, with a weighted average age of 13.8 years and a weighted average remaining lease term of 4.9 years (based on the LMM of the half-life appraised values as of September 2024). The portfolio is fully leased with 9.17% leases expiring in the next 12 months. Since S&P's last review of this transaction in July 2023, the class A, B, and C notes have been paid down by approximately $205.9 million, $48.4 million, and t $39.1 million, respectively. From the July 2023 payment date to the January 2025 payment date, the LTV ratio decreased for the class A notes to 42.18% from 69.46%, for the class B notes to 49.18% from 84.19%, and for the class C notes to 50.26% from 93.61%. These decreases have been driven by cashflows from rental collections and the sales of eight aircraft since our last review. S&P said, "Our cash flow results indicated a higher rating for all the three classes. However, we considered the structural subordination for the class B and C notes and the increased portfolio concentration as the transaction continues to undertake opportunistic aircraft dispositions. In general, we also considered the replacement framework and the rating threshold associated with the liquidity facility provider (after the class A notes are paid off) and the bank account provider while determining the ratings assigned herein. "We also note that if our rating of the liquidity provider and/or the bank account provider were to be lowered below a certain level or if either provider is replaced by a counterparty with a lower rating, it could lead to a potential change in the notes' rating based on the application of our counterparty risk criteria." PK Air 1 L.P. Table 1 Overcollateralization Class Current (%) Issuance (%) Threshold (%) A-F 1544.35 173.07 154.60 A-R 1544.35 173.07 154.60 B1-F 253.10 137.24 109.39 B2-F 146.35 116.25 109.39 C-F 117.21 106.62 108.29 D1-F 113.36 105.15 105.27 S&P Global Ratings raised its ratings on the class A-F and A-R loans, and the class B1-F, B2-F, C-F, and D1-F notes from PK Air 1 L.P. The upgrades reflect the transaction's sustained strong performance since closing, compliance with all the coverage tests (i.e., interest coverage and overcollateralization [O/C]), the loans' amortization, the servicer's (Apollo PK Air Management [CLO] L.P.) strength, and their track record in the aviation lending space. When the transaction originally closed, two cohorts of liabilities were issued, one consisting of six classes of U.S. dollar (USD)-denominated loans and notes and the other consisting of four classes of euro-denominated loans and notes. Each cohort was collateralized by USD and euro-denominated loans, respectively, and the structure was cross-collateralized. In late 2024, the euro-denominated collateral was sold and the euro-denominated notes were entirely paid down. The transaction now consists solely of the six USD-denominated loans and notes collateralized by USD-denominated portfolio of first-lien loans. While each cohort relied on proceeds denominated in the respective currency, there were some provisions in the waterfall that allowed for the utilization of proceeds denominated in the other currency. The full repayment of the euro liabilities, in S&P's view, further strengthens the USD structure because they can now use the collections to solely repay the USD liabilities. The USD-denominated loans have amortized and prepaid, resulting in $687.3 million of amortization of the class A-R and A-F loans between the June 2024 and December 2024 payment dates. The transaction is backed by a portfolio of first-lien senior secured loans collateralized by 163 aircraft and aircraft engines. The LMM value of the underlying aircraft and aircraft engine is $3.06 billion adjusted by the issuer's share in individual loans. The assets and liabilities are now only denominated in USDs. The structure allowed for reinvestment of principal proceeds until December 2022 and since then, the notes have paid down according to the payment sequence defined in the transaction documents. The O/C ratio for the USD structure passes with strong cushions and, given that this structure has also entered the amortization phase, S&P believes the ratios will continue to improve as the notes continue to pay down. The O/C of each class of the USD-denominated notes has improved since issuance. S&P said, "The results of our cash flow runs indicated a higher rating for the class B-2F, C-F, and D1-F notes. We considered the structural subordination of these classes while determining the ratings assigned." Ratings Raised AASET 2021-1 Trust Class B to A- (sf) from BBB (sf) Class C to BB+ (sf) from B+ (sf) MAPS 2018-1 Ltd. Class A to A+ (sf) from A (sf) Class B to A- (sf) from BBB+ (sf) Class C to BBB+ (sf) from BB (sf) MAPS 2021-1 Trust Class B to A- (sf) from BBB+ (sf) Class C to BBB+ (sf) from BB (sf) PK Air 1 L.P. Class A-F to AA (sf) from A+ (sf) Class A-R to AA (sf) from A+ (sf) Class B1-F to AA (sf) from A (sf) Class B2-F to AA- (sf) from BBB+ (sf) Class C-F to A- (sf) from BB (sf) Class D1-F to BBB+ (sf) from B+ (sf) Rating Affirmed AASET 2021-1 Trust Class A: A+ (sf) MAPS 2021-1 Trust Class A: A+ (sf) ABFC TRUST 2002-NC1: Moody's Lowers Rating on 2 Tranches to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating of one bond and downgraded the ratings of two bonds from ABFC 2002-NC1 Trust. The collateral backing this deal consists of subprime mortgages. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: ABFC 2002-NC1 Trust Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to Ba2 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Feb 17, 2017 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on Feb 17, 2017 Upgraded to Ca (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, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectations for each bond. Each of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's loss-given-default expectation assesses both the experienced and expected future losses as a percent of the original bond balance. 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. ACHM TRUST 2023-HE1: DBRS Confirms B(low) Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. takes credit rating actions on all classes of Mortgage-Backed Notes, Series 2023-HE1 issued by ACHM Trust 2023-HE1 as follows: -- Class A confirmed at AAA (sf) -- Class B upgraded to A (low) (sf) from BBB (low) (sf) -- Class C confirmed at B (low) (sf) The credit rating upgrade reflects a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024. Notes: All figures are in U.S. dollars unless otherwise noted. ACRE COMMERCIAL 2021-FL4: DBRS Confirms BB(low) Rating on F Notes ----------------------------------------------------------------- DBRS, Inc. downgraded its credit rating on one class of notes issued by ACRE Commercial Mortgage 2021-FL4 Ltd. (the Issuer) as follows: -- Class G to CCC (sf) from B (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) The trends on Classes E and F remain Negative. Class G no longer carries a trend as it has a credit rating that typically does not carry a trend in Commercial Mortgage-Backed Securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating downgrade to Class G reflects ongoing accumulated interest shortfalls due, which will soon exceed Morningstar DBRS' tolerance relative to the current credit rating. Class G has not received full interest due since the June 2024 remittance. Morningstar DBRS' tolerance for unpaid interest is limited to six consecutive remittance periods at the B (sf) credit rating category. The Negative trends are reflective of the increased propensity for interest shortfalls, as well as the uncertainty around the recoverability of the majority of the loans in this maturing pool. The transaction is in wind down, with a cumulative trust balance of $279.2 million, composed of five loans as of the December 2024 remittance. Since the previous Morningstar DBRS credit rating action in June 2024, one loan with a former trust balance of $32.4 million was liquidated from the pool with a realized loss of $20.2 million, in line with Morningstar DBRS' expectations. Of the remaining loans, three loans, representing more than 80.0% of the pool balance, are secured by office properties. Morningstar DBRS believes the values of the assets have declined from respective loan closing as the borrowers of each loan have been unable to successfully implement their respective business plans. One of these loans, highlighted below, is currently in special servicing. Exchange (Prospectus ID#3; 26.9% of the current trust balance), the second largest asset in the pool, is secured by a 567,859-square-foot (sf) office property in Charlotte, North Carolina. The loan transferred to special servicing for maturity default in May 2024 and is currently paid through April 2024. According to the servicer, the asset is currently real estate owned. As of the trailing 12-month period (T-12) ended September 30, 2024, the property generated net cash flow (NCF) of $4.5 million, resulting in a DSCR of 0.72 times (x). The property was appraised for $83.0 million as of February 2024, down 24.7% from the issuance value of $110.2 million. The February 2024 value implies a loan-to value ratio (LTV) of 82.7% based on the current funded A-note of $68.6 million. Morningstar DBRS believes the current market value is likely lower and, in its analysis, Morningstar DBRS applied a haircut to the most recent appraisal value, resulting in a minor loss severity. The projected losses for this loan are expected to be contained to the unrated first loss piece. The transaction closed in January 2021 with an initial collateral pool of 23 floating-rate mortgage loans secured by 34 mostly transitional real estate properties with a cut-off-date pool balance of approximately $667.2 million. The collateral pool for the transaction is static; however, the Issuer was able to acquire funded loan participation interests into the trust over the Permitted Funded Companion Participation Acquisition Period, which ended with the April 2024 Payment Date. The largest loan in the pool, 311 West Monroe (Prospectus ID#1; 32.3% of the current trust balance), is secured by a 15-story, 390,512-sf, Class A office property in the West Loop submarket of Chicago. The borrower used the advanced funds to pay for leasing costs for tenants that had executed leases at loan closing and to fund debt service shortfalls. Of the $48.0 million future funding proceeds, $34.7 million was allocated for leasing costs and $13.3 million was allocated for debt service carry costs. The borrower's business plan was to stabilize operations after signing new leases to secure takeout financing or sell the asset. The loan's initial maturity date was in March 2023; however, the loan was modified to extend the loan maturity to March 2025. As part of the modification, the borrower purchased a new interest rate cap agreement and deposited $2.2 million into the carry reserve. According to documents provided by the servicer, the property was 93.0% occupied as of the T-12 period ended September 30, 2024, with an NCF figure of $7.5 million, which equated to a DSCR of 0.65x. In its analysis, Morningstar DBRS assumed a stressed value, which resulted in an LTV in excess of 100%. Notes: All figures are in U.S. dollars unless otherwise noted. The principal methodology is North American CMBS Surveillance Methodology (December 13, 2024). ANCHORAGE CAPITAL 21: Moody's Assigns Ba3 Rating to $20MM E-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the "Refinancing Notes") issued by Anchorage Capital CLO 21, Ltd. (the "Issuer"). Moody's rating action is as follows: US$244,000,000 Class A-R Senior Secured Floating Rate Notes due 2034 (the "Class A-R Notes"), Assigned Aaa (sf) US$47,000,000 Class B-R Senior Secured Floating Rate Notes due 2034 (the "Class B-R Notes"), Assigned Aa1 (sf) US$20,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2034 (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. Anchorage Collateral Management, L.L.C. (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, the non-call period will be extended as well. 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: $390,369,880 Defaulted par: $1,286,913 Diversity Score: 84 Weighted Average Rating Factor (WARF): 3208 Weighted Average Spread (WAS): 3.63% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 5.75 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BAIN CAPITAL 2019-3: Moody's Assigns Ba3 Rating to $30MM E-RR Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of refinancing notes (the "Refinancing Notes") issued by Bain Capital Credit CLO 2019-3, Limited (the "Issuer"). Moody's rating action is as follows: US$310,000,000 Class A-RR Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$21,500,000 Class B-2-RR Senior Secured Floating Rate Notes due 2034, Assigned Aa1 (sf) US$29,915,000 Class C-1-RR Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$22,500,000 Class D-RR Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$30,000,000 Class E-RR Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) Additionally, Moody's have taken rating actions on the following outstanding notes originally issued by the Issuer on December 30, 2021 (the "First Refinancing Date"): US$43,800,000 Class B-1-R Senior Secured Floating Rate Notes due 2034, Upgraded to Aa1 (sf); previously on December 30, 2021 Assigned Aa2 (sf) US$3,585,000 Class C-2-R Senior Secured Deferrable Fixed Rate Notes due 2034, Upgraded to A2 (sf); previously on December 30, 2021 Assigned A3 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Bain Capital Credit US CLO Manager, 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 three other classes of secured notes and one class of subordinated notes, which will remain outstanding. Other changes to transaction features in connection with the refinancing include extension of the non-call period. Moody's rating actions on the Class B-1-R Notes, and Class C-2-R Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. No action was taken on the Class X-R notes because its expected losses remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $487,819,817 Defaulted par: $3,988,214 Diversity Score: 90 Weighted Average Rating Factor (WARF): 3012 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.08% Weighted Average Recovery Rate (WARR): 46.09% Weighted Average Life (WAL): 5.5 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, decrease in overall WAS or net interest income and, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BARINGS CLO 2018-III: S&P Raises Class F Notes Rating to 'B- (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class C, D, E, and F debt from Barings CLO Ltd. 2018-III. At the same time, we affirmed our ratings on the class B-1 and B-2-R debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the December 2024 trustee report. The transaction has paid down $194.56 million collectively to the class A-1, A-2, B-1, and B-2-R debt since S&P's August 2023 rating actions, resulting in the class A-1 and A-2 debt being paid in full and approximately 96.45% of the B-1 and B-2-R debt still outstanding. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the July 2023 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 285.46% from 147.49%. -- The class C O/C ratio improved to 180.82% from 128.61%. -- The class D O/C ratio improved to 130.86% from 113.48%. -- The class E O/C ratio improved to 112.25% from 106.00%. All O/C ratios experienced a positive movement due to the lower balances of the senior notes; consequently, the credit support increased. Along with the O/C ratios, the collateral portfolio's credit quality has improved since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have decreased, with $17.39 million reported as of the December 2024 trustee report compared to $32.87 million reported as of the July 2023 trustee report. Over the same period, the par amount of defaulted collateral decreased to $0 from $9.65 million. The upgraded ratings reflect the improved credit support available to the debt at the prior rating levels and decrease in principal balance of 'CCC' category obligations and defaulted obligations since the last review. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could results in ratings changes. S&P said, "Although our cash flow analysis indicated a higher rating for the class E debt, our rating action reflects additional sensitivity runs that considered the exposure to lower-quality assets and distressed prices we noticed in the portfolio. "Although the cash flow results indicated a lower rating for the class F debt, we view the overall credit seasoning as an improvement to the transaction and also considered the improved credit enhancement currently available to this class. In our opinion, the class F debt no longer meets our 'CCC' criteria for being dependent on favorable conditions to meet its payments, hence its rating was raised to 'B- (sf)'. However, any increase in defaults or par losses could lead to negative rating actions on the class F debt in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." Ratings Raised Barings CLO Ltd. 2018-III Class C to 'AAA (sf)' from 'AA (sf)' Class D to 'AA+ (sf)' from 'BBB- (sf) Class E to 'BB+ (sf)' from 'B+ (sf) Class F to 'B- (sf)' from 'CCC+ (sf) Ratings Affirmed Barings CLO Ltd. 2018-III Class B-1: AAA (sf) Class B-2-R: AAA (sf) BBCMS MORTGAGE 2023-C19: Fitch Lowers Rating on G-RR Debt to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 13 classes of BBCMS Mortgage Trust 2023-C19 (BBCMS 2023-C19). Fitch has also assigned a Negative Rating Outlook to class G-RR following the downgrade and revised the Outlook to Negative from Stable for classes C, D-RR, E-RR and F-RR. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2023-C19 A-1 05553RAA8 LT AAAsf Affirmed AAAsf A-2A 05553RAB6 LT AAAsf Affirmed AAAsf A-2B 05553RAZ3 LT AAAsf Affirmed AAAsf A-5 05553RAC4 LT AAAsf Affirmed AAAsf A-S 05553RAG5 LT AAAsf Affirmed AAAsf A-SB 05553RAD2 LT AAAsf Affirmed AAAsf B 05553RAH3 LT AA-sf Affirmed AA-sf C 05553RAJ9 LT A-sf Affirmed A-sf D-RR 05553RAK6 LT BBB+sf Affirmed BBB+sf E-RR 05553RAM2 LT BBBsf Affirmed BBBsf F-RR 05553RAP5 LT BBB-sf Affirmed BBB-sf G-RR 05553RAR1 LT Bsf Downgrade BB-sf H-RR 05553RAT7 LT CCCsf Downgrade B-sf X-A 05553RAE0 LT AAAsf Affirmed AAAsf X-B 05553RAF7 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 4.8%. Six loans are designated as Fitch Loans of Concern (FLOCs; 10.4% of the pool), including five loans (10.1%) in special servicing. The downgrades reflect increased pool loss expectations, driven primarily by the specially serviced 2 Executive loan (6.4%). The Negative Outlooks reflect potential downgrades with continued performance deterioration of the FLOCs, as well as prolonged workouts and/or outsized valuation declines for the specially serviced loans. The largest contributor to overall pool loss expectations is the 2 Executive loan, which is secured by a 290,922-sf mixed-use (office and multifamily) property located in Fort Lee, NJ. The property underwent a renovation to the top four floors beginning in 2019 to transform former office space into 84 multifamily units. The largest three office tenants are GSA (18.0% of NRA), Hudson Crossing Surgery (11.8%) and Nadri Inc (11.1%). Shortly after issuance and in April 2023, a fire occurred in one of the residential units, resulting in significant water damage that affected several residential and commercial units. The loan transferred to special servicing in January 2024 due to various defaults, including payment default. The servicer reported there are code violations at the property and several outstanding mechanic's liens totaling nearly $1 million. Due to the defaults and ongoing issues, a foreclosure was filed in June 2024. Media reports indicate that the borrower (Meyer Chetrit) has countersued the trustee alleging mismanagement of funds. As of September 2023, the servicer-reported DSCR was 1.36x. According to the July 2024 rent roll, the multifamily portion was 89% occupied and the office portion was 91% occupied. Despite the positive cash flow and stable occupancy, Fitch expects a prolonged loan workout given the pending litigation that could erode property valuation. Fitch's 'Bsf' rating case loss of 31.2% (prior to concentration add-ons) reflects a 9.25% cap rate to the Fitch issuance NCF and factors the elevated probability of default given the foreclosure loan status. Three of the other loans in special servicing have the same sponsor (Abe Cohen); these loans, Pennbrook Portfolio (Philadelphia, PA), 350 5th St & 372 Baltic St (Brooklyn, NY), and 566 7th Street (Brooklyn, NY), combined 2.3% of the pool, secured by multifamily properties, transferred to special servicing in February 2024 for payment default. Foreclosure was filed in October 2024. Another loan with the same sponsor (60 Diamond Street; 0.3%) is currently 30 days delinquent. Performance remains generally in line with issuance expectations and occupancy is reported to be 100% for each asset. Fitch's 'Bsf' rating loss ranges from 2.9% to 6.3% (prior to concentration add-ons); the minimal losses for each loan reflect the asset type and stable overall performance. The fifth loan in special servicing is Holiday Inn Express - Hesperia (1.3%), which is secured by a 100-key limited service hotel located in Hesperia, CA. The loan transferred special servicing in January 2024 for payment default. However, the borrower has since paid the loan current and a reinstatement agreement has been executed. The loan is expected to return to the master servicer. Fitch's 'Bsf' rating case loss of 10.5% (prior to concentration add-ons) reflects the Fitch issuance NCF and a 11.50% cap rate. Limited Change to Credit Enhancement (CE): As of the December 2024 remittance report, the transaction has been paid down by 0.18% since issuance. There are 26 (85.9%) full-term, interest-only (IO) loans and three loans (3.7%) have a partial, IO period. Based on the scheduled balances at maturity, the pool will pay down by only 1.4%. Cumulative interest shortfalls of $255,000 are affecting the non-rated class J-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the FLOCs deteriorate significantly and/or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from the FLOCs, particularly the 2 Executive loan, and/or with greater certainty of losses on the specially serviced loans. Downgrades to distressed 'CCCsf' ratings would occur should additional loans transfer to special servicing and/or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and better than expected resolutions for the specially serviced loans, particularly 2 Executive. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is the likelihood of interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XXIX: S&P Assigns Prelim 'BB-' Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Benefit Street Partners CLO XXIX Ltd./Benefit Street Partners CLO XXIX LLC, a CLO originally issued in December 2022 that is managed by BSP CLO Management LLC. The preliminary ratings are based on information as of Jan. 29, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 5, 2025, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period will be extended to Jan. 25, 2027. -- The reinvestment period will be extended to Jan. 25, 2030. -- The legal final maturity dates (for the replacement debt and the existing subordinated notes) will be extended to Jan. 25, 2038. -- Additional assets will be purchased on the Feb. 5, 2025, refinancing date, and the target initial par amount will upsize to $1 billion. There may be an additional effective date or ramp-up period, and the first payment date following the refinancing is April 25, 2025. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- There will be $35.20 million in additional subordinated notes issued on the refinancing date. Replacement And Original Debt Issuances Replacement debt -- Class A-R, $640.00 million: Three-month CME term SOFR + 1.18% -- Class B-R, $120.00 million: Three-month CME term SOFR + 1.50% -- Class C-R (deferrable), $60.00 million: Three-month CME term SOFR + 1.75% -- Class D-1-R (deferrable), $60.00 million: Three-month CME term SOFR + 2.55% -- Class D-2-R (deferrable), $10.00 million: Three-month CME term SOFR + 3.60% -- Class E-R (deferrable), $30.00 million: Three-month CME term SOFR + 4.60% -- Subordinated notes, $70.20 million: Not applicable Original debt -- Class A, $300.00 million: Three-month CME term SOFR + 2.220% -- Class B-1, $63.75 million: Three-month CME term SOFR + 3.100% -- Class B-2, $15.00 million: 6.655% -- Class C (deferrable), $26.25 million: Three-month CME term SOFR + 4.000% -- Class D (deferrable), $28.25 million: Three-month CME term SOFR + 5.750% -- Class E-R (deferrable), $17.25 million: Three-month CME term SOFR + 7.810% -- Subordinated notes, $35.00 million: Not applicable 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 Benefit Street Partners CLO XXIX Ltd./ Benefit Street Partners CLO XXIX LLC Class A-R, $640.0 million: AAA(sf) Class B-R, $120.0 million: AA(sf) Class C-R (deferrable), $60.0 million: A(sf) Class D-1-R (deferrable), $60.0 million: BBB-(sf) Class D-2-R (deferrable), $10.0 million: BBB-(sf) Class E-R (deferrable), $30.0 million: BB-(sf) Other Debt Benefit Street Partners CLO XXIX Ltd./ Benefit Street Partners CLO XXIX LLC Subordinated notes, $70.2 million: Not rated BLP COMMERCIAL 2023-IND: DBRS Confirms B(low) Rating on G Certs --------------------------------------------------------------- DBRS Limited confirmed the credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2023-IND issued by BLP Commercial Mortgage Trust 2023-IND as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, as evidenced by the steady occupancy across the portfolio since issuance. The portfolio is predominantly backed by industrial properties and benefits from experienced sponsorship, long-term leases, and geographical and sectoral diversity. It was previously noted there have been delays in construction of the largest building in the portfolio (I-10 Logistics Center 41.8% of the net rentable area (NRA)), discussed further below. The servicer confirmed that construction was completed in 2024, and Morningstar DBRS expects financial performance to increase to issuance expectations through the 2025 reporting. The transaction is collateralized by the borrower's fee-simple or leasehold interest in 30 cross-collateralized properties totaling 4.4 million square feet. The portfolio consists of 28 industrial properties and two office properties spread across 12 states, including California, New Jersey, and Maryland. The sponsor, Brookfield Strategic Real Estate Partners IV (BSREP IV), a fund controlled by Brookfield Asset Management, contributed $329.2 million of equity in the $807.7 million acquisition price of the subject portfolio. The $550 million interest-only, floating-rate loan has an initial upcoming maturity of March 2025 and is structured with three one-year extension options. The initial term as well as each of the extension options require the purchase of an interest rate cap agreement that yields a debt service coverage ratio (DSCR) of 1.10 times (x) and 1.05x, respectively, however, no performance tests are required to exercise any option. According to the servicer, the first maturity extension extending the loan to March 2026, has not been exercised. However, the borrower has until 10 days prior to the maturity date to provide notice of its extension. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 20.0% of the unpaid principal balance. The borrower can release any property in the portfolio at a release price of 110.0% of the ALA as long as the portfolio debt yield does not drop below the debt yield prior to the release or the portfolio's debt yield at issuance. As of the December 2024 remittance, there have been no property releases to date. As of the June 2024 rent roll, the portfolio reported an occupancy rate of 91.7%, compared with the YE2023 figure of 91.3%. The portfolios largest tenants are Shein (41.8% NRA, lease expire in September and December 2024), Kearney Page Warehouse Services (18.0% NRA, lease expiry in February 2029), and Iron Mountain (4.9% NRA, lease expiry in December 2024 and December 2027). Approximately 3.6% of the NRA have leases scheduled to expire in the next 12 months. According to the annualized trailing six-month financials for the period ended June 30, 2024, the subject reported NCF of $6.3 million (DSCR of 0.13x), compared to $7.9 million (DSCR of 0.17x) at YE2023 and the Morningstar DBRS NCF of $34.9 million derived at issuance. Financials remain below issuance expectations due to the largest tenant, Shein (51.2% of Morningstar DBRS base rent) facing move-in delays due to prolonged construction. At issuance, Shein was expected to take occupancy in the two buildings at the I-10 Logistics Center in September 2023 subject to an initial three-month rent abatement period. Following numerous delays in construction, the servicer has confirmed that the Shein took occupancy in June and September 2024 with both free rent periods complete as of this commentary. At issuance, Morningstar DBRS derived a value of $527.9 million based on the Morningstar DBRS NCF of $34.9 million and a capitalization rate of 6.75%, resulting in a Morningstar DBRS loan-to-value (LTV) of 104.2% compared with the LTV of 60.0% based on the appraised value at issuance. Positive qualitative adjustments totaling 7.25% were applied to the LTV Sizing Benchmarks to reflect the portfolio's quality, cash flow volatility, and strong market fundamentals. Morningstar DBRS' credit outlook of the transaction remains unchanged from issuance despite the tenant move-in delays and resulting depressed cash flows. Notes: All figures are in U.S. dollars unless otherwise noted. CARVAL CLO III: Moody's Assigns Ba3 Rating to $28.4MM E-R2 Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (the "Refinancing Notes") issued by CarVal CLO III Ltd. (the "Issuer"). Moody's rating action is as follows: US$310,970,133 Class A-R2 Senior Secured Floating Rate Notes due 2032, Assigned Aaa (sf) US$51,000,000 Class B-R2 Senior Secured Floating Rate Notes due 2032, Assigned Aaa (sf) US$24,500,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2032, Assigned Aa3 (sf) US$31,900,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes due 2032, Assigned Baa2 (sf) US$28,400,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes due 2032, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. CarVal CLO Management, LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing, including extension of the Refinancing Notes' non-call period. No action was taken on the Class F Notes because its expected loss remains commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $478,127,405 Defaulted par: $7,448,366 Diversity Score: 73 Weighted Average Rating Factor (WARF): 2841 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.10% Weighted Average Recovery Rate (WARR): 47.13% Weighted Average Life (WAL): 4.09 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CFCRE 2016-4: Fitch Affirms Bsf Rating on 2 Tranches ---------------------------------------------------- Fitch Ratings has affirmed 16 classes of CFCRE 2016-C3 Mortgage Trust. Following their affirmations, the Rating Outlooks for class B, C and X-B were revised to Negative from Stable. The Rating Outlooks for class D, E, X-D and X-E remain Negative. Fitch has also affirmed 15 classes of CFCRE 2016-C4 Mortgage Trust. The Outlooks for class B, C and X-B were revised to Stable from Positive. The Outlooks for class E, F, X-E and X-F were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CFCRE 2016-C4 A-3 12531YAM0 LT AAAsf Affirmed AAAsf A-4 12531YAN8 LT AAAsf Affirmed AAAsf A-HR 12531YAP3 LT AAAsf Affirmed AAAsf A-M 12531YAU2 LT AAAsf Affirmed AAAsf A-SB 12531YAL2 LT AAAsf Affirmed AAAsf B 12531YAV0 LT AA+sf Affirmed AA+sf C 12531YAW8 LT A+sf Affirmed A+sf D 12531YAE8 LT BBB-sf Affirmed BBB-sf E 12531YAF5 LT BBsf Affirmed BBsf F 12531YAG3 LT Bsf Affirmed Bsf X-A 12531YAQ1 LT AAAsf Affirmed AAAsf X-B 12531YAS7 LT AA+sf Affirmed AA+sf X-E 12531YAB4 LT BBsf Affirmed BBsf X-F 12531YAC2 LT Bsf Affirmed Bsf X-HR 12531YAR9 LT AAAsf Affirmed AAAsf CFCRE 2016-C3 A-2 12531WBA9 LT AAAsf Affirmed AAAsf A-3 12531WBB7 LT AAAsf Affirmed AAAsf A-SB 12531WAZ5 LT AAAsf Affirmed AAAsf AM 12531WBF8 LT AAAsf Affirmed AAAsf B 12531WBG6 LT AAsf Affirmed AAsf C 12531WBH4 LT A-sf Affirmed A-sf D 12531WAL6 LT BBsf Affirmed BBsf E 12531WAN2 LT B-sf Affirmed B-sf F 12531WAQ5 LT CCCsf Affirmed CCCsf G 12531WAS1 LT CCsf Affirmed CCsf X-A 12531WBC5 LT AAAsf Affirmed AAAsf X-B 12531WBD3 LT AAsf Affirmed AAsf X-D 12531WAA0 LT BBsf Affirmed BBsf X-E 12531WAC6 LT B-sf Affirmed B-sf X-F 12531WAE2 LT CCCsf Affirmed CCCsf X-G 12531WAG7 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The deal-level 'B'sf rating case loss for the CFCRE 2016-C3 and CFCRE 2016-C4 transactions is 8.5% and 5.0%, respectively. Fitch Loans of Concern (FLOCs) include 11 loans (39.9% of the pool) in CFCRE 2016-C3, and 12 loans (34.0%) in CFCRE 2016-C4, which includes one loan (7.2%) in special servicing. Affirmations in CFCRE 2016-C3 and CFCRE 2016-C4 reflect generally stable pool performance since Fitch's prior rating action. Due to concentration of upcoming loan maturities in both transactions, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their collateral quality and current status, and then ranked them by their perceived likelihood of repayment and/or loss expectations. Loan maturities are concentrated in the second half of 2025 (75.9%) and Q1 2026 (24.1%) in the CFCRE 2016-C3 transaction, and the first half of 2026 (75.9%) in the CFCRE 2016-C4 transaction. The Negative Outlooks in CFCRE 2016-C3 reflect these classes' reliance on FLOCs to repay, including Element LA (9.4%), Empire Mall (7.6%), One Commerce Plaza (5.8%), Springfield Mall (4.6%), Glenridge Medical Center I (4.2%) and Fairfield Inn & Suites, Cordele (0.6%), which have experienced continued performance declines and anticipated refinancing challenges. Due to concerns surrounding refinancing, Fitch's analysis of CFCRE 2016-C3 also incorporated an additional sensitivity scenario that factored a heightened probability of default on the Element LA loan, where pool-level losses increase to 9.7% and contributed to the Negative Outlooks. The Negative Outlooks in CFCRE 2016-C4 reflect these classes' reliance on FLOCs to repay, including the specially serviced Hyatt Regency St. Louis at the Arch as well as office FLOCs, One Commerce Plaza, 5353 West Bell Road, Racine Dental, 3 Executive Campus, Traveler's Office Tower II, Binz Building and Banderas Corporate Center; downgrades are possible with continued performance declines and/or default at or prior to maturity of these FLOCs. Largest Contributors to Loss: The largest increase in loss since the prior rating action in CFCRE 2016-C3 is the Element LA loan (9.4% of the pool), which is secured by a 284,037-sf suburban office property located in Los Angeles, CA. The property is fully occupied by RIOT Games, who utilizes the property as its global headquarters. The tenant has a lease termination option in February 2025, with 12 months' notice, which was not exercised, per servicer reporting. The tenant's lease expires in March 2030, beyond the loan's November 2025 loan maturity. The property is located south of the Palisades Fire that is currently affecting the Los Angeles MSA. Fitch requested updates from the servicer regarding any fire damage, but did not receive a response. Fitch's 'Bsf' rating case loss of 12.0% (prior to concentration adjustments) reflects a 9% cap rate and a 20% stress to the YE 2023 NOI. Fitch also performed an additional sensitivity scenario to account for the high debt per square foot anticipated refinance concerns, increasing the 'Bsf' sensitivity case loss to 24% (prior to concentration adjustments), which contributed to the Negative Outlooks. The CFCRE 2016-C3 transaction includes two regional mall loans, the Empire Mall (7.6%) and the Springfield Mall (4.6%). The YTD June 2024 occupancy and NOI DSCR for the Empire Mall are 85% and 1.52x, respectively. Comparable inline sales were $456 psf as of March 2024. The Springfield Mall performance has continued to decline with the June 2024 occupancy falling to 86% from 97% at YE 2023. NOI DSCR has declined to 1.24x for the YTD June 2024 reporting period from 1.32x at YE 2023. Due to concerns regarding performance and anticipated refinance challenges of these two malls, Fitch's 'Bsf' rating case loss of 40% (prior to concentration adjustments) for the Empire Mall and 33% (prior to concentration adjustments) for the Springfield Mall factor a heightened probability of default. The second largest contributor to loss expectations in the CFCRE 2016-C3 transaction and the largest contributor to loss in CFCRE 2016-C4 is the One Commerce Plaza loan (5.8% of CFCRE 2016-C3 and 4.4% in CFCRE 2016-C4), secured by a 737,528-sf office property located in Albany, NY. The property is mainly occupied by New York State Agencies (totaling 70% of the NRA), including the Departments of State, Department of Health, Department of Higher Education, Department of Financial Institutions and Department of Temporary Disability. While overall performance has remained stable since issuance, there is substantial upcoming lease rollover, including the Department of Health's lease (23% of NRA) expiring prior to loan maturity in January 2026. Fitch's 'Bsf' rating case loss of 22.6% (prior to concentration adjustments) reflects a 10% cap rate, 10% stress to the YE 2022 NOI and factors an increased probability of default to account for the loan's heightened maturity default concerns. The next largest contributor to loss expectations in the CFCRE 2016-C4 transaction is the 5353 West Bell Road loan (3.1%), which is secured by a 206,155-sf office building located in Glendale, AZ. The property is fully leased to the CSAA Insurance Group through November 2025, which is prior to the loan's maturity in January 2026. According to CoStar and broker materials, the entire space is listed as available for sublease. Fitch's 'Bsf' rating case loss of 17.6% (prior to concentration adjustments) reflects a 10% cap rate and a 20% stress to the YE 2022 NOI, and factors an increased probability of default to account for the loan's heightened maturity default concerns. The third largest contributor to loss expectations in the CFCRE 2016-C4 transaction is the Traveler's Office Tower II loan (2.5%), which is secured by a 349,149-sf office property located in Southfield, MI. The loan was identified as a FLOC due to performance declines, impending lease rollover and weakened submarket conditions. Occupancy declined to 69.8% as of September 2024 from 68% at YE 2021 and remains below pre-pandemic occupancy of 98% at YE 2019. Due to the occupancy declines, the loan's NOI DSCR has declined to 3.7x for the YTD September 2024 reporting period, down from 4.6x as of YE 2019 and 4.0x at YE 2018. Additionally, there is significant upcoming rollover of approximately 45% of the NRA in 2026, including the largest tenant R1 RCM, Inc (35.7%) which expires in April 2026, subsequent to loan maturity in January 2026. According to CoStar, approximately 77.7% of the NRA is listed as available for sublease. Fitch requested leasing updates on the available space, but did not receive a response. The property is located in the Southfield submarket of the Detroit MSA, which reported a vacancy rate of 24.5% and a higher availability rate of 28.6%. Fitch's 'Bsf' rating case loss of 18.2% (prior to concentration adjustments) reflects a 10.5% cap rate and a 25% stress to the YE 2023 NOI as well as an increased probability of default to account for the loan's heightened maturity default risk. Increased Credit Enhancement (CE): As of the January 2025 distribution statement, the aggregate balances of the CFCRE 2016-C3 and CFCRE 2016-C4 transactions have been reduced by 16.3% and 24.4%, respectively. There are 10 loans (23.3%) in CFCRE 2016-C3 and 14 loans (16.4%) in CFCRE 2016-C4 that are defeased. Interest shortfalls of $108,196 are impacting the non-rated class G in CFCRE 2016-C3 and $82,804 are impacting the non-rated class G in CFCRE 2016-C4. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to their position in the capital structure and continued amortization/paydown and defeasance of loans, but may occur should interest shortfalls impact these classes or there are substantial increases in deal-level losses. Downgrades to 'AAsf' and 'Asf' rated classes in the CFCRE 2016-C3 transaction could occur with an increase in pool-level losses from further performance deterioration of FLOCs, namely Element LA, Empire Mall, One Commerce Plaza, Springfield Mall, Glenridge Medical Center I and Fairfield Inn & Suites, Cordele. In the CFCRE 2016-C4 transaction, downgrades to these classes could occur if performance of the FLOCs and loans in special servicing, most notably Hyatt Regency St. Louis at The Arch, One Commerce Plaza, 5353 West Bell Road, Racine Dental, 3 Executive Campus and Travelers Office Tower II, deteriorate further or fail to stabilize. Downgrades to 'BBBsf' and 'BBsf'-rated are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to 'Bsf'-rated classes would occur should the aforementioned FLOCs and loans in special servicing fail to stabilize and/or expected losses increase from further performance declines of these loans Downgrades to distressed classes are should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. This includes Element LA, Empire Mall, One Commerce Plaza, Springfield Mall, Glenridge Medical Center I and Fairfield Inn & Suites, Cordele in CFCRE 2016-C3 and Hyatt Regency St. Louis at The Arch, One Commerce Plaza, 5353 West Bell Road, Racine Dental, 3 Executive Campus and Travelers Office Tower II in CFCRE 2016-C4. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. 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. CIG AUTO 2021-1: Moody's Upgrades Rating on Class E Notes to Ba2 ---------------------------------------------------------------- Moody's Ratings takes action on 47 classes of bonds issued from 37 non-prime auto securitizations. The bonds are backed by pools of retail automobile non-prime loan contracts originated and serviced by multiple parties. The complete rating actions are as follows: Issuer: American Credit Acceptance Receivables Trust 2022-2 Class D Asset Backed Notes, Upgraded to Aa2 (sf); previously on Sep 20, 2024 Upgraded to A2 (sf) Issuer: American Credit Acceptance Receivables Trust 2022-4 Class D Asset Backed Notes, Upgraded to A1 (sf); previously on Dec 18, 2023 Upgraded to Baa1 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2021-3 Class E Notes, Upgraded to A1 (sf); previously on Oct 3, 2024 Upgraded to A2 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2022-1 Class D Notes, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to Aa1 (sf) Class E Notes, Upgraded to A3 (sf); previously on Oct 3, 2024 Upgraded to Baa1 (sf) Issuer: AmeriCredit Automobile Receivables Trust 2022-2 Class D Notes, Upgraded to Aa1 (sf); previously on Oct 3, 2024 Upgraded to Aa2 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Jun 17, 2024 Upgraded to Baa3 (sf) Issuer: CIG Auto Receivables Trust 2021-1 Class E Notes, Upgraded to Ba2 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba3 (sf) Issuer: CPS Auto Receivables Trust 2022-D Class D Notes, Upgraded to Aa3 (sf); previously on Sep 20, 2024 Upgraded to A1 (sf) Issuer: CPS Auto Receivables Trust 2023-B Class D Notes, Upgraded to Aa2 (sf); previously on Sep 20, 2024 Upgraded to A2 (sf) Issuer: Credit Acceptance Auto Loan Trust 2022-1 Class B Notes, Upgraded to Aaa (sf); previously on Jun 16, 2022 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Jun 16, 2022 Definitive Rating Assigned A2 (sf) Class D Notes, Upgraded to A3 (sf); previously on Jun 16, 2022 Definitive Rating Assigned Baa3 (sf) Issuer: Credit Acceptance Auto Loan Trust 2022-3 Class C Notes, Upgraded to Aa1 (sf); previously on Nov 3, 2022 Definitive Rating Assigned Aa3 (sf) Issuer: Drive Auto Receivables Trust 2021-3 Class D Notes, Upgraded to Aaa (sf); previously on Jun 17, 2024 Upgraded to Aa1 (sf) Issuer: Drive Auto Receivables Trust 2024-1 Class C Notes, Upgraded to Aaa (sf); previously on Sep 20, 2024 Upgraded to Aa1 (sf) Issuer: Exeter Automobile Receivables Trust 2021-3 Class D Notes, Upgraded to Aaa (sf); previously on Mar 27, 2024 Upgraded to Aa1 (sf) Issuer: Exeter Automobile Receivables Trust 2022-3 Class D Notes, Upgraded to Baa1 (sf); previously on Jun 22, 2022 Definitive Rating Assigned Baa3 (sf) Issuer: Exeter Automobile Receivables Trust 2023-5 Class C Notes, Upgraded to Aaa (sf); previously on Sep 20, 2024 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Nov 15, 2023 Definitive Rating Assigned Baa2 (sf) Issuer: Exeter Automobile Receivables Trust 2024-1 Class C Notes, Upgraded to Aa1 (sf); previously on Jan 31, 2024 Definitive Rating Assigned Aa3 (sf) Issuer: Exeter Automobile Receivables Trust 2024-2 Class D Notes, Upgraded to Baa1 (sf); previously on Apr 5, 2024 Definitive Rating Assigned Baa2 (sf) Issuer: GLS Auto Receivables Issuer Trust 2024-2 Class B Notes, Upgraded to Aaa (sf); previously on May 16, 2024 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on May 16, 2024 Definitive Rating Assigned Aa3 (sf) Issuer: GLS Auto Receivables Issuer Trust 2024-3 Class B Notes, Upgraded to Aaa (sf); previously on Aug 15, 2024 Definitive Rating Assigned Aa1 (sf) Issuer: Lendbuzz Securitization Trust 2023-2 Class B Notes, Upgraded to Baa2 (sf); previously on May 31, 2023 Definitive Rating Assigned Baa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2021-2 Class E Notes, Upgraded to Aaa (sf); previously on Jun 17, 2024 Upgraded to Aa1 (sf) Issuer: Santander Drive Auto Receivables Trust 2021-3 Class E Notes, Upgraded to Aaa (sf); previously on Oct 3, 2024 Upgraded to Aa1 (sf) Issuer: Santander Drive Auto Receivables Trust 2021-4 Class E Notes, Upgraded to Aa2 (sf); previously on Oct 3, 2024 Upgraded to Aa3 (sf) Issuer: Santander Drive Auto Receivables Trust 2022-1 Class D Notes, Upgraded to Aa2 (sf); previously on Jun 17, 2024 Upgraded to A1 (sf) Issuer: Santander Drive Auto Receivables Trust 2022-5 Class D Notes, Upgraded to Aa1 (sf); previously on Oct 3, 2024 Upgraded to Aa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2022-6 Class D Notes, Upgraded to Aa1 (sf); previously on Oct 3, 2024 Upgraded to Aa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2023-4 Class C Notes, Upgraded to Aa1 (sf); previously on Jun 17, 2024 Upgraded to Aa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2023-5 Class C Notes, Upgraded to Aa1 (sf); previously on Oct 3, 2024 Upgraded to Aa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2023-6 Class C Notes, Upgraded to Aa1 (sf); previously on Oct 3, 2024 Upgraded to Aa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2024-1 Class D Notes, Upgraded to Baa1 (sf); previously on Jan 18, 2024 Definitive Rating Assigned Baa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2024-2 Class C Notes, Upgraded to Aa1 (sf); previously on Apr 24, 2024 Definitive Rating Assigned Aa2 (sf) Issuer: Tricolor Auto Securitization Trust 2023-1 Class E Asset Backed Notes, Upgraded to A1 (sf); previously on Jun 17, 2024 Upgraded to Baa1 (sf) Issuer: Tricolor Auto Securitization Trust 2024-1 Class E Asset Backed Notes, Upgraded to A3 (sf); previously on Oct 3, 2024 Upgraded to Baa2 (sf) Issuer: Tricolor Auto Securitization Trust 2024-2 Class D Asset Backed Notes, Upgraded to A1 (sf); previously on May 22, 2024 Definitive Rating Assigned A3 (sf) Class E Asset Backed Notes, Upgraded to Baa1 (sf); previously on May 22, 2024 Definitive Rating Assigned Ba1 (sf) Issuer: Veros Auto Receivables Trust 2023-1 Class C Notes, Upgraded to Aa3 (sf); previously on Sep 20, 2024 Upgraded to A2 (sf) Issuer: Veros Auto Receivables Trust 2024-1 Class B Notes, Upgraded to Aa2 (sf); previously on May 29, 2024 Definitive Rating Assigned A1 (sf) Class C Notes, Upgraded to A1 (sf); previously on May 29, 2024 Definitive Rating Assigned Baa2 (sf) Issuer: VStrong Auto Receivables Trust 2024-A Class B Notes, Upgraded to Aa2 (sf); previously on Mar 26, 2024 Definitive Rating Assigned Aa3 (sf) Class C Notes, Upgraded to A2 (sf); previously on Mar 26, 2024 Definitive Rating Assigned A3 (sf) Class D Notes, Upgraded to Baa2 (sf); previously on Mar 26, 2024 Definitive Rating Assigned Baa3 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade actions are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. In Moody's analysis, Moody's also considered the likelihood of higher future pool expected losses due to rising borrower defaults driven by high inflation and declining borrower excess savings, as well as lower recoveries driven by softening used vehicle prices. AmeriCredit Automobile Receivables Trust 2021-3: 5.75% AmeriCredit Automobile Receivables Trust 2022-1: 6.75% AmeriCredit Automobile Receivables Trust 2022-2: 9.00% American Credit Acceptance Receivables Trust 2022-2: 39.00% American Credit Acceptance Receivables Trust 2022-4: 37.00% CIG Auto Receivables Trust 2021-1: 17.00% CPS Auto Receivables Trust 2022-D: 24.00% CPS Auto Receivables Trust 2023-B: 23.00% Credit Acceptance Auto Loan Trust 2022-1: 29.00% Credit Acceptance Auto Loan Trust 2022-3: 27.00% Drive Auto Receivables Trust 2021-3: 17.00% Drive Auto Receivables Trust 2024-1: 21.00% Exeter Automobile Receivables Trust 2021-3: 21.00% Exeter Automobile Receivables Trust 2022-3: 31.00% Exeter Automobile Receivables Trust 2023-5: 23.00% Exeter Automobile Receivables Trust 2024-1: 22.00% Exeter Automobile Receivables Trust 2024-2: 21.00% GLS Auto Receivables Issuer Trust 2024-2: 19.00% GLS Auto Receivables Issuer Trust 2024-3: 19.00% Lendbuzz Securitization Trust 2023-2: 7.00% Santander Drive Auto Receivables Trust 2021-2: 7.00% Santander Drive Auto Receivables Trust 2021-3: 8.25% Santander Drive Auto Receivables Trust 2021-4: 10.00% Santander Drive Auto Receivables Trust 2022-1: 12.50% Santander Drive Auto Receivables Trust 2022-5: 15.00% Santander Drive Auto Receivables Trust 2022-6: 15.50% Santander Drive Auto Receivables Trust 2023-4: 16.00% Santander Drive Auto Receivables Trust 2023-5: 16.00% Santander Drive Auto Receivables Trust 2023-6: 16.00% Santander Drive Auto Receivables Trust 2024-1: 16.00% Santander Drive Auto Receivables Trust 2024-2: 16.00% Tricolor Auto Securitization Trust 2023-1: 24.00% Tricolor Auto Securitization Trust 2024-1: 22.00% Tricolor Auto Securitization Trust 2024-2: 22.50% VStrong Auto Receivables Trust 2024-A: 13.00% Veros Auto Receivables Trust 2023-1: 27.00% Veros Auto Receivables Trust 2024-1: 23.00% No actions were taken on the remaining rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. COLT 2025-1: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2025-1 Mortgage Loan Trust (COLT 2025-1). Entity/Debt Rating Prior ----------- ------ ----- COLT 2025-1 A-1A LT AAAsf New Rating A-1B LT AAAsf New Rating A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The COLT 2025-1 certificates are supported by 516 nonprime loans with a total balance of approximately $320.3 million as of the cutoff date. Loans in the pool were originated by multiple originators, including The Loan Store Inc., Foundation Mortgage Corporation and various others. The loans were aggregated by Hudson Americas L.P. and are being serviced by Fay Servicing LLC (Fay) and Select Portfolio Servicing, Inc. (SPS). Collateral and structural changes made by Hudson, after the publication of expected ratings, increased expected losses by approximately 25bps for all stresses excluding the 'BB' and 'Base Case' stresses. Additionally, the A-1 class split into an A-1A and A-1B class, while also including an A-1 exchangeable class. After a Trigger Event, interest is prioritized to classes A-1A then A-1B followed by principal to the A-1A and then A-1B class. The structure was resized to reflect updated balances, the loan drop and rate shifts. Due to the shift in balances, the CE for the A-2 increased 5bps and the A-3, M-1 and B-2 classes increased 25bps. The CE for all remaining classes did not change. The coupons for the A-2 classes decreased 9bps while the A-3 and M-1 decreased 4bps and 2bps, respectively. The weighted average excess spread increased to 124bps from 122bps. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Fitch views the home price values of this pool as 10.6% above a long-term sustainable level (versus 11.6% on a national level as of 2Q24, up 0.1% qoq, based on Fitch's updated view on sustainable home prices). Housing affordability is at its worst levels in decades, driven by both high interest rates and elevated home prices. Home prices increased 3.9% yoy nationally as of September 2024, notwithstanding modest regional declines, but are still being supported by limited inventory. COLT 2025-1 has a combined original loan-to-value ratio (cLTV) of 72.1%, slightly lower than that of the previous transaction, COLT 2024-7. Based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV (sLTV) is 80.6%, compared with 81.0% for the previous transaction. Non-QM Credit Quality (Negative): The collateral consists of 516 loans totaling $320.3 million and seasoned at approximately three months in aggregate, as calculated by Fitch. The borrowers have a moderate credit profile, consisting of a 739 model FICO, and moderate leverage, with an 80.6% sLTV and a 72.1% cLTV. Of the pool, 52.8% of the loans are for a primary residence, while 44.5% comprise an investor property, as calculated by Fitch. Additionally, 53.9% are nonqualified mortgages (non-QMs, or NQMs), 1.5% are safe-harbor qualified mortgages (SHQM) and 0.3% are rebuttable presumption qualified mortgage loans; the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 22.25%. This is mainly driven by the NQM/nonprime collateral and the concentration of investor cash flow product (debt service coverage ratio [DSCR]) loans. Loan Documentation and DSCR Loans (Negative): About 96.3% of the loans in the pool were underwritten to less-than-full documentation and 63.7% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by approximately 93.2%, compared with a transaction comprised of 100% fully documented loans. Out of the total loans, 150, or 20.1%, were originated through the originator's investor cash flow program, which targets real estate investors qualified on a DSCR basis. These business-purpose loans are available to real estate investors who are qualified on a cash flow basis, rather than a debt-to-income (DTI) basis, and borrower income and employment are not verified. Fitch's average expected losses for DSCR loans is 30.2% in the 'AAAsf' stress. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The A-1 class split into an A-1A and A-1B class, while also including an A-1 exchangeable class. After a Trigger Event, interest is prioritized to classes A-1A then A-1B followed by principal to the A-1A and then A-1B class. The structure was resized to reflect updated balances, the loan drop and rate shifts. Due to the shift in balances, the CE for the A-2 increased 5bps and the A-3, M-1 and B-2 classes increased 25bps. The CE for all remaining classes did not change. The coupons for the A-2 classes decreased 9bps while the A-3 and M-1 decreased 4bps and 2bps, respectively. The weighted average excess spread increased to 124bps from 122bps. The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on mortgage loans serviced by SPS and Fay for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. However, the additional stress on the structure represents a downside risk, as there is limited liquidity in the event of large and extended delinquencies. COLT 2025-1 has a step-up coupon for the senior classes (A-1A, A-1B, A-2 and A-3). After four years, the senior classes pay the lower of a 100-basis-points (bps) increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1A. A-1B, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics, SitusAMC, Evolve, Selene, Clarifii, Opus, Canopy, Clayton and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was given at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 49bps reduction to the 'AAA' expected loss. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLUMBIA CENT 31: S&P Affirms 'BB- (sf)' Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1-R, B-R, and C-R replacement debt from Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp., a CLO managed by Columbia Cent CLO Advisers LLC that was originally issued in February 2021. At the same time, S&P withdrew its ratings on the original class X, A-1, B, and C debt following payment in full on the Jan. 28, 2025, refinancing date. S&P also affirmed its ratings on the class A-F, D, and E debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to Jan. 28, 2026. Replacement And Original Debt Issuances Replacement debt -- Class X-R, $1.00 million: Three-month CME term SOFR + 1.00% -- Class A-1-R, $235.00 million: Three-month CME term SOFR + 1.10% -- Class B-R, $44.00 million: Three-month CME term SOFR + 1.60% -- Class C-R, $24.00 million: Three-month CME term SOFR + 1.85% Original debt -- Class X, $1.20 million: Three-month CME term SOFR + 1.26%(i) -- Class A-1, $235.00 million: Three-month CME term SOFR + 1.46%(i) -- Class B, $44.00 million: Three-month CME term SOFR + 1.81%(i) -- Class C, $24.00 million: Three-month CME term SOFR + 2.51%(i) (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. 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. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E debt which was not refinanced. Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our rating on the class E debt. "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 Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp. Class X-R, $1.00 million: AAA (sf) Class A-1-R, $235.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Ratings Withdrawn Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp. Class X to NR from 'AAA (sf)' Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp. Class A-F: 'AAA (sf)' Class D: 'BBB- (sf)' Class E: 'BB- (sf)' Other Debt Columbia Cent CLO 31 Ltd./Columbia Cent CLO 31 Corp. Subordinated notes, $36.00 million: NR NR--Not rated. COMM 2014-CCRE14: Moody's Lowers Rating on Class E Certs to Csf --------------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on five classes in COMM 2014-CCRE14 Mortgage Trust, Commercial Pass-Through Certificates, Series 2014-CCRE14 as follows: Cl. B, Downgraded to Baa2 (sf); previously on Mar 22, 2024 Downgraded to Baa1 (sf) Cl. C, Downgraded to B1 (sf); previously on Mar 22, 2024 Downgraded to Ba1 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Mar 22, 2024 Downgraded to B3 (sf) Cl. E, Downgraded to C (sf); previously on Mar 22, 2024 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Mar 22, 2024 Affirmed C (sf) Cl. PEZ, Downgraded to Ba2 (sf); previously on Mar 22, 2024 Downgraded to Baa3 (sf) RATINGS RATIONALE The ratings on four P&I classes were downgraded due to increased risk of interest shortfalls and potential for expected losses driven primarily by the loans in special servicing. Six loans, representing 52.7% of the pool are in special servicing and have passed their original maturity dates. As of the January 2025 remittance, four of the specially serviced loans (40% of the pool) have incurred appraisal reductions (ARA) greater than 20% of their respective loan balance and have been deemed non-recoverable by the master servicer causing interest shortfalls to impact up to Cl. C. The ratings on one P&I class, Cl. F, was affirmed because the ratings are consistent with expected recovery of principal and interest from specially and troubled loans, as well as losses from previously liquidated loans. The rating on the exchangeable class, Cl. PEZ, was downgraded due to the decline in the credit quality of its referenced classes resulting from principal paydowns of higher quality reference classes. Cl. PEZ originally referenced Classes Cl. AM, Cl. B and Cl. C, however, Cl. A-M has previously been paid off in full. Moody's rating action reflects a base expected loss of 32.2% of the current pooled balance, compared to 19.5% at Moody's last review. Moody's base expected loss plus realized losses is now 7.5% of the original pooled balance, compared to 5.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in July 2024. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 53% of the pool is in special servicing. In this approach, Moody's determine a probability of default for each specially serviced loan that Moody's expect will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the January 10, 2025 distribution date, the transaction's aggregate certificate balance has decreased by 85.4% to $201.2 million from $1.38 billion at securitization. The certificates are collateralized by 5 mortgage loans ranging in size from less than 1% to 47.3% of the pool. Moody's use a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 4, unchanged from Moody's last review. As of the January 2025 remittance report, all remaining loans are in special servicing and have passed their original maturity dates. Three loans representing over 40.1% of the pool were deemed non-recoverable by the Master Servicer. Seven loans have been liquidated from the pool, contributing to an aggregate realized loss of $38.6 million (for an average loss severity of 63.1%). The largest specially serviced loan largest specially serviced loan is the 175 West Jackson Loan ($35.8 million – 17.8% of the pool), which represents a pari passu portion of a $250 million mortgage loan. The loan is secured by a Class A, 22-story office building totaling 1.45 million square feet (SF) and located within the CBD of Chicago, Illinois. Property performance has declined steadily since 2015, with occupancy declining to 59% in September 2024 from 86% in 2015, and the year-end 2023 NOI was 56% lower than in 2013. The loan transferred to special servicing in November 2021, and as of the January 2025 remittance statement was last paid through its March 2023 payment date. The most recent appraisal from March 2024 was 71% below the value at securitization and the master servicer has recognized an appraisal reduction on the loan. This loan has been deemed non-recoverable by the master servicer. Per the special servicer commentary, a receiver has been appointed and the property is being marketed for sale and/or Deed-In-Lieu. Moody's expect a significant loss from this loan. The second largest specially serviced loan is the 149 New Montgomery Loan ($21 million – 10.4% of the pool), which is secured by a 69,000 SF mixed-use property located in San Francisco, California, built in 1907 and most recently renovated 1999. The loan transferred to special servicing in June 2023 for imminent maturity default, ahead of the November 2023 maturity date. Property performance has deteriorated since 2020 as a result of decline in occupancy. As of March 2024, the property was 71% leased, unchanged from year-end 2022, compared to 87% in December 2021 and 100% at securitization. The most recent appraisal from August 2024 was 52% below the value at securitization and the master servicer has recognized an appraisal reduction on the loan. The borrower and special servicer have signed a PNL and the borrower had requested a loan modification. The special servicer is pursuing foreclosure after the borrower denied the special servicer approved terms. As of the January 2025 remittance, the loan was last paid through the December 2023 payment date and the loan has been deemed non-recoverable by the master servicer. The third largest specially serviced loan is the 16530 Ventura Boulevard Loan ($17.7 million – 8.7% of the pool), which is secured by a 157,000 SF office building located in Encino, California. The loan transferred to special servicing in November 2023, ahead of the January 2024 maturity date as the borrower indicated they needed additional time to secure refinancing. Occupancy was 42% in March 2024, compared to 43% in December 2021, 52% in December 2020, and 85% at securitization. The most recent appraisal value from September 2024 is 86% below the value at securitization and the master servicer has recognized an appraisal reduction on the loan. The special servicer will appoint a receiver and initiate foreclosure proceedings. As of the January 2025 remittance, the loan was last paid through November 2023 and the loan has been deemed non-recoverable by the master servicer. The fourth largest loan in special servicing is the La Terraza San Diego Loan ($13.5 million – 6.7% of the pool), which is secured by a 78,000 SF, Class A office building in Escondido, California. The loan transferred to special servicing in November 2023 due to borrower-declared imminent monetary default ahead of the December 2023 maturity date. The largest tenant, Wells Fargo Bank (34.4% of NRA), vacated at lease expiration in February 2024. The special servicer and borrower executed a forbearance agreement in December 2024 and are in discussions to modify the loan. As of the January 2025 remittance, the loan was last paid through the December 2024 payment date. The fifth largest loan in special servicing is the Perryville Corporate Park Loan ($11.7 million – 5.8% of the pool), which is secured by a 288,280 SF, Class A office building in Hampton, New Jersey. The loan transferred to special servicing in September 2023 due to borrower-declared imminent monetary default, ahead of the November 2023 maturity date. The largest tenant, Celidex Therapeutics (11.6% of NRA), has a lease expiration in July 2025 and is expected to vacate at the end of the term. The special servicer and borrower executed a forbearance agreement in December 2024, and the loan was extended through November 2025As of the January 2025 remittance, the loan was last paid through the December 2024 payment date. The sixth largest loan in special servicing the Flint Creek Crossing Loan ($6.6 million – 3.3% of the pool), which is secured by a 40,000 SF office property located in Barrington, Illinois, a suburb northwest of Chicago. The loan transferred to special servicing in March 2024 as it did not pay off at the January 2024 maturity date. The borrower has signed a PNL and is actively marketing the property for sale. As of the January 2025 remittance date, the loan was last paid through the February 2024 payment date and has been deemed non-recoverable by the master servicer. Moody's estimates an aggregate $64.8 million loss for the specially serviced loans (61.2% expected loss on average). As of the January 2025 remittance statement cumulative interest shortfalls were $9.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The only loan not in special servicing is the 625 Madison Avenue loan ($95.3 million – 47.3% of the pool), which represents a pari-passu portion of a $168.9 million first mortgage loan. The loan was originally secured by the fee interest in a 0.81-acre parcel of land located at 625 Madison Avenue between East 58th and East 59th Street in New York City. However, the loan transferred to special servicing in July 2023 due to imminent default and subsequently the mezzanine lender foreclosed on the equity collateral. Furthermore, a modification agreement was executed in December 2023 which involved, among other items, the termination of the ground lease, a completion and carry guaranty as well as a $25 million principal paydown. The senior loan is the only debt currently on the property as the mezzanine loan was extinguished through the UCC foreclosure sale. This loan was returned to the Master Servicer in November 2024 as a corrected loan after receiving a loan modification. As of January 2025 remittance, this loan was current on P&I payments and has amortized by 13.4% since securitization. Based on the value of the collateral and the executed modification, Moody's do not anticipate a loss on the mortgage loan. COMM 2014-UBS2: DBRS Confirms C Rating on Class E Certs ------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2 issued by COMM 2014-UBS2 Mortgage Trust as follows: -- Class X-B to C (sf) from CCC (sf) -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed its credit rating on the remaining class as follows: -- Class E at C (sf) Classes X-B, E, and D have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' increased loss expectations across the four remaining loans in the pool, all of which are in special servicing. Since the February 2024 credit rating action, 16 loans have been repaid in full while one loan was liquidated from the trust. Given the high concentration of loans in special servicing, Morningstar DBRS' analysis was based on a recoverability analysis. The credit ratings of C (sf) reflect Morningstar DBRS' continued expectation that the certificates will incur losses based on the recoverability analysis. In addition, cumulative outstanding interest shortfalls totaling $5.7 million as of December 2024 reporting have also negatively affected the transaction. The interest shortfalls have risen to Class D, and in its analysis, Morningstar DBRS concluded that the outstanding shortfalls will also be realized as a loss to bondholders upon loan resolution. The loss expectations are primarily attributed to the One North State Street (59.9% of the pool), which is secured by a 170,507-square-foot (sf) retail vertical subdivision of a 713,423-sf mixed-use building in Chicago. The two largest tenants, Burlington Coat Factory (35.2% of net rentable area (NRA)) and TJ Maxx (41.1% of NRA) recently signed lease extensions through March 2029 and January 2027, respectively, resulting in a healthy occupancy rate of 92.5%; however, both leases were restructured at significant reductions in rent equal to 8.0% and 10.0% of the tenants' gross sales, respectively, which has resulted in a less-than-breakeven cash flow. The last monthly payment was made in August 2023 and the loan was purchased by the trust in October 2024. According to the April 2024 appraisal, the property was valued at $19.9 million, less than the August 2023 value of $25.0 million and a steep decline from the issuance appraised value of $101.0 million, reflecting a total exposure loan-to-value (LTV) ratio of more than 200%. Morningstar DBRS liquidated the loan based on a haircut to that value, resulting in an implied loss approaching $39.0 million, or a severity in excess of 80.0%. Based on this loss projection alone, the remaining certificate balances of Classes E and F, would be fully eroded, while the certificate balance of Class D would be eroded by nearly 20.0%. Of the remaining three loans, Avnet Building (16.4% of the pool) and 300 East 23rd Street (12.9% of the pool) are real estate owned, while the servicer is actively pursuing foreclosure for Turnpike Square (10.8% of the pool). All loans have received updated 2024 appraisals, indicating value declines over issuance appraised values ranging between approximately 45.0% and 80.0%, reflecting total exposure LTV ratios ranging between roughly 105.0% and 350.0%. Based on the loss cumulative loss projections for these loans of nearly $18.0 million, the certificate balance of Class D would be further eroded in excess of 50.0%. Notes: All figures are in U.S. dollars unless otherwise noted. CORNHUSKER FUNDING 1C: DBRS Confirms B Rating on Class C Notes -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class X Notes, the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1C LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows: -- Class X Notes at AAA (sf) -- Class A Notes at BBB (sf) -- Class B Notes at BB (sf) -- Class C Notes at B (sf) The credit rating on the Class X Notes addresses the timely payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 19, 2024. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager. The Reinvestment Period ends April 8, 2030. The Stated Maturity is September 15, 2036. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Mount Logan as the Collateral Manager. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of December 2, 2024, the transaction is in compliance with all performance metrics, and the performing collateral par is greater than the reinvestment target par. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmations on the Notes, as per the Level I surveillance analysis in the CLO Methodology. No predictive model is utilized in the Level I surveillance process. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Subject to Collateral Quality Matrix (CQM); actual 137.29%; threshold 124.50% Class B Overcollateralization Ratio Test: Subject to CQM; actual 127.18%; threshold 116.80% Class C Overcollateralization Ratio Test: Subject to CQM; actual 122.67%; threshold 113.40% Class A Interest Coverage Ratio Test: actual 205.26%; threshold 115.00% Class B Interest Coverage Ratio Test: actual 180.61%; threshold 110.00% Class C Interest Coverage Ratio Test: actual 168.46%; threshold 105.00% Collateral Quality Tests: Minimum Diversity Score Test: Subject to CQM; actual 22.70; threshold 21.00 Minimum Weighted Average Spread Test: Subject to CQM; actual 4.93%; threshold 4.70% Maximum DBRS Risk Score Test: Subject to CQM; actual 29.47%; threshold 31.80% Minimum Weighted Average DBRS Recovery Rate Test: actual 66.00%; threshold 64.30% Some strengths of the transaction are (1) collateral quality that consists of at least 95% senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges are (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. As of December 2, 2024, the Borrower is in compliance with all Coverage and Collateral Quality Tests, and there were no defaulted obligations registered in the underlying portfolio. Notes: All figures are in US dollars unless otherwise noted. ELMWOOD CLO 37: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Elmwood CLO 37 Ltd./Elmwood CLO 37 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 37 Ltd./Elmwood CLO 37 LLC Class A-1, $320.00 million: AAA (sf) Class A-2, $10.00 million: Not rated Class B, $50.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E-1 (deferrable), $15.00 million: BB- (sf) Class E-2 (deferrable), $1.00 million: BB- (sf) Class F (deferrable), $6.50 million: B- (sf) Subordinated notes, $40.00 million: Not rated ELMWOOD CLO 38: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 38 Ltd./Elmwood CLO 38 LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Jan. 28, 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 diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 38 Ltd./Elmwood CLO 38 LLC Class A, $317.50 million: AAA (sf) Class B-1, $51.50 million: AA (sf) Class B-2, $11.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $2.00 million: BBB- (sf) Class E (deferrable). $17.50 million: BB- (sf) Subordinated notes, $55.80 million: Not rated GENERATE CLO 20: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Generate CLO 20 Ltd./Generate CLO 20 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior-secured term loans. The transaction is managed by Generate Advisors LLC, a subsidiary of Kennedy Lewis Investment Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Generate CLO 20 Ltd./Generate CLO 20 LLC Class A, $206 million: AAA (sf) Class A-L loans, $50 million: AAA (sf) Class B, $48 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D-1 (deferrable), $24 million: BBB- (sf) Class D-2 (deferrable), $4 million: BBB- (sf) Class E (deferrable), $12 million: BB- (sf) Subordinated notes, $41 million: Not rated GS MORTGAGE 2013-G1: Fitch Affirms 'CCC' Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed four classes of GS Mortgage Securities Trust (GSMS) 2013-G1. The Rating Outlooks on classes B and C remain Negative. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2013-G1 B 36197QAG4 LT AAsf Affirmed AAsf C 36197QAJ8 LT BB-sf Affirmed BB-sf D 36197QAL3 LT CCCsf Affirmed CCCsf DM 36197QAN9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS The affirmations reflect the generally stable collateral performance and positive leasing momentum of the remaining asset, Deptford Mall, since Fitch's last rating action. The Negative Outlooks on class B and C reflect the slow performance recovery as property net cash flow (NCF) continues to lag pre-pandemic levels and ultimate concerns regarding the loan's refinanceability. Collateral occupancy was 85.9% as of the September 2024 rent roll, compared to 85.2% in September 2023, 86% in September 2022 and 89% in September 2021. The servicer-reported YTD September 2024 NCF DSCR was 1.17x, compared with 1.37x at YE 2023, 1.31x at YE 2022 and 1.47x at YE 2021. Although there is high upcoming tenant rollover as over 30% of the collateral NRA expires by YE 2025, the servicer has indicated a strong track record of positive leasing momentum, including 13% having executed new leases or renewals since the start of 2024, 5.5% having leases in the documentation stage, and an additional 7.7% reportedly in the lease negotiation stage. According to the servicer, the borrower has already provided notice to exercise its second and final one-year extension option to April 2026. The trust A-note and B-note have a fixed rate coupon of 3.73%. The loan transferred to special servicing at the end of February 2023 for imminent monetary default as the initial maturity of April 2023 was approaching and the borrower informed it would be unable to refinance the loan. In April 2023, a loan modification was completed, with an initial extension through April 2024 and two additional one-year extension options; the fully extended loan maturity is April 2026. The first additional extension was subject to a 10.25% debt yield hurdle, and the second additional extension is subject to a 11% debt yield hurdle. In exchange for this modification, the borrower made a one-time $10 million principal curtailment payment. The monthly payment remained the same and the loan continues to amortize. The loan returned to the master servicer at the end of October 2023. Fitch's current NCF of $13.7 million, which reflects leases-in-place as of the September 2024 rent roll, with a 25% stress to holdover, temporary and rolling tenants, is 8% below Fitch's last rating action NCF and remains 24.3% below Fitch's pre-pandemic NCF, primarily due to lower rental income from leases rolling and/or restructured at reduced rates, in addition to a decline in collateral occupancy from 98% pre-pandemic at YE 2019. Fitch's analysis incorporated a 13% cap rate, consistent with comparable mall properties and reflective of asset quality, current performance and concerns with ultimate refinancing. Fitch's debt service coverage ratio and loan-to-value for the remaining loan, inclusive of the B-note, is 0.67x and 139%, respectively. The transaction collateral consists of one mortgage loan secured by a 343,910-sf portion of the 1.04-million-sf Deptford Mall located in Deptford, NJ, approximately 12 miles southeast of downtown Philadelphia, PA. The sponsor is The Macerich Partnership, LP, one of the largest owner/operators of shopping centers in the U.S. Comparable in-line sales were $561 psf as of TTM September 2024, compared with $559 psf as of June 2023, $599 psf as of September 2022, $636 psf as of September 2021, $403 psf as of September 2020 (which includes a pandemic closure period), $518 psf as of June 2019, and $496 psf at the time of issuance (as of YE 2012). The property has limited direct competition in the region. The nearest mall is Cherry Hill Mall about nine miles to the north, which serves a different trade area and market segment. There are four non-collateral anchor tenants at the Deptford Mall, Macy's, JC Penney, Boscov's, and Dick's Sporting Goods (which opened in 2020 after taking over a portion of the former Sears space). The sponsor added a location of Round1 Bowling and Amusement at the mall in 2020 to former top floor Sears space. A brewery opened at the mall in late 2023. Sears terminated its ground lease in January 2019, prior to its 2026 lease expiration. Crunch Fitness opened in late October 2021 in the former Sear's Auto outparcel space. Paydown and Amortization: The transaction has experienced significant paydown since issuance due to the payoff of two of the three original loans, Great Lakes Crossing Outlets and Katy Mills. As of the January 2025 distribution date, the Deptford Mall loan has amortized by 28.8%, which includes the $10 million principal curtailment received with the execution of the 2023 modification. The current pooled debt per square foot is $371 psf ($423 psf inclusive of the B-note). The subordinate $17.9 million B-note backs the class DM rake bond and is also secured by the mall collateral. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors that could lead to downgrades include further occupancy and cash flow deterioration and continued lack of performance stabilization. Additional factors include if the borrower defaults and/or fails to extend the maturity resulting in a transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are currently not expected due to Fitch's concern with ultimate loan refinanceability, continued lagged performance from pre-pandemic levels and upcoming tenant lease rollover, but may be possible with significant and sustained occupancy and cash flow improvements as well as additional clarity on loan refinancing prospect. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2014-GC22: DBRS Confirms C Rating on 3 Classes ---------------------------------------------------------- DBRS Limited downgraded the credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC22 issued by GS Mortgage Securities Trust 2014-GC22 as follows: -- Class A-S to A (sf) from AAA (sf) -- Class B to BBB (low) (sf) from A (sf) -- Class C to CCC (sf) from BBB (sf) -- Class D to C (sf) from CCC (sf) -- Class X-A to A (high) (sf) from AAA (sf) -- Class X-B to BBB (sf) from A (high) (sf) -- Class PEZ to CCC (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-C at C (sf) Morningstar DBRS maintained Negative trends on Classes AS, B, X-A, and X-B. There are no trends on Classes C, D, E, F, X-C, and PEZ, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trend on Class A-5 is Stable. The downgrades reflect an increase in Morningstar DBRS' loss expectations, stemming from the extremely concentrated nature of the pool as the transaction is now in wind-down. Since the last credit rating action, 45 loans have repaid from the trust. Interest shortfalls increased to $5.4 million as of December 2024, compared with the $2.1 million reported at last review in January 2024. To date, there have been realized losses of approximately $20.0 million attributed to non-recoverable advances and the liquidation of one loan (Prospectus ID#41), which is contained in the nonrated Class G. As of the December 2024 remittance, only five loans are remaining, all of which are in special servicing and two of which, EpiCentre (Prospectus ID#3, 26.4% of the current pool balance) and Westwood Plaza (Prospectus ID#22, 3.0% of the current pool balance), are real estate owned. Given the concentration of defaulted and underperforming assets, Morningstar DBRS' analysis considered liquidation scenarios for all five remaining loans to determine the recoverability of the outstanding bonds. Morningstar DBRS determined that Classes A-5, A-S, and B remain insulated from losses at this time. However, while the two largest loans, Maine Mall (Prospectus ID#1, 34.2% of the pool) and Selig Portfolio (Prospectus ID#2, 31.1% of the pool), remain current and loan modifications are in negotiation, Morningstar DBRS notes that the risk of payment default remains high, an event which would extend the recoverability timeline for the outstanding bonds and increase the propensity for interest shortfalls. This consideration was a primary factor in Morningstar DBRS' decision to maintain Negative trends on Classes A-S, B, X-A, and X-B. Morningstar DBRS' loss expectations are primarily driven by the largest loan in the pool, Maine Mall (Prospectus ID#1, 34.2% of the pool), which is secured by a 730,444 square foot (sf) portion of a 1.0 million sf super-regional mall in Portland, Maine. The $125.0 million loan is pari passu with a note securitized in the Citigroup Commercial Mortgage Trust 2014-GC21 transaction, which is also rated by Morningstar DBRS. The loan transferred to the special servicer in February 2024 following the borrower's notification that it would be unable to repay the loan at scheduled maturity in April 2024. According to the December 2024 remittance, the special servicer is discussing workout strategies with the borrower, while dual tracking foreclosure. Occupancy at the subject was reported at 92.0% in September 2024, down slightly from 97.2% at issuance. In addition, approximately 39.5% of the collateral tenants have lease expiries within the next 12 months. The loan reported a debt service coverage ratio (DSCR) of 1.40 times (x) for the trailing nine-month (T-9) period ended September 30, 2024, compared with the issuer's DSCR of 1.83x. Cash flow has been stabilizing, however, and Morningstar DBRS notes that the nearest competing mall is located 37 miles away. An August 2024 appraisal valued the property at $196.0 million, 50.4% below the issuance appraised value of $395.0 million. Given the declining occupancy, high near-term rollover, and considerable decline in value, Morningstar DBRS used a liquidation scenario based on a haircut to the August 2024 appraised value, which implied a loss severity of nearly 40.0%. The second-largest loan in special servicing is the Selig Portfolio (Prospectus ID#2, 31.1% of the pool), which is secured by seven office buildings totaling 1.1 million sf in Seattle. The subject loan of $100.0 million represents a pari passu portion of a $239.0 million whole loan, with the additional senior notes secured in the CGCMT 2014-GC23 (not rated by Morningstar DBRS) and Morgan Stanley Capital I Trust 2017-H1 transactions (rated by Morningstar DBRS). The loan transferred to the special servicer in March 2024 for imminent maturity default and subsequently missed its May 2024 maturity date. Per the most recent servicer commentary, the borrower and special servicer entered a 60-day forbearance period that commenced in November 2024 in exchange for a $2.7 million reserve deposit; terms surrounding a potential loan modification were expected to finalize by YE2024. An update regarding the execution of the loan modification was requested by Morningstar DBRS but no response was provided as of this commentary. Occupancy has been declining in recent years, most recently reported at 59.8% as per the most recent financial statement, compared to the issuance occupancy rate of 85.4%. The loan reported a DSCR of 1.32x for the T-9 period ended September 30, 2024, compared with the issuer's DSCR of 2.06x. Office properties within the Central Seattle submarket reported an average vacancy rate of 20.0% in Q3 2024, according to Reis. A March 2024 appraisal valued the property at $188.9 million, 43.7% below the issuance appraised value of $335.3 million. The borrower has indicated there is continued interest in the collateral properties, noting several ongoing negotiations and scheduled tours from prospective tenants. While the leasing activity and modification discussions are positive developments, Morningstar DBRS remains concerned with the declines in occupancy and cash flow, softening submarket fundamentals, and recent maturity default. As such, the loan was analyzed with a liquidation scenario based on a haircut to the March 2024 appraised value, resulting in a loss severity of approximately 35%. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-GC39: Fitch Lowers Rating on Cl. F Notes to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed seven classes of GS Mortgage Securities Trust 2019-GC39 commercial mortgage pass-through certificates (GSMS 2019-GC39). Fitch assigned Negative Rating Outlooks to six classes following their downgrades, and maintained Negative Outlooks on three affirmed classes. Fitch has also downgraded five and affirmed nine classes of GS Mortgage Securities Trust 2019-GC42 commercial mortgage pass-through certificates (GSMS 2019-GC42). Fitch assigned Negative Outlooks to three classes following their downgrades, and revised the Outlook to Negative from Stable for five affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2019-GC42 A-2 36257UAJ6 LT AAAsf Affirmed AAAsf A-3 36257UAK3 LT AAAsf Affirmed AAAsf A-4 36257UAL1 LT AAAsf Affirmed AAAsf A-AB 36257UAM9 LT AAAsf Affirmed AAAsf A-S 36257UAQ0 LT AAAsf Affirmed AAAsf B 36257UAR8 LT AA-sf Affirmed AA-sf C 36257UAS6 LT A-sf Affirmed A-sf D 36257UAA5 LT BB+sf Downgrade BBBsf E 36257UAC1 LT BB-sf Downgrade BBB-sf F-RR 36257UAD9 LT CCCsf Downgrade Bsf G-RR 36257UAE7 LT CCsf Downgrade CCCsf X-A 36257UAN7 LT AAAsf Affirmed AAAsf X-B 36257UAP2 LT A-sf Affirmed A-sf X-D 36257UAB3 LT BB-sf Downgrade BBB-sf GSMS 2019-GC39 A-3 36260JAC1 LT AAAsf Affirmed AAAsf A-4 36260JAD9 LT AAAsf Affirmed AAAsf A-AB 36260JAE7 LT AAAsf Affirmed AAAsf A-S 36260JAH0 LT AAAsf Affirmed AAAsf B 36260JAJ6 LT AA-sf Affirmed AA-sf C 36260JAK3 LT BBBsf Downgrade A-sf D 36260JAL1 LT BBB-sf Downgrade BBBsf E 36260JAQ0 LT BBsf Downgrade BBB-sf F 36260JAS6 LT B-sf Downgrade Bsf G-RR 36260JAU1 LT CCCsf Affirmed CCCsf X-A 36260JAF4 LT AAAsf Affirmed AAAsf X-B 36260JAG2 LT BBBsf Downgrade A-sf X-D 36260JAN7 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased to 5.8% in GSMS 2019-GC39 and 7.5% in GSMS 2019-GC42 from 4.9% and 5.0%, respectively, at Fitch's prior rating action. The GSMS 2019-GC39 transaction has four Fitch Loans of Concern (FLOCs; 20.5% of the pool), including one loan (2.3%) in special servicing. The GSMS 2019-GC42 transaction has five FLOCs (19.3%), including three loans (10.8%) in special servicing. GSMS 2019-GC39: The downgrades in the GSMS 2019-GC39 transaction reflect higher pool loss expectations since the prior rating action, primarily driven by a significantly lower updated appraisal valuation on the 57 East 11th Street office loan (2.3%) and continued underperformance of larger FLOCs, including The Garfield Apartments (3.6%), 101 California (12.0%) and Tulsa Office Portfolio (2.6%). The Negative Outlooks reflect the high office concentration of 46.6% in the pool and potential further downgrades if performance and occupancy of the aforementioned FLOCs do not stabilize, or if the workout of the special serviced 57 East 11th Street loan is prolonged. GSMS 2019-GC42: The downgrades in GSMS 2019-GC42 reflect an increase in pool expected losses since the prior rating action, driven by the maturity default of the Northpoint Tower office loan (6.6%), a significantly lower updated appraisal valuation on the 222 Kearny Street office loan (2.4%), and continued underperformance of the Midland Office Portfolio (1.8%). The Negative Outlooks reflect expected further downgrades should the appraisal valuation on Northpoint Tower, which is in process by the special servicer, fall below Fitch's stressed valuation and/or if the property's largest tenant does not provide indication of lease renewal 12 months ahead of its expiration. The Negative Outlooks also factor in the high office concentration in the pool of 38.8%. Largest Loss Contributors; FLOCs: The largest increase in loss since the prior rating action and largest contributor to overall loss expectations in GSMS 2019-GC39 is the 57 East 11th Street loan, which is secured by a 64,460-sf office building located in the Greenwich Village neighborhood of New York City. The loan transferred to special servicing in February 2024 due to payment default. As of the January 2025 remittance reporting, the loan was paid current to December 2024. The property was formerly 100% occupied by WeWork. Per the servicer, WeWork stopped paying rent in October 2023 and is no longer operating at the subject property after its lease was rejected during bankruptcy proceedings. The property remains vacant. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 68.4% considers a recent appraisal value, which is down 76.6% from the appraisal value at issuance, reflecting a stressed value of approximately $290 psf. The second largest contributor to overall loss expectations in GSMS 2019-GC39 is The Garfield Apartments loan, which is secured by a multifamily/retail property located in Cleveland, OH. Per the servicer, the borrower has not provided 2023 or 2024 financials. The latest reported YE 2022 occupancy for the multifamily portion was 80%, up from a historical low of 67% in June 2020, but remains below 94% around the time of issuance. While occupancy improved, the property was offering lower rents and concessions. Average multifamily leased rent as of February 2022 was $1,332 per unit, down over 18% compared to issuance. The retail portion, which accounts for approximately 25% of the property's revenue, is occupied by Marble Room (lease expiry in February 2032), Harness Cycle (January 2027), and Shake Shack (May 2029). The servicer-reported NOI DSCR was 0.73x at YE 2021, 0.70x at YE 2020 and 1.00x at YE 2019. Fitch's 'Bsf' rating case loss of 18.9% (prior to concentration add-ons) reflects an 8.75% cap rate and a 7.5% stress to the YE 2021 NOI. The third largest contributor to overall loss expectations in GSMS 2019-GC39 is the 101 California Street loan, which is secured by a 1.25 million-sf office property located in San Francisco's Northern Financial District. As of Q2 2024, the property was 73.5% occupied, down from 76% at YE 2023, 76.3% at YE 2022, 76.2% at YE 2021, and 92.1% at issuance. Major tenants at the property include Chime Financial (16.1% of NRA through October 2032), Baker Botts LLP (4.2%; August 2031), and Morgan Stanley (4.1%; March 2030). In Q4 2024, Deutsche Bank (2.8%; December 2035) and Winston & Strawn (2.1%; January 2040) both relocated within the building upon their 2024 lease expiration, downsizing by 25,889 sf and 25,883 sf, respectively. However, there is a letter of intent with a potential tenant to backfill the two full floors totaling 52,235 sf, formerly occupied by Winston & Strawn. Upcoming rollover includes 6.4% of the NRA in 2025 and 7.8% in 2026. Fitch's 'Bsf' rating case loss of 5.1% (prior to concentration adjustments) reflects a 9.25% cap rate and a 10% stress to the YE 2023 NOI. The fourth largest contributor to overall pool loss expectations in GSMS 2019-GC39 is the Tulsa Office Portfolio loan, secured by a 1,026,650-sf office portfolio consisting of nine older vintage buildings built between 1973 and 1984 located in Tulsa, OK. The loan transferred to special servicing in March 2024 for imminent monetary default. The loan returned to the master servicer in September 2024 after a loan modification that included the $3.2 million sale of the Riverbridge property; proceeds from the sale were applied to pay down a portion of the loan. As of Q3 2024, portfolio occupancy was 55%, compared to 53.6% at YE 2023, 67% at YE 2022, 66% at YE 2021, and 77% at issuance. Approximately 15% of the portfolio NRA is scheduled to roll in 2025. The portfolio has a granular rent roll with over 200 tenants, and no individual tenant accounts for more than 3% of the portfolio NRA. The largest tenants in the portfolio include the Federal Bureau of Investigation (3.0% of portfolio NRA through July 2025), Finance of America Reverse LLC (1.8%; February 2025) and Blackhawk Industrial (1.7%; September 2027). The servicer-reported NOI DSCR has fallen to 1.18x as of Q3 2024 from 1.31x at YE 2023, 1.67x at YE 2022, 1.52x at YE 2021 and 1.96x at issuance. Fitch's 'Bsf' rating case loss of 22.5% (prior to concentration add-ons) reflects an 11% cap rate, 20% stress to the TTM September 2024 NOI for upcoming rollover, and factors in an increased probability of default due to continued portfolio underperformance and specially serviced loan status. The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations in GSMS 2019-GC42 is the Northpoint Tower loan, which is secured by an 873,335-sf office property in Cleveland, OH. The loan transferred to special servicing in September 2024 due to maturity default. According to the servicer, an updated appraisal is in process. Major tenants at the property include Jones Day (39.3% of NRA through June 2026), GSA - Dept of Health (5.5%; October 2028) and EY (5.1%; November 2030). The building serves as the global headquarters for Jones Day, which has been in occupancy since 1987 and has invested over $16 million. Jones Day is required to provide a 12-month notice prior to lease expiration if they intend to vacate; otherwise, cash management is triggered. According to the servicer, negotiations for the lease renewal are currently underway. As of Q2 2024, the property was 79% occupied, compared to 81% at YE 2023, 79% at YE 2022, and 73% at YE 2021. The servicer-reported NOI DSCR was 3.09x as of Q2 2024, compared to 3.12x at YE 2023, 2.82x at YE 2022, and 2.55x at YE 2021. Upcoming rollover includes 11.1% of the NRA in 2025, and 45.5% in 2026 (which includes the largest tenant). Fitch's 'Bsf' rating case loss of 34.1% (prior to concentration add-ons) reflects a 10.5% cap rate, 20% stress to YE 2023 NOI due to upcoming rollover, and factors in the loan's delinquency status. The second largest increase in loss since the prior rating action and the second largest contributor to overall loss expectations in GSMS 2019-GC42 is the 222 Kearny Street loan, secured by a 148,199-sf office property in San Francisco, CA. The loan transferred to special servicing in July 2023 for imminent monetary default. As of December 2024, the loan remains over 90 days delinquent. The special servicer anticipates initiating foreclosure proceedings in the first quarter of 2025. Since February 2024, four tenants, representing 27.8% of the NRA, have vacated at lease expiration, including Kimpton Hotel and Restaurant (10.7%; February 2024), Ethos Lending (10%; April 2024), Hotwire Public Relations (3.6%; February 2024) and EPAM Systems (3.5%; May 2024). Per the June 2024 rent roll, the property was 28.2% occupied, down from 49% at YE 2023 and 79% at YE 2022. The current largest tenants at the property include Ouraring Inc (6.4%; February 2026), BTS USA (5.4%; March 2027) and Montgomery Technologies (4.4%; September 2028). Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 66.1% considers a recent appraisal value, which is down 75.5% from the appraisal value at issuance, reflecting a stressed value of approximately $123 psf. The third largest increase in loss since the prior rating action and the third largest contributor to overall loss expectations in GSMS 2019-GC42 is the Midland Office Portfolio loan, which is secured by a portfolio of five office properties totaling 699,584 sf located in Midland, TX. The loan transferred to special servicing in September 2023. Occupancy has declined further to 59% as of Q1 2024 from 73% in June 2023 and 90% at YE 2020. The current largest tenants are Enlink Midstream Operating, L.P. (19%; June 2026) and Bank of America, N.A. (6%; January 2028). The servicer-reported NOI DSCR was 1.48x at YE 2023, compared to 1.74x at YE 2022. According to the servicer, the receiver has placed the portfolio under contract for sale. Negotiations are underway with a prospective purchaser. Fitch's 'Bsf' rating case loss of 33.9% (prior to concentration add-on) reflects a 10% cap rate, 20% stress to the YE 2023 NOI and factors in an increased probability of default due to continued property underperformance and specially serviced loan status. Increased Credit Enhancement (CE): As of the January 2025 distribution date, the pool's aggregate balance in GSMS 2019-GC39 has been paid down by 19.4% to $647.1 million from $802.5 million at issuance. Two loans (3.4% of the pool) are fully defeased. There are 14 loans (64.0%) that are full-term interest-only (IO), and the remaining 17 loans (36.0%) are amortizing. As of the January 2025 distribution date, the pool's aggregate balance in GSMS 2019-GC42 has been paid down by 6.4% to $992.3 million from $1.06 billion at issuance. There are 26 loans (82.3%) that are full-term IO, and the remaining nine loans (17.7%) are amortizing. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes; - Downgrades to the junior 'AAAsf' and classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, especially those with Negative Outlooks, may occur with outsized losses beyond Fitch's expectations on the FLOCs/specially serviced loans, including 57 East 11th Street, 101 California, The Garfield Apartments, and Tulsa Office Portfolio in GSMS 2019-GC39, and Northpoint Tower, 222 Kearny Street and Midland Office Portfolio in GSMS 2019-GC42, and with limited to no improvement in these classes' CE; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to distressed ratings would occur should additional loans transfer to special servicing and/or default, or as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilized performance on 57 East 11th Street, 101 California, The Garfield Apartments, and Tulsa Office Portfolio in GSMS 2019-GC39, and Northpoint Tower, 222 Kearny Street and Midland Office Portfolio in GSMS 2019-GC42; - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed ratings are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2025-PJ1: DBRS Gives Prov. BB(low) Rating on B4 Notes ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2025-PJ1 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2025-PJ1: -- $278.4 million Class A-1 at (P) AAA (sf) -- $278.4 million Class A-2 at (P) AAA (sf) -- $278.4 million Class A-3 at (P) AAA (sf) -- $208.8 million Class A-4 at (P) AAA (sf) -- $208.8 million Class A-5 at (P) AAA (sf) -- $208.8 million Class A-6 at (P) AAA (sf) -- $167.0 million Class A-7 at (P) AAA (sf) -- $167.0 million Class A-8 at (P) AAA (sf) -- $167.0 million Class A-9 at (P) AAA (sf) -- $41.8 million Class A-10 at (P) AAA (sf) -- $41.8 million Class A-11 at (P) AAA (sf) -- $41.8 million Class A-12 at (P) AAA (sf) -- $111.4 million Class A-13 at (P) AAA (sf) -- $111.4 million Class A-14 at (P) AAA (sf) -- $111.4 million Class A-15 at (P) AAA (sf) -- $69.6 million Class A-16 at (P) AAA (sf) -- $69.6 million Class A-17 at (P) AAA (sf) -- $69.6 million Class A-18 at (P) AAA (sf) -- $32.9 million Class A-19 at (P) AAA (sf) -- $32.9 million Class A-20 at (P) AAA (sf) -- $32.9 million Class A-21 at (P) AAA (sf) -- $311.3 million Class A-22 at (P) AAA (sf) -- $311.3 million Class A-23 at (P) AAA (sf) -- $311.3 million Class A-24 at (P) AAA (sf) -- $311.3 million Class A-25 at (P) AAA (sf) -- $311.3 million Class A-X-1 at (P) AAA (sf) -- $278.4 million Class A-X-2 at (P) AAA (sf) -- $278.4 million Class A-X-3 at (P) AAA (sf) -- $278.4 million Class A-X-4 at (P) AAA (sf) -- $208.8 million Class A-X-5 at (P) AAA (sf) -- $208.8 million Class A-X-6 at (P) AAA (sf) -- $208.8 million Class A-X-7 at (P) AAA (sf) -- $167.0 million Class A-X-8 at (P) AAA (sf) -- $167.0 million Class A-X-9 at (P) AAA (sf) -- $167.0 million Class A-X-10 at (P) AAA (sf) -- $41.8 million Class A-X-11 at (P) AAA (sf) -- $41.8 million Class A-X-12 at (P) AAA (sf) -- $41.8 million Class A-X-13 at (P) AAA (sf) -- $111.4 million Class A-X-14 at (P) AAA (sf) -- $111.4 million Class A-X-15 at (P) AAA (sf) -- $111.4 million Class A-X-16 at (P) AAA (sf) -- $69.6 million Class A-X-17 at (P) AAA (sf) -- $69.6 million Class A-X-18 at (P) AAA (sf) -- $69.6 million Class A-X-19 at (P) AAA (sf) -- $32.9 million Class A-X-20 at (P) AAA (sf) -- $32.9 million Class A-X-21 at (P) AAA (sf) -- $32.9 million Class A-X-22 at (P) AAA (sf) -- $311.3 million Class A-X-23 at (P) AAA (sf) -- $311.3 million Class A-X-24 at (P) AAA (sf) -- $311.3 million Class A-X-25 at (P) AAA (sf) -- $311.3 million Class A-X-26 at (P) AAA (sf) -- $7.5 million Class B-1A at (P) AA (low) (sf) -- $7.5 million Class B-X-1 at (P) AA (low) (sf) -- $7.5 million Class B-1 at (P) AA (low) (sf) -- $3.8 million Class B-2A at (P) A (low) (sf) -- $3.8 million Class B-X-2 at (P) A (low) (sf) -- $3.8 million Class B-2 at (P) A (low) (sf) -- $2.3 million Class B-3 at (P) BBB (low) (sf) -- $1.3 million Class B-4 at (P) BB (low) (sf) -- $328,000 Class B-5 at (P) B (low) (sf) -- $278.4 million Class A-1L at (P) AAA (sf) -- $278.4 million Class A-2L at (P) AAA (sf) -- $278.4 million Class A-3L at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-1L, A-2L, and A-3L are super senior notes or loans. 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, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, and B-2 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 4.95% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 2.65%, 1.50%, 0.80%, 0.40%, and 0.30% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 250 loans with a total principal balance of $327,512,006 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value ratio for the portfolio is 66.3%. In addition, all 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 were originated by United Wholesale Mortgage, LLC (UWM; 37.6%), CMG Mortgage, Inc. doing business as (dba) CMG Financial (15.3%), Guaranteed Rate, Inc. (12.8%), 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 (89.6%), loanDepot.com, LLC (8.2%), PennyMac Loan Services (1.8%) and UWM/Cenlar FSB (0.5%). Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, and Custodian. U.S. Bank Trust National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as Delaware Trustee. U.S. Bank Trust Company, National Association will act as Collateral Trustee. Pentalpha Surveillance LLC will serve as the File 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 Classes A-1L, A-2L, and A-3L, loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2025-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2025-AFC1 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, planned unit developments, condominiums, townhomes, and two- to four-family residential properties. The pool consists of 743 loans, which are QM safe harbor (average prime offer rate; APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant loans, and ATR-exempt loans. The ratings reflect S&P's view of: -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The pool's collateral composition; -- The mortgage originator, AmWest Funding Corp.; and -- S&P said, "One key change in our baseline forecast since September, whereby 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 in 2024 to below-trend growth in 2025. Heading into 2025, the U.S. economy is expanding at a solid pace and while President 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 policies 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. Ratings Assigned HOMES 2025-AFC1 Trust(i) Class A-1A, $196,124,000: AAA (sf) Class A-1B, $30,173,000: AAA (sf) Class A-1, $226,297,000: AAA (sf) Class A-2, $18,405,000: AA (sf) Class A-3, $27,608,000: A (sf) Class M-1, $11,315,000: BBB (sf) Class B-1, $7,393,000: BB (sf) Class B-2, $6,185,000: B (sf) Class B-3, $4,526,438: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $301,729,438. NR--Not rated. N/A--Not applicable. INDYMAC MH 1997-1: Moody's Lowers Rating on 5 Tranches to Ba1 ------------------------------------------------------------- Moody's Ratings has downgraded the ratings of five bonds backed by US RMBS manufacturing housing loans issued by IndyMac MH Contract 1997-1. 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: IndyMac MH Contract 1997-1 Cl. A-2, Downgraded to Ba1 (sf); previously on Oct 15, 2024 Downgraded to Baa1 (sf) and Placed On Review for Downgrade Cl. A-3, Downgraded to Ba1 (sf); previously on Oct 15, 2024 Downgraded to Baa1 (sf) and Placed On Review for Downgrade Cl. A-4, Downgraded to Ba1 (sf); previously on Oct 15, 2024 Downgraded to Baa1 (sf) and Placed On Review for Downgrade Cl. A-5, Downgraded to Ba1 (sf); previously on Oct 15, 2024 Downgraded to Baa1 (sf) and Placed On Review for Downgrade Cl. A-6, Downgraded to Ba1 (sf); previously on Oct 15, 2024 Downgraded to Baa1 (sf) and Placed On Review for Downgrade 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 downgrades are primarily attributed to the outstanding rated bonds not receiving any principal or interest remittance since June 2023. During the periods when the bonds missed principal and interest payments, available funds were redirected to reimburse servicer advances. The absence of interest payments has led to growing interest shortfalls on classes A-2 to A-6, and the lack of principal payments has raised concerns about the ability to fully repay the principal balance before each bond's final scheduled distribution date of February 2028. As of November 2024, the delinquency pipeline has been significantly reduced from June 2023, when payments of interest and principal stopped. As the remainder of the delinquent loans are liquidated and the level of unrecoverable advances continues to decline, payments on the bonds should resume. However, if additional loans enter into delinquency and liquidation, the time required to pay down the bond's interest and principal will be extended. 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. ISLAND FINANCE 2025-1: DBRS Gives Prov. BB(high) Rating on C Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of notes (collectively, the Notes) to be issued by Island Finance Trust 2025-1 (ISLN 2025-1): -- $227,500,000 Class A Notes at (P) A (sf) -- $34,930,000 Class B Notes at (P) BBB (sf) -- $30,070,000 Class C Notes at (P) BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure and form and sufficiency of available credit enhancement. (A) Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (3) Island Finance, LLC (Island Finance) is a private company founded in 1959. The Company's primary business is providing unsecured loans to near-prime and subprime consumers (average FICO score of 668) through direct mail, its branch network, and company website. (4) Island Finance is regulated by the Office of the Commissioner of Financial Institutions of the Commonwealth of Puerto Rico (OCFI) and the Consumer Financial Protection Bureau (CFPB). To date, the CFPB has deferred to OCFI as local regulator, effectively reducing the bureau's focus on Puerto Rico. OCFI has regulated that "no maximum interest rate should be set" for any of the three financial products Island Finance is licensed to offer. In addition, OCFI states that "interest rates should be determined by competition in the marketplace." (A) As a result of the obligor base being subprime, the average interest rate of 34.65% charged to such obligors is generally higher than the average charged to prime obligors. (B) About 47.7% of the principal balance has interest rates greater than 36.00%. The weighted-average (WA) annual percentage rate for the pool is currently 34.65%. These rates, on average, have existed in this relative range for a number of years. (C) Island Finance uses a risk-based framework when it determines interest rates for loans. (D) Per the regulatory framework in Puerto Rico, entities operating under Act No. 106 are required to publish the minimum interest rates, the WA interest rates, and the maximum interest rates for small personal loans charged at their organizations every Wednesday in two newspapers. (5) Island Finance is in Puerto Rico. This presents a unique geographic risk because, as an island, Puerto Rico is subject to systemic barriers. In addition, Puerto Rico's location in the Caribbean Sea makes it especially susceptible to extreme weather events like hurricanes. The warm ocean waters provide optimum conditions for developing tropical storms and hurricanes. Although the season is longer, the peak of the tropical storms and hurricane season in Puerto Rico generally occurs in the months of August and September. (A) The impact of tropical storms and hurricanes has led to a more resilient company. Since Hurricanes Irma and Maria in 2017, Island Finance transitioned to cloud-based technology and established redundancies that enable this resiliency. (B) Historically, charge-offs dropped after Hurricane Maria although the main drivers of the dip in charge-offs were the deferment programs and government aid provided by the Federal Emergency Management Administration and other governmental efforts. (6) Receivables are generated through 48 Island Finance branches. Cash and check payments are received at these branches. They currently represent approximately 17.4% of collections on an 11-month basis ended November 2024. In a decentralized operation, this can introduce risks that are hard to quantify. (7) Island Finance's relationship-driven business model includes late-stage collections and servicing that are handled at the branches, while early-stage collections are performed at the centralized servicing center. This is opposite from other branch-based consumer loan lenders that manage early-stage collections at the branches and more specialized and late-stage collections are performed at centralized servicing centers. (A) Field collectors are a common technique in Puerto Rico. Door knockers are used to remind obligors of their past due balances and are common to the way competitors pursue delinquencies too. The Island Finance field collectors conduct collection efforts on approximately 10% of accounts by offering borrowers the ability to make payments through digital or centralized channels or in the branches. Ultimately, the cash or checks collected by field collectors amounted to diminimus levels. Starting on October 1, 2024, field collectors are no longer collecting cash or checks and are now counseling or assisting customers to process their payments through the web, phone, the collection center, or the branch. (8) Many of Island Finance's personal loan borrowers make payments in cash and in-person at Island Finance branches. Branch collections have been steadily decreasing because of electronic payment options. This trend could reverse itself during the two-year revolving period. As of November 2024, on average, approximately 33.3% (by dollar amount and excluding payoff) of Island Finance's loan payments were received in branches and made by cash (16%), check (1%), or debit card (16%). (A) On a related basis, the servicer is obligated to deposit collections received into the Collection Account no later than the second business day after processing. Once deposited they are part of the trust estate. The trust may not have a perfected interest in collections commingled by the servicer or with funds such as cash and checks received at branches that are not yet deposited in the Collection Account. The exposure to branch payments effectively means these funds may be subject to automatic stay risk in an unlikely scenario where the sponsor files bankruptcy. (9) Charge-off rates on the portfolio have generally ranged between 8.00% and 10.00% over the past several years. (A) The Morningstar DBRS base-case assumption for the charge-off rate is 12.29%, based on the ISLN 2025-1 reinvestment criteria and recent credit performance. (B) For the ISLN 2025-1 transaction, recovery rates of 5.00% and 4.00% were assumed for the consumer small loans and consumer intermediate loans products, respectively, based on recovery data provided by the company. (10) 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. (11) The legal structure and presence of legal opinions that address the true sale of the assets from the Seller to the Depositor, the nonconsolidation of the special-purpose vehicle with the Seller, that the Indenture Trustee has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." Morningstar DBRS' credit ratings on the Class A, Class B, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. ISLAND FINANCE 2025-1: S&P Assigns 'BB+' Rating on Class C Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Island Finance Trust 2025-1's personal consumer loan-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- The availability of credit support in the form of subordination, overcollateralization, a reserve account, and excess spread to absorb net losses of approximately 60.15%, 53.47%, and 47.12%, respectively, in our stressed cash flow scenarios, commensurate with the ratings assigned to the notes. -- S&P's worst-case weighted average base-case loss assumption of 14.61% for this transaction, which is a function of the transaction-specific reinvestment criteria and historical Island Finance LLC (Island Finance) loan performance data. Its base-case loss assumption also accounts for historical volatility observed in Island Finance's annual loan vintages over time. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Dec. 2, 2024. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period, which considers the worst-case pool according to the transaction's concentration limits. -- Island Finance's performance history as originator and servicer. -- The transaction's payment and legal structures. Ratings Assigned Island Finance Trust 2025-1 Class A, $227.50 million, 6.54% interest rate: A (sf) Class B, $34.93 million, 7.95% interest rate: BBB (sf) Class C, $30.07 million, 10.00% interest rate: BB+ (sf) JP MORGAN 2011-C3: S&P Affirms CCC- (sf) Rating on Cl. J Certs -------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3, a U.S. CMBS transaction. At the same time, S&P affirmed its 'CCC- (sf)' ratings on four classes from the transaction. This is a U.S. CMBS transaction that is currently secured by two fixed-rate specially serviced Pyramid mall-backed mortgage loans in Massachusetts and New York. Rating Actions The downgrades on classes B, C, D, and E (despite higher model-indicated ratings on classes B and C) and affirmations on classes F, G, H, and J primarily reflect: -- S&P said, "Our assessment that the transaction faces liquidity risk and adverse selection with the two remaining loans exhibiting weak credit metrics. Since our last published review in September 2023, the larger of the two remaining loans also transferred back to special servicing due to imminent default." The other loan transferred back to special servicing in May 2023. The sponsor of both loans, Pyramid Management Group Inc., again failed to pay them off upon their modified extended maturity dates in early 2024. While the two specially serviced loans were again recently modified and extended in December 2024, they have updated 2024 appraisal values and/or broker opinions of values (BOVs) below the current loan balances. Further, the loans have reported debt service coverages (DSCs) below 1.10x and 1.00x, respectively. Given these factors, S&P considered the potential for reduced liquidity support to the trust's certificates if the loans become delinquent and appraisal reduction amounts are effected (already in place for the Sangertown Square loan based on the 2021 appraised value), resulting in appraisal subordinate entitlement reduction amounts or non-recoverability determination on the specially serviced loans. That the reported operating performances of the collateral properties securing the two remaining loans have not materially improved since our last review. The servicer-reported net cash flows (NCFs) for the trailing-12-months (TTM) ending June 30, 2024, and year-end 2023 are on par or below the reported 2022 levels. S&P said, "Our aggregated expected-case valuation for the two remaining loans, which is now 34.8% lower than the values we derived in our last review and 57.2% below our expected-case values at issuance. "The downgrade on class E to 'CCC (sf)' and affirmations on classes F, G, H, and J at 'CCC- (sf)' further reflect our qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions and that classes E, F, G, H, and J are vulnerable to default. "We will continue to monitor the performance of the properties and loans, as well as the borrower's ability to make timely debt service payments and refinance the loans by their modified maturity dates. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we determine appropriate." Transaction Summary As of the Jan. 17, 2025, trustee remittance report, the collateral pool balance was $210.2 million, which is 14.1% of the pool trust balance at issuance. The pool currently includes two retail mall-backed loans, the same as in S&P's last review and down from 45 loans at issuance. To date, the transaction has experienced $16.4 million (1.1% of the original pool trust balance) in principal losses related to prior loan dispositions. S&P said, "During our current review, we corresponded with the current special servicer, Midland Loan Services, for updates on the two specially serviced loans. We recently received a ratings agency confirmation that the directing certificate holder has provided notice requesting to replace Midland with Rialto Capital Advisors LLC." Loan Details And Property-Level Analysis Holyoke Mall ($161.0 million, 76.6% of pooled trust balance) The larger of the two remaining loans, Holyoke Mall, has a $161.0 million current trust balance, down from $168.1 million as of our September 2023 review and $215.0 million at issuance. The loan pays a 5.564% fixed interest rate per annum and amortizes on a 25-year schedule after an initial 24-month interest-only (IO) period. The loan originally matured Feb. 1, 2021, and was modified and extended to Feb. 1, 2024, as part of the workout after the loan transferred to special servicing in May 2020 due to imminent default. There is also a $29.8 million mezzanine loan outstanding. The loan, which has a performing matured balloon payment status, was transferred back to special servicing on Jan. 18, 2024, due to imminent default because the borrower stated that it would not be able to pay off the loan at maturity and the mezzanine lender issued a default notice under the mezzanine loan. According to the special servicer, Midland, a loan modification agreement recently closed on Dec. 27, 2024. The terms included, among other items: -- Extending the loan's maturity date by 18 months from the closing of the loan modification agreement with two options to extend the maturity by an additional 18 months in total, exercisable if the loan meets a 1.20x DSC threshold on an amortizing basis. -- The borrower paying all costs, fees, and expenses associated with the loan's transfer to special servicing. -- The loan remaining in cash trap. -- Commencing with the first payment date after loan modification closing, the monthly debt service amount being principal and interest based on a 30-year amortization schedule. The loan is secured by the borrower's fee simple interest in a portion (1.36 million sq. ft.) of Holyoke Mall, a 1.56 million-sq.-ft., two-story, enclosed mall located at the intersection of I-90 and I-91 in Holyoke, Mass., about nine miles north of Springfield. The mall was built in 1979 and renovated in 1995. The mall is currently anchored by Macy's (200,000 sq. ft., noncollateral), Target (155,558 sq. ft.), JCPenney (149,146 sq. ft.), Burlington Coat Factory (62,926 sq. ft.), and Best Buy (50,935 sq. ft.). The former Sears anchor box remains vacant, according to the September 2024 rent roll. S&P said, "In our September 2023 review, we noted that the property's occupancy had not improved and the reported NCF was still below pre-pandemic levels. Using a 72.7% occupancy rate, an S&P Global Ratings' gross rent of $28.45 per sq. ft., and a 48.6% operating expense ratio, we derived an S&P Global Ratings NCF of $14.4 million. Utilizing an S&P Global Ratings' capitalization rate of 9.75%, we arrived at an S&P Global Ratings' expected-case value of $147.9 million, or $109 per sq. ft., a decline of 26.1% from the August 2020 appraised value of $200.0 million and 63.0% from the issuance appraised value of $400.0 million." The servicer-reported NCF for TTM ending June 30, 2024, and year-end 2023 are at or below the 2022 levels. According to the Sept. 30, 2024, rent roll and after adjusting for known tenant movements, such as Burlington Coat Factory leaving upon its February 2025 lease expiration date, the collateral property would be 65.5% leased. The five largest tenants, excluding the soon-to-vacate Burlington Coat Factory that makes up 4.6% of the net rentable area (NRA), comprise 33.8% of NRA: -- Target (11.5% of NRA, 5.9% of S&P Global Ratings' gross rent, January 2030 lease expiration). -- JCPenney (11.0%, 3.7%, May 2028). -- Hobby Lobby (3.8%, 1.6%, February 2028). -- Round One Entertainment (3.8%, 4.4%, March 2029). -- Best Buy (3.8%, 4.7%, March 2030). The property faces minimal tenant rollover (less than 10.0% of NRA) each year through 2027 (about one year after the current modified maturity date). Tenant rollover risk is elevated in 2028 (20.4%) and 2030 (17.1%). According to the tenant sales report for the TTM ending Aug. 31, 2024, the property's inline sales were $461 per sq. ft. with a 13.2% occupancy cost (excluding Apple), as calculated by S&P Global Ratings. S&P said, "Based on our current analysis, which assumed a 34.5% in-place vacancy rate, $31.59-per-sq.-ft. S&P Global Ratings' gross rent, and 52.9% operating expense ratio, we arrived at an S&P Global Ratings' NCF of $11.4 million, 20.9% below our September 2023 review. "Utilizing an S&P Global Ratings' capitalization rate of 12.0% (up 225 basis points from our last review because, based on its weak performance and lack of competitive advantage, we assessed that the property's credit quality is akin to a class C mall), we arrived at an S&P Global Ratings' expected-case value of $95.0 million, which is 35.7% below our last review value. The property was reappraised as of April 2024 at $185.0 million, a 7.5% decline from the 2020 appraised value. However, Midland indicated that BOVs received as of September 2024 were below the trust balance. Our expected-case value is 48.6% below the revised April 2024 appraised value. This yielded an S&P Global Ratings' loan-to-value (LTV) ratio of over 100.0% on the current trust balance." Table 1 Servicer-reported collateral performance Trailing-12-months ending June 30, 2024(i) 2023(i) 2022(i) Occupancy rate (%) 69.0 70.0 61.0 Net cash flow (mil. $) 15.5 14.7 16.6 Debt service coverage (x) 1.08 1.06 1.11 Appraisal value (mil. $)(ii) 185.0 200.0 200.0 (i)Reporting period. (ii)The property was appraised at $400.0 million at issuance in January 2011. Table 2 S&P Global Ratings' key assumptions Last published Current review review At issuance (Jan 2025)(i) (Sep 2023)(i) (Mar 2011)(i) Trust loan balance (mil. $) 161.0 168.1 215.0 Occupancy rate (%) 65.5 72.7 85.8 Net cash flow (mil. $) 11.4 14.4 23.8 Capitalization rate (%) 12.0 9.8 8.0 Value (mil. $) 95.0 147.9 297.5 Value per sq. ft. ($) 70 109 219 Loan-to-value ratio (%)(ii) 169.4 113.7 72.3 (i)Review period. (ii)On the trust loan balance at the time of S&P's review. Sangertown Square ($49.1 million, 23.4% of pooled trust balance) The smallest remaining loan, Sangertown Square, has a $49.1 million current trust balance, down from $52.2 million as of S&P's September 2023 review and $67.8 million at issuance. The loan pays a 5.854% fixed interest rate per annum and amortizes on a 25-year schedule. The loan originally matured Jan. 1, 2021, and was modified and extended to Jan. 1, 2024, as part of the workout after the loan transferred to the special servicer in May 2020 due to imminent default. The loan, which has a nonperforming matured balloon payment status, was transferred back to special servicing on May 19, 2023, due to imminent default because the borrower stated that the property's cash flow was not sufficient to cover the amortizing debt service payments and that it would not be able to pay off the loan at maturity. Midland stated that a loan modification agreement closed on Dec. 27, 2024. The terms included, among other items: -- Extending the loan's maturity date by 18 months from the closing of the loan modification agreement with two options to extend the maturity by an additional 18 months in total, as long as the loan meets a 1.15x DSC threshold on an IO basis. -- The borrower paying all costs, fees, and expenses associated with the loan's transfer to special servicing, including the 1% modification fee on future debt service payments upfront. -- The loan remaining in cash trap. -- Commencing with the first payment date after loan modification closing, the monthly debt service amount being interest accrued (converting from amortizing). -- The loan is secured by the borrower's fee simple interest in Sangertown Square, an 894,127-sq.-ft. single-story, enclosed mall on 102 acres in New Hartford, N.Y. The mall, built in 1980 and renovated in 2005, is about 50 miles east of Syracuse. It is currently anchored by Boscov's (172,473 sq. ft.), Target (126,000 sq. ft.), and Dick's Sporting Goods (51,355 sq. ft.). The former Macy's (140,473 sq. ft.) and JCPenney (151,841 sq. ft.) anchor spaces remain vacant, according to the September 2024 rent roll. S&P said, "In our September 2023 review, the loan had transferred back to special servicing. We noted that the property's occupancy remained below 60.0% because the borrower had not be able to re-tenant the two vacant collateral anchor spaces. Resultingly, the reported NCF was insufficient to cover debt service payments. Using a 57.5% occupancy rate, an S&P Global Ratings' NCF of $2.9 million, and an 18.0% S&P Global Ratings' capitalization rate, we arrived at an S&P Global Ratings' expected-case value of $16.0 million, or $18 per sq. ft., 16.0% below the February 2021 appraised value of $19.1 million and 85.0% from the issuance appraised value of $107.0 million." The servicer-reported NCF for the TTM ending June 30, 2024, and year-end 2023 were generally in line with the 2022 levels. According to the Sept. 30, 2024, rent roll, the collateral property was 55.9% leased. The five largest tenants comprise 44.0% of NRA: -- Boscov's (19.4% of NRA, 10.9% of S&P Global Ratings' gross rent, January 2037 lease expiration). -- Target (14.2%, 11.6%, January 2028). -- Dick's Sporting Goods (5.8%, 12.3%, October 2028). -- HomeGoods (2.5%, 4.2%, October 2027). -- PiNX (2.2%, 2.1%, June 2030). The property has minimal tenant rollover (less than 10.0% of NRA) each year through 2027 (about one year after the current modified maturity date). Tenant rollover risk is elevated in 2028 (22.4%) and 2037 (19.4%). In our current analysis, we assumed a 44.1% in-place vacancy rate, $12.37-per-sq.-ft. S&P Global Ratings' gross rent, and 60.2% operating expense ratio to arrive at an S&P Global Ratings' NCF of $2.1 million, a 26.3% decline from our September 2023 review. Utilizing an S&P Global Ratings' capitalization rate of 18.0% (unchanged from our last review), we arrived at an S&P Global Ratings' expected-case value of $11.8 million, which is 26.3% below our last review value. According to Midland, the property was reappraised as of April 2024 at $16.1 million, a 16.0% decline from the 2021 appraised value. Midland stated that BOVs received as of September 2024 were also below the trust balance. Our expected-case value is 26.3% below the revised April 2024 appraised value. This yielded an S&P Global Ratings' LTV ratio that is significant over 100% on the current trust balance. Table 3 Servicer-reported collateral performance Trailing-12-months ending June 30, 2024(i) 2023(i) 2022(i) Occupancy rate (%) 55.9 57.0 58.0 Net cash flow (mil. $) 2.9 3.2 2.9 Debt service coverage (x) 0.56 0.74 0.92 Appraisal value (mil. $)(ii) 16.1 19.1 19.1 (i)Reporting period. (ii)The property was appraised at $107.0 million at issuance in December 2010. Table 4 S&P Global Ratings' key assumptions Last published Current review review At issuance (Jan 2025)(i) (Sep 2023)(i) (March 2011)(i) Trust balance (mil. $) 49.1 52.2 67.8 Occupancy rate (%) 55.9 57.5 88.3 Net cash flow (mil. $) 2.1 2.9 7.3 Capitalization rate (%) 18.0 18.0 8.5 Value (mil. $) 11.8 16.0 85.3 Value per sq. ft. ($) 13 18 95 Loan-to-value ratio (%)(ii) 415.7 325.3 79.4 (i)Review period. (ii)On the trust loan balance at the time of our review. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 Class B to 'BBB- (sf)' from 'A- (sf)' Class C to 'BB- (sf)' from 'BBB- (sf)' Class D to 'B- (sf)' from 'BB- (sf)' Class E to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 Class F: CCC- (sf) Class G: CCC- (sf) Class H: CCC- (sf) Class J: CCC- (sf) LIBRA SOLUTIONS 2023-1: DBRS Confirms BB Rating on Class B Notes ---------------------------------------------------------------- DBRS, Inc. confirmed two credit ratings on Libra Solutions 2023-1 LLC. -- Class B Fixed Rate Asset Backed Notes BB (sf) Confirmed Credit rating rationale includes the key analytical considerations: -- Credit enhancement is in the form of overcollateralization, a liquidity reserve and excess funds. Credit enhancement levels have been rapidly building up since closing due to the turbo structure of the transaction. -- Overall performance of the transaction has been in-line with expectations. -- The transaction assumptions consider Morningstar DBRS's 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's moderate and adverse 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 (January 10, 2025). LOANCORE 025-CRE8: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to LoanCore 2025-CRE8 Issuer LLC as follows: - $649,750,000a class A 'AAAsf'; Outlook Stable; - $162,437,000a class A-S 'AAAsf;' Outlook Stable; - $77,625,000a class B 'AA-sf'; Outlook Stable; - $61,813,000a class C 'A-sf'; Outlook Stable; - $37,375,000a class D 'BBBsf'; Outlook Stable; - $17,250,000a class E 'BBB-sf'; Outlook Stable; - $37,375,000b class F 'BB-sf'; Outlook Stable; - $24,437,000b class G 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $81,938,000b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.500% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,043,000,000 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 22, 2025. Transaction Summary The notes represent the beneficial interests in the trust, the primary assets of which are 24 loans secured by 35 commercial properties having an aggregate principal balance of $1,043,000,000 as of the cut-off date. The pool also includes ramp-up collateral interest of $107.0 million. The loans were contributed to the trust by LoanCore CRE Seller 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 57.6% 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 performed cash flow analyses on all loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $59.0 million represents an 8.35% decline from the issuer's aggregate underwritten NCF of $64.4 million, excluding loans for which Fitch utilized an alternate value analysis. Lower Leverage: The pool has lower leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 131.4% is in better than both the 2024 and 2023 CRE CLO averages of 140.7% and 171.2%, respectively. The pool's Fitch NCF debt yield (DY) of 6.8% is better than both the 2024 and 2023 CRE CLO averages of 6.5% and 5.6%, respectively. Lower Pool Concentration: The pool concentration is better than recently rated Fitch CRE CLO transactions. The top 10 loans make up 59.2% 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 20.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool 100% comprises IO 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 maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 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' / 'BBsf' / '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' / 'AAsf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / '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. MADISON PARK XXVII: Fitch Assigns 'BB+(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Madison Park Funding XXVII, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Madison Park Funding XXVII, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Madison Park Funding XXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by UBS Asset Management (Americas) LLC. The original deal closed in March 2018. On Feb. 28, 2025 (the first refinancing date), the CLO's existing secured notes will be redeemed in full with refinancing proceeds. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $800 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.24% first-lien senior secured loans and has a weighted average recovery assumption of 74.49%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding XXVII, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MADISON PARK XXVII: Moody's Assigns (P)B3 Rating to Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to three classes of CLO refinancing notes (the Refinancing Notes) to be issued by Madison Park Funding XXVII, Ltd. (the Issuer): US$8,000,000 Class X Floating Rate Senior Notes due 2038, Assigned (P)Aaa (sf) US$490,800,000 Class A-1-R Floating Rate Senior Notes due 2037, Assigned (P)Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2038, Assigned (P)B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 96.0% of the portfolio must consist of first lien senior secured loans and up to 4.0% of the portfolio may consist of non-senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $800,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2980 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.0% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. MF1 2025-FL17: Fitch Assigns 'BB+(EXP)sf' Rating on Class F-X Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to MF1 2025-FL17 LLC notes as follows: - $673,100,000c class A 'AAA(EXP)sf'; Outlook Stable; - $219,075,000c class A-S 'AAA(EXP)sf'; Outlook Stable; - $85,725,000c class B 'AA-(EXP)sf'; Outlook Stable; - $68,262,000c class C 'A-(EXP)sf'; Outlook Stable; - $41,275,000c class D 'BBB(EXP)sf'; Outlook Stable; - $20,638,000c class E 'BBB-(EXP)sf'; Outlook Stable; - $14,287,000ad class F 'BB+(EXP)sf'; Outlook Stable; - $0ac class F-E 'BB+(EXP)sf'; Outlook Stable; - $0ab class F-X 'BB+(EXP)sf'; Outlook Stable; - $23,813,000acd class G 'BB-(EXP)sf'; Outlook Stable; - $0a class G-E 'BB-(EXP)sf'; Outlook Stable; - $0ab class G-X 'BB-(EXP)sf'; Outlook Stable; - $26,987,000cd class H 'B-(EXP)sf'; Outlook Stable; - $0a class H-E 'B-(EXP)sf'; Outlook Stable; - $0ab class H-X 'B-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $96,838,000d Income Notes. (a) Exchangeable Notes. Classes F, G and H 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. (b) Notional amount and interest only (IO). (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest, estimated to be 12.750% of the principal balance of the notes. The approximate collateral interest balance as of the cutoff date is $1,246,318,570 and does not include future funding. The expected ratings are based on information provided by the issuer as of Jan. 22, 2025. Transaction Summary The notes represent the beneficial interest in the trust, the primary assets of which are 25 loans secured by 86 commercial properties having an aggregate principal balance of $1,246,318,570 as of the cut-off date, including seven delayed- close collateral interests totaling $317.8 million, which are expected to close within 90 days after the closing date. The pool also includes ramp-up collateral interest of $23,681,429.95. The loans were contributed to the trust by MF1 REIT III LLC. The servicer is expected to be CBRE Loan Services, Inc. and the special servicer, MF1 Loan Services LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator, Computershare Trust Company, National Association. The notes will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 25 loans in the pool. Fitch's resulting aggregate net cash flow (NCF) of $38.4 million represents a 7.7% 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 pro-rated 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 143.1% is higher than the 2024 CRE-CLO averages of 140.7%, but below the 2023 CRE-CLO averages of 171.2%. The pool's Fitch NCF debt yield (DY) of 5.8% is lower than the 2024 CRE-CLO averages of 6.5%, but higher than the 2023 CRE-CLO averages of 5.6%. Better Pool Diversity: The pool diversity is better than that of recently rated Fitch CRE-CLO transactions. The top 10 loans make up 56.5% of the pool, which is lower than both the 2024 CRE-CLO average of 70.5% and the 2023 CRE-CLO average of 62.5%. 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 22.2. 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: The pool is 34.5% comprised IO loans. This is better 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 paydown by 1.2% 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 - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/ 'BBBsf'/ 'BBB-sf'/ 'BB+sf'/ 'BB-sf'/ 'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/ 'BB+sf'/ 'BB-sf'/ 'B+sf'/ 'B-sf'/ ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/ 'BBBsf'/ 'BBB-sf'/ 'BB+sf'/ 'BB-sf'/ 'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/ 'BBB+sf'/ 'BBBsf'/ 'BBB-sf'/ '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. MORGAN STANLEY 2013-C9: DBRS Confirms C Rating on 2 Classes ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2013-C9 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 as follows: -- Class B at BBB (sf) -- Class C at CCC (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) -- Class PST at CCC (sf) -- Class X-B at CCC (sf) -- Class G at C (sf) -- Class H at C (sf) All trends are now Positive. Morningstar DBRS changed the trends on all classes to Positive, reflective of the modification of the largest loan in the pool, Milford Plaza Fee (Prospectus ID#1, 72.9% of the pool), and subsequent repayment of nearly all the accumulated unpaid bondholder interest, which totaled $8.4 million at the time of Morningstar DBRS' last rating action. Previously, interest had been withheld from all bonds below Class C for more than a year prompting the previous credit rating downgrades throughout the capital stack. This stemmed from the performance deterioration of the Milford Plaza Fee loan, which had been in special servicing since June 2020, and the servicer's own evaluation of non-recoverability in April 2023. At the last review in February 2024, the transaction reported approximately $18.5 million in realized trust losses. Since the last credit rating action, the Milford Plaza Fee loan has been modified, as discussed further below, and nearly all of the $8.4 million in shorted interest was repaid. In addition, approximately $9.5 million in advances that were previously deemed non-recoverable and had been passed through as a realized trust loss were also recovered, reducing the actual realized loss to the trust to $8.5 million as of the December 2024 remittance. Only three of the original 60 loans remain in the pool with no additional paydowns or liquidations since the last credit rating action in February 2024. There are now no loans in special servicing but two of the loans, representing 95.2% of the pool remain on the servicer's watchlist due to a recent transfer back to the master servicer and performance related concerns. At issuance, the Milford Plaza Fee loan was secured by the borrower's leased fee interest in the ground beneath the 1,331-key hotel currently known as The Row NYC in the Times Square-Theatre District in New York City. The $275 million whole loan, which has a pari passu structure with pieces contributed to the subject transaction ($165 million) and to the non-Morningstar DBRS-rated MSBAM 2013-C10 transaction ($110 million), has been brought current and returned back to the master servicer following a loan modification that was executed in May 2024. The previous delinquent tenant and owner of the leasehold interest, Highgate Holdings purchased the land and assumed the subject loan in conjunction with the modification. Collateral for the loan now consists of the new borrower's fee simple interest in both the ground and improvements of the Row NYC hotel. The modification included an extension of the maturity date to June 2028. In addition, the ground lease was terminated, cash management will be in place until a full payoff has occurred, and the new sponsor was required to provide a renovation guaranty and fund a capex reserve. The master servicer confirmed that $14.1 million in protective advances have been paid to reimburse fees and advances previously deemed non-recoverable while the loan was in special servicing. The borrower has extended its agreement with the city of New York to house migrants at the subject property through April 2026 at a reduced rate of $175 per night compared to the previous rate of $190 per night. The loan reported an annualized net cash flow (NCF) figure of $78.2 million for the trailing six-month period ended June 30, 2024, which appears to include the hotel operations. The fee simple value was appraised at $350 million in April 2024, which is slightly below the May 2023 appraised value of $375 million and the issuance appraised value of $386 million. Although the loan has been reinstated and is no longer in special servicing, Morningstar DBRS' analysis included recoverability scenario based on a stress to the most recent appraisal, which indicates that a full recovery of the loan could be possible. This recoverability determination was considered a primary driver in the change of trend on all Classes to Positive. Despite these positive developments, Morningstar DBRS' ratings for the remainder of the capital stack have been confirmed at this time to allow for continued seasoning of the loan's performance following the loan modification. Notes: All figures are in U.S. dollars unless otherwise noted. MTN COMMERCIAL 2022-LPFL: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of MTN Commercial Mortgage Trust 2022-LPFL, Commercial Mortgage Pass-Through Certificates, Series 2022-LPFL as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the collateral portfolio, which has exhibited minimal changes in performance and composition since issuance. The transaction is secured by the borrower's fee-simple or leasehold interests in a portfolio of 82 industrial properties (78 fee-simple properties, two payment-in-lieu-of-taxes leasehold properties, and two ground leasehold properties) totaling over 15 million square feet across 25 states. The portfolio was acquired through Industrial Logistics Properties Trust's (ILPT's) $4.0 billion acquisition of Monmouth Real Estate Investment Corporation (Monmouth). The loan is sponsored by a joint venture between ILPT, the portfolio owner and controller, and the remaining 39.0% is owned by an institutional investor connected to the Monmouth acquisition. The $1.4 billion floating-rate mortgage loan is interest-only (IO) throughout its five-year fully extended loan term. The loan had an initial two-year term and was structured with three one-year extension options with a fully extended maturity date in March 2027. The current scheduled maturity date is on March 9, 2025. The most recent servicer commentary indicates that the borrower intends to exercise the second extension option, subject to meeting pre-determined requirements including no events of default and the purchase of a replacement interest rate cap agreement with a rate the lesser of 3.4% or, when added to the spread yields, a minimum debt service coverage ratio (DSCR) of 1.10 times (x). The transaction documents allow for property releases at a release price of 105.0% of the allocated loan amount (ALA) for the first 80.0% of the original principal balance of the mortgage loan and 110.0% thereafter. Proceeds from the first 20.0% of property releases by ALA are distributed across the capital stack on a pro rata basis, with all subsequent proceeds applied sequentially. Morningstar DBRS considers this structure to be credit negative, particularly at the top of the capital stack; as such, a penalty was applied in the loan-to-value (LTV) sizing. To date, there have been no property releases. The annualized net cash flow (NCF) for the trailing six months (T-6) ended June 30, 2024, was $84.9 million, a modest increase from the year-end 2023 figure of $83.3 million and the Morningstar DBRS NCF of $79.5 million. The increase in cash flow is primarily driven by increases in both base rent and expense reimbursements; however, the DSCR has fallen since issuance as the in-place debt service costs on the floating rate debt have continued to rise. Morningstar DBRS notes that the financial reporting does not account for the in-place interest rate cap. The June 2024 rent rolls reported an occupancy figure of 98.7% across the portfolio, a slight increase from the issuance figure of 96.5%. The portfolio's largest tenant is FedEx Corporation (46.8% of net rentable area (NRA)). Leases representing approximately 56.0% of the portfolio's NRA are scheduled to roll throughout the fully extended loan term; however, rollover is relatively granular with no more than 17.0% of the NRA scheduled to roll in any given year. In addition, Morningstar DBRS expects demand to remain stable through the extended loan term for warehouse property types in desirable locations such as those in the subject's portfolio. The relative distribution of the locations is granular, with the largest state concentration in Texas, with 8.6% of the portfolio NRA. Indiana and Ohio follow with 8.5% of the total portfolio square footage each. Morningstar DBRS' credit ratings are based on a value analysis from issuance, which considered a net cash flow of $79.5 million and a capitalization rate of 6.5%, resulting in a Morningstar DBRS value of $1.2 billion and a loan-to-value (LTV) ratio of 114.5% on the mortgage loan. The Morningstar DBRS value represents a variance of -41.6% from the issuance appraised value of $2.1 billion. In addition, Morningstar DBRS maintained positive qualitative adjustments to the LTV-sizing benchmarks totaling 8.5% to reflect the high quality of the properties, geographic diversity in key markets, and historically stable cash flow. Notes: All figures are in U.S. dollars unless otherwise noted. NASSAU 2021-I: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class class A-1-R, B-1-R, C-R, D-R, and E-R replacement debt from Nassau 2021-I Ltd./Nassau 2021-I LLC, a CLO managed by NCG CLO Manager LLC that was originally issued in August 2021. At the same time, S&P withdrew its ratings on the class A-1, B-1, C, D, and E debt following payment in full on the Jan. 30, 2025, refinancing date. S&P also affirmed its ratings on the class A-2 and B-2 debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture, the non-call period for the replacement debt was set to Jan. 30, 2026. Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $181.295 million: Three-month CME term SOFR + 1.11% -- Class B-1-R, $22.450 million: Three-month CME term SOFR + 1.70% -- Class C-R, $21.00 million: Three-month CME term SOFR + 1.95% -- Class D-R, $17.50 million: Three-month CME term SOFR + 3.60% -- Class E-R, $14.00 million: Three-month CME term SOFR + 7.10% Original debt -- Class A-1, $181.295 million: Three-month CME term SOFR + 1.51% -- Class B-1, $22.450 million: Three-month CME term SOFR + 2.21% -- Class C, $21.00 million: Three-month CME term SOFR + 2.86% -- Class D, $17.50 million: Three-month CME term SOFR + 4.01% -- Class E, $14.00 million: Three-month CME term SOFR + 7.66% 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 Nassau 2021-I Ltd./Nassau 2021-I LLC Class A-1-R, $181.295 million: AAA (sf) Class B-1-R, $22.45 million: AA (sf) Class C-R, $21.00 million: A (sf) Class D-R, $17.50 million: BBB- (sf) Class E-R, $14.00 million: BB- (sf) Ratings Withdrawn Nassau 2021-I Ltd./Nassau 2021-I LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Ratings Affirmed Nassau 2021-I Ltd./Nassau 2021-I LLC Class A-2: 'AAA (sf)' Class B-2: 'AA (sf)' Other Debt Nassau 2021-I Ltd./Nassau 2021-I LLC Sub Note A: NR Sub Note B: NR NR--Not rated. NEUBERGER BERMAN 44: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-L, B-R, C-R, D-R, and E-R replacement debt from Neuberger Berman Loan Advisers CLO 44 Ltd./Neuberger Berman Loan Advisers CLO 44 LLC, a CLO originally issued in 2021 that is managed by Neuberger Berman Loan Advisers II LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt following payment in full on the Jan. 29, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Jan. 16, 2026. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Oct. 16, 2035. -- No additional assets were purchased on the Jan. 29, 2025, refinancing date, and the target initial par amount remained at $600 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 16, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "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 Neuberger Berman Loan Advisers CLO 44 Ltd./ Neuberger Berman Loan Advisers CLO 44 LLC Class A-L, $378.00 million: AAA (sf) Class B-R, $78.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable), $36.00 million: BBB- (sf) Class E-R (deferrable), $24.00 million: BB- (sf) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 44 Ltd./ Neuberger Berman Loan Advisers CLO 44 LLC Class A to NR from ‘AAA (sf)’ Class B to NR from ‘AA (sf)’ Class C (deferrable) to NR from ‘A (sf)’ Class D (deferrable) to NR from ‘BBB- (sf)’ Class E (deferrable) to NR from ‘BB- (sf)’ Other Debt Neuberger Berman Loan Advisers CLO 44 Ltd./ Neuberger Berman Loan Advisers CLO 44 LLC Subordinated notes, $59.00 million: NR NR--Not rated. NEWARK BSL 2: Moody's Affirms Ba3 Rating on $20MM Class D Notes --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Newark BSL CLO 2, Ltd.: US$56,000,000 Class A-2-R Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Jun 15, 2022 Upgraded to Aa1 (sf) US$34,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jun 15, 2022 Upgraded to A1 (sf) US$30,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa2 (sf); previously on Mar 3, 2021 Assigned Baa3 (sf) Moody’s has also affirmed the ratings on the following notes: US$320,000,000 (Current outstanding US$206,249,268) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 3, 2021 Assigned Aaa (sf) US$20,000,000 Class D Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 2, 2020 Confirmed at Ba3 (sf) Newark BSL CLO 2, Ltd., issued in July 2017 and partially refinanced in March 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrades on the Class A-2-R, Class B-R and Class C-R notes are primarily a result of the deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio over the last 12 months. The affirmations on the ratings on the Class A-1-R and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD78.9 million (24.66%) in the last 12 months and USD113.75 million (35.55%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated December 2024 [1] the Class A, Class B and Class C OC ratios are reported at 138.59%, 122.69% and 111.40% compared to December 2023 [2] levels of 130.91%, 119.05% and 110.23%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's use in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD360.55m Defaulted Securities: USD10.27m Diversity Score: 75 Weighted Average Rating Factor (WARF): 2713 Weighted Average Life (WAL): 3.52 years Weighted Average Spread (WAS): 3.08% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 47.42% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Moody's Approach to Assessing Counterparty Risks in Structured Finance" published in October 2024. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OCEAN TRAILS XIV: Fitch Assigns 'BBsf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ocean Trails CLO XIV Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Ocean Trails CLO XIV Ltd A-1 67515JAA3 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-R LT AAsf New Rating B1 67515JAE5 LT PIFsf Paid In Full AAsf B2 67515JAJ4 LT PIFsf Paid In Full AAsf C 67515JAG0 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D 67515JAL9 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E 67515MAA6 LT PIFsf Paid In Full BBsf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Ocean Trails CLO XIV Ltd (the issuer), a reset transaction that originally closed in March 2023, is an arbitrage cash flow collateralized loan obligation (CLO) managed by Five Arrows Managers North America LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 94.58% first-lien senior secured loans and has a weighted average recovery assumption of 74.14%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-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-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. 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 Ocean Trails CLO XIV Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. For more information on Fitch's ESG Relevance Scores, visit the Fitch Ratings ESG Relevance Scores page. OCEAN TRAILS XIV: Moody's Assigns B3 Rating to $1MM Cl. F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Ocean Trails CLO XIV Ltd (the Issuer): US$252,000,000 Class A-R Floating Rate Notes due 2038, Assigned Aaa (sf) US$1,000,000 Class F-R Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and eligible principal investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans, including up to 5% of the portfolio, for senior unsecured bonds, senior secured bonds or senior secured floating rate notes. Five Arrows Managers North America LLC, (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; additions to the CLO's ability to hold workout and restructured assets; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2893 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. OCTAGON LOAN: Moody's Cuts Rating on $20.7MM Cl. E-RR Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Octagon Loan Funding, Ltd.: US$49,700,000 Class B-RR Senior Secured Floating Rate Notes due 2031 (the "Class B-RR Notes"), Upgraded to Aaa (sf); previously on November 19, 2018 Assigned Aa2 (sf) US$30,700,000 Class C-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-RR Notes"), Upgraded to A2 (sf); previously on November 19, 2018 Assigned A3 (sf) Moody's have also downgraded the rating on the following notes: US$20,700,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E-RR Notes"), Downgraded to B1 (sf); previously on August 19, 2020 Confirmed at Ba3 (sf) Octagon Loan Funding, Ltd., originally issued in September 2014 and last refinanced in November 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in November 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2023. The Class A-RR notes have been paid down by approximately 38.8% or $97.7 million since December 2023. Based on the trustee's December 2024 report[1], the OC ratios for the Class B-RR, Class C-RR, and Class D-RR notes are reported at 139.45%, 121.17% and 113.97%, respectively, versus December 2023[2] levels of 128.89%, 116.98% and 112.00%, respectively. The downgrade rating action on the Class E-RR notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's December 2024 report[3], the OC ratio for the Class E-RR notes is reported at 105.22% versus December 2023[4] level of 105.70%. Furthermore, the trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are currently 2951 and 3.40%, respectively[5], compared to 2889 and 3.67%, respectively, in December 2023[6]. No actions were taken on the Class A-RR and Class D-RR notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $282,840,638 Defaulted par: $3,669,481 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2942 Weighted Average Spread (WAS): 3.23% Weighted Average Recovery Rate (WARR): 46.76% Weighted Average Life (WAL): 3.43 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. OFSI BSL XII: 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-J-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC, a CLO originally issued in February 2023 that is managed by OFS CLO Management II LLC. The preliminary ratings are based on information as of Jan. 28, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 5, 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 supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The reinvestment period will be extended to Jan. 17, 2030. -- The non-call period will be extended to Dec. 11, 2026. -- The replacement class B-R, C-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the original notes. -- The original class D debt is being replaced by two new classes: D-1-R and D-2-R. -- No new subordinated notes will be issued. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC Class A-1-R, $180.00 million: AAA (sf) Class A-J-R, $9.00 million: AAA (sf) Class B-R, $39.00 million: AA (sf) Class C-R (deferrable), $18.00 million: A (sf) Class D-1-R (deferrable), $15.00 million: BBB (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $9.00 million: BB- (sf) Other Debt OFSI BSL XII CLO, Ltd./OFSI BSL XII CLO, LLC Subordinated notes, $28.85 million: Not rated PIKES PEAK 8: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 8 reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 8 A 72133CAA0 LT PIFsf Paid In Full AAAsf A Loan LT PIFsf Paid In Full AAAsf X LT AAAsf New Rating A-1R LT AAAsf New Rating A-L Loan LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary Pikes Peak CLO 8 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group US Management CLO LLC. The transaction originally closed in June 2021 and is being reset for the first time. The CLO's existing secured notes will be refinanced in whole on Jan. 21, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.66, versus a maximum covenant, in accordance with the initial expected matrix point of 26.66. 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 98.89% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74% versus a minimum covenant, in accordance with the initial expected matrix point of 73.31%. Portfolio Composition (Positive): The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1 and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that the data is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 8. 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. For more information on Fitch's ESG Relevance Scores, visit the Fitch Ratings ESG Relevance Scores page. POST ROAD 2025-1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by Post Road Equipment Finance 2025-1, LLC. Entity/Debt Rating ----------- ------ Post Road Equipment Finance 2025-1 A1 ST F1+(EXP)sf Expected Rating A2 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 — Strong Historical Asset Performance: Post Road's originations have seen minimal defaults and losses since inception. There have been 17 instances of default since 2017, with a recovery rate of approximately 100% in 14 of the 16 resolved cases. Bankruptcies appear to be the primary driver of defaults, with 13 instances where Post Road contracts were accepted and paid in all cases. In three non-bankruptcy related defaults, Post Road received sufficient sales proceeds to satisfy outstanding contract terms. Fitch did not consider 17 default observations, with average recovery of 98%, a sufficient dataset from which to derive recovery rate assumptions. Consequently, Fitch relied on a range of appraisal values provided by Post Road, including net orderly values (NOLVs), orderly liquidation values (OLVs) and liquidation values in place (LVIPs), to determine recovery rate assumptions for each equipment type. These appraisals were conducted by established third-party appraisers in the equipment space. Lease-End Residual Value Risk: The residual value of the leased equipment accounts for 6.55% of the pool on a discounted basis. Of this, 5.42% presents exposure to residual risk, while the remaining 1.13% relates to residuals that are guaranteed by the obligors. Concentration Risk, Portfolio Credit Model Approach to Derive Loss Hurdle: Post Road 2025-1 exhibits a high degree of concentration, with the underlying collateral consisting of 170 contracts across 67 obligors. The top 10 obligors total 36.61%, down from 41.20% in PREF 2024-1. Due to the limited loss history and significant obligor concentration, Fitch will determine credit loss hurdles using its Portfolio Credit Model (PCM), in accordance with its "U.S. Equipment Lease and Loan ABS Rating Criteria." Structural Analysis - Adequate Credit Enhancement: The Post Road 2025-1 notes benefit from credit enhancement in the form of overcollaterization, initially sized at 8.90% of initial aggregate securitization value with a target of 13.05% of current aggregate securitization value and a 6.70% overcollaterization floor of initial aggregate securitization value; a 1% non-declining reserve account; excess spread; and for the class A, B, C and D notes, subordination. Total initial hard credit enhancement for the class A, B, C, D and E notes is 29.60%, 25.85%, 20.15%, 16.30% and 9.90%, respectively. This is sufficient to support Fitch's total stressed loss expectation of 31.91%, 27.77%, 22.21%, 16.99% and 12.35% at the 'AAAsf', 'AAsf', 'Asf', 'BBBsf' and 'BBsf' rating categories, respectively. Adequate Servicer: Post Road has demonstrated adequate capabilities as originator, underwriter and servicer, as evidenced by its managed portfolio and delinquency and loss performance RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce loss levels higher than the rating case and could result in potential rating actions on the notes. Fitch evaluated the sensitivity to account for the potential increase in default rates by assuming the ratings of each obligor were downgraded by one-notch from the assumed ratings in Fitch's rating case scenario. This stress would also have an impact of up to one category on the ratings of the transaction. Additionally, recoveries were stressed by applying haircuts of 25% and 50% to AAAsf recovery rates on each contract. These stressed recovery rate scenarios had an impact of up to three categories on the ratings of the transaction. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance, driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If total loss expectation is 20% less than projected, the expected subordinate note ratings 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 RSM US LLP. The third-party due diligence described in Form 15E focused on comparing or recalculating certain information with respect to 50 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. PRET 2025-RPL1: DBRS Gives Prov. B Rating on Class B-2 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the PRET 2025-RPL1 Trust Mortgage-Backed Notes, Series 2025-RPL1 to be issued by PRET 2025-RPL1 Trust (PRET 2025-RPL1 or the Trust) as follows: -- $315.5 million Class A-1 at (P) AAA (sf) -- $24.6 million Class A-2 at (P) AA (sf) -- $340.1 million Class A-3 at (P) AA (sf) -- $362.6 million Class A-4 at (P) A (sf) -- $381.3 million Class A-5 at (P) BBB (sf) -- $22.5 million Class M-1 at (P) A (sf) -- $18.7 million Class M-2 at (P) BBB (sf) -- $11.3 million Class B-1 at (P) BB (sf) -- $7.9 million Class B-2 at (P) B (sf) The Class A-3, Class A-4, and Class A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The (P) AAA (sf) credit rating on the Notes reflects 25.75% of credit enhancement provided by subordinated notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 19.95%, 14.65%, 10.25%, 7.60%, and 5.75% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 2,151 loans with a total principal balance of $424,874,071 as of the Cut-Off Date (December 31, 2024). The mortgage loans are approximately 190 months seasoned. As of the Cut-Off Date, 93.8% of the loans are current (including 2.0% bankruptcy-performing loans), and 6.2% of the loans are 30 days delinquent (including one bankruptcy loan) under the Mortgage Bankers Association (MBA) delinquency method. Under the MBA delinquency method, 49.8% and 79.2% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively. The portfolio contains 81.9% modified loans as determined by the Issuer. Morningstar DBRS considers the modifications happened more than two years ago for 87.4% of these loans. Within the pool, 650 mortgages have an aggregate non-interest-bearing deferred amount of $24,962,873, which comprises 5.9% of the total principal balance. PRET 2025-RPL1 represents the fifth rated securitization of the seasoned performing and reperforming residential mortgage loans issued by the Sponsor, Nomura Corporate Funding Americas, LLC (NCFA or the Sponsor), but the third on the PRET shelf. The Sponsor is registered with the U.S. Securities and Exchange Commission and incorporated in the state of Delaware. The Mortgage Loan Seller will contribute the loans to the Trust through Nomura Asset Depositor Company, LLC (the Depositor). As the Sponsor, NCFA or one of its majority-owned affiliates will acquire and retain a 5% vertical interest in each class of Notes (other than the Class R Notes) and the Trust Certificate to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Selene Finance LP (Selene) services all the loans. There will not be any advancing of delinquent principal and interest (P&I) on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowners association fees in super lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Controlling Holder will have the option to repurchase any mortgage loan that becomes 90-plus days delinquent or any REO property at a price equal to the sum of (i) unpaid principal balance (UPB) plus interest, (ii) any outstanding Post-Cut-Off at Deferred Amount, and (iii) any Pre-Existing Servicing Advances, unreimbursed Servicing Advances, or unpaid Servicing Fees with respect to such Mortgage Loan, as long as the aggregate repurchased delinquent mortgages and REO properties do not exceed 10.0% of the aggregate UPB of the Mortgage Loans as of the Cut-Off Date. On any Payment Date on or after the Payment Date in January 2027, the Redemption Right Holder will have the option to purchase all remaining loans and other property of the Issuer at the Redemption Price. The Redemption Right Holder will be the beneficial owner of more than 50% the Class XS Notes. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A-2 and more subordinate P&I bonds will not be paid from principal proceeds until the more senior classes are retired. Notes: All figures are in U.S. dollars unless otherwise noted. RAD CLO 27: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 27, Ltd. Entity/Debt Rating ----------- ------ RAD CLO 27, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RAD CLO 27, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Irradiant Partners, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.06, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.6% versus a minimum covenant, in accordance with the initial expected matrix point of 71.35%. 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' 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 RAD CLO 27, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. RAD CLO 28: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to RAD CLO 28 Ltd./RAD CLO 28 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Irradiant Partners L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned RAD CLO 28 Ltd./RAD CLO 28 LLC Class A, $256.00 million: AAA (sf) Class B-1, $38.00 million: AA (sf) Class B-2, $10.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated RCKT MORTGAGE 2025-CES1: Fitch Gives 'Bsf' Rating on 5 Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2025-CES1 (RCKT 2025-CES1). Entity/Debt Rating Prior ----------- ------ ----- RCKT Mortgage Trust 2025-CES1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 6,069 closed-end second lien loans with a total balance of approximately $535.8 million as of the cutoff date. The pool consists of closed-end second-lien mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or net weighted average coupon (WAC). The issuer and dropped all Maryland-located loans from the pool due to ongoing regulation at the state level since Fitch published its expected ratings; there was no impact to bond credit enhancement, expected losses or ratings. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes as the loan was not funded at close and is no longer being offered. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): As a result of its updated view on sustainable home prices, Fitch views the home price values of this pool as 11.6% above a long-term sustainable level (versus 11.7% on a national level as of 2Q24). Affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.3% yoy nationally as of August 2024, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 6,069 loans totaling approximately $535.8 million and seasoned at about four months in aggregate, as calculated by Fitch (one month, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, including a WA Fitch model FICO score of 741; a debt-to-income ratio (DTI) of 39.2%; and moderate leverage, with a sustainable loan-to-value ratio (sLTV) of 77.4%. Of the pool, 99.1% of the loans are of a primary residence and 0.9% represent second homes, and 86.8% of loans were originated through a retail channel. Additionally, 45.7% of loans are designated as safe-harbor qualified mortgages (SHQMs) and 23.0% are higher-priced qualified mortgages (HPQMs). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM loan status. Second-Lien Collateral (Negative): The entire collateral pool consists of second-lien loans originated by Rocket Mortgage, LLC. Fitch assumed no recovery and a 100% LS on second-lien loans based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second-lien loans default at a rate comparable to first-lien loans. After controlling for credit attributes, no additional penalty was applied. Sequential Payment Structure (Positive): The transaction features a typical sequential payment structure. Principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cashflow is derived from remaining amounts after allocation of the interest and principal priority of payments. These amounts will be applied as principal first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. While Fitch previously analyzed CES transactions using an interest rate cut, this stress is no longer being applied. Given the lack of evidence of interest rate modifications being used as a loss mitigation tactic, the application of the stress was overly punitive. If this becomes a common form of loss mitigation, or if certain structures rely too much on excess interest, Fitch may apply additional sensitivities to test the structure. 180 Day Charge Off Feature (Positive): The servicer can write off the balance of a loan at 180 days delinquent based on the MBA delinquency method, but it is not obligated to do so. If the servicer expects a meaningful recovery in a liquidation scenario, the Majority Class XS Noteholder may direct the servicer to continue to monitor the loan and not charge it off. The 180-day charge-off feature will cause losses to occur sooner while there is a larger amount of excess interest to protect against losses. This compares favorably to a delayed liquidation scenario where the loss occurs later in the life of the deal and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide additional benefit to the transaction above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days' delinquent (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. In higher stress scenarios, Fitch does not expect loan workouts because less or negative equity will remain. In this situation, the six-month timeline is reasonable for cashflow analysis. In lower stresses, there is a higher possibility of charge off not occurring due to potential recoveries, which would be more positive than Fitch's analysis assumed. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, 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 assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 25.1% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 19bps reduction to the 'AAAsf' expected loss. ESG Considerations RCKT Mortgage Trust 2025-CES1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk mitigation, which has a positive impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SANTANDER DRIVE 2025-1: Fitch Assigns 'BBsf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Santander Drive Auto Receivables Trust (SDART) 2025-1. Entity/Debt Rating Prior ----------- ------ ----- Santander Drive Auto Receivables Trust 2025-1 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf 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 20.2%, 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 9.74% 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 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. SCULPTOR CLO XXVII: Moody's Assigns Ba3 Rating to $19.1MM E-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to seven classes of CLO refinancing notes (the "Refinancing Notes") issued by Sculptor CLO XXVII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$2,000,000 Class X-R Senior Secured Floating Rate Notes due 2034 (the "Class X-R Notes"), Assigned Aaa (sf) US$248,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2034 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$4,000,000 Class A-2A-R Senior Secured Floating Rate Notes due 2034 (the "Class A-2A-R Notes"), Assigned Aaa (sf) US$40,000,000 Class B-1-R Senior Secured Floating Rate Notes due 2034 (the "Class B-1-R Notes"), Assigned Aa1 (sf) US$17,350,000 Class C-1-R Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class C-1-R Notes"), Assigned A1 (sf) US$24,300,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class D-R Notes"), Assigned Baa3 (sf) US$19,100,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Assigned Ba3 (sf) Additionally, Moody's have upgraded the following outstanding notes originally issued by the Issuer on July 14, 2021 (the "Original Closing Date"): US$8,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2034 (the "Class B-2 Notes"), Upgraded to Aa1 (sf); previously on July 14, 2021 Assigned Aa2 (sf) US$3,250,000 Class C-2 Senior Secured Deferrable Fixed Rate Notes due 2034 (the "Class C-2 Notes"), Upgraded to A1 (sf); previously on July 14, 2021 Assigned A2 (sf) A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Sculptor Loan Management LP (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and two classes of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, other changes to transaction features will occur in connection with the refinancing including extension of the non-call period; updates to "Benchmark" provisions; increase in concentration limitation for Bonds; and addition of CLO's ability to hold Bonds other than Senior Secured Bonds. Moody's rating actions on the Class B-2 Notes, and Class C-2 Notes are primarily a result of the refinancing, which increases excess spread available as credit enhancement to the rated notes. Additionally, the Notes benefited from a shortening of the weighted average life (WAL). No action was taken on the Class A-2B notes because their expected loss remains commensurate with their current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $394,746,700 Defaulted par: $3,655,076 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2752 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.36% Weighted Average Recovery Rate (WARR): 45.93% Weighted Average Life (WAL): 5.59 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SEQUOIA MORTGAGE 2025-1: Fitch Assigns 'B+sf' Rating on Cl. B Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-1 (SEMT 2025-1). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2025-1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT B+sf New Rating B+(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2025-1 (SEMT 2025-1) as indicated. The certificates are supported by 476 loans with a total balance of approximately $561.5 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. Following the publication of the presale and expected ratings, the issuer notified Fitch of an updated tape which consisted of one loan drop and updated cutoff balances. In addition, Redwood provided Fitch with an updated structure to reflect the new balances as well as the credit enhancement increase from 0.45% to 0.50% on the B5 class. Fitch re-ran both its asset and cash flow analysis and there were no changes to both the loss feedback and the expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 476 loans totaling approximately $561.5 million and seasoned at about three months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 778 and 35.8% debt-to-income (DTI) ratio, and moderate leverage, with an 80.9% sustainable loan-to-value (sLTV) ratio and 71.7% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 93.2% in loans where the borrower maintains a primary residence, while 6.8% are of a second home; 71.5% of the loans were originated through a retail channel. In addition, 99.6% of the loans are designated as qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.0% 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 have 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 MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, 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 to its loss analysis. This adjustment resulted in a 24-bp 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. SIGNAL PEAK 14: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Signal Peak CLO 14 Ltd./Signal Peak CLO 14 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ORIX Advisers LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Signal Peak CLO 14 Ltd./Signal Peak CLO 14 LLC Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated SILVER POINT 1: Fitch Assigns 'BB+sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Silver Point CLO 1, Ltd. A-1-R LT NRsf New Rating A-2 828085AC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 828085AJ9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 828085AE0 LT PIFsf Paid In Full Asf C-2 828085AL4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 828085AG5 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 82808DAA1 LT PIFsf Paid In Full BB+sf E-R LT BB+sf New Rating F-R LT NRsf New Rating Transaction Summary Silver Point CLO 1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point RR Manager, L.P. The transaction originally closed January 2023 and this will be the first reset. The existing secured notes will be refinanced in whole on Jan. 21, 2025 from proceeds of the new secured notes. Net proceeds from the issuance of the secured notes along with the existing subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.93% first-lien senior secured loans and has a weighted average recovery assumption of 73.56%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 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-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, '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 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 1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SILVER POINT 1: Moody's Assigns B3 Rating to $250,000 F-R Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Silver Point CLO 1, Ltd. (the Issuer): US$320,000,000 Class A-1-R Secured Floating Rate Notes due 2038, Assigned Aaa (sf) US$250,000 Class F-R Secured Deferrable Floating Rate Notes due 2038, Assigned B3 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of loans that are not senior secured. Silver Point RR Manager, L.P. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3097 Weighted Average Spread (WAS): 3.50% 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. SUTTONPARK 2021-A: DBRS Keeps BB Rating of D Notes Under Review --------------------------------------------------------------- DBRS, Inc. maintained its Under Review with Negative Implications (URN) designation on nine credit ratings from four SuttonPark Structured Settlement transactions. Debt Rated Rating Action ---------- ------ ------ SuttonPark Structured Settlements (SPSS) 2021-A LLC Class A Notes AAA (sf) UR-Neg. Class B Notes A (sf) UR-Neg. Class C Notes BBB (sf) UR-Neg. Class D Notes BB (sf) UR-Neg. SuttonPark Structured Settlements 2011-1 LLC Class A AAA (sf) UR-Neg. Class B BBB (sf) UR-Neg. SuttonPark Structured Settlements 2012-1 LLC Class A A (sf) UR-Neg. SuttonPark Structured Settlements 2017-1 LLC Class A Notes AAA (sf) UR-Neg. Class B Notes BBB (high) (sf) UR-Neg. The rating actions are based on the following analytical considerations: -- The maintaining of the URN designation is primarily due to the ongoing servicing transfer to Vervent and the finalization of the transfer of the lock box accounts to Axos Bank. Morningstar DBRS will continue to monitor the on-going servicing transfer and evaluate the impact on collateral performance and collections available to each transaction to resolve the URN designation. Morningstar DBRS continues to maintain dialogue with the restructuring agent to keep apprised of progress and timing of these operational transfers and collateral performance. -- There was a steep drop in collections in November for all transactions, primarily attributed to the migration from the former lockbox to the replacement lockbox. This is expected to be a one-off event and collections should stabilize on future payment dates. -- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008-09. -- The transactions' capital structure and form and sufficiency of available credit enhancement. -- The transactions' performance to date with zero or minimal defaults. -- The transaction assumptions consider Morningstar DBRS's 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's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on Class E Advances ------------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the Class A-1 Advances, the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances (together, the Advances) issued by TPR Funding 2022-1, LLC pursuant to the Loan, Security and Servicing Agreement, dated December 15, 2022 (the Loan Agreement), entered into by and among TPR Funding 2022-1, LLC as the Borrower; Delaware Life Insurance Company as the Servicer; Capital One, National Association (rated "A" with a Stable trend by Morningstar DBRS) as the Administrative Agent, Hedge Counterparty and Arranger; Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as Collateral Custodian and Document Custodian; Virtus Group, LP as Collateral Administrator; and each of the Lenders and Subordinated Lenders from time to time party thereto: -- Class A-1 Advances at AA (sf) -- Class A-2 Advances at AA (low) (sf) -- Class B Advances at A (low) (sf) -- Class C Advances at BBB (low) (sf) -- Class D Advances at BB (low) (sf) -- Class E Advances at B (low) (sf) The credit rating on the Class A-1 Advances addresses the timely payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement). The credit ratings on the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances address the ultimate payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement). CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of Morningstar DBRS' annual review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 19, 2024). The Advances are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The servicer for TPR Funding 2022-1, LLC is Delaware Life Insurance Company. Morningstar DBRS considers Delaware Life Insurance Company to be an acceptable collateralized loan obligation (CLO) servicer. The Scheduled Revolving Period End Date is December 15, 2025. The Facility Maturity Date is December 15, 2032. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of November 15, 2024, the transaction is in compliance with all performance metrics. The current transaction performance is within Morningstar DBRS's expectations, which supports the confirmations on the Advances, as per the Level I surveillance analysis in the CLO Methodology. No predictive model is utilized in the Level I surveillance process. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Collateral Quality Tests Minimum Weighted Average Spread Test: Subject to Collateral Quality Matrix (CQM); threshold 5.25%; current 5.62% Minimum Weighted Average Recovery Rate Test: threshold 51.90%; current 53.09% Minimum Diversity Test: Subject to CQM; threshold 20; current 21 Maximum Morningstar DBRS Risk Score Test: Subject to CQM; threshold 29.70%; current 26.43% Coverage Tests Total Interest Coverage Ratio Test: threshold 150.00%; current 217.90% Class A-1 Overcollateralization Ratio Test: threshold 142.86%; current 148.77% Class A-2 Overcollateralization Ratio Test: threshold 138.15%; current 148.56% Class B Overcollateralization Ratio Test: threshold 118.21%; current 128.56% Class C Overcollateralization Ratio Test: threshold 113.21%; current 121.55% Class D Overcollateralization Ratio Test: threshold 106.68%; current 112.99% Class E Overcollateralization Ratio Test: threshold 103.70%; current 109.00% In its analysis, Morningstar DBRS also 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 Advances to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Delaware Life Insurance Company. (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. Some particular strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle-market loans; and (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven). Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Advances in an Event of Default. As of November 15, 2024, the transaction is performing according to the contractual requirements of the Loan, Security and Servicing Agreement, and there were no defaults registered in the underlying portfolio. 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 Advances. Notes: All figures are in U.S. dollars unless otherwise noted. UBS COMMERCIAL 2017-C6: Fitch Cuts Rating on Two Tranches to Bsf ---------------------------------------------------------------- Fitch Ratings has downgraded seven and affirmed nine classes of UBS Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2017-C6. Following their downgrades, classes C, D and X-D were assigned Negative Rating Outlooks. The Outlooks remain Negative for classes A-S, B and X-B. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C6 A-4 90276UAW1 LT AAAsf Affirmed AAAsf A-5 90276UAX9 LT AAAsf Affirmed AAAsf A-BP 90276UAY7 LT AAAsf Affirmed AAAsf A-S 90276UBC4 LT AAAsf Affirmed AAAsf A-SB 90276UAU5 LT AAAsf Affirmed AAAsf B 90276UBD2 LT AA-sf Affirmed AA-sf C 90276UBE0 LT BBBsf Downgrade A-sf D 90276UAJ0 LT Bsf Downgrade BB-sf E 90276UAL5 LT CCsf Downgrade B-sf F 90276UAN1 LT Csf Downgrade CCsf X-A 90276UAZ4 LT AAAsf Affirmed AAAsf X-B 90276UBB6 LT AA-sf Affirmed AA-sf X-BP 90276UBA8 LT AAAsf Affirmed AAAsf X-D 90276UAA9 LT Bsf Downgrade BB-sf X-E 90276UAC5 LT CCsf Downgrade B-sf X-F 90276UAE1 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 8% from 6% at Fitch's prior rating action. Eight loans (25.9% of the pool) were flagged as Fitch Loans Concerns (FLOCs), including four loans (13.5%) in special servicing. The downgrades reflect higher pool loss expectations since the prior rating action, driven primarily by the two specially serviced office loans, 111 West Jackson (6.2%) and 2U Headquarters (3.9%). The Negative Outlooks reflect the potential for further downgrades if the sponsors are not able to re-lease recently vacated space at these properties, the specially serviced loans have extended workout timelines, or additional FLOCs in the pool, including 20 South Charles Street and Murrieta Plaza, experience continued performance declines. Largest Increases in Loss Expectations: The largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations is the 2U Headquarters loan, secured by a 309,303-sf suburban office property in Lanham, Maryland. The loan was transferred to special servicing in August 2024 due to imminent monetary default. The sole tenant of the property (2U) filed Chapter 11 bankruptcy in July 2024 and vacated the property in August 2024, prior to its scheduled 2028 lease expiration. The property remains 100% vacant. According to the servicer, the borrower is working to re-lease the space.. Fitch performed a dark value analysis, which assumed a 25% vacancy rate and a rental rate of $25 psf, in line with current market conditions. Fitch's 'Bsf' rating case loss of 31.5% (prior to a concentration adjustment) reflects a stressed value of $116 psf. The second largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations is the 111 West Jackson loan, secured by a 574,878-sf office building in Chicago, IL. The loan was transferred to special servicing in May 2023 for imminent monetary default. A receiver was appointed in February 2024 and continues to operate and lease the property. The most recently reported property occupancy was 55% as of February 2024, down from 90% at YE 2020 after multiple tenants have either vacated and downsized. Fitch's 'Bsf' rating case loss of 26% (prior to a concentration adjustment) is based on a discount to the most recent appraised value, reflecting a stressed value of $60 psf. The third largest increase in loss since the prior rating action is the 20 South Charles Street loan (1.3%), which is secured by a 121,438-sf office building located in Baltimore, MD. The loan transferred to special servicing in November 2023. As of the December 2024 remittance reporting, the loan was 90+ days delinquent. Occupancy and DSCR have been trending downward since YE 2021 following the loss of several tenants, including the second largest tenant Baltimore Regional Housing Partnership, Inc (9.8% of NRA) which vacated at its 2022 lease expiration. YE 2023 servicer-reported occupancy and DSCR were 64% and 1.04x, respectively, compared with 78% and 1.41x at YE 2021. According to the servicer, the borrower has listed the property for sale and evaluating potential buyers. Fitch's 'Bsf' rating case loss of 36.3% (prior to a concentration adjustment) reflects the loan's delinquency status, a 10% cap rate and 10% stress to the YE 2023 NOI. Increased Credit Enhancement (C/E): As of the December 2024 remittance report, the transaction has been reduced by 29.7% since issuance. Realized losses to date totaling $2.6 million. Five loans (8.1%) have been defeased. Interest shortfalls of approximately $454,000 are impacting non-rated class NR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due increasing CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes, which have Negative Outlooks, are possible with prolonged workouts of the specially serviced office assets, including 111 West Jackson and 2U Headquarters, and/or increased pool expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to the 'AAsf' rated classes could occur with further value declines for 111 West Jackson and 2U Headquarters, if performance of the other FLOCs deteriorates further or if more loans than expected default at or prior to maturity; - Downgrades for classes rated in the 'BBBsf' and 'Bsf' categories are likely with additional deterioration in performance of the FLOCs, if additional loans or with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' rated classes may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs. This includes 111 West Jackson, 2U Headquarters, 20 South Charles Street and Murrieta Plaza. - Upgrades to 'BBBsf' and 'Bsf' rated categories could occur with performance improvements of the aforementioned FLOCs as well as better recovery prospects of the loans in special servicing, including 111 West Jackson, 2U Headquarters and 20 South Charles Street; - Upgrades to the distressed 'CCsf' and 'Csf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UBS-BAMLL TRUST 2012-WRM: S&P Cuts Cl. E Certs Rating to 'D (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class E and X-B commercial mortgage pass-through certificates from UBS-BAMLL Trust 2012-WRM, a U.S. CMBS transaction, to 'D (sf)' and simultaneously withdrew the ratings. At the same time, S&P discontinued its ratings on classes A, B, C, D, and X-A from the transaction. Rating Actions According to the Jan. 13, 2025, trustee remittance report, the class E certificates experienced $50,000 in principal losses following the resolution of the sole remaining loan, the specially serviced Westfield MainPlace ($140.00 million). Classes A, B, C, and D were repaid in full, while class E experienced a 0.4% loss on its original class balance. According to the special servicer, KeyBank Real Estate Capital, the borrower remitted $140.52 million to pay the loan's accrued interest to date and principal. The $139.95 million of principal proceeds were distributed to the bondholders, and the resulting $50,000 shortfall was reported as realized losses on class E. According to KeyBank, the principal losses were the result of a $50,000 holdback for precautionary reasons to cover any future, unexpected expenses. KeyBank has indicated that it will reassess the holdback in 60 days and may subsequently release those funds. Because of the uncertainty in timing and whether the funds would be released in full, S&P has lowered its rating on class E to 'D (sf)' at this time and simultaneously withdrawn the rating. S&P said, "We also lowered our rating on the class X-B interest-only (IO) certificates to 'D (sf)' and simultaneously withdrew the rating based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. Class X-B's notional amount references the balances of classes B, C, D, and E. "Since classes A, B, C, and D were repaid in full according to the January 2025 trustee remittance report, we also discontinued our ratings on these classes. Further, we discontinued our rating on the class X-A IO certificates based on our criteria for rating IO securities. The notional amount of class X-A references class A." Ratings Lowered And Withdrawn UBS-BAMLL Trust 2012-WRM Class E to 'D (sf)' (interim) from 'CCC (sf)' Class E to not rated from 'D (sf)' Class X-B to 'D (sf)' (interim) from 'CCC (sf)' Class X-B to not rated from 'D (sf)' Ratings Discontinued UBS-BAMLL Trust 2012-WRM Class A to not rated from 'AA (sf)' Class B to not rated from 'BBB+ (sf)' Class C to not rated from 'B+ (sf)' Class D to not rated from 'CCC (sf)' Class X-A to not rated from 'AA (sf)' VOYA CLO 2020-3: S&P Assigns BB-(sf) Rating on Class E-RR Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR replacement debt from Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC, a CLO managed by Voya Alternative Asset Management LLC that was originally issued in November 2020 and underwent a second refinancing on Oct. 20, 2021. At the same time, S&P withdrew its ratings on the original class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Jan. 21, 2025, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to Jan. 20, 2027. -- The reinvestment period was extended to Jan. 20, 2030. -- The legal final maturity dates (for the replacement debt and the existing and additional subordinated notes) were extended to Jan. 20, 2038. -- No additional assets were purchased on the Jan. 21, 2025 refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 21, 2025. -- The required minimum overcollateralization and interest coverage ratios were amended. -- An additional $14.7 million of subordinated notes was issued on the refinancing date. -- The transaction adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC Class A-RR, $256.0 million: AAA(sf) Class B-RR, $48.0 million: AA(sf) Class C-RR (deferrable), $24.0 million: A(sf) Class D-1-RR (deferrable), $24.0 million: BBB-(sf) Class D-2-RR (deferrable), $3.5 million: BBB-(sf) Class E-RR (deferrable), $12.5 million: BB-(sf) Ratings Withdrawn Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC Class A-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R (deferrable) to not rated from 'A(sf)' Class D-R (deferrable) to not rated from 'BBB- (sf)' Class E-R (deferrable) to not rated from 'BB- (sf)' Other Debt Voya CLO 2020-3 Ltd./Voya CLO 2020-3 LLC Subordinated notes, $47.4 million: Not rated WELLS FARGO 2014-LC16: DBRS Confirms C Rating on Class C Certs -------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on the remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC16 issued by Wells Fargo Commercial Mortgage Trust 2014-LC16 as follows: -- Class B at BB (sf) -- Class C at C (sf) The trend on Class B remains Negative. Class C doesn't carry a trend as this class has a credit rating that does not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The transaction is in wind down, with five matured loans remaining, all of which are specially serviced. The credit rating actions reflect concerns around the ultimate recoverability of the remaining loans and the increased propensity for interest shortfalls to accumulate, affecting the remaining Morningstar DBRS-rated certificates. Morningstar DBRS' analysis considered liquidation scenarios for all of the remaining loans to determine the recoverability of the remaining bonds and determined that losses will likely be contained to Class C. However, given the adverse selection and concentration of defaulted loans, Morningstar DBRS' credit ratings reflect the high credit risk of the remaining loans. The two largest remaining loans, Harlequin Plaza (Prospectus ID#7; 42.3% of the pool) and Orchard Falls (Prospectus ID#13; 24.7% of the pool) are secured by suburban Denver office properties that have faced significant value declines since issuance of more than 60% and 80%, respectively. The Harlequin Plaza loan consists of two low-rise buildings comprising 329,926 square feet (sf). Despite the year-end (YE) 2023 debt service coverage ratio of 1.35 times (x), the loan transferred to special servicing in May 2024 because of imminent monetary default as a result of the borrower being unable to repay the loan at its June 2024 maturity. As of March 2024, property occupancy had declined to 72% from 86% as of YE2022. The most recent appraised value of $17.2 million, dated June 2024, represents a substantial decline from the issuance appraised value of $46.6 million, and implies a current loan-to-value ratio (LTV) of 162.8%. According to updates from the servicer, a foreclosure sale is scheduled for February 2025. Based on a liquidation scenario that considered a haircut to the 2024 appraisal, Morningstar DBRS expects a loss severity for this loan in excess of 50%. According to servicer updates, the 146,276-sf Orchard Falls loan was 90% occupied as of February 2024, unchanged from the September 2023 occupancy rate when the servicer last reported a debt service coverage ratio (DSCR) figure of 0.90x. Morningstar DBRS also notes that three of the five largest tenants, representing 41.0% of net rentable area, have upcoming lease expiration dates in 2025, which suggests there's a high likelihood that DSCR will likely fall below breakeven in the near term. The loan transferred to special servicing in March 2024 because of imminent monetary default in advance of its May 2024 maturity date. The most recent appraised value of $4.8 million, dated June 2024, represents a significant decline from the issuance appraised value of $26.1 million, and implies a current loan-to-value ratio (LTV) of 343.9%. The lender is in negotiations with the borrower while also dual-tracking other remedy options. Based on a liquidation scenario that considered a haircut to the 2024 appraisal, Morningstar DBRS expects a loss severity for this loan of nearly 80%. Notes: All figures are in U.S. dollars unless otherwise noted. ZAYO ISSUER 2025-1: Fitch Gives 'BB-(EXP)sf' Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has issued a presale report for Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-1. Fitch expects to rate the transaction as follows: - $44.0 million(a) 2025-1 class A-1-L 'Asf'; Outlook Stable; - $1,022.5 million 2025-1 class A-2 'A-sf'; Outlook Stable; - $164.9 million 2025-1 class B 'BBB-sf'; Outlook Stable; - $230.9 million 2025-1 class C 'BB-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $77,000,000(b) series 2025-1, class R. Entity/Debt Rating ----------- ------ Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-1 A-1-L LT A(EXP)sf Expected Rating A-2 LT A-(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating (a) This note is a liquidity funding note that can be drawn for the purpose of funding liquidity funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch NCF ratio. (b) Horizontal credit risk retention interest representing 5% of the 2025-1 notes. Transaction Summary Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-1 is a securitization of contract payments derived from an existing enterprise fiber network. Collateral assets include conduits, cables, network-level equipment, access rights, customer contracts and transaction accounts. Debt is secured by net cash flow (NCF) from operations and benefits from a perfected security interest in the securitized assets. The collateral network consists of the sponsor's enterprise fiber network of approximately 28,000 fiber route miles (FRM) that serves 2,245 on-net facilities across 11 states and Washington D.C. in the northeast region of the U.S. The network supports 12,264 contracts that provide lit and dark data transport, at 75.5% of monthly recurring revenue (MRR) in October 2024, as well as lit fiber connectivity services (24.5%). The expected ratings reflect Fitch's 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 parent, Zayo Group, LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: The pool's Fitch NCF is $131.9 million, implying a 15.6% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.8x, compared with debt/issuer NCF leverage of 9.1x. Based on the Fitch NCF and assumed annual revenue net cash flow growth of 2.0%, and following the transaction's anticipated repayment date (ARD), the notes would be repaid 18.4 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 because 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 15.6% 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 'BB+sf'; class C from 'BB-sf' to 'B-sf'. 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 notes 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-15G (Form 15G) as prepared by FTI Consulting, Inc. The third-party due diligence described in Form 15G focused on a comparison of certain characteristics with respect to the portfolio of fiber assets and related sample of customer agreements in the 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 highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Moody's Takes Action on 8 Bonds From 4 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by RAMP. 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: RAMP Series 2005-EFC3 Trust Cl. M-7, Upgraded to Ba1 (sf); previously on Mar 28, 2017 Upgraded to Ca (sf) Issuer: RAMP Series 2005-RS7 Trust Cl. M-3, Upgraded to Aaa (sf); previously on Mar 26, 2024 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Baa2 (sf); previously on Mar 26, 2024 Upgraded to B1 (sf) Cl. M-5, Upgraded to Ca (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RAMP Series 2005-RS8 Trust Cl. M-3, Upgraded to A1 (sf); previously on Mar 26, 2024 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 20, 2009 Downgraded to C (sf) Issuer: RAMP Series 2006-EFC1 Trust Cl. M-3, Upgraded to A1 (sf); previously on Mar 26, 2024 Upgraded to Ba1 (sf) Cl. M-4, Upgraded to Ca (sf); previously on Apr 6, 2010 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, Moody's updated loss expectations on the underlying pools and Moody's revised expectation of loss-given-default for each bond. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. Credit enhancement grew by 10.5% for each of the upgraded bonds over the past 12 months. The rating upgrades also reflect the further seasoning of the collateral and increased clarity regarding the impact of borrower relief programs on collateral performance. Information obtained from loan servicers in recent years has shed light on their current strategies regarding borrower relief programs and the impact those programs may have on collateral performance and transaction liquidity, through servicer advancing. Moody's recent analysis has found that in addition to robust home price appreciation, many of these borrower relief programs have contributed to stronger collateral performance than Moody's had previously expected, thus supporting the upgrades. Some of the bonds experiencing a rating upgrade have either incurred a missed or delayed disbursement of an interest payment or the bond is currently, or expected to become, undercollateralized, sometimes reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No action were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades Ratings on 13 Bonds From 11 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 13 bonds from 11 US residential mortgage-backed transactions (RMBS), backed by second lien 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: ACE Securities Corp. Home Equity Loan Trust, Series 2005-SL1 Cl. M-1, Upgraded to Caa1 (sf); previously on Nov 10, 2010 Downgraded to Ca (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL1 Cl. A, Upgraded to Caa1 (sf); previously on Nov 10, 2010 Downgraded to C (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-SL2 Cl. A, Upgraded to Ca (sf); previously on Nov 10, 2010 Downgraded to C (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFA Cl. M-4, Upgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2006-S1 Cl. A-1, Upgraded to Caa2 (sf); previously on Oct 7, 2010 Downgraded to C (sf) Cl. A-2A, Upgraded to Caa1 (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: GSAMP Trust 2006-S2 Cl. A-2, Upgraded to Caa2 (sf); previously on Oct 7, 2010 Downgraded to C (sf) Issuer: Home Equity Mortgage Trust 2006-2 Cl. 1A-1, Upgraded to Caa1 (sf); previously on Jun 30, 2010 Downgraded to Ca (sf) Issuer: Long Beach Mortgage Loan Trust 2006-A Cl. A-1, Upgraded to Caa3 (sf); previously on Dec 2, 2010 Downgraded to C (sf) Issuer: MASTR Second Lien Trust 2005-1 Cl. M-1, Upgraded to Caa1 (sf); previously on May 23, 2018 Upgraded to Caa2 (sf) Issuer: MASTR Second Lien Trust 2006-1 Cl. A, Upgraded to Caa2 (sf); previously on Nov 30, 2010 Downgraded to C (sf) Issuer: New Century Home Equity Loan Trust, Series 2006-S1 Cl. A-1, Upgraded to Ca (sf); previously on Oct 27, 2008 Downgraded to C (sf) Cl. A-2a, Upgraded to Caa3 (sf); previously on Oct 27, 2008 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, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectation of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 72 Classes From Eight US RMBS Deal ------------------------------------------------------------------- S&P Global Ratings completed its review of 72 ratings from eight U.S. RMBS transactions issued between 2003 and 2007. The review yielded six upgrades, 18 withdrawals, and 48 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/mve653s7 Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Available subordination and/or under-collateralization; -- Expected duration; -- A small loan count; -- Tail risk; -- Payment priority; -- Historical and/or outstanding missed interest payments or interest shortfalls; and -- Principal write-downs. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria appropriate for these classes. "The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than we had previously anticipated. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "The withdrawal of our ratings on 18 classes from six transactions is due to the small remaining loan count on the related structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." [] Fitch Takes Various Action on College Loan Trust I Indentures ---------------------------------------------------------------- Fitch Takes Various Actions on College Loan Trust I - 2003 Indenture of Trust (2002) Related Trusts Fitch Ratings has affirmed the class A notes for College Loan trust (CLC) I 2002-1, 2002-2, 2003-1, 2006-1 and 2007-2 at their current level, and the Rating Outlooks remain Stable. Fitch downgraded the class B notes for 2002-1, 2002-2, 2003-1, to 'BBsf' from 'BBBsf' and Rating Outlooks remain Negative. Fitch also downgraded the class B notes for 2004-1 and 2005-1 to 'CCCsf' from 'BBsf' and 2007-2 class B notes to 'CCCsf' from 'Bsf'. Entity/Debt Rating Prior ----------- ------ ----- College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2003-1 A-2 194262BM2 LT AA+sf Affirmed AA+sf A-3 194262BN0 LT AA+sf Affirmed AA+sf A-4 194262BP5 LT AA+sf Affirmed AA+sf A-5 194262BQ3 LT AA+sf Affirmed AA+sf A-6 194262BR1 LT AA+sf Affirmed AA+sf A-8 194262BT7 LT AA+sf Affirmed AA+sf B-1 194262BW0 LT BBsf Downgrade BBBsf College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2006-1 A-7A 194262CW9 LT AA+sf Affirmed AA+sf A-7B 194262CX7 LT AA+sf Affirmed AA+sf College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2005-1 B-1 194262CM1 LT CCCsf Downgrade BBsf College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2002-2 A-21 194262AX9 LT AA+sf Affirmed AA+sf A-22 194262AY7 LT AA+sf Affirmed AA+sf A-24 194262BA8 LT AA+sf Affirmed AA+sf A-25 194262BB6 LT AA+sf Affirmed AA+sf A-26 194262BC4 LT AA+sf Affirmed AA+sf A-29 194262BF7 LT AA+sf Affirmed AA+sf B-4 194262BK6 LT BBsf Downgrade BBBsf College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2004-1 B-1 194262CF6 LT CCCsf Downgrade BBsf College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2007-2 A-10 194262DH1 LT AA+sf Affirmed AA+sf B-1 194262DN8 LT CCCsf Downgrade Bsf College Loan Trust I – Amended and Restated 2003 Indenture of Trust (2002) 2002-1 A-4 194262AD3 LT AA+sf Affirmed AA+sf B-1 194262AK7 LT BBsf Downgrade BBBsf Transaction Summary The class A notes passed all credit stresses at 'AA+sf' in Fitch's cash flow modeling and present low maturity risk. For the 2002-1, 2002-2 and 2003-1 class B notes, the downgrade to 'Bsf' from 'BB'sf' reflects the persistent performance deterioration since prior review, displaying an increase in maturity and credit risk. Rating Outlook remains Negative as Fitch expects further deterioration in the near term. For the 2004-1 and2005-1 class B notes, the downgrade to 'CCCsf' from 'BBsf' and from 'Bsf' to 'CCCsf' for 2007-2 class B note reflects the observed undercollateralization with lower parities and deteriorated performance. The model output reflects persistent performance deterioration since Fitch's last review due to an overall higher interest rate environment and negative excess spread that limits their ability to absorb continued losses. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 15.25% under the base case scenario and a default rate of 45.75% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sustainable constant default rate (sCDR) of 3.00% and the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) at 10.00% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 3.14% (3.22% at Dec. 31, 2023), 4.87% (5.06%) and 26.06% (20.75%), respectively. These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have decreased from the last year review and are currently 2.68% and 0.91%, compared to 2.97% and 1.18% at Dec. 31, 2023, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. Fitch applies its standard basis and interest rate stresses to these transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread, and for the class A notes, subordination provided by the class B notes. As of the October 2024 distribution date, the reported total parity/asset percentage declined year over year to 98.32% from 100.01%. Liquidity support is provided by a reserve account maintained at the greater of 0.75% of the note balance and $3 million. The transaction will release cash when the reported total and senior parity rations are at least 100.50% and 107.00%, respectively, and the reported overcollateralization amount is at least $5 million. Operational Capabilities: Day-to-day servicing is provided by Nelnet Inc., (Nelnet). Fitch believes Nelnet to be an adequate servicer due to its extensive track record as one of the largest servicers of FFELP loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-1 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'Bsf'; - Default increase 50%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.25%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'; Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf', class B 'Bsf'; - CPR decrease 50%: class A 'AA+sf', class B 'Bsf'; - IBR usage increase 25%: class A 'AA+sf', class B 'CCCsf'; - IBR usage increase 50%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 25%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 50%: class A 'AA+sf', class B 'CCCsf'; College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-2 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'Bsf'; - Default increase 50%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.25%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'; Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf', class B 'Bsf'; - CPR decrease 50%: class A 'AA+sf', class B 'Bsf'; - IBR usage increase 25%: class A 'AA+sf', class B 'CCCsf'; - IBR usage increase 50%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 25%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 50%: class A 'AA+sf', class B 'CCCsf'; College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2003-1 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'Bsf'; - Default increase 50%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.25%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'; Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf', class B 'Bsf'; - CPR decrease 50%: class A 'AA+sf', class B 'Bsf'; - IBR usage increase 25%: class A 'AA+sf', class B 'CCCsf'; - IBR usage increase 50%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 25%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 50%: class A 'AA+sf', class B 'CCCsf'; College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2004-1 Credit Stress Rating Sensitivity - Default increase 25%: class B 'CCCsf'; - Default increase 50%: class B 'CCCsf'; - Basis spread increase 0.25%: class B 'CCCsf'; - Basis spread increase 0.50%: class B 'CCCsf'; Maturity Stress Sensitivity - CPR decrease 25%: class B 'CCCsf'; - CPR decrease 50%: class B 'CCCsf'; - IBR usage increase 25%: class B 'CCCsf'; - IBR usage increase 50%: class B 'CCCsf'; - Remaining Term increase 25%: class B 'CCCsf'; - Remaining Term increase 50%: class B 'CCCsf'; College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2005-1 Credit Stress Rating Sensitivity - Default increase 25%: class B 'CCCsf'; - Default increase 50%: class B 'CCCsf'; - Basis spread increase 0.25%: class B 'CCCsf'; - Basis spread increase 0.50%: class B 'CCCsf'; Maturity Stress Sensitivity - CPR decrease 25%: class B 'CCCsf'; - CPR decrease 50%: class B 'CCCsf'; - IBR usage increase 25%: class B 'CCCsf'; - IBR usage increase 50%: class B 'CCCsf'; - Remaining Term increase 25%: class B 'CCCsf'; - Remaining Term increase 50%: class B 'CCCsf'; College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2006-1 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; - Default increase 50%: class A 'AA+sf'; - Basis spread increase 0.25%: class A 'AA+sf'; - Basis spread increase 0.50%: class A 'AA+sf'; Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; - IBR usage increase 25%: class A 'AA+sf'; - IBR usage increase 50%: class A 'AA+sf'; - Remaining Term increase 25%: class A 'AA+sf'; - Remaining Term increase 50%: class A 'AA+sf'; College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2007-2 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf', class B 'CCCsf'; - Default increase 50%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.25%: class A 'AA+sf', class B 'CCCsf'; - Basis spread increase 0.50%: class A 'AA+sf', class B 'CCCsf'; Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf', class B 'CCCsf'; - CPR decrease 50%: class A 'AA+sf', class B 'CCCsf'; - IBR usage increase 25%: class A 'AA+sf', class B 'CCCsf'; - IBR usage increase 50%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 25%: class A 'AA+sf', class B 'CCCsf'; - Remaining Term increase 50%: class A 'AA+sf', class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis spread decrease 0.25%: class B 'BBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'Bsf'; - IBR usage decrease 25%: class B 'Bsf'; - Remaining Term decrease 25%: class B 'Bsf.' College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2002-2 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis spread decrease 0.25%: class B 'BBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'Bsf'; - IBR usage decrease 25%: class B 'Bsf'; - Remaining Term decrease 25%: class B 'Bsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2003-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis spread decrease 0.25%: class B 'BBsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'Bsf'; - IBR usage decrease 25%: class B 'Bsf'; - Remaining Term decrease 25%: class B 'Bsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2004-1 Credit Stress Rating Sensitivity - Default decrease 25%: class B 'CCCsf'; - Basis spread decrease 0.25%: class B 'Bsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'CCCsf'; - IBR usage decrease 25%: class B 'CCCsf'; - Remaining Term decrease 25%: class B 'CCCsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2005-1 Credit Stress Rating Sensitivity - Default decrease 25%: class B 'CCCsf'; - Basis spread decrease 0.25%: class B 'Bsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'CCCsf'; - IBR usage decrease 25%: class B 'CCCsf'; - Remaining Term decrease 25%: class B 'CCCsf'. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2006-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. College Loan Trust I - Amended and Restated 2003 Indenture of Trust 2007-2 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'CCCsf'; - Basis spread decrease 0.25%: class B 'CCCsf'; Maturity Stress Sensitivity - CPR increase 25%: class B 'CCCsf'; - IBR usage decrease 25%: class B 'CCCsf'; - Remaining Term decrease 25%: class B 'CCCsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Action on 11 Bonds From 4 US RMBS Deals -------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the ratings of six bonds from four US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R11 Cl. M-3, Downgraded to Caa1 (sf); previously on Apr 18, 2016 Upgraded to B1 (sf) Cl. M-4, Downgraded to Caa1 (sf); previously on Jan 30, 2019 Upgraded to B1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jan 30, 2019 Upgraded to Ca (sf) Cl. M-6, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC5 Cl. A-3, Downgraded to Ba2 (sf); previously on Dec 22, 2015 Upgraded to Baa3 (sf) Cl. A-4*, Downgraded to Ba2 (sf); previously on Dec 22, 2015 Upgraded to Baa3 (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR2 Cl. I-A-1, Downgraded to Caa1 (sf); previously on Apr 3, 2024 Upgraded to B1 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2004-AR7 Cl. B-1, Upgraded to Caa2 (sf); previously on Jul 5, 2012 Downgraded to Ca (sf) Cl. Grantor Trust A-1B, Downgraded to Caa1 (sf); previously on Apr 11, 2024 Downgraded to B1 (sf) Cl. M, Upgraded to Caa1 (sf); previously on Apr 11, 2024 Downgraded to Caa2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectations for each bond. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. The credit enhancement since 12 months ago has grown, on average, by 10% for the tranches upgraded. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. The rating downgrades of Class M-3 and M-4 issued by Ameriquest Mortgage Securities Inc., Series 2005-R11 reflect outstanding interest shortfalls and the weak interest recoupment mechanism. The downgrade of Class A-3 issued by Bear Stearns Asset-Backed Securities Trust 2003-AC5 is due to weak interest recoupment mechanism. Any missed interest payments on these bonds will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating downgrade of Class A-4, an interest only bond from Bear Stearns Asset-Backed Securities Trust 2003-AC5, reflects the updated performance of the underlying collateral and bond. The rating downgrade of Class I-A-1 issued by Bear Stearns Mortgage Funding Trust 2006-AR2 is the result of missed interest that is unlikely to be recouped. The bond has incurred historical principal losses but subsequently recouped those losses, and as a result, missed interest on principal for those periods will not be recouped. The rating downgrade of Class Grantor Trust A-1B issued by Structured Asset Mortgage Investments II Trust 2004-AR7 is due to outstanding interest shortfalls and the uncertainty of whether those shortfalls will be reimbursed. The bond has a strong reimbursement mechanism to recoup missed interest before principal is paid to the subordinate bonds. However, the shortfall can only be reimbursed with the excess of funds that flow through to the grantor trust fund from the underlying bond, which has been insufficient to repay the shortfall. Moody's analysis has considered the size and length of the outstanding interest shortfall, as well as Moody's expectation about when the shortfall will be recouped.. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. 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