/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240211.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 11, 2024, Vol. 28, No. 41 Headlines AMERICAN CREDIT 2024-1: DBRS Gives Prov. BB Rating on E Notes ANCHORAGE CREDIT 1: Moody's Ups Rating on $26MM E-R Notes From Ba2 ANCHORAGE CREDIT 8: Moody's Hikes Rating on $27.6MM E Notes to Ba1 ANGEL OAK 2024-1: Fitch Assigns 'Bsf' Rating on Class B-2 Debt ANTARES CLO 2019-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ARES L CLO: Moody's Lowers Rating on $7.5MM Class F Notes to Caa2 ARES LXIX CLO: Fitch Assigns 'BB-(EXP)' Rating on Class E Notes ARES XLV CLO: Moody's Cuts Rating on $23.6MM Class E Notes to B1 ARES XXXVII CLO: Moody's Lowers Rating on $14MM E-R Notes to Caa3 BANK5 2024-5YR5: Fitch Assigns 'B-(EXP)' Rating on Cl. H-RR Certs BARCLAYS MORTGAGE 2024-NQM1: Fitch Gives Final B Rating on B2 Certs BARINGS LOAN 3: Fitch Hikes Rating on Class E Notes to 'BB+sf' BBCMS MORTGAGE 2024-C24: Fitch Gives B-(EXP) Rating on G-RR Certs BEAR STEARNS 2006-8: Moody's Cuts Rating on Cl. III-X-1 Notes to Ca BMO 2024-5C3: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs BRAVO RESIDENTIAL 2024-NQM1: Fitch Gives B Rating on Cl. B-2 Notes BX COMMERCIAL 2019-XL: DBRS Confirms B(low) Rating on J Certs CASTLELAKE AIRCRAFT 2021-1: Moody's Ups Rating on B Notes From Ba1 CHASE HOME 2024-1: Fitch Assigns 'Bsf' Final Rating on B-5 Certs COLT 2024-1: Fitch Gives 'B(EXP)sf' Rating on Cl. B2 Certificates CONN'S RECEIVABLES 2024-A: Fitch Assigns B+sf Rating on Cl. C Notes CWABS ASSET 2004-BC3: S&P Lowers Class M-4 Notes Rating to D (sf) DRYDEN 41: Moody's Cuts Rating on $8.25MM Class F-R Notes to Caa1 DRYDEN 53 CLO: Moody's Cuts Rating on $12MM Class F Notes to Caa2 ELMWOOD CLO 20: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes ELMWOOD CLO 25: S&P Assigns Preliminary B- (sf) Rating on F Notes FLAGSHIP CREDIT 2022-3: S&P Affirms BB- (sf) Rating on Cl. E Notes GLS AUTO 2024-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes GS MORTGAGE 2013-G1: Fitch Affirms CCC Rating on 2 Tranches GS MORTGAGE 2024-PJ1: Fitch Gives B-(EXP) Rating on Cl. B-5 Certs GS MORTGAGE-BACKED 2021-NQM1: S&P Affirms 'BB' Rating on B-1 Notes MADISON PARK XIX: Fitch Assigns 'BBsf' Rating on Class E-R3 Notes MCR 2024-HTL: S&P Assigns Prelim B+ (sf) Rating on Class F Certs MORGAN STANLEY 2021-230P: S&P Lowers Class D Certs Rating to 'BB' OBX TRUST 2024-HYB1: Moody's Assigns (P)B2 Rating to Cl. B-2 Notes OHA CREDIT XV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes PARTS STUDENT 2007-CT1: Moody's Cuts Rating on Cl. B Notes to Caa3 PROGRESS 2024-SFR1: DBRS Gives Prov. BB Rating on F Certs PRPM 2024-RCF1: DBRS Gives Prov. BB Rating on Class M-2 Notes SEQUOIA MORTGAGE 2024-1: DBRS Finalizes BB Rating on B-4 Certs STRATUS STATIC 2022-3: Fitch Hikes Rating on Cl. F Notes to 'BB+sf' SUMMIT ISSUER: Fitch Affirms BB- Rating on Series 2020-1 Cl. C Debt TGIF FUNDING 2017-1: S&P Lowers Class A-2 Notes Rating to 'B-(sf)' TIKEHAU US III: Fitch Assigns 'BB-sf' Rating on Class ER Notes UBS-CITIGROUP 2011-C1: DBRS Confirms C Rating on 3 Classes VITALITY RE XV: Fitch Gives BB+ Rating on Series 2024 Class B Notes WP GLIMCHER 2015-WPG: DBRS Confirms BB Rating on Class PR-2 Certs [*] DBRS Reviews 33 Classes From 6 US RMBS Transactions [*] Fitch Affirms 24 Classes From Four CDOs, Outlook Stable [*] Fitch Hikes Three and Affirms 43 Classes From 10 CLOs [*] Fitch Lowers 8 & Affirms 65 Classes on 5 US CMBS Transactions [*] Fitch Puts 33 Tranches on 6 TruPS CDO Rating Under Observation [*] Moody's Takes Action on $275MM of US RMBS Issued 2004-2007 [*] Moody's Takes Action on $307MM of US RMBS Issued 2005-2006 [*] Moody's Takes Action on $80.9MM of US RMBS Issued 2004-2007 [*] S&P Takes Various Actions on 410 Classes From 136 US RMBS Deals ********* AMERICAN CREDIT 2024-1: DBRS Gives Prov. BB Rating on E Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of notes to be issued by American Credit Acceptance Receivables Trust 2024-1 (ACAR 2024-1 or the Issuer): -- $170,660,000 Class A Notes at AAA (sf) -- $38,870,000 Class B Notes at AA (high) (sf) -- $76,130,000 Class C Notes at A (sf) -- $59,800,000 Class D Notes at BBB (sf) -- $41,400,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The Morningstar DBRS CNL assumption is 26.00% based on the expected cut-off date pool composition and concentration limits for the prefunding collateral. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms on which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the final scheduled distribution date. (2) The credit quality of the collateral and the consistent performance of ACA's auto loan portfolio. -- Availability of considerable historical performance data and a history of consistent performance of the ACA portfolio. -- The statistical pool characteristics include the following: the pool is seasoned by approximately eight months and contains ACA originations from Q4 2016 through Q4 2023, the weighted-average (WA) remaining term of the collateral pool is approximately 62 months, and the WA FICO score of the pool is 548. (3) ACAR 2024-1 provides for the Class A, B, C, and D coverage multiples slightly below the Morningstar DBRS range of multiples set forth in the "Rating U.S. Retail Auto Loan Securitizations" methodology for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update," published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (5) The consistent operational history of American Credit Acceptance, LLC (ACA or the Company) as well as the overall strength of the Company and its management team. -- The ACA senior management team has considerable experience, with an approximate average of 19 years in banking, finance, and auto finance companies as well as an average of approximately 10 years of Company tenure. (6) ACA's operating history and its capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of ACA and considers the Company an acceptable originator and servicer of subprime automobile loan contracts. -- ACA has completed 45 securitizations since 2011, including four transactions in 2022 and four in 2023. -- ACA maintains a strong corporate culture of compliance and a robust compliance department. (7) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against ACA could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the depositor and the Issuer with ACA, that the Issuer has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology. Morningstar DBRS' credit rating on the securities listed below addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related noteholders Monthly Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation is interest on unpaid interest for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. The rating on the Class A Notes reflects 63.90% of initial hard credit enhancement provided by the subordinated notes in the pool (47.00%), the reserve account (1.00%), and OC (15.90%). The credit ratings on the Class B, C, D, and E Notes reflect 55.45%, 38.90%, 25.90%, and 16.90% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. ACA is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. Notes: All figures are in U.S. dollars unless otherwise noted. ANCHORAGE CREDIT 1: Moody's Ups Rating on $26MM E-R Notes From Ba2 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Anchorage Credit Funding 1, Ltd.: US$76,300,000 Class B-R2 Senior Secured Fixed Rate Notes Due 2037 (the "Class B-R2 Notes"), Upgraded to Aa1 (sf); previously on July 28, 2021 Assigned Aa2 (sf) US$26,000,000 Class C-R2 Mezzanine Secured Deferrable Fixed Rate Notes Due 2037 (the "Class C-R2 Notes"), Upgraded to Aa3 (sf); previously on July 28, 2021 Assigned A2 (sf) US$26,000,000 Class D-R2 Mezzanine Secured Deferrable Fixed Rate Notes Due 2037 (the "Class D-R2 Notes"), Upgraded to A3 (sf); previously on July 28, 2021 Assigned Baa2 (sf) US$26,000,000 Class E-R Junior Secured Deferrable Fixed Rate Notes Due 2037 (the "Class E-R Notes"), Upgraded to Baa3 (sf); previously on July 28, 2021 Upgraded to Ba2 (sf) Anchorage Credit Funding 1, Ltd., originally issued in June 2015 and partially refinanced July 2019 and in July 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the portfolio's weighted average life (WAL) since February 2023, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. In particular, Moody's modeled a portfolio WAL of 5.46 years compared to 9 years when the deal was last partially refinanced in 2021. Moody's also notes that the transaction's reported OC ratios have been stable since February 2023, and that the deal will be exiting its reinvestment period in July 2024 after which note repayments are expected to commence. No action was taken on the Class A-R 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 its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $523,147,005 Defaulted par: $6,242,138 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3444 Weighted Average Coupon (WAC): 5.89% Weighted Average Recovery Rate (WARR): 34.6% Weighted Average Life (WAL): 5.46 years Par haircut in OC tests and interest diversion test: 2.5% 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 WAC or net interest income, 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 December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ANCHORAGE CREDIT 8: Moody's Hikes Rating on $27.6MM E Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Anchorage Credit Funding 8, Ltd.: US$52,000,000 Class B-R Senior Secured Fixed Rate Notes due 2037, Upgraded to Aa1 (sf); previously on July 26, 2021 Assigned Aa2 (sf) US$18,000,000 Class C-R Mezzanine Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Aa3 (sf); previously on July 26, 2021 Assigned A2 (sf) US$14,400,000 Class D-R Mezzanine Secured Deferrable Fixed Rate Notes due 2037, Upgraded to A2 (sf); previously on July 26, 2021 Assigned Baa1 (sf) US$27,600,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2037, Upgraded to Ba1 (sf); previously on July 26, 2021 Assigned Ba2 (sf) Anchorage Credit Funding 8, Ltd., originally issued in June 2019 and refinanced in July 2021 is a managed cash flow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The transaction's reinvestment period will end in July 2024. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of shortening of the weighted average life (WAL) covenant which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. In particular, Moody's modeled a portfolio WAL of 5.37 years compared to 9 years at the time of deal's refinancing. Additionally, the deal is approaching the end of its reinvestment period in July 2024, after which note repayments are expected to commence. No action was taken on the Class A notes because its expected loss remain commensurate with the current rating, after taking into account the CBO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $360,000,000 Defaulted par: $0 Diversity Score: 66 Weighted Average Rating Factor (WARF): 3400 Weighted Average Coupon (WAC): 5.84% Weighted Average Recovery Rate (WARR): 34.58% Weighted Average Life (WAL): 5.37 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 WAC or net interest income 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 December 2021. 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. ANGEL OAK 2024-1: Fitch Assigns 'Bsf' Rating on Class B-2 Debt -------------------------------------------------------------- Fitch Ratings has assigned final ratings to Angel Oak Mortgage Trust 2024-1 (AOMT 2024-1). Entity/Debt Rating Prior ----------- ------ ----- AOMT 2024-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf 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 XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the RMBS certificates to be issued by Angel Oak Mortgage Trust 2024-1, series 2024-1 (AOMT 2024-1), as indicated. The certificates are supported by 619 loans with a balance of $268.88 million as of the cutoff date. This represents the 34th Fitch-rated AOMT transaction, and the first Fitch-rated AOMT transaction in 2024. The certificates are secured by mortgage loans mainly originated by Angel Oak Mortgage Solutions LLC (AOMS) and Angel Oak Home Loans LLC (AOHL). Of the loans, 63.0% are designated as non-qualified mortgage (non-QM) loans and 37.0% are investment properties not subject to the Ability-to-Repay (ATR) Rule. There is no Libor exposure in this transaction, as there are no ARM loans in the pool and the certificates do not have Libor exposure. The class A-1, A-2 and A-3 certificates are fixed-rate, are capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 certificates are based on the net WAC. The class B-1, B-2 and B-3 certificates are principal-only classes and are not entitled to receive payments of interest. In addition, the waterfall will prioritize interest payments to the A-1, A-2 and/or A-3 classes prior to principal. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 9.0% above a long-term sustainable level (versus 9.42% on a national level as of 2Q23, up 1.82% since last quarter). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 1.87% yoy nationally as of October 2023, despite modest regional declines, but are still being supported by limited inventory. Non-QM Credit Quality (Mixed): The collateral consists of 619 loans totaling $268.88 million and seasoned at approximately 22 months in aggregate, according to Fitch, and 20 months, per the transaction documents. The borrowers have a relatively strong credit profile, with a 744 non-zero FICO and a 40.6% debt-to-income (DTI) ratio (both as determined by Fitch). They also have relatively moderate leverage, with an original combined loan-to-value (CLTV) ratio of 72.6%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 73.1%. Per Fitch's analysis, of the pool, 63.0% represent loans of which the borrower maintains a primary or secondary residence, while the remaining 37.0% comprise investor properties. In Fitch's analysis, it considered the 11 loans to foreign nationals to be investor occupied, which explains the discrepancy between the Fitch-determined figures and those in the transaction documents for the investor and owner occupancy. Fitch determined that 11.4% of the loans were originated through a retail channel. Additionally, 63.0% are designated as non-QM, while the remaining 37.0% are exempt from QM status, as they are investor loans. The pool contains 47 loans over $1.0 million, with the largest amounting to $3.00 million. Loans on investor properties (11.2% underwritten to borrower's credit profile and 25.8% comprising investor cash flow and no-ratio loans) represent 37.0% of the pool, as determined by Fitch. None of the loans have a junior lien in addition to the first lien mortgage in the pool. There are no second lien loans in the pool, as 100% of the pool consists of first lien mortgages. Further, only 4.5% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. In Fitch's analysis, it also considers loans with deferred balances as having subordinate financing. In this transaction, no loans have deferred balances; therefore, Fitch does not view any loans in the pool to have subordinate financing. Fitch viewed no loans with subordinate financing as a positive aspect of the transaction. Fitch determined that 11 of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as no documentation, for employment and income documentation, and removed the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for such borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2023 and 2022, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. The largest concentration of loans is in California (32.2%), followed by Florida and Texas. The largest MSA is Los Angeles (15.2%), followed by Miami (12.9%) and San Francisco (3.6%). The top three MSAs account for 31.7% of the pool. As a result, no penalty was applied for geographic concentration. Loan Documentation (Negative): Fitch determined that 94.4% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 93.9% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan, based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and figures in the transaction documents. Of the loans underwritten to borrowers with less than full documentation, Fitch determined that 66.3% were underwritten to a 12-month or 24-month business or personal bank statement program for verifying income, which is not consistent with the previously applicable Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 25.8% constitute a debt service coverage ratio (DSCR) product, and 1.5% are an asset qualifier product. None of the loans in the pool are no-ratio DSCR loans. For no-ratio loans, employment and income are considered to be no documentation in Fitch's analysis, and Fitch assumes a DTI ratio of 100%. This is in addition to the loans being treated as investor-occupied. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. 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. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies (DQs). Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the mezzanine and subordinate certificates from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a DQ trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. There is limited excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after the distribution date in February 2028, since the class A certificates have a step-up coupon feature whereby the coupon rate will be the lesser of (i) the applicable fixed rate plus 1.000%; and (ii) the net WAC rate. To offset the impact of the class A certificates' step-up coupon feature, the B classes are principal-only classes and are not entitled to receive interest. This feature is supportive of classes A-1 and A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. 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 40.9% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics and Infinity. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.41%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Consolidated Analytics and Infinity to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ANTARES CLO 2019-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, D-R, and E-R replacement debt from Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC, a CLO originally issued in January 2020 that is managed by Antares Capital Advisers LLC, a wholly owned subsidiary of Antares Holdings. The preliminary ratings are based on information as of Feb. 1, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 15, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expects to withdraw its ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original debt and withdraw its preliminary ratings on the replacement debt. The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, and D-R debt is expected to be issued at a higher spread over three-month CME term SOFR compared with the spread of the original debt over three-month LIBOR. -- The replacement class C-R and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR compared with the spread of the original debt over three-month LIBOR. -- The replacement class A-1-R debt is expected to be fully issued at a floating spread, replacing the current fixed and floating split. -- The replacement class A-2-R debt is expected to be rated 'AAA (sf)', replacing the current unrated debt. -- The stated maturity, reinvestment period, and non-call period will be extended four years. Replacement And Original Debt Issuances Replacement debt Class A-1-R, $261.00 million: Three-month CME term SOFR + 1.95% Class A-2-R, $13.50 million: Three-month CME term SOFR + 2.45% Class B-R, $38.25 million: Three-month CME term SOFR + 2.70% Class C-R (deferrable), $31.50 million: Three-month CME term SOFR + 3.55% Class D-R (deferrable), $24.75 million: Three-month CME term SOFR + 5.45% Class E-R (deferrable), $27.00 million: Three-month CME term SOFR + 8.12% Original debt Class A-1A, $200.00 million: Three-month LIBOR + 1.75% Class A-1B, $30.00 million: 3.477% Class A-2, $7.00 million: Three-month LIBOR + 2.00% Class B, $38.90 million: Three-month LIBOR + 2.60% Class C (deferrable), $30.00 million: Three-month LIBOR + 3.70% Class D (deferrable), $22.10 million: Three-month LIBOR + 4.75% Class E (deferrable), $24.00 million: Three-month LIBOR + 8.50% Subordinated notes, $48.80 million: Residual 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 Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Class A-1-R, $261.00 million: AAA (sf) Class A-2-R, $13.50 million: AAA (sf) Class B-R, $38.25 million: AA (sf) Class C-R (deferrable), $31.50 million: A (sf) Class D-R(deferrable), $24.75 million: BBB- (sf) Class E-R(deferrable), $27.00 million: BB- (sf) Other Outstanding Debt Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Subordinated notes, $48.80 million: Not rated ARES L CLO: Moody's Lowers Rating on $7.5MM Class F Notes to Caa2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Ares L CLO Ltd.: US$55,000,000 Class B-R Senior Floating Rate Notes Due 2032 (the "Class B-R Notes"), Upgraded to Aa1 (sf); previously on June 15, 2021 Assigned Aa2 (sf) US$24,500,000 Class C-R Mezzanine Deferrable Floating Rate Notes Due 2032 (the "Class C-R Notes"), Upgraded to A1 (sf); previously on June 15, 2021 Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$7,500,000 Class F Mezzanine Deferrable Floating Rate Notes Due 2032 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on September 3, 2020 Confirmed at B3 (sf) Ares L CLO Ltd., originally issued in December 2018 and partially refinanced in June 2021 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 January 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions reflect the benefit of the end of the deal's reinvestment period in January 2024. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) compared to the covenant level. Moody's modeled a WARF of 2849 compared to its current covenant level of 3061. Furthermore, the transaction's reported collateral quality and over-collateralization (OC) ratios have been stable since a year ago. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's January 2024[1] report, the Reinvestment OC ratio, which is equivalent to the Class F OC ratio, is reported at 103.87% versus January 2023[2] level of 105.61%. No actions were taken on the Class A-R, Class D and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $486,054,586 Defaulted par: $6,102,176 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2849 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.38% Weighted Average Recovery Rate (WARR): 47.1% Weighted Average Life (WAL): 4.3 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, 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 December 2021. 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. ARES LXIX CLO: Fitch Assigns 'BB-(EXP)' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXIX CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXIX CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Ares LXIX CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4, versus a maximum covenant, in accordance with the initial expected matrix point of 25.4. 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 98.1% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.29% versus a minimum covenant, in accordance with the initial expected matrix point of 73.13%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1 notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D notes; and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D notes; and 'BBB+sf' for class E notes. Key Rating Drivers and Rating Sensitivities are further described in the presale report, which is available at www.fitchratings.com. 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. ARES XLV CLO: Moody's Cuts Rating on $23.6MM Class E Notes to B1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Ares XLV CLO Ltd.: US$53,813,000 Class B Senior Floating Rate Notes due 2030 (the "Class B Notes"), Upgraded to Aaa (sf); previously on October 4, 2017 Assigned Aa2 (sf) US$27,562,000 Class C Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Upgraded to A1 (sf); previously on October 4, 2017 Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$23,625,000 Class E Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Downgraded to B1 (sf); previously on October 4, 2017 Assigned Ba3 (sf) Ares XLV CLO Ltd., issued in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2022. 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 January 2023. The Class A notes have been paid down by approximately 24.94% or $85.1 million since then. Based on the trustee's January 2024 [1] report, the OC ratios for the Class B and Class C notes are reported at 133.67% and 123.63%, respectively, versus January 2023 [2] levels of 131.74% and 123.15%, respectively. Moody's notes that the January 2024 trustee-reported OC ratios do not reflect the January 2024 payment distribution, when $29.4 million of principal proceeds were used to pay down the Class A Notes. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's January 2024 [3] report, the OC ratio for the Class E notes is reported at 106.16% versus January 2023 [4] level of 107.76%. No actions were taken on the Class A and Class D 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 its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $422,396,572 Defaulted par: $8,567,292 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3112 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.33% Weighted Average Recovery Rate (WARR): 47.3% Weighted Average Life (WAL): 3.5 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, 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 December 2021. 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. ARES XXXVII CLO: Moody's Lowers Rating on $14MM E-R Notes to Caa3 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Ares XXXVII CLO Ltd.: US$66,500,000 Class A-3-R Senior Floating Rate Notes Due 2030 (the "Class A-3-R Notes"), Upgraded to Aa1 (sf); previously on November 16, 2017 Assigned Aa2 (sf) US$38,500,000 Class B-R Mezzanine Deferrable Floating Rate Notes Due 2030 (the "Class B-R Notes"), Upgraded to A1 (sf); previously on November 16, 2017 Assigned A2 (sf) Moody's has also downgraded the rating on the following notes: US$14,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes Due 2030 (the "Class E-R Notes"), Downgraded to Caa3 (sf); previously on August 31, 2020 Downgraded to Caa1 (sf) Ares XXXVII CLO Ltd., originally issued in October 2015 and refinanced in November 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2022. 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 January 2023. The Class A-1-R notes have been paid down by approximately 23.2% or $104.1 million since then. Based on Moody's calculation, the OC ratios for the Class A-3-R and Class B-R notes are currently at 135.10% and 123.86%, respectively, after incorporating January 2024 payment distribution when $54.01 million of principal proceeds were used to pay down the Class A-1-R Notes, compared to January 2023 Trustee reported OC levels [1] of 131.15% and 122.24%, respectively. The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's January 2024 [2] report, the Reinvestment OC ratio, which is equivalent to the Class E-R OC ratio, is reported at 103.26% versus January 2023 [3] level of 105.34%. No actions were taken on the Class A-1-R, Class A-2-R, Class C-R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $571,354,648 Defaulted par: $10,862,274 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3096 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.36% Weighted Average Recovery Rate (WARR): 47.2% Weighted Average Life (WAL): 3.5 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, 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 December 2021. 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. BANK5 2024-5YR5: Fitch Assigns 'B-(EXP)' Rating on Cl. H-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2024-5YR5 commercial mortgage pass-through certificates series 2024-5YR5 as follows: - $75,000,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $288,020,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $363,020,000c class X-A 'AAAsf'; Outlook Stable; - $48,618,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $24,634,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $20,744,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $93,996,000c class X-B 'A-sf'; Outlook Stable; - $13,224,000d class D 'BBBsf'; Outlook Stable; - $13,224,000cd class X-D 'BBBsf'; Outlook Stable; - $6,872,000de class E-RR 'BBB-sf'; Outlook Stable; - $7,779,000de class F-RR 'BBsf'; Outlook Stable; - $5,186,000de class G-RR 'BB-sf'; Outlook Stable; - $9,723,000de class H-RR 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $18,800,000de class J-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $363,020,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $150,000,000 and the expected class A-3 balance range is $213,020,000 to $363,020,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the midpoints of their range. (b) Exchangeable Certificates. The class A-2, class A-3, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Horizontal risk retention interest, estimated to be 9.325% of the certificates. The expected ratings are based on information provided by the issuer as of Jan. 25, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 24 loans secured by 25 commercial properties having an aggregate principal balance of $518,600,000 as of the cutoff date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association and Bank of America, National Association. The master servicer is expected to be Wells Fargo Bank, N.A. and the special servicer is expected to be K-Star Asset Management LLC. The trustee and certificate administrator are expected to be Computershare Trust Company, National Association. The certificates are expected to follow a standard sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.6% of the loans by balance, cash flow analysis of 97.3% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Comparable Leverage to Recent Transactions: The pool has comparable leverage to U.S. Private Label Multiborrower transactions rated by Fitch during 2023 but lower leverage than Fitch-rated transactions in 2022. The pool's Fitch loan-to-value ratio (LTV) of 89.4% is similar to the 2023 average of 88.3% but improved from the 2022 average of 99.3%. The pool's Fitch net cash flow (NCF) debt yield (DY) of 10.9% is in line with the 2023 average of 10.9% but improved from the 2022 average of 9.9%. Investment-Grade Credit Opinion Loans: Two loans representing 19.6% of the pool balance received an investment-grade credit opinion. Tyson's Corner Center (9.9% of the pool) and Nvidia Santa Clara (9.6%) received standalone credit opinions of 'AAsf*' and 'BBB-sf*', respectively. The pool's total credit opinion percentage of 19.6% is above the 2023 average of 17.8% and above the 2022 average of 14.4%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 95.4% and 10.6%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 73.5% of the pool, higher than the 2023 and 2022 averages of 63.7% and 55.2%, 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 15.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: The pool is 100.0% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B+sf' / 'Bsf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche 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. BARCLAYS MORTGAGE 2024-NQM1: Fitch Gives Final B Rating on B2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by Barclays Mortgage Loan Trust 2024-NQM1 (BARC 2024-NQM1). Entity/Debt Rating Prior ----------- ------ ----- BARC 2024-NQM1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by Barclays Mortgage Loan Trust 2024-NQM1 (BARC 2024-NQM1) as indicated. The certificates are supported by 414 nonprime loans with a total balance of approximately $195.7 million as of the cut-off date. All loans in the pool were originated and are currently serviced by Citadel Servicing Corporation. ServiceMac LLC will subservice all but 10 loans in the pool pursuant to a subservicing agreement between Citadel Servicing Corporation and ServiceMac LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.1% above a long-term sustainable level (versus 9.4% on a national level as of 2Q23, up 1.8% since the prior quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices increased 4.7% yoy nationally as of October 2023 despite modest regional declines, but are still being supported by limited inventory. Non-Qualified Mortgage (QM) Credit Quality (Negative): The collateral consists of 414 loans, totaling $195.7 million and seasoned approximately three months in aggregate. The borrowers have a moderate credit profile (716 Fitch model FICO and 45.9% model debt to income [DTI] ratio), which takes into account Fitch's converted debt service coverage ratio (DSCR) values. The borrowers also have moderate leverage — 76.4% sustainable loan to value (sLTV) ratio and 69.4% original combined LTV (cLTV). The pool consists of 52.8% of loans where the borrower maintains a primary residence, while 46.3% comprise an investor property and the remaining 0.9% are second homes. Additionally, 0.2% are safe-harbor QMs (SHQMs), 0.2% are higher-priced QM (HPQM) and 38.4% are non-QMs (or NQMs); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 26.00%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 94.8% of the loans in the pool were underwritten to less than full documentation, and 50.1% were underwritten to a bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay Rule (ATR Rule). The ATR Rule reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks, due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ability to repay. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 972bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 202 DSCR products in the pool (48.8% by loan count). These business-purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared to standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats them as low documentation. Fitch's expected loss for these loans is 33.3% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 34.4% weighted average (WA) concentration. Of the 34.4% concentration, 23.2% had a DSCR greater than or equal to 1.00x, 7.1% had a DSCR between 0.75x and 1.00x, and 3.9% had a DSCR ratio less than 0.75x. The expected losses for the less than 0.75x DSCR was 26.6% in Fitch's 'AAAsf' stress. Although Fitch has concerns about the low DSCR, mitigating factors include a 61% CLTV and FICO score of 718. Modified Sequential-Payment Structure with No Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will not be made on the mortgage loans. The lack of advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. BARC 2024-NQM1 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net WA coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. The unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes. As additional analysis to Fitch's rating stresses, Fitch considered a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut, given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded scenario. 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 40.9% 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 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 Clayton, Consolidated Analytics, Covius and Evolve. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in 48bps reduction in losses at the 'AAAsf' stress. ESG CONSIDERATIONS BARC 2024-NQM1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated Operational Risk, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARINGS LOAN 3: Fitch Hikes Rating on Class E Notes to 'BB+sf' -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings Loan Partners CLO Ltd. 3 refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Barings Loan Partners CLO Ltd. 3 A-R LT NRsf New Rating B 06762QAC1 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 06762QAE7 LT A+sf Upgrade Asf D 06762QAG2 LT BBBsf Upgrade BBB-sf E 06762RAA3 LT BB+sf Upgrade BB-sf TRANSACTION SUMMARY Barings Loan Partners CLO Ltd. 3 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Barings LLC that originally closed on Aug. 25, 2022. The CLO's secured debt was partially refinanced on Jan. 22, 2024 (the first refinancing date) from the proceeds of the issuance of new secured debt. After the first refinancing date, the CLO will have a 1.5-year reinvestment period and a one-year non-call period. 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 U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.75% first-lien senior secured loans and has a weighted average recovery assumption of 76.41%. 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 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 1.5-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments 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 notes were able to withstand respective default rates and recovery assumptions appropriate for their recommended ratings. KEY PROVISION CHANGES The refinancing is being implemented via the supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Class A notes and class A loans are combined in the new class A-R notes. - The spread for the class A-R, B-R are 1.52% and 2.10% respectively compared to the original spread of 2.10% for the class A debt (class A notes and class A loans) and 2.05% for class B notes. - Interest proceeds will be applied to pay expenses related to the first refinancing of secured debt and the excess will be distributed to equity holders. - Subordinated management fee is reduced to .15% per annum. - Uptier priming and drop-down asset language and provisions added to indenture. - Uptier priming assets are limited to 2.5%, which may consist of DIP collateral obligations FITCH ANALYSIS The current portfolio presented to Fitch (dated Dec. 8, 2023) includes 250 assets from 238 primarily high yield obligors. The collateral balance, including the amount of negative principal cash, was approximately $399.82 million. As per the latest trustee report, the transaction passes all of its coverage tests. The weighted average rating factor of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 43.4% of the current portfolio par balance; ratings for 56.6% of the portfolio were derived from using Fitch's IDR equivalency map. Analysis focused on the Fitch stressed portfolio (FSP) and cash flow model analysis was conducted for the first refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or Fitch's assumption: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15%, 12%, and 10%, respectively; - Assets rated 'CCC+' or below: 7.5%; - Assumed risk horizon: 5.59 years; - Minimum weighted average coupon of 6.0%; - Minimum weighted average spread of 3.4%; - Fixed rate assets: 5.0% - Non-First priority assets: 7.5% Projected default and recovery statistics of the FSP were generated using Fitch's portfolio credit model (PCM). The PCM default rate outputs for the FSP at the 'AA+sf' rating stress were 49.4%, 'A+sf' rating stress were 43.6%, 'BBBsf' rating stress were 36.2% and 'BB+sf' rating stress were 30.8%, respectively. The PCM recovery rate outputs for the FSP at the 'AA+sf' rating stress were 46.8%, 'A+sf' rating stress were 56.2%,'BBBsf' rating stress were 65.7% and 'BB+sf' rating stress were 71.1%, respectively. In the analysis of the current portfolio the class B-R, C, D and E notes passed the 'AA+sf', 'A+sf', 'BBBsf' and 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 11.4%, 10.0%, 8.1% and 12.8% respectively. In the analysis of the FSP, the class B-R, C, D and E notes passed the AA+sf', 'A+sf', 'BBBsf' and 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 2.8%, 2.4%, 0.8% and 1.2% respectively. Fitch assigned 'AA+sf', 'A+sf', 'BBBsf' and 'BB+sf' ratings with a Stable Outlook to the class B-R, C, D and E notes, respectively, because it believes the notes can sustain a robust level of defaults combined with low recoveries, as well as other factors, such as the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. 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 'AAsf' for class B-R, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C, 'A+sf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. BBCMS MORTGAGE 2024-C24: Fitch Gives B-(EXP) Rating on G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BBCMS Mortgage Trust 2024-C24 commercial mortgage pass-through certificates, series 2024-C24 as follows: - $8,900,000 class A-1 'AAAsf'; Outlook Stable; - $96,400,000 class A-2 'AAAsf'; Outlook Stable; - $12,711,000 class A-SB 'AAAsf'; Outlook Stable; - $367,580,000 class A-5 'AAAsf'; Outlook Stable; - $485,591,000a class X-A 'AAAsf'; Outlook Stable; - $86,712,000 class A-S 'AAAsf'; Outlook Stable; - $32,951,000 class B 'AA-sf'; Outlook Stable; - $21,678,000 class C 'A-sf'; Outlook Stable; - $141,341,000a class X-B 'A-sf'; Outlook Stable; - $13,007,000b class D 'BBBsf'; Outlook Stable; - $6,937,000b class E 'BBB-sf'; Outlook Stable; - $19,944,000ab class X-D 'BBB-sf'; Outlook Stable; - $12,140,000b class F 'BB-sf'; Outlook Stable; - $12,140,000ab class X-F 'BB-sf'; Outlook Stable; - $8,671,000bc class G-RR 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $26,014,778bc class H-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest, estimated to be 5.000% of the notional amount of the certificates. Class balances are grossed up to include the proportionate share of the vertical risk retention interest. The expected ratings are based on information provided by the issuer as of Jan. 24, 2024. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 35 loans secured by 90 commercial properties having an aggregate principal balance of $693,701,779 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Societe Generale Financial Corporation, Argentic Real Estate Finance 2 LLC, Bank of Montreal, German American Capital Corporation, KeyBank National Association, Starwood Mortgage Capital LLC, UBS AG, BSPRT CMBS Finance, LLC and LMF Commercial, LLC. The master servicer is expected to be KeyBank National Association and the special servicer is expected to be Argentic Services Company LP. The trustee and certificate administrator is expected to be Computershare Trust Company, N.A. The certificates are expected to follow a sequential paydown structure. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 60.6% of the loans by balance, cash flow analysis of 95.1% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 88.0% is better than both the 2023 and 2022 averages of 88.3% and 99.3%, respectively. The pool's Fitch net cash flow (NCF) debt yield (DY) of 11.0% is better than both the 2023 and 2022 averages of 10.9% and 9.9%, respectively. Investment Grade Credit Opinion Loan: One loan, Woodfield Mall, representing 9.7% of the pool, received an investment grade credit opinion of 'BBB+sf*' on a standalone basis. The pool's total credit opinion percentage is lower than both the 2023 and 2022 averages of 17.8% and 14.4%, respectively. Excluding this credit opinion loan, the pool's Fitch LTV and DY are 90.0% and 10.9%, respectively, compared to the equivalent conduit 2023 LTV and DY averages of 93.3% and 10.4%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans make up 58.3% of the pool, which is lower than the 2023 average of 63.7%, but higher than the 2022 average of 55.2%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 23.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 3.4%, which is better than both the 2023 and 2022 averages of 1.4% and 3.3%, respectively. The pool has 23 interest‐only loans (80.0% of the pool), which is better than the 2023 average of 84.5%, but worse than the 2022 average of 77.5%. 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' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'BBsf' / 'B-sf' / less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBsf' / 'Bsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BEAR STEARNS 2006-8: Moody's Cuts Rating on Cl. III-X-1 Notes to Ca ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one bond and downgraded the ratings of two bonds issued by Bear Stearns Alt-A Trust 2006-8. The collateral backing this deal consists of Alt-A mortgages. The complete rating actions are as follows: Issuer: Bear Stearns Alt-A Trust 2006-8 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. III-A-1, Downgraded to B2 (sf); previously on Jan 15, 2021 Downgraded to Ba2 (sf) Cl. III-X-1*, Downgraded to Ca (sf); previously on Dec 3, 2021 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrade is a result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. The rating downgrades are primarily due to a deterioration in collateral performance. The rating downgrade of Class III-X-1, an interest only bond from Bear Stearns Alt-A Trust 2006-8, reflects the updated performance of the underlying collateral and bonds. No actions were taken on the other rated classes in this deal because the 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 RMBS Surveillance Methodology" published in July 2022. 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. 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. BMO 2024-5C3: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2024-5C3 Mortgage Trust commercial mortgage pass-through certificates series 2024-5C3 as follows: - $85,000 class A-1 'AAAsf'; Outlook Stable; - $617,588,000 class A-3 'AAAsf'; Outlook Stable; - $617,673,000a class X-A 'AAAsf'; Outlook Stable; - $123,535,000 class A-S 'AAAsf'; Outlook Stable; - $41,913,000 class B 'AA-sf'; Outlook Stable; - $26,472,000 class C 'A-sf'; Outlook Stable; - $191,920,000a class X-B 'A-sf'; Outlook Stable; - $11,030,000b class D 'BBBsf'; Outlook Stable; - $8,824,000b class E 'BBB-sf'; Outlook Stable; - $19,854,000a,b class X-D 'BBB-sf'; Outlook Stable; - $17,648,000b,c class F-RR 'BB-sf'; Outlook Stable; - $8,823,000b,c class G-RR 'B-sf'; Outlook Stable; Fitch does expect to rate the following classes: - $26,472,719b,c class J-RR; - $19,849,281b,d combined VRR Interest. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. (d) The VRR Interest certificates comprise the transaction's vertical risk retention interest and the certificate balance is subject to change based on the final pricing of all classes. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust, the primary assets of which are 37 fixed-rate, commercial mortgage loans with an aggregate principal balance of $902,240,000 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 55 commercial properties. The loans were contributed to the trust by Bank of Montreal, German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Starwood Mortgage Capital LLC, UBS AG, Societe Generale Financial Corporation, Greystone Commercial Mortgage Capital LLC, LMF Commercial, LLC and Zions Bancorporation, N.A. The master servicer is expected to be Wells Fargo Bank, National Association, and the special servicer is expected to be Greystone Servicing Company LLC. Computershare Trust Company, N.A. will act as trustee and certificate administrator. These certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to U.S. Private Label Multiborrower transactions rated by Fitch during 2023 and the Fitch-rated transactions in 2022. The pool's Fitch loan-to value ratio (LTV) of 80.5% is below the 2023 average of 88.3% and materially lower than the 2022 average of 99.3%. The pool's Fitch NCF debt yield (DY) of 11.9% is higher than the 2023 and 2022 averages of 10.9% and 9.9%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 16.0% of the pool balance received an investment-grade credit opinion. Tyson's Corner Center (8.2% of the pool) and Garden State Plaza (2.8%) received a standalone credit opinion of 'AAsf*'. Piazza Alta (5.0%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 16.0% is below the 2023 average of 17.8% but above the 2022 average of 14.4%. The pool's Fitch LTV and DY, excluding credit opinion loans, are 84.1% and 11.7%, respectively. Lower Loan Concentration: The pool is less concentrated than recently rated Fitch transactions but still concentrated overall. The largest 10 loans make up 54.1% of the pool, lower than the 2023 and 2022 averages of 63.7% and 55.2%, 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 24.7. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms comprise 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Criteria Variation: In its analysis of this transaction, Fitch took into consideration a combination of factors including the pool's high mall concentration, which includes four of the top 20 loans (19.7% of pool) and accounts for 54.0% of the pool's retail exposure. Fitch's criteria are designed to be used in conjunction with experienced analytical judgment exercised through a committee process. A rating committee may adjust the application of these criteria to reflect the risks of a specific transaction or entity. Such adjustments are called variations. The analysis of this transaction includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in Fitch's "U.S. and Canadian Multiborrower CMBS Rating Criteria" for new ratings. According to the criteria, the committee can decide to deviate from the MIRs; however, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variation for class D is greater than one notch. Absent the variation, the class D would have an expected rating of 'BBB+sf' instead of 'BBBsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'B+sf' / 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA-sf' / 'A+sf' / 'A-sf' / 'BBB-sf' /'BBsf'. CRITERIA VARIATION According to the criteria, the committee can decide to deviate from the MIRs but, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variation for class D is greater than one notch. 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 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. BRAVO RESIDENTIAL 2024-NQM1: Fitch Gives B Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2024-NQM1 (BRAVO 2024-NQM1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2024-NQM1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Ratin A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)s XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Home LLC, and the remaining loans by multiple originators, each of which originated less than 10% of the mortgage loans. The loans will be serviced by Citadel Servicing Corporation, primarily subserviced by ServiceMac, and NewRez LLC dba Shellpoint Mortgage Servicing (Shellpoint). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch sees home price values of this pool as 9.2% above a long-term sustainable level, versus 9.4% on a national level, as of 2Q23, up 1.8% since 1Q23. Housing affordability is at its worst in decades driven by high interest rates and elevated home prices. Home prices increased 4.7% YoY nationally, as of October 2023, despite modest regional declines but are still supported by limited inventory. Non-Qualified Mortgage Credit Quality (Mixed): The collateral consists of 596 loans totaling around $303.67 million and seasoned at around four months in aggregate, calculated by Fitch as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile, a 730 model FICO and a 43% debt to income (DTI) ratio, including mapping for debt service coverage ratio (DSCR) loans, and moderate leverage of 78% for a sustainable loan to value (sLTV) ratio. Of the pool, 57.6% of loans are treated as owner-occupied, while 42.4% are treated as an investor property or second home, which include loans to foreign nationals or loans where the residency status was not confirmed. Additionally, 9.2% of the loans were originated through a retail channel. Of the loans, 49.4% are non-qualified mortgages (non-QMs), while the Ability to Repay/Qualified Mortgage Rule (ATR) is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 88.5% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 52.7% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigors of the ATR mandates regarding underwriting and documentation of a borrower's ability to repay. Additionally, 26.5% of the loans are a DSCR product, while the remainder comprise a mix of asset depletion, profit and loss (P&L), 12- or 24-month tax returns, award letter and written verification of employment (WVOE) products. Separately, 1.2% (10 loans) were originated to foreign nationals or the borrower residency status of the loans could not be confirmed. Modified Sequential-Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes, while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon but are limited by the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC in its analysis. In or after February 2028, the unrated class B-3 interest allocation will redirect toward the senior cap carryover amount for as long as there is an unpaid cap carryover amount. This increases the P&) allocation for the senior classes as long as class B-3 is not written down and helps ensure payment of the 100bps step up. As additional analysis to its rating stresses, Fitch factored a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (the historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut, given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but, ultimately, will not default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. No P&I Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. The downside to this is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. The structure has enough internal liquidity through the use of principal to pay interest, excess spread and credit enhancement (CE) to pay timely interest to senior notes during stressed delinquency and cash flow periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.0% at 'AAA'. The analysis indicates that there is some potential for rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: - A 5% probability of default (PD) credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 49bps as a result of the diligence review. ESG CONSIDERATIONS BRAVO 2024-NQM1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to increased operational risk considering the Tier 2 R&W framework with an unrated counterparty, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BX COMMERCIAL 2019-XL: DBRS Confirms B(low) Rating on J Certs ------------------------------------------------------------- DBRS Limited upgraded its credit ratings on the following three classes of Commercial Mortgage Pass-Through Certificates, Series 2019-XL issued by BX Commercial Mortgage Trust 2019-XL: -- Class C to AAA (sf) from AA (high) (sf) -- Class D to AA (sf) from A (high) (sf) -- Class X-NCP to AA (high) (sf) from AA (low) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class E at A (low) (sf) -- Class F at BBB (low) (sf) -- Class G at BB (low) (sf) -- Class J at B (low) (sf) All trends are Stable. The credit rating upgrades reflect the increased credit support provided to the bonds as a result of property releases and prepayments within the collateral portfolio. At issuance, the interest-only (IO) loan was secured by a portfolio of 406 industrial/distribution properties totaling approximately 65 million square feet (sf) across 18 U.S. states. As of the January 2024 reporting, 104 properties had been released, including 16 since Morningstar DBRS' last credit rating action in January 2023. The remaining collateral is located across 14 U.S. states, with the highest concentrations by allocated loan amount in California (27.7%), Washington (22.1%), and Nevada (10.2%). The current trust balance of $3.4 billion represents collateral reduction of 38.6% since issuance. Proceeds from the first 15.0% of property releases were distributed on a pro rata basis across the capital stack, with all subsequent principal applied sequentially. Initial loan proceeds of $5.6 billion along with $1.0 billion of mezzanine financing, a $1.9 billion balance sheet loan, $9.4 million of assumed debt, and $2.6 billion of borrower equity facilitated the acquisition of the portfolio for approximately $11.1 billion. The IO loan had an initial two-year term, with three one-year extension options. The borrower has exercised all three extension options, with the loan scheduled to mature in October 2024. The portfolio is part of the larger $18.7 billion acquisition by Blackstone Real Estate Partners, which included more than 170 million sf of U.S. industrial assets from Singapore-based GLP. Operating performance remains relatively in line with Morningstar DBRS' expectations, with the financial reporting for the trailing 12-month period ended June 30, 2023, reflecting an occupancy rate, net cash flow (NCF), and A note debt service coverage ratio (DSCR) of 94.6%, $356.8 million, and 1.47 times (x), respectively. However, Morningstar DBRS notes that the most recent reporting is inclusive of properties that have been released. Although occupancy and cash flow remain healthy, the loan's DSCR has declined from the issuance figure of 1.83x, primarily because of an increase in debt service obligations given the floating-rate nature of the loan. However, the borrower is required to purchase an interest rate cap agreement in conjunction with each extension option in order to maintain a minimum DSCR of 1.10x, thereby mitigating some of the risk of further debt service increases. In the analysis for this review, the Morningstar DBRS NCF was updated to exclude the 104 released properties, resulting in an NCF of $278.8 million. A conservative haircut of 20% was applied to that figure to evaluate the potential for upgrades, given the significant paydown, resulting in a stressed Morningstar DBRS NCF of $223.0 million. A capitalization rate of 6.75% applied at issuance was maintained, yielding an updated Morningstar DBRS value of $3.3 billion, a variance of -49.8% from the issuance appraised value of $6.6 billion for the remaining 302 properties in the portfolio. The Morningstar DBRS value implies a loan-to-value ratio (LTV) of 104.0%, compared with the LTV of 52.3% on the issuance appraised value for the remaining collateral and the Morningstar DBRS LTV at issuance of 103.6%. Morningstar DBRS maintained positive qualitative adjustments to the final LTV sizing benchmarks used for this credit rating analysis, totaling 8.0%, to account for cash flow volatility, property quality, and market fundamentals. Based on the LTV sizing benchmarks from the stressed analysis, the credit rating upgrades were warranted. Notes: All figures are in U.S. dollars unless otherwise noted. CASTLELAKE AIRCRAFT 2021-1: Moody's Ups Rating on B Notes From Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded two notes issued by Castlelake Aircraft Structured Trust 2021-1 (Castlelake 2021-1). The notes are backed by a portfolio of aircraft and their related initial and future leases. Castlelake Aviation Holdings (Ireland) Limited (Castlelake Aviation) is the servicer of the underlying assets and related leases in Castlelake 2021-1. The complete rating actions are as follows: Issuer: Castlelake Aircraft Structured Trust 2021-1 Class A Notes, Upgraded to A2 (sf); previously on Jun 3, 2022 Confirmed at A3 (sf) Class B Notes, Upgraded to Baa2 (sf); previously on Jun 3, 2022 Confirmed at Ba1 (sf) RATINGS RATIONALE The rating actions are a result of significant bond deleveraging due to 1) approximately $50 million insurance claim settlement proceeds related to the Aeroflot aircraft stranded in Russia that were previously deemed as total loss and 2) approximately $35 million proceeds related to the sale of three aircraft that were received as of the January 2024 payment report. As a result, Class A and the Class B bonds are back to paying per their schedules and their balances have reduced by 63% and 70%, respectively, since transaction's closing. The Moody's assessed cumulative loan-to-value (CLTV) ratio of the classes excluding projected end of lease (EOL) payments have also improved significantly. The class A CLTV is 65.1%, and the class B CLTV is 78.2%, based on Moody's assessed value (MAV) of approximately $268 million. MAV reflects the minimum of several third-party appraisers' maintenance-adjusted half-life market values and Moody's CLTV ratio reflects the loan-to-value ratio of the combined amounts of each class of notes and the classes that are senior to it. The class C notes are currently behind on their scheduled targeted principal balance and have a cumulative interest shortfall of $331,779. Additionally, the debt service coverage ratio, after dropping to 1.02 times on the December 2023 payment date, is at 1.26 times on the January 2024 payment date, higher than the trigger levels, but not yet cured. Moody's also took into account the pool's increased concentration to a small number of lessees, the servicer's broad flexibility in managing the aircraft portfolio, the positive outlook for the global commercial aviation industry and existing lessee credit quality. As a result of the Russian aircraft total loss and aircraft sales, the portfolio currently has 16 aircraft leased to 7 airlines compared to 27 aircraft leased to 11 airlines at close, with top three lessee concentration at 77.4% of the reported adjusted base value. The transaction has about 19% exposure to an airline currently undergoing bankruptcy proceedings which exposes the deal to potential lease payment disruption. In addition, Moody's also considered structural features such as liquidity facilities and reserve funds, as applicable, as well as the increased likelihood that certain notes could be locked out of receiving future payments due to the priority of payments waterfall upon occurrence of a rapid amortization trigger. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Securities Backed by Aircraft and Associated Leases" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings on the notes are (1) collateral cash flows that are significantly greater than Moody's initial expectations and (2) significant improvement in the credit quality of the airlines leasing the aircraft. Moody's updated expectations of collateral cash flows may be better than its original expectations because of lower frequency of lessee defaults, lower than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to stronger global air travel demand, higher than expected aircraft disposition proceeds and higher than expected EOL payments received at lease expiry that are used to prepay the notes. As the primary drivers of performance, positive changes in the condition of the global commercial aviation industry could also affect the ratings. Down Factors that could lead to a downgrade of the ratings on the notes are (1) collateral cash flows that are materially below Moody's initial expectations and (2) a significant decline in the credit quality of the airlines leasing the aircraft. Other reasons for worse-than-expected transaction performance could include poor servicing of the assets, for example aircraft sales disadvantageous to noteholders, or error on the part of transaction parties. Moody's updated expectations of collateral cash flows may be worse than its original expectations because of a higher frequency of lessee defaults, greater than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to weaker global air travel demand, credit drift as the pool composition changes, lower than expected aircraft disposition proceeds, and lower than expected EOL payments received at lease expiry. Transaction performance also depends greatly on the strength of the global commercial aviation industry. CHASE HOME 2024-1: Fitch Assigns 'Bsf' Final Rating on B-5 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2024-1 (Chase 2024-1). Entity/Debt Rating Prior ----------- ------ ----- Chase 2024-1 A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-3-X LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1-A LT AA-sf New Rating AA-(EXP)sf B-1-X LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2-A LT A-sf New Rating A-(EXP)sf B-2-X LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2024-1 (Chase 2024-1) as indicated above. The certificates are supported by 554 loans with a total balance of approximately $671.16 million as of the cutoff date. The scheduled balance as of the cutoff date is $670.77. The pool consists of prime-quality fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (Chase). The loan-level representations and warranties (R&Ws) are provided by the originator, Chase. All of the mortgage loans in the pool will be serviced by Chase. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.9% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR); the remaining 0.1% qualify as QM rebuttable presumption (APOR). There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.5% above a long-term sustainable level (vs. 9.42% on a national level as of 2Q23, up 1.82% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices increased 1.87% YoY nationally as of October 2023 despite modest regional declines but are still being supported by limited inventory. High Quality Prime Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate, fully amortizing prime-quality loans with maturities of up to 30 years. Of the loans, 99.9% qualify as SHQM APOR; the remaining 0.1% qualify as QM rebuttable presumption (APOR). The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of eight months, according to Fitch (six months per the transaction documents). The pool has a WA original FICO score of 769, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 78.1% of the loans, as determined by Fitch, have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 76.2%, translating to a sustainable LTV (sLTV) ratio of 81.7%, represents moderate borrower equity in the property and reduced default risk compared with a borrower with a CLTV over 80%. Nonconforming loans comprise 100.0% of the pool. All of the loans are designated as QM loans, with 100.0% of the pool originated by correspondents that have a retail channel. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), townhouses, and single-family attached dwellings constitute 93.7% of the pool; condominiums make up 5.8%; and multifamily homes make up 0.4%. The pool consists of loans with the following loan purposes, as determined by Fitch: purchases (95.6%), cashout refinances (1.1%) and rate-term refinances (3.3%). Fitch views favorably that no loans are for investment properties and the majority of mortgages are purchases. Of the pool, 25.1% is concentrated in California. The largest MSA concentration is in the Seattle-Tacoma-Bellevue, WA MSA (9.7%), followed by the Los Angeles-Long Beach-Santa Ana, CA MSA (7.3%) and the Chicago-Naperville-Joliet, IL-IN-WI MSA (6.2%). The top three MSAs account for 23% of the pool. As a result, there was no probability of default (PD) penalty applied for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby 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. The servicer is obligated to advance delinquent P&I until deemed non-recoverable. The servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. There is no master servicer for this transaction. U.S. Bank Trust National Association (A+/F1), as the trustee, will advance as needed until a replacement servicer can be found. The trustee is the ultimate advancing party. CE Floor (Positive): A CE or senior subordination floor of 1.20% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Digital Risk. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. Fitch considered this information in its analysis and, as a result, Fitch decreased its loss expectations by 0.15% at the 'AAAsf' stress due to 71.8% due diligence with no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 71.8% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Digital Risk was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS Chase 2024-1 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in Chase 2024-1, including strong transaction due diligence, the entirety of the pool is originated by an 'Above Average' originator, and the entirety of the pool is serviced by an 'RPS1-' servicer. All of these attributes result in a reduction in expected losses. This has a positive impact on the transaction's 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. COLT 2024-1: Fitch Gives 'B(EXP)sf' Rating on Cl. B2 Certificates ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-1 Mortgage Loan Trust (COLT 2024-1). Entity/Debt Rating ----------- ------ COLT 2024-1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by COLT 2024-1 Mortgage Loan Trust as indicated above. The certificates are supported by 618 nonprime loans with a total balance of approximately $361.4 million as of the cutoff date. Loans in the pool were originated by multiple originators, including SG Capital Partners, HomeXpress Mortgage Corp., and others. The loans were aggregated by Hudson Americas L.P. Loans and are currently serviced by Select Portfolio Servicing, Inc. (SPS) and Northpointe Bank. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.4% above a long-term sustainable level (vs. 9.42% on a national level as of 2Q23, up 1.82% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.7% YoY nationally as of October 2023 despite modest regional declines, but are still being supported by limited inventory. COLT 2024-1 has a similar original combined loan-to-value (LTV) (73.8%) relative to the previous Hudson transaction, COLT 2023-4. However, based on Fitch's updated view of housing market overvaluation, this pool's sustainable LTV ratio (sLTV) is 81.8% compared to 79.7% for the previous transaction. NQM Credit Quality (Negative): The collateral consists of 618 loans totaling $361.4 million and seasoned at approximately two months in aggregate. The borrowers have a moderate credit profile, consisting of a 732 model FICO, and moderate leverage with an 81.8% sLTV and a 74.2% cLTV. The pool consists of 69.5% of loans where the borrower maintains a primary residence, while 22.6% comprise an investor property. Additionally, 64.9% are nonqualified mortgages (NQM) and 0.8% are high-priced QM. The QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 20.5%. This is mainly driven by the NQM collateral and the significant investor cash flow product (debt service coverage ratio [DSCR]) concentration. Loan Documentation (Negative): Around 87.6% of loans in the pool were underwritten to less than full documentation and 67.2% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability-to-Repay (ATR) Rule (the Rule). This reduces risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to the underwriting and documentation of a borrower's ATR. Its treatment of alternative loan documentation increased 'AAAsf' expected losses by 575bps compared with a deal of 100% fully documented loans. High Percentage of DSCR Loans (Negative): There are 80 DSCR products in the pool (8.4% by unpaid principal balance [UPB]). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than debt-to-income (DTI), and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats them as low documentation. Its treatment for DSCR loans results in a higher Fitch-reported nonzero DTI. Its average expected losses for DSCR loans is 33.4% in the 'AAAsf' stress. Modified Sequential Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then the securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2024-1 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100bps increase to the fixed coupon or the net weighted average coupon (NWAC) rate. Any class B-3 interest distribution amount will be distributed to class A-1, A-2 and A-3 certificates on and after the step-up date if the cap carryover amount is greater than zero. This increases the P&I allocation for the senior classes. As an additional analysis to its rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (the historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the backloaded benchmark scenario. 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 41.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. 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, Clayton, Evolve, Selene, Covious, and Clarifii. 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(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 52bps reduction to 'AAAsf' losses. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. 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. CONN'S RECEIVABLES 2024-A: Fitch Assigns B+sf Rating on Cl. C Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by Conn's Receivables (Conn's) Funding 2024-A, LLC, which consists of notes backed by retail loans originated by Conn's Appliances, Inc. or Conn's Credit Corporation, Inc. and serviced by Conn's Appliances, Inc. Entity/Debt Rating Prior ----------- ------ ----- Conn’s Receivables Funding 2024-A Class A LT BBBsf New Rating BBB(EXP)sf Class B LT BBsf New Rating BB(EXP)sf Class C LT B+sf New Rating B+(EXP)sf KEY RATING DRIVERS Forward-Looking Approach to Base Case Default Derivation: Fitch considered economic conditions and future expectations when deriving the base case default assumption of 30%. Conn's has tightened use of the re-age policy in recent years, which is contributing to an increase in early defaults. Conn's has also recently experienced higher lifetime defaults in managed and securitized pools amidst an overall weak period for unsecured consumer loans, especially for sub- and near-prime obligors. Fitch reviewed pre- and post-pandemic performance as well as the current macroeconomic environment to set the base case default assumption. Rating Stress Reflects Subprime Collateral: The Conn's 2024-A receivables pool has a weighted average (WA) FICO score of 621, and 8.6% of the loans have scores below 550 or no score. Fitch applied 2.2x, 1.5x and 1.3x stresses to the 30% default assumption at the 'BBBsf', 'BBsf' and 'B+sf' levels, respectively. The default multiple reflects the high absolute value of the historical defaults, the variability of default performance in recent years and the high geographical concentration of the portfolio. Rating Cap at 'BBBsf': The rating cap reflects the subprime credit-risk profile of the customer base; ongoing increases in loan defaults that began in the years prior to the coronavirus pandemic; the high concentration of receivables from Texas; recent management and corporate changes; and servicing collection risk, although this has decreased in recent years due to some customers making in-store payments. Payment Structure — Sufficient Credit Enhancement (CE): Initial hard CE totals 62.75%, 35.00% and 27.15% for class A, B and C notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Adequate Servicing Capabilities: Conn's has a long track record as an originator, underwriter and servicer. The credit-risk profile of the entity is mitigated by the backup servicing provided by Systems & Services Technologies, Inc. (SST), which has committed to a servicing transition period of 30 days. Fitch considers all parties to be adequate servicers for this pool at the expected rating levels. Fitch evaluated the servicers' business continuity plan as adequate to minimize disruptions in the collection process during the pandemic. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case, and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trusts performance. The most severe downside sensitivity run of a 50% increase in the base case default rate could result in downgrades of one rating category for the class A notes, two categories for the class B notes, and a downgrade below 'CCCsf' for the class C notes. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. 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 increasing CE levels and consideration for potential upgrades. If the defaults are 20% less than the projected base case default rate, the expected ratings for the class B notes could be upgraded by two notches and the expected ratings for the class C notes could be upgraded by one category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence focused on comparing certain information with respect to a sample of loans from the statistical data file. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of this rating action commentary. 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. CWABS ASSET 2004-BC3: S&P Lowers Class M-4 Notes Rating to D (sf) ----------------------------------------------------------------- S&P Global Ratings completed its review of seven classes from six U.S. RMBS transactions issued between 2004 and 2007. The review yielded seven downgrades. S&P said, "The rating actions reflect our assessment of observed interest shortfalls or missed interest payments on the affected classes during recent remittance periods. The downgrades are consistent with the Temporary Interest Deferrals And Shortfalls For Other Instruments subsection in "S&P Global Ratings Definitions," published June 9, 2023, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the respective class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "Six of the classes from five transactions received additional compensation for outstanding interest shortfalls or missed interest payments. As such, our analysis considered the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. Our main rationale for these downgrades is that the ultimate repayment of missed interest is unlikely at higher rating levels. One class from one transaction was downgraded because it did not receive additional compensation for outstanding interest shortfalls. As such, our analysis focuses on our expectations regarding the length of the interest payment interruptions to assign the rating on the class. "We will continue to monitor our ratings on the transactions, especially the securities that experience interest shortfalls or missed interest payments, and adjust our ratings as we consider appropriate." Ratings List RATING ISSUER NAME SERIES CLASS CUSIP TO FROM CWABS Asset Backed CertS Trust 2004-BC3 2004-BC3 M-4 126673CD2 D (sf) CCC (sf) PRIMARY RATING DRIVER: Interest shortfalls. Fremont Home Loan Trust 2004-D 2004-D M1 35729PGC8 D (sf) CCC (sf) PRIMARY RATING DRIVER: Ultimate missed interest payments unlikely at higher rating levels. Fremont Home Loan Trust 2005-B 2005-B M6 35729PKA7 D (sf) CCC (sf) PRIMARY RATING DRIVER: Ultimate missed interest payments unlikely at higher rating levels. GSAA Home Equity Trust 2007-7 2007-7 2A1 36249BAC4 CCC (sf) B- (sf) PRIMARY RATING DRIVER: Ultimate missed interest payments unlikely at higher rating levels. GSAA Home Equity Trust 2007-7 2007-7 A4 36249BAD2 CCC (sf) B- (sf) PRIMARY RATING DRIVER: Ultimate missed interest payments unlikely at higher rating levels. Park Place Securities, Inc.2005-WCH1 M-4 70069FFL6 A (sf) AA (sf) PRIMARY RATING DRIVER: Ultimate missed interest payments unlikely at higher rating levels. Saxon Asset Securities Trust 2004-3 2004-3 M-1 805564QV6 CCC (sf) B+ (sf) PRIMARY RATING DRIVER: Ultimate missed interest payments unlikely at higher rating levels. DRYDEN 41: Moody's Cuts Rating on $8.25MM Class F-R Notes to Caa1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Dryden 41 Senior Loan Fund: US$61,900,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on February 17, 2023 Upgraded to Aa1 (sf) US$28,350,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on February 17, 2023 Upgraded to A1 (sf) Moody's has also downgraded the rating on the following notes: US$8,250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F-R Notes"), Downgraded to Caa1 (sf); previously on September 15, 2020 Confirmed at B3 (sf) Dryden 41 Senior Loan Fund, originally issued in October 2015 and refinanced in March 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 April 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions reflect an expectation that the notes will continue to be repaid in order of seniority, given the end of the deal's reinvestment period in April 2023. The Class A-R notes have been paid down by approximately 12.6% or $44.9 million since February 2023, and based on Moody's calculation, the OC ratios for the Class A-R/B-R notes and Class C-R notes are currently 129.6% and 120.5% respectively, versus February 2023 levels of 129.0% and 120.8%, respectively. The deal has also experienced an improvement in the credit quality of the portfolio since February 2023. Based on Moody's calculation, the weighted average rating factor (WARF) is currently 2733 compared to 2775 in February 2023. However, Moody's notes that the total collateral par balance, including recoveries from defaulted securities, is $485.3 million, or $19.8 million less than the $505.1 million initial par amount targeted during the deal's ramp-up. Furthermore, Moody's calculated weighted average spread (WAS) has been deteriorating and the current level is currently 3.31%, compared to 3.46% in February 2023. The downgrade rating action on the Class F-R notes primarily results from the specific risks to the junior notes posed by the abovementioned par loss observed in the underlying CLO portfolio, together with the erosion in WAS. No actions were taken on the Class A-R, Class D-R and Class E-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $482,688,825 Defaulted par: $9,285,482 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2733 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.31% Weighted Average Recovery Rate (WARR): 47.33% Weighted Average Life (WAL): 3.85 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, 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 December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. DRYDEN 53 CLO: Moody's Cuts Rating on $12MM Class F Notes to Caa2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Dryden 53 CLO, Ltd.: US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to Caa2 (sf); previously on January 11, 2018 Assigned B3 (sf) Dryden 53 CLO, Ltd., issued in January 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 January 2023. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the total collateral par balance, including recoveries from defaulted securities, is $547.6 million, or $17.0 million less than the $600 million initial par amount targeted during the deal's ramp-up after accounting for the $35.4 million principal paydown on the Class A Notes. Furthermore, based on Moody's calculation, the OC ratio for the Class F notes is currently 103.59% versus May 2023 level of 106.16%. No actions were taken on the Class A, Class B, Class C, Class D and Class E notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its 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: $544,767,896 Defaulted par: $2,872,073 Diversity Score: 88 Weighted Average Rating Factor (WARF): 2718 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.33% Weighted Average Recovery Rate (WARR): 47.35% Weighted Average Life (WAL): 3.93 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, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ELMWOOD CLO 20: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R replacement debt from Elmwood CLO 20 Ltd./Elmwood CLO 20 LLC, a CLO originally issued in October 2022 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of Feb. 1, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 8, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the original debt, while the class F-R debt is expected to be issued at a higher spread over three-month SOFR than the original debt. -- The replacement class A-R, B-R, C-R, D-R, E-R, and F-R debt is expected to be issued at a floating spread. -- The floating-rate class B-R debt is expected to replace the floating-rate class B-1 and the fixed-rate class B-2 debt. -- The stated maturity will be extended 2.25 years and the reinvestment period will be extended 3.25 years. -- The non-call period is being extended until January 2026. Replacement And Original Debt Issuances Replacement debt Class A-R, $288.00 million: Three-month CMR term SOFR + 1.50% Class B-R, $54.00 million: Three-month CMR term SOFR + 2.05% Class C-R (deferrable), $27.00 million: Three-month CMR term SOFR + 2.40% Class D-R (deferrable), $27.00 million: Three-month CMR term SOFR + 3.65% Class E-R (deferrable), $18.00 million: Three-month CMR term SOFR + 6.00% Class F-R (deferrable), $6.75 million: Three-month CMR term SOFR + 8.00% Original debt Class A, $283.50 million: Three-month term SOFR + 2.00% Class B-1, $47.25 million: Three-month term SOFR + 2.75% Class B-2, $11.25 million: 6.045% Class C (deferrable), $27.00 million: Three-month term SOFR + 3.85% Class D (deferrable), $24.30 million: Three-month term SOFR + 5.10% Class E (deferrable), $14.85 million: Three-month term SOFR + 8.55% Class F (deferrable), $5.85 million: Three-month term SOFR + 8.55% Subordinated notes, $36.00 million: Residual 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 Elmwood CLO 20 Ltd./Elmwood CLO 20 LLC Class A-R, $288.00 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Class F-R (deferrable), $6.75 million: B- (sf) Other Outstanding Ratings Elmwood CLO 20 Ltd./Elmwood CLO 20 LLC Subordinated notes, $36.00 million: Not rated ELMWOOD CLO 25: S&P Assigns Preliminary B- (sf) Rating on F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC's floating-rate debt. The debt issuance is a CLO securitization 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 Feb. 6, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC Class A-1, $310.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Class F (deferrable), $5.00 million: B- (sf) Subordinated notes, $40.00 million: Not rated FLAGSHIP CREDIT 2022-3: S&P Affirms BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on six classes, lowered its ratings on four classes, and affirmed its ratings on 16 classes of notes from Flagship Credit Auto Trust (FCAT) 2021-3, 2021-4, 2022-1, 2022-2, 2022-3, and 2022-4 transactions. At the same time, S&P removed the CreditWatch negative placement on the classes from FCAT 2021-3, 2021-4, 2022-1, 2022-2, and 2022-3. The rating on the class E notes from FCAT 2022-4 will remain on CreditWatch with negative implications. S&P said, "The rating actions reflect the transactions' collateral performance to date and our expectations regarding future collateral performance, including an increase in each series' remaining cumulative net loss (CNL) expectations, except FCAT 2022-4. These rating actions also account for each transaction's structure and its respective credit enhancement level. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors and FC Funding LLC's capital contribution of $13.0 million to FCAT 2022-3, we believe the notes' creditworthiness is consistent with the raised, lowered, and affirmed ratings. "Since our CreditWatch negative placement on Nov. 6, 2023, each transaction's collateral performance continues to trend worse than our previously revised or original CNL expectations. Cumulative gross losses are notably higher, which, coupled with lower cumulative recoveries, resulted in elevated CNLs. Excess spread has largely been used to cover net losses, leaving very little or no funds available to build the transactions' overcollateralization amount in dollar terms, resulting in each transaction being below its overcollateralization target. Additionally, delinquencies and extensions for these transactions are elevated." Table 1 FCAT Collateral performance (%)(i) Pool 60+ day Series Mo. factor delinq. Ext. CGL CRR CNL 2021-3 29 36.14 8.96 5.48 14.12 40.43 8.41 2021-4 26 41.01 7.60 5.66 14.31 38.22 8.84 2022-1 23 47.60 7.90 6.56 14.69 39.63 8.87 2022-2 20 55.15 9.34 7.34 17.34 37.88 10.78 2022-3 17 61.37 9.47 5.47 14.23 36.30 9.06 2022-4 14 69.01 8.70 4.98 10.65 36.53 6.76 (i)As of the January 2024 distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 FCAT Overcollateralization summary (%)(i) Current Target Current Target Series (%)(ii) (%)(iii) ($ mil.) ($ mil.) 2021-3 3.10 3.40 4,256,318 4,668,459 2021-4 3.68 4.00 4,686,286 5,095,655 2022-1 3.44 4.40 5,761,005 7,363,949 2022-2 2.14 7.25 7,207,077 24,391,924 2022-3 3.89 6.70 13,068,404 22,520,743 2022-4 7.61 9.90 22,042,789 28,692,561 (i)As of the January 2024 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the overcollateralization target on any distribution date is equal to the greater of (a) the target precentage of the current pool balance and (b) 1.00% of the initial pool balance. In view of each series' performance to date, coupled with continued adverse economic headwinds and relatively weaker recovery rates, S&P raised its expected CNLs for each series, except for FCAT 2022-4, which will remain on CreditWatch with negative implications. Table 3 CNL expectations (%) Original Previous revised Current revised lifetime lifetime lifetime Series CNL exp. CNL exp. CNL exp.(iii) 2021-3 11.00-11.50 11.25(i) 12.50 2021-4 11.25-11.75 11.50(ii) 13.75 2022-1 11.25-11.75 12.50(ii) 15.25 2022-2 11.50-12.00 13.50(ii) 19.50 2022-3 11.25-11.75 N/A 19.50 2022-4 11.25-11.75 N/A N/A (i)Revised September 2022. (ii)Revised June 2023. (iii)As of the January 2024 distribution date. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. S&P said, "Given the relative early stage in the lifecycle of the FCAT 2022-4, we believe that extending our negative CreditWatch placement on the rating will afford more insight to future collateral performance, which will help us more accurately determine whether any adjustments are needed beyond our initial ECNL. This in turn will allow us to test whether credit enhancement (including the availability of excess spread and overcollateralization sustainability) is sufficient to cover the loss multiples that are commensurate with the current rating. "Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pool for all classes except the lowest-rated subordinate class. Each transaction also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, and excess spread. The non-amortizing reserve account for each transaction remains at its required level, which increases as a percentage of the current pool balance as the pool amortizes. "In our analysis, we also considered the $13.0 million voluntary capital contribution to FCAT 2022-3, which has been deposited into the series reserve account. Of this one-time cash infusion, approximately $9.5 million will be used to build the overcollateralization to its target, and the remaining funds will be used to increase the reserve amount above the required reserve amount. The excess reserve amount will provide additional credit enhancement and will only be withdrawn when the pool factor is less than or equal to 12.5% and the overcollateralization is at 6.70% of the current pool balance. Our cash flow analysis indicated that the capital contribution will build overcollateralization and increase credit enhancement to a level that is commensurate with 'BB-' ratings on the series' class E notes given our revised expected CNL. "The raised, lowered, and affirmed ratings on the notes from each series under review reflect our view that the total credit support as a percentage of the amortizing pool balance, compared with our minimum expected remaining losses, is commensurate with the revised ratings." Table 4 Hard credit support(i) Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current)(ii) 2021-3 A 30.40 85.82 2021-3 B 22.70 64.52 2021-3 C 12.40 36.03 2021-3 D 5.60 17.21 2021-3 E 1.50 5.87 2021-4 A 31.00 78.04 2021-4 B 23.05 58.66 2021-4 C 12.50 32.94 2021-4 D 5.50 15.87 2021-4 E 1.50 6.12 2022-1 A 32.70 71.08 2022-1 B 24.80 54.49 2022-1 C 14.25 32.33 2022-1 D 6.65 16.36 2022-1 E 2.35 7.33 2022-2 A-3 34.85 62.35 2022-2 B 27.45 48.93 2022-2 C 17.35 30.62 2022-2 D 9.25 15.93 2022-2 E 2.70 4.05 2022-3 A-2 34.05 57.09 2022-3 A-3 34.05 57.09 2022-3 B 27.00 45.60 2022-3 C 16.20 28.00 2022-3 D 9.20 16.60 2022-3 E 2.40 5.52 (i)Calculated as a percentage of the total receivable pool balance, which consists of a reserve account and overcollateralization. Excludes excess spread that can also provide additional enhancement. (ii)As of the collection period ended Dec. 31, 2023. S&P said, "For each series, we incorporated a cash flow analysis to assess the loss coverage levels for the notes, giving credit to stressed excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance. Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the cash flow results demonstrated that all of the classes have adequate credit enhancement at the raised, lowered, and affirmed rating levels, which is based on our analysis as of the January 2024 distribution date and gives credit to FC Funding LLC's capital contribution to FCAT 2022-3. "We will continue to monitor the performance of each transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Flagship Credit Auto Trust Rating Series Class To From 2021-3 B AAA (sf) AA+ (sf) 2021-3 C AA (sf) A (sf) 2021-3 D A- (sf) BBB (sf) 2021-4 B AAA (sf) AA+ (sf) 2022-1 B AAA (sf) AA+ (sf) 2022-3 B AA+ (sf) AA (sf) RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Flagship Credit Auto Trust Rating Series Class To From 2022-1 E BB- (sf) BB (sf)/Watch Neg 2022-2 C A (sf) AA- (sf)/Watch Neg 2022-2 D BB (sf) BBB+ (sf)/Watch Neg 2022-2 E B- (sf) BB- (sf)/Watch Neg RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Flagship Credit Auto Trust Rating Series Class To From 2021-3 E BB (sf) BB (sf)/Watch Neg 2021-4 C AA (sf) AA (sf)/Watch Neg 2021-4 D A- (sf) A- (sf)/Watch Neg 2021-4 E BB (sf) BB (sf)/Watch Neg 2022-1 D BBB+ (sf) BBB+ (sf)/Watch Neg 2022-3 E BB- (sf) BB- (sf)/Watch Neg RATINGS AFFIRMED Flagship Credit Auto Trust Series Class Rating 2021-3 A AAA (sf) 2021-4 A AAA (sf) 2022-1 A AAA (sf) 2022-1 C AA- (sf) 2022-2 A-3 AAA (sf) 2022-2 B AA+ (sf) 2022-3 A-2 AAA (sf) 2022-3 A-3 AAA (sf) 2022-3 C A (sf) 2022-3 D BBB (sf) RATING REMAINS ON CREDITWATCH NEGATIVE Flagship Credit Auto Trust Series Class Rating 2022-4 E BB- (sf)/Watch Neg GLS AUTO 2024-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2024-1's (GCAR 2024-1) automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 56.42%, 47.67%, 37.12%, 28.76%, and 24.20% of credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x S&P's 17.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P’s expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Global Lending Services LLC, as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. S&P's ECNL for GCAR 2024-1 is 17.50%, which is unchanged from GCAR 2023-4. It reflects: -- S&P's view that the GCAR 2024-1 collateral characteristics are comparable to those of GCAR 2023-4; -- GCAR's outstanding series, which are performing better than or in line with its ECNL except for GCAR 2021-3 through 2022-3, which are showing signs of performance deterioration; and -- S&P's forward-looking view of the auto finance sector, including its outlook for persistent inflation and slower economic growth. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2024-1 Class A-1, $59.13 million: A-1+ (sf) Class A-2, $133.24 million: AAA (sf) Class A-3, $45.13 million: AAA (sf) Class B, $76.08 million: AA (sf) Class C, $71.46 million: A (sf) Class D, $62.20 million: BBB (sf) Class E, $41.12 million: BB (sf) 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 Outlook on class B has been revised to Negative from Stable, and class C remains on Negative Outlook. 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 are the result of generally stable performance of the remaining asset, Deptford Mall, coupled with additional principal curtailment received as part of an executed loan modification since Fitch's last rating action. The Negative Outlook on classes C and D reflects the slow property performance recovery as net cash flow (NCF) continues to lag pre-pandemic levels, as well as high upcoming tenant rollover given approximately 30% of the collateral NRA expires by YE 2024 and ultimate concerns regarding the loan's refinanceability. According to the servicer, the borrower plans to exercise its first one-year extension option to April 2025. The trust A-note and B-note have a fixed coupon of 3.73%. Collateral occupancy was 85.2% as of the September 2023 rent roll, compared to 86% in September 2022 and 89% in September 2021. The servicer-reported YTD September 2023 NOI DSCR was 1.38x, compared with 1.37x at YE 2022 and 1.53x at YE 2021. The loan had 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 is 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 was returned to the master servicer at the end of October 2023. Fitch's current NCF of $14.9 million, which reflects leases-in-place as of the September 2023 rent roll, with additional stresses to holdover and temporary tenants, is 4.1% above the last rating action. However, it remains 17.7% 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% at YE 2019. Per the September 2023 rent roll, several tenants are paying percentage in lieu of rent, including Michael Kors and H&M. Although the number of tenants paying percentage rent remains above pre-pandemic levels, it has decreased since the last rating action as more tenants have converted to traditional leases. Approximately 111,600 sf of the collateral NRA rolls by YE 2024, including Victoria's Secret (3.0% of NRA, expiry in March 2024). Fitch's analysis incorporated a 13% cap rate, consistent with comparable properties and given current performance and concerns with ultimate refinancing. Fitch's debt service coverage ratio (DSCR) and loan-to-value (LTV) for the remaining loan, inclusive of the B-note, is 0.73x and 126.6%, 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 $559 psf as of TTM June 2023, compared with $599 psf as of TTM 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 issuance (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 2024 distribution date, the Deptford Mall loan has amortized by 28.8%, which includes the $10 million principal curtailment received with the execution of the modification. The current pooled debt per square foot is $371 psf ($423 psf inclusive of the B-note). The subordinate B-note $17.9 million 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 given Fitch's concern with ultimate loan refinanceability, continued lagged performance from pre-pandemic levels and upcoming tenant rollover concerns, but may be possible with significant and sustained occupancy and cash flow improvements as well as clarity on refinancing prospects. 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 2024-PJ1: Fitch Gives B-(EXP) Rating on Cl. B-5 Certs ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2024-PJ1 (GSMBS 2024-PJ1). Entity/Debt Rating ----------- ------ GSMBS 2024-PJ1 A—X LT AA+(EXP)sf Expected Rating A-1 LT AA+(EXP)sf Expected Rating A-1-X LT AA+(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-16L LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-22L LT AAA(EXP)sf Expected Rating A-23 LT AA+(EXP)sf Expected Rating A-23-X LT AA+(EXP)sf Expected Rating A-24 LT AA+(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-3A LT AAA(EXP)sf Expected Rating A-3L LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4A LT AAA(EXP)sf Expected Rating A-4L LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-3-A LT BBB-(EXP)sf Expected Rating B-3-X LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B-(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating B-X LT BBB-(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on Jan. 31, 2024. The notes are supported by 294 prime loans with a total balance of approximately $330 million as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.3% above a long-term sustainable level (versus 9.42% on a national level as of 2Q23, up 1.82% since last quarter). Housing affordability is the worst it has been in decades driven by both high interest rates and elevated home prices. Home prices have increased 4.7% yoy nationally as of October 2023 despite modest regional declines but are still being supported by limited inventory. High-Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM), fully amortizing loans seasoned at approximately six and a half months in aggregate (calculated as the difference between the cutoff date and origination date). The average loan balance is $1,122,852. The collateral comprises primarily prime-jumbo loans and 55 agency-conforming loans. Borrowers in this pool have strong credit profiles (a 759 model FICO) but lower than Fitch has observed for earlier vintage prime-jumbo securitizations. The sustainable loan to value ratio (sLTV) is 81%, and the mark-to-market (MTM) combined LTV ratio (CLTV) is 73.5%. Fitch treated 100% of the loans as full documentation collateral, and all the loans are qualified mortgages (QMs). Of the pool, 77.4% are loans for which the borrower maintains a primary residence, while 22.6% are for second homes. Additionally, 57.6% of the loans were originated through a retail channel. Expected losses in the 'AAAsf' stress amount to 10.75%, similar to those of prior issuances and other prime-jumbo shelves. Loan Concentration (Negative): Fitch adjusted the expected losses due to concentration concerns over small loan counts. Fitch increased the losses at the 'AAAsf' level by 112bps, due to the low loan count of 294, with a weighted average number (WAN) of 230. As a loan pool becomes more concentrated, the pool is at greater risk of experiencing defaults. Shifting-Interest Deal Structure (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 deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults at a later stage compared with a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 4.20% of the original balance will be maintained for the senior notes and a subordination floor of 2.90% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 39.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, made the following adjustment to its analysis: - A 5% reduction to each loan's probability of default. This adjustment resulted in a 41bps reduction to the 'AAAsf' 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. GS MORTGAGE-BACKED 2021-NQM1: S&P Affirms 'BB' Rating on B-1 Notes ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on six classes from GS Mortgage-Backed Securities Trust 2021-NQM1. The review yielded five affirmations and one downgrade. At the same time, S&P removed the downgraded rating from CreditWatch, where S&P had placed it with negative implications on Dec. 15, 2023. The affirmations reflect S&P's view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with its prior projections. S&P said, "The downgrade of the class B-2 certificates to 'CCC (sf)' from 'B (sf)' reflects our view of the observed increase in total delinquencies in recent performance periods. The total delinquencies for the pool increased to 15.98% in August 2023 from 1.92% in July 2023 and are at 17.91% as of January 2024. The increase is primarily driven by a single borrower who went delinquent in August 2023 and who makes up approximately 15.5% (125 properties across 38 unique loans) of the total pool balance remaining as of January 2024 (up from 8.5% of the total pool balance at issuance). We had also highlighted the risk of this individual borrower in our publication at the time of issuance. Given the significant concentration, we analyzed the expected loss exposure to this single borrower, as described within the "large loan analysis" section of our criteria. Our analysis determined that class B-2 did not have sufficient credit support to withstand the expected loss at higher rating levels. We will continue to monitor the delinquency trends and the overall performance of the transaction." 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 or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- The priority of principal payments; -- The priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large balance loan exposure/tail risk. Ratings list RATING ISSUER SERIES CLASS CUSIP TO FROM GS Mortgage-Backed Securities Trust 2021-NQM1 2021-NQM1 A-1 36262EAA4 AAA (sf) AAA (sf) GS Mortgage-Backed Securities Trust 2021-NQM1 2021-NQM1 A-2 36262EAB2 AA+ (sf) AA+ (sf) GS Mortgage-Backed Securities Trust 2021-NQM1 2021-NQM1 A-3 36262EAC0 A+ (sf) A+ (sf) GS Mortgage-Backed Securities Trust 2021-NQM1 2021-NQM1 M-1 36262EAD8 BBB (sf) BBB (sf) GS Mortgage-Backed Securities Trust 2021-NQM1 2021-NQM1 B-1 36262EAE6 BB (sf) BB (sf) GS Mortgage-Backed Securities Trust 2021-NQM1 2021-NQM1 B-2 36262EAF3 CCC (sf) B (sf)/ Watch Negative MADISON PARK XIX: Fitch Assigns 'BBsf' Rating on Class E-R3 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Madison Park Funding XIX, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding XIX, Ltd. A-1-R2 55819QAY3 LT PIFsf Paid In Full AAAsf X LT NRsf New Rating A-R3 LT NRsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-R3 LT BBB-sf New Rating E-R3 LT BBsf New Rating F LT NRsf New Rating TRANSACTION SUMMARY Madison Park Funding XIX, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Credit Suisse Asset Management, LLC that originally closed in December 2015. This is the fourth refinancing where the secured notes will be refinanced in whole on Jan. 22, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.19% first-lien senior secured loans and has a weighted average recovery assumption of 75.57%. 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 41% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BB+sf' for class D-R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, 'A-sf' for class D-R3, and 'BBBsf' for class E-R3. 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. MCR 2024-HTL: S&P Assigns Prelim B+ (sf) Rating on Class F Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MCR 2024-HTL Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a CMBS securitization backed by the borrowers' fee simple interest in 16 hotel properties (nine limited service, five extended stay, and two full service hotels) located across 11 U.S. states. The preliminary ratings are based on information as of Feb. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the collateral's historical and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan terms, and the transaction structure. S&P determined that the loan has a beginning and ending loan-to-value ratio of 86.7%, based on its value of the properties backing the transaction. Preliminary Ratings Assigned MCR 2024-HTL Mortgage Trust Class A, $101,920,000: AAA (sf) Class B, $36,560,000: AA- (sf) Class C, $27,180,000: A- (sf) Class D, $35,920,000: BBB- (sf) Class E, $56,620,000: BB- (sf) Class F, $8,247,000: B+ (sf) Class HRR interest(i), $14,053,000: B (sf) (i)Non-offered horizontal interest certificate. LTV--Loan-to-value ratio, based on S&P Global Ratings' values. HRR--Horizontal risk retention. MORGAN STANLEY 2021-230P: S&P Lowers Class D Certs Rating to 'BB' ----------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2021-230P, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on four classes from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in 230 Park Ave., a 1.39 million-sq.-ft., 34-story office tower in the Grand Central office submarket of midtown Manhattan, also known as the Helmsley Building. Rating Actions The downgrade on class D reflects: -- The decline in S&P's expected-case valuation, which is 5.9% lower than the value it derived in its last review in July 2023 primarily due to its decision to increase its capitalization rate and leasing cost assumptions. -- S&P's belief that the property's vacancy rate may increase in line with the generally weakened office submarket fundamentals, reinforced by companies continuing to embrace remote and hybrid work arrangements. The building also faces elevated tenant rollover risk, with 44.0% of the net rentable area (NRA), or 51.1% of S&P Global Ratings' gross rents, expiring through 2026, the loan's fully extended maturity date. The special servicer has recently indicated that seven tenants comprising 120,136 sq. ft. (8.6% of NRA), have given notice that they will likely vacate the property at the end of their upcoming lease terms in 2024 and 2025. Lastly, roughly 10.9% of the building's NRA is either on the market for sublease or is currently being sublet, per CoStar. -- The affirmations on classes A, B, and C consider the low to moderate debt per sq. ft. (about $256 per sq. ft. through class C), among other factors. -- The affirmation on the class X-EXT IO certificates reflects S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references class A. S&P said, "In our last review on July 14, 2023, we derived a sustainable net cash flow (NCF) of $37.4 million, assuming a 20.0% vacancy rate versus an in-place vacancy rate of 16.2% (to account for the weakened office submarket fundamentals, concentrated tenant rollover risk in 2025, and increases in subleasing activities at the property), an S&P Global Ratings' $78.35-per-sq.-ft. gross rent, and a 49.1% operating expense ratio. Using an S&P Global Ratings capitalization rate of 6.75% and adding to the value $18.1 million for the Industrial and Commercial Abatement Program (ICAP) real estate tax savings for the remaining term (expiring in 2031; see below) and $14.8 million for the net future tenant improvements/leasing commission reserve, we arrived at an expected-case value of $595.0 million, or $427 per sq. ft. "In our current analysis, since the property was 84.0% leased as of the Nov. 30, 2023, rent roll, we utilized the same overall 20.0% vacancy assumption as in our last review (which reflects the current and forecast office submarket fundamentals and elevated subleasing activity at the property), an S&P Global Ratings' $77.16-per-sq.-ft. gross rent, a 49.6% operating expense ratio, and higher tenant improvement costs to revise and lower our sustainable NCF slightly to $36.9 million, 1.3% below the NCF we derived in our last review. We also increased our S&P Global Ratings' capitalization rate by 25 basis points, to 7.00% from 6.75% in our last review, to account for the perceived market premium for this office property, despite its strong location, due to elevated tenant rollover risk during the loan's fully extended term. Adding to the value $18.1 million for the ICAP real estate tax savings and $14.1 million for the net future tenant improvements/leasing commission reserve, we arrived at our revised expected-case value of $559.8 million, or $402 per sq. ft., 55.2% and 5.9% lower than the issuance appraisal value of $1.25 billion and our last review value, respectively. This yielded an S&P Global Ratings loan-to-value ratio of 119.7% on the $670.0 million mortgage loan balance and 142.0% on the total debt balance of $795.0 million, inclusive of the $50.0 million senior mezzanine loan and $75.0 million junior mezzanine loan." Although the model-indicated ratings were lower than S&P's revised or current ratings on classes A, B, C, and D, it tempered its downgrade of class D and affirmed its ratings on classes A, B, and C because of certain qualitative considerations. These include: -- The property's desirable location in proximity to Grand Central Station, a major transportation hub, in the Grand Central office submarket. -- The potential that the sponsor can backfill subleased space as well as the spaces that are expected to be vacated by current tenants, despite weakened office submarket fundamentals. -- The relatively low to moderate debt per sq. ft. ($296 per sq. ft. through class D). -- The significant market value decline that would need to occur before these classes experience principal losses. -- The temporary liquidity support provided in the form of servicer advancing. The relative position of these classes in the payment waterfall. The mortgage loan transferred to special servicing on Oct. 19, 2023, due to imminent maturity default. According to the servicer, Berkadia Commercial Mortgage LLC (Berkadia), the junior mezzanine lender did not receive its October 2023 debt service payment and elected to accelerate its mezzanine loan. As a result, the mortgage loan, which matured Dec. 8, 2023, was not able to meet the conditions, which included no event of default, as defined in the transaction documents, for the borrower to exercise one of its three extension options. The special servicer, also Berkadia, stated a new appraisal report has been ordered and that a short-term forbearance is in place through January 2024. Berkadia recently informed S&P that it is in discussions with the borrower to potentially extend the forbearance period and is also in early stages of discussions with the borrower for a potential resolution of the loan's default. S&P said, "We will continue to monitor the tenancy and performance of the property and loan as well as the ongoing negotiations between the borrower and the special servicer. If we receive information that differs materially from our expectations, such as an updated appraisal value from the special servicer that is substantially below our revised expected-case value, property performance that is below our expectations, or a workout strategy that negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take additional rating actions as we deem appropriate." Property-Level Analysis The loan collateral consists of a 1.39 million-sq.-ft., 34-story, landmarked office tower located at 230 Park Ave. between East 45th and East 46th streets in the Grand Central office submarket of midtown Manhattan. Approximately 32,935 sq. ft. of the building's NRA is retail space. The property, commonly known as the Helmsley Building, was built in 1929 as the headquarters of the New York Central Railroad and was designated a New York City landmark in 1987. The north side of the building has remarkable views up Park Avenue, as the building straddles the entire avenue. The property is accessible by multiple modes of public transportation, including the Metro-North Railroad, the Long Island Rail Road, and various New York City subway lines. The sponsor, RXR Realty LLC, a real estate company with a core focus on the tri-state area, acquired the property in 2015 for $1.2 billion. After its purchase in 2015, the sponsor invested an additional $109.8 million (approximately $79 per sq. ft.) in capital expenditures, including the construction of pre-built, move-in-ready tenant spaces and updates to the lobby, retail space, and passageways. As S&P noted at issuance, the property has a class A address and location, but it believes the building's quality is more analogous to class B+ and is one of the best offerings of that category in New York City. The property currently benefits from an ICAP tax abatement, which provides for reduced real estate taxes through 2029 and expires in 2031. The property is expected to receive a 100% exemption on any assessment increase above the base year through 2024/2025. The exemption will decline by 20% each year and fully phase out in 2028/2029. Our NCF analysis reflects the assumed fully unabated real estate taxes of $23.6 million. The servicer reported a real estate tax expense of $15.3 million for year-end 2022 and $13.0 million for the nine months ended Sept. 30, 2023. The property's occupancy rate was 84.0% as of the Nov. 30, 2023, rent roll, compared with 83.8% in 2022, 81.0% in 2021, 81.7% in 2020, and 87.0% in 2019. The five largest tenants at the property comprised 34.4% of NRA and included: -- Voya Financial Inc. (10.3% of NRA; 11.3% of in-place gross rent, as calculated by S&P Global Ratings; April 2025 lease expiration). According to CoStar, the borrower is currently marketing 72,327 sq. ft. of the tenant's 143,832 sq. ft. for sublease; -- RELX Inc. (8.4%; 9.6%; February 2025). According to CoStar, the borrower is currently subleasing 45,458 sq. ft. of the tenant's 116,541 sq. ft. to Atlas Securitized Products L.P.; -- StoneX Group Inc. (5.2%; 5.8%; June 2036); -- Clarion Partners LLC (5.1%; 5.8%; April 2025). According to the servicer, the tenant is expected to vacate at its lease expiration; and -- Desmarais LLP (4.8%; 7.4%; September 2030). The property has notable tenant rollover in the next three years: 2024 (5.2% of NRA; 5.6% of S&P Global Ratings in place gross rent), 2025 (29.0%; 32.9%), and 2026 (9.7%; 11.7%). The rollover in 2025 is primarily attributable to three of the largest tenants: -- Voya Financial Inc. (10.3% of NRA; According to CoStar, roughly half of its space is currently being marketed for sublease), -- RELX Inc. (8.4%; 45,458 sq. ft. of the 116,541 sq. ft. leased space is subleased to Atlas Securitized Products L.P.), and -- Clarion Partners LLC (5.1%). CoStar also noted that two other tenants have marketed their spaces for sublease: Lee Hecht Harrison LLP (22,722 sq. ft., or 1.6% of NRA, is marketed for sublease. The tenant is expected to vacate upon its August 2024 lease expiration) and ORIX Real Estate Capital Holdings LLC (43,394 sq. ft., or 3.1% of NRA, is leased until April 2030. The tenant marketed 10,862 sq. ft., or 0.8% of NRA, for sublease). Lastly, in addition to the subleasing activities at the property, the servicer noted that five tenants comprising 1.9% of NRA with leases that expired in 2023 or early 2024 or expiring in 2024 have vacated or likely will vacate upon their lease expirations: -- Onyx Renewable Partners (9,214 sq. ft.; 0.7% of NRA; April 2024 lease expiration), -- Eugene A Hoffman MGMT Inc. (2,451 sq. ft.; 0.2%; January 2024), -- Street Software Technology (2,605 sq. ft.; 0.2%; November 2023), -- Thompson Family Foundation (2,941 sq. ft; 0.2%; October 2023), and -- Verition Group NY Inc. (8,655 sq. ft.; 0.6%; December 2023). According to the Jan. 5, 2024, active deals report provided by Berkadia, a new 10-year lease on 2,271 sq. ft. is currently out for signature. Further, nine new or renewal lease proposals totaling over 238,000 sq. ft. (17.1% of NRA) are under review. According to CoStar, the Grand Central office submarket continues to experience negative net absorption, elevated vacancy and availability rates, and flat rents as office utilization remains well below pre-pandemic levels. This is mainly driven by the widespread adoption of hybrid work arrangements as well as a flight to newer, more modern office space. As of year-to-date January 2024, the four- and five-star office properties in the submarket had a 16.7% vacancy rate, a 17.8% availability rate, and a $78.15-per-sq.-ft. asking rent versus a 16.2% vacancy rate, 20.6% availability rate, and $78.93-per-sq.-ft. asking rent noted in our July 2023 review. CoStar projects vacancy to rise to 18.0% in 2024, 20.8% in 2025, and 21.1% in 2026 and asking rent to contract to $77.75 per sq. ft., $75.19 per sq. ft., and $75.86 per sq. ft. for the same periods. Our analysis assumed a 20.0% vacancy rate after excluding known tenant movements and a $77.16-per-sq.-ft. gross rent for the property. Transaction Summary The IO mortgage loan had an initial and current balance of $670.0 million (as of the Jan. 16, 2024, trustee remittance report) and pays an annual floating interest rate indexed to one-month term SOFR plus a 2.644% adjusted spread. The mortgage loan had an initial two-year term and three one-year extension options, with a fully extended maturity date of Dec. 8, 2026. In addition, there is a $50.0 million senior mezzanine loan and a $75.0 million junior mezzanine loan outstanding. At issuance, to hedge against the risk of rising interest rates, the borrower had purchased an interest rate cap agreement through the loan's initial and current maturity date of Dec. 8, 2023. According to the transaction documents, the extension options are exercisable subject to, among other factors, no event of default, the borrower purchasing an interest rate protection agreement with a strike rate equal to or less than the greater of 2.55% and the rate that results in a net operating income debt service coverage (DSC) of at least 1.10x, and a mortgage loan debt yield and an aggregate debt yield (including mezzanine loans) of no less than 7.42% and 6.25%, respectively, for the second extension term or 8.31% and 7.00%, respectively, for the third extension term. Berkadia reported a DSC of 0.77x for the nine months ended September 2023, down from 1.55x for year-end 2022. The loan, which transferred to special servicing in October 2023 due to imminent maturity default, has a reported nonperforming matured balloon payment status. The loan is paid through its December 2023 payment date and, according to Berkadia, the property did not generate sufficient cash flow in the January 2024 payment period to cover both operating expenses and debt service. The servicer advanced the $4.6 million scheduled debt service payment in January 2024. According to Berkadia, the servicer was subsequently reimbursed $3.9 million of advances from property's cash flow. As of Jan. 31, 2024, interest advances outstanding totaled $742,952. To date, the trust has not incurred any principal losses. Rating Lowered Morgan Stanley Capital I Trust 2021-230P Class D to 'BB (sf)' from 'BBB- (sf)' Ratings Affirmed Morgan Stanley Capital I Trust 2021-230P Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class X-EXT: AAA (sf) OBX TRUST 2024-HYB1: Moody's Assigns (P)B2 Rating to Cl. B-2 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 7 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2024-HYB1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of seasoned and newly originated Hybrid ARM (100% by balance) residential mortgages originated by Associated Bank, N.A. and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). The complete rating actions are as follows: Issuer: OBX 2024-HYB1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. M-1, Assigned (P)A2 (sf) Cl. M-2, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.23%, in a baseline scenario-median is 0.76% and reaches 16.57% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OHA CREDIT XV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, A-2-R, B-1-R, B-2-R, C-R, D-R, and E-R replacement debt from OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC, a CLO originally issued in December 2017 that is managed by Oak Hill Advisors L.P., a subsidiary of T. Rowe Price. The preliminary ratings are based on information as of Feb. 5, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 28, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. S&P said, "At that time, we expect to withdraw our ratings on the original debt and assign ratings to the replacement debt. However, if the refinancing doesn't occur, we may affirm our ratings on the original debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-1-R, C-R, D-R, and E-R notes are expected to be issued at a higher spread over three-month SOFR than the original notes. -- The replacement class B-2-R notes are expected to be issued at a fixed coupon. -- The stated maturity of the secured notes will be extended approximately 7.25 years from Jan. 20, 2030 to April 20, 2037, with the exception of the senior class A-1-R debt, which will have a stated maturity of April 20, 2036. -- The reinvestment period will be extended through April 20, 2029, after having originally ended in January 2023. -- A non-call period of approximately two years will be implemented at closing, ending April 20, 2026. -- The original deal did not allow the purchase of bonds. This reset has a 4.00% bucket for bonds. Replacement And Original Debt Issuances Replacement debt Class A-1-R, $367.50 million: Three-month term SOFR + 1.50% Class A-2-R, $16.50 million: Three-month term SOFR + 1.80% Class B-1-R, $52.00 million: Three-month term SOFR + 2.05% Class B-2-R, $20.00 million: 6.15% Class C-R (deferrable), $36.00 million: Three-month term SOFR + 2.45% Class D-R (deferrable), $36.00 million: Three-month term SOFR + 3.85% Class E-R (deferrable), $24.00 million: Three-month term SOFR + 6.75% Original debt Class A-1, $292.50 million: Three-month term SOFR + 1.37161% Class A-2, $22.50 million: Three-month term SOFR + 1.41161% Class B, $66.25 million: Three-month term SOFR + 1.63161% Class C (deferrable), $30.00 million: Three-month term SOFR + 2.01161% Class D (deferrable), $30.25 million: Three-month term SOFR + 2.71161% Class E (deferrable), $18.50 million: Three-month term SOFR + 5.56161% Subordinated notes, $52.00 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 OHA Credit Partners XV Ltd./OHA Credit Partners XV LLC Class A-1-R, $367.50 million: AAA (sf) Class A-2-R, $16.50 million: AAA (sf) Class B-1-R, $52.00 million: AA (sf) Class B-2-R, $20.00 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) PARTS STUDENT 2007-CT1: Moody's Cuts Rating on Cl. B Notes to Caa3 ------------------------------------------------------------------ Moody's Investors Service has downgraded Class B notes issued by PARTS Student Loan Trust 2007-CT1, serviced by the Pennsylvania Higher Education Assistance Agency. Turnstile Capital Management, LLC is the servicing administrator. The underlying collateral consists of private credit student loans that do not benefit from any government guarantee. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions is as follows: Issuer: PARTS Student Loan Trust 2007-CT1 Cl. B, Downgraded to Caa3 (sf); previously on Nov 9, 2011 Downgraded to Caa1 (sf) RATINGS RATIONALE The downgrade action is driven by a decrease in the total parity from about 59% to 54% during 2023, and an increase in the expected loss on Class B notes. The underlying assets only account for about 93% of the balance of Class B and while the Class B has been receiving principal payments since April 2021 (when the Class A paid down), the continuing decline of parity level could result in a reduction of funds available to cover both interest and principal on Class B. The rating action also considers the recent performance of the pool and Moody's expected losses on the pool. Moody's expected lifetime default as a percentage of original pool balance is 28.50% and Moody's remaining default as a percentage of current pool balance is 9.15%. The default expectation reflects updated performance trends on the underlying pool. No actions were taken on the other rated class in this deal because its expected loss remains commensurate with its current rating, after taking into account the updated performance information, structural features and credit enhancement. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Moody's Approach to Rating US Private Student Loan-Backed Securities" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations. Down Levels of credit protection that are lower than necessary to protect investors against current expectations of loss could drive the ratings down. Losses could increase above Moody's expectations. PROGRESS 2024-SFR1: DBRS Gives Prov. BB Rating on F Certs --------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Single-Family Rental Pass-Through Certificates (the Certificates) to be issued by Progress Residential 2024-SFR1 Trust (PROG 2024-SFR1): -- $314.7 million Class A at AAA (sf) -- $65.2 million Class B at AA (high) (sf) -- $51.6 million Class C at AA (low) (sf) -- $72.4 million Class D at BBB (high) (sf) -- $56.0 million Class E1 at BBB (sf) -- $20.0 million Class E2 at BBB (low) (sf) -- $56.0 million Class F at BB (sf) The AAA (sf) credit rating on the Class A Certificates reflects 55.0% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), AA (low) (sf), BBB (high) (sf), BBB (sf), BBB (low) (sf), and BB (sf) credit ratings reflect 45.7%, 38.3%, 28.0%, 20.0%, 17.1%, and 9.1% of credit enhancement, respectively. Other than the classes specified above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2024-SFR1 Certificates are supported by the income streams and values from 2,251 rental properties. The properties are distributed across 10 states and 22 metropolitan statistical areas (MSAs) in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 67.5% of the portfolio is concentrated in three states: Florida (41.1%), North Carolina (15.0%), and Georgia (11.4%). The average value is $355,243. The average age of the properties is roughly 21 years. The majority of the properties have three or more bedrooms. Of the properties backing the transaction, 2,138 were previously securitized in Progress Residential 2019-SFR3 Trust. The Certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $699.7 million. The Sponsor intends to satisfy its risk-retention obligations under the U.S. Risk Retention Rules, EU Risk Retention Requirements, and UK Risk Retention Requirements by Class G, which is 9.1% of the initial total issuance balance, either directly or through a majority-owned affiliate. Morningstar DBRS assigned the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria. Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. Morningstar DBRS assigned the provisional credit ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio of more than 1.0 times. Furthermore, Morningstar DBRS reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to Morningstar DBRS. Morningstar DBRS also conducted a legal review and found no material rating concerns. (For details, see the Scope of Analysis section in the Morningstar DBRS presale report.) Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, Deferred Interest Distribution Amounts, and Principal Distribution Amounts. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2024-RCF1: DBRS Gives Prov. BB Rating on Class M-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Asset-Backed Notes, Series 2024-RCF1 (the Notes) to be issued by PRPM 2024-RCF1, LLC (PRPM 2024-RCF1 or the Trust) as follows: -- $130.7 million Class A-1 at AAA (sf) -- $17.8 million Class A-2 at AA (sf) -- $18.2 million Class A-3 at A (sf) -- $15.1 million Class M-1 at BBB (sf) -- $23.2 million Class M-2 at BB (sf) The AAA (sf) rating on the Class A-1 Notes reflects 44.20% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (sf) ratings reflect 36.60%, 28.85%, 22.40%, and 12.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization of a portfolio of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of the Notes. The Notes are backed by 667 loans with a total principal balance of $234,229,553 as of the Cut-Off Date (December 31, 2023). Morningstar DBRS calculated the portfolio to be approximately 33 months seasoned on average, though the age of the loans is quite diverse, ranging from five months to 296 months. The majority of the loans (95.1%) had origination guideline or document deficiencies that prevented them from being sold to Fannie Mae, Freddie Mac, or another purchaser, and those loans were subsequently put back to the sellers. In its analysis, Morningstar DBRS assessed such defects and applied certain penalties, consequently increasing expected losses on the mortgage pool. Fairway Independent Mortgage Corp. originated 21.0% of the pool and United Wholesale Mortgage originated 13.6%, with the majority of the loans having guideline or document deficiencies. The remaining originators each accounted for less than 10.0% of the pool. In the portfolio, 7.4% of the loans are modified. The modifications happened less than two years ago for 51.3% of the modified loans. Within the portfolio, 19 mortgages have non-interest-bearing deferred amounts, equating to 0.2% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts. Based on Issuer-provided information, certain loans in the pool (7.4%) are not subject to or are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because of seasoning or because they are business-purpose loans. The loans subject to the ATR rules are designated as QM Safe Harbor (89.0%), QM Rebuttable Presumption (2.6%), and Non-QM (1.1%) by UPB. BMCF-EG II, LLC (the Sponsor) acquired the mortgage loans prior to the up-coming Closing Date and, through a wholly owned subsidiary, PRP Depositor 2024-RCF1, LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, BMCF-EG II, LLC or one of its majority-owned affiliates will acquire and retain a portion of the Class B Notes and the membership certificate representing the initial overcollateralization amount to satisfy the credit risk retention requirements. PRPM 2024-RCF1 is the third scratch and dent rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and non-performing securitizations. SN Servicing Corporation ( 95.4%) and Fay Servicing, LLC ( 4.6%) will act as the Servicers of the mortgage loans. The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in January 2026. Additionally, a failure to pay the Notes in full by the Payment Date in December 2028 will trigger a mandatory auction of the underlying certificates. If the auction fails to elicit sufficient proceeds to make whole the Notes, another auction will follow every four months for the first year and subsequently auctions will be carried out every six months. If the Asset Manager fails to conduct the auction, holder of more than 50% of the Class M-2 Notes will have the right to appoint an auction agent to conduct the auction. The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in January 2028, the Class A-1 and the other offered Notes will be entitled to its initial Note Rate plus the step-up note rate of 1.00% per annum. If the Issuer does not redeem the rated Notes in full by the payment date in January 2031 or an Event of Default occurs and is continuing, a Credit Event will have occurred. Upon the occurrence of a Credit Event, accrued interest on the Class A-2 and the other offered Notes will be paid as principal to the Class A-1 or the succeeding senior Notes until it has been paid in full. The redirected amounts will accrue on the balances of the respective Notes and will later be paid as principal payments. Notes: All figures are in U.S. dollars unless otherwise noted. SEQUOIA MORTGAGE 2024-1: DBRS Finalizes BB Rating on B-4 Certs -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on Mortgage Pass-Through Certificates, Series 2024-1 (the Certificates) issued by Sequoia Mortgage Trust 2024-1: -- $368.3 million Class A-1 at AAA (sf) -- $368.3 million Class A-2 at AAA (sf) -- $368.3 million Class A-3 at AAA (sf) -- $276.2 million Class A-4 at AAA (sf) -- $276.2 million Class A-5 at AAA (sf) -- $276.2 million Class A-6 at AAA (sf) -- $92.1 million Class A-7 at AAA (sf) -- $92.1 million Class A-8 at AAA (sf) -- $92.1 million Class A-9 at AAA (sf) -- $221.0 million Class A-10 at AAA (sf) -- $221.0 million Class A-11 at AAA (sf) -- $221.0 million Class A-12 at AAA (sf) -- $147.3 million Class A-13 at AAA (sf) -- $147.3 million Class A-14 at AAA (sf) -- $147.3 million Class A-15 at AAA (sf) -- $55.2 million Class A-16 at AAA (sf) -- $55.2 million Class A-17 at AAA (sf) -- $55.2 million Class A-18 at AAA (sf) -- $43.3 million Class A-19 at AAA (sf) -- $43.3 million Class A-20 at AAA (sf) -- $43.3 million Class A-21 at AAA (sf) -- $411.6 million Class A-22 at AAA (sf) -- $411.6 million Class A-23 at AAA (sf) -- $411.6 million Class A-24 at AAA (sf) -- $411.6 million Class A-25 at AAA (sf) -- $411.6 million Class A-IO1 at AAA (sf) -- $368.3 million Class A-IO2 at AAA (sf) -- $368.3 million Class A-IO3 at AAA (sf) -- $368.3 million Class A-IO4 at AAA (sf) -- $276.2 million Class A-IO5 at AAA (sf) -- $276.2 million Class A-IO6 at AAA (sf) -- $276.2 million Class A-IO7 at AAA (sf) -- $92.1 million Class A-IO8 at AAA (sf) -- $92.1 million Class A-IO9 at AAA (sf) -- $92.1 million Class A-IO10 at AAA (sf) -- $221.0 million Class A-IO11 at AAA (sf) -- $221.0 million Class A-IO12 at AAA (sf) -- $221.0 million Class A-IO13 at AAA (sf) -- $147.3 million Class A-IO14 at AAA (sf) -- $147.3 million Class A-IO15 at AAA (sf) -- $147.3 million Class A-IO16 at AAA (sf) -- $55.2 million Class A-IO17 at AAA (sf) -- $55.2 million Class A-IO18 at AAA (sf) -- $55.2 million Class A-IO19 at AAA (sf) -- $43.3 million Class A-IO20 at AAA (sf) -- $43.3 million Class A-IO21 at AAA (sf) -- $43.3 million Class A-IO22 at AAA (sf) -- $411.6 million Class A-IO23 at AAA (sf) -- $411.6 million Class A-IO24 at AAA (sf) -- $411.6 million Class A-IO25 at AAA (sf) -- $411.6 million Class A-IO26 at AAA (sf) -- $9.8 million Class B-1 at AA (sf) -- $4.6 million Class B-2 at A (sf) -- $3.5 million Class B-3 at BBB (sf) -- $1.3 million Class B-4 at BB (sf) Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24, A-IO25, and A-IO26 are interest-only (IO) certificates. 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-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO11, A-IO14, A-IO15, A-IO16, A-IO17, A-IO20, A-IO23, A-IO24, A-IO25, and A-IO26 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, and A-18 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. The AAA (sf) credit ratings on the certificates reflect 5.00% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (sf) credit ratings reflect 2.75%, 1.70%, 0.90%, and 0.60% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 406 loans with a total principal balance of $443,315,675 as of the Cut-Off Date (January 1, 2024). As of the date of publication of the Morningstar DBRS presale report, the collateral pool consisted of 410 loans with a total principal balance of $440,855,395. Subsequently, four loans were removed from the pool and balances were updated. The figures in the related rating report reflect the collateral as of the date of publication of the presale report. Redwood Residential Acquisition Corporation (RRAC), as Seller, acquired the loans from various originators, each comprising less than 15.0% of the pool. Select Portfolio Servicing, Inc. will service all the mortgage loans in the pool. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of seven months. The loans were generally underwritten in accordance with the acquisition criteria related to the below RRAC programs. -- Select: traditional, nonagency, prime jumbo mortgage loans. -- Select AUS: traditional, nonagency, prime jumbo mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae and Freddie Mac (the GSEs), but may be ineligible for purchase by such Agencies because of loan size. -- Choice: RRAC's expanded credit origination program. None of the loans are conforming mortgages that are eligible for purchase by the GSEs. All of the loans in the pool were originated in accordance with the new Qualified Mortgage rule. The Servicing Administrator (or the Master Servicer or the Securities Administrator, as applicable) will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent (stop advance loan). In addition, the Servicing Administrator is obligated to fund servicing advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The transaction incorporates a fixed servicing fee. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the stop advance loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I certificates. The representations and warranties (R&W) framework is generally similar to other Morningstar DBRS-rated prime jumbo securitizations. Such framework incorporates R&W that substantially conform to Morningstar DBRS criteria, automatic breach reviews when loans become seriously delinquent, unrated R&W providers with a Seller backstop, independent evaluator review, no knowledge qualifiers, and no sunsets on any R&W. Notes: All figures are in U.S. dollars unless otherwise noted. STRATUS STATIC 2022-3: Fitch Hikes Rating on Cl. F Notes to 'BB+sf' ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Stratus Static CLO 2022-3, Ltd.'s refinancing notes. Fitch has also upgraded the class E and F notes. The upgraded classes have been assigned Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Stratus Static CLO 2022-3, Ltd. A 86317EAA4 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B 86317EAC0 LT PIFsf Paid In Full AA+sf B-R LT AAAsf New Rating C 86317EAE6 LT PIFsf Paid In Full A+sf C-R LT AA-sf New Rating D 86317EAG1 LT PIFsf Paid In Full BBB+sf D-R LT BBB+sf New Rating E 86317DAA6 LT BBB-sf Upgrade BBsf F 86317DAC2 LT BB+sf Upgrade Bsf TRANSACTION SUMMARY Stratus Static CLO 2022-3, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) managed by Blackstone Liquid Credit Strategies LLC, that originally closed in November 2022. The CLO's secured notes were partially refinanced on Jan. 22, 2024 (the first refinancing date) from the proceeds of new secured notes. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans and has a weighted average recovery assumption of 77.26%. Portfolio Composition (Positive): The largest three industries comprise 47.5% of the portfolio balance in aggregate while the top five obligors represent 4.0% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans, as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. KEY PROVISION CHANGES The refinancing is being implemented via the refinancing supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The non-call period for the refinancing notes will end in July 2024. FITCH ANALYSIS Stratus Static CLO 2022-3, Ltd. is a static pool CLO. The issuer is not permitted to purchase any loans after the closing date (other than rescue financing assets). As such, there are no collateral quality tests or concentration limitations, and Fitch's analysis is based on the latest portfolio from the trustee. The portfolio presented to Fitch from the trustee report as of Jan. 5, 2024 includes 188 assets from 180 primarily high yield obligors. The portfolio balance, including the amount of positive cash, was approximately $401.6 million. As per the latest trustee report, the transaction passes all of its coverage tests. The weighted average rating factor of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 42.5% of the current portfolio par balance; ratings for 56.1% of the portfolio were derived from using Fitch's IDR equivalency map. Defaulted assets, assets without a public rating or a Fitch credit opinion represent 1.4% of the current portfolio par balance. In lieu of a traditional stress portfolio, Fitch ran a maturity extension scenario on the current portfolio to account for the issuer's ability to extend the WAL of the portfolio to 4.86 years as a result of maturity amendments. The scenario also considers a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the derived rating of the obligor, as described in Fitch's CLO and Corporate CDO Rating Criteria. Fitch generated projected default and recovery statistics of the Fitch Stressed Portfolio (FSP) using its portfolio credit model (PCM). The PCM default and recovery rate outputs for the FSP at the 'AAAsf' rating stress were 49.1% and 41.3%, respectively. The PCM default and recovery rate outputs for the FSP at the 'AA-sf' rating stress were 44.4% and 50.7%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB+sf' rating stress were 36.0% and 70.3%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BBB-sf' rating stress were 31.9% and 70.2%, respectively. The PCM default and recovery rate outputs for the FSP at the 'BB+sf' rating stress were 29.8% and 75.5%, respectively. In the analysis of the current portfolio, the class A-R, B-R, C-R, D-R, E and F notes passed the 'AAAsf', 'AAAsf', 'AA-sf', 'BBB+sf', 'BBB-sf', and 'BB+sf' rating thresholds in all nine cash flow scenarios with minimum cushions of 20.1%, 5.5%, 3.3%, 12.5%, 3.1% and 4.4%, respectively. In the analysis of the FSP, the class A-R, B-R, C-R, D-R, E and F notes passed the 'AAAsf', 'AAAsf', 'AA-sf', 'BBB+sf', 'BBB-sf', and 'BB+sf' rating thresholds in all nine cash flow scenarios with a minimum cushion of 16.4%, 3.4%, 1.5%, 10.5%, 1.0% and 2.1%, respectively. The Stable Outlook on the class A-R, B-R, C-R, D-R, E and F notes reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio. The class C-R notes are rated one notch below their model-implied ratings (MIR). This reflects insufficient break-even default rate cushion on Fitch-stressed portfolio at the MIRs and current uncertain macro-economic conditions. Fitch upgraded the class E and F notes to their respective MIRs. 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 'AAsf' and 'AAAsf' for class A-R, between 'BBB+sf' and 'AA+sf' for class B-R, between 'BB+sf' and 'A+sf' for class C-R, between 'B-sf' and 'BBB+sf' for class D-R, between less than 'B-sf' and 'BB+sf' for class E, and between less than 'B-sf' and 'BB-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R and class B-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 'AA+sf' for class C-R, 'A+sf' for class D-R, 'Asf' for class E, and 'BBB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SUMMIT ISSUER: Fitch Affirms BB- Rating on Series 2020-1 Cl. C Debt ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Summit Issuer, LLC Secured, Dark Fiber Network Revenue Notes, Series 2020-1 and 2023-1. The Rating Outlooks remain Stable. Fitch has affirmed Summit Issuer LLC's Secured Dark Fiber Network Revenue Notes, Series 2023-1 and Series 2020-1 as follows: - $12,000,000a series 2023-1, class A-1-L, at 'Asf'; Outlook Stable; - $50,000,000b series 2023-1, class A-1-V, at 'A-sf'; Outlook Stable; - $132,800,000 series 2023-1, class A-2, at 'A-sf'; Outlook Stable; - $27,400,000 series 2023-1, class B, at 'BBB-sf'; Outlook Stable; - $40,500,000 series 2023-1, class C, at 'BB-sf'; Outlook Stable; - $122,700,000 series 2020-1 class A-2 at 'A-sf'; Outlook Stable; - $18,900,000 series 2020-1 class B at 'BBB-sf'; Outlook Stable; - $33,600,000 series 2020-1 class C at 'BB-sf'; Outlook Stable. The following class is not rated by Fitch: - $14,000,000c series 2023-1, class R. (a) This note is a Liquidity Funding Note that can be drawn for the purpose of funding advances subject to the satisfaction of certain conditions. The balance of the note will be $0 at issuance and is not counted when calculating debt/Fitch net cash flow (NCF) ratio. (b) This note is a Variable Funding Note (VFN) and has a maximum commitment of $50 million contingent on leverage consistent with the class A-2 notes. As of the November 2023 reporting period, this note remains undrawn. (c) Horizontal credit risk retention interest representing 5% of the 2023-1 notes. TRANSACTION SUMMARY The transaction is a securitization of SummitIG's high capacity network of fiber optic cable assets. These assets include conduits, cable, permits, rights and contracts, which support SummitIG's dark fiber network. The notes are secured by a first-priority perfected security interest in all of the equity interest in the issuer and the asset entities, along with the obligor's right, title and interest in the contracts and dark fiber assets. The collateral largely consists of mission-critical assets that support the largest data center hub in the U.S. This hub interconnects high-quality clients, including cloud providers, telecom companies, data center operators and large enterprise customers. The dark fiber network represents a differentiated deployment of a product providing crucial support to the internet. The majority of necessary capex has already been spent to deploy the assets and there are limited operating expenses, which allows for high margins and stable cash flows. The sponsor is the leading participant in the Northern Virginia market (81.7% ARRR) and benefits from high barriers to entry, including the protection of collateral assets and corresponding cash flows by first-mover advantage, which precludes other providers from replicating service offerings. This advantage is further bolstered by sustained growth in internet usage and support for data center infrastructure, for which SummitIG's assets are a necessity. The company has deployed capacity in anticipation of supporting further growth. KEY RATING DRIVERS NCF and Trust Leverage: As of October 2023, ARRNOI was $38.0 million, up approximately 21.4% since the February 2023 issuance of notes. Transaction leverage was approximately 11.6x, inclusive of prefunding amounts and excluding the non-rated class R notes. Fitch has not redetermined Fitch NCF and maximum potential leverage (MPL) as there have not been material migrations in the performance, cash flow and collateral asset characteristics. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and MPL include the high quality of the underlying collateral networks, scale, creditworthiness and diversity of the customer base, market position and penetration, capability of the operator, limited operational requirements and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Higher network expenses or contract churn that lead to a sustained reduction in cash flow could result in downgrades; - Development of an alternative technology for digital transmission or the creation of a competing network with similar capacity and breadth of coverage that reduces SummitIG's offerings in the service area, could also result in downgrades. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Structural contract escalators or new contracts resulting in increase in cash flow without an increase in corresponding debt could lead to upgrades. However, the transaction is capped at the 'A' category, given the potential for technological obsolescence and given the ability to issue additional notes, without the benefit of additional collateral; - Upgrades are further constrained by the VFN, which will likely offset any improvements in cash flow with a corresponding increase in debt, keeping leverage levels relatively flat. 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. TGIF FUNDING 2017-1: S&P Lowers Class A-2 Notes Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its rating on TGIF Funding LLC's series 2017-1 class A-2 notes to 'B- (sf)' from 'B (sf)' due to recent corporate developments and reduced securitized net cash flow (SNCF). Since the transaction closed in 2017, S&P has taken multiple rating actions on the class A-1 and A-2 notes due to continued deterioration of system performance, which the COVID-19 pandemic exacerbated. The class A-1 notes paid down in first-quarter 2023, and the class A-2 notes remain outstanding. The system triggered a rapid amortization event in second-quarter 2020 when annual systemwide sales fell below the threshold of $1.5 billion. The transaction remains in rapid amortization, as this event cannot be cured. Recent Developments Despite a temporary stabilization in 2022, since our last review in August 2023, sales performance has started to weaken, with systemwide sales for 2023 easing to a level of $1.484 billion, compared to $1.573 billion in 2022. Same-store sales (SSS) in 2023 for U.S. company-owned and U.S. franchised restaurants fell by 9.0% and 7.1%, respectively. International franchised restaurants, though, had modestly positive SSS growth of 2.6% over the same period. On Jan. 3, 2024, TGI Fridays announced the closure of 36 underperforming corporate-owned locations in the U.S. and the sale of eight corporate-owned restaurants to former CEO Ray Blanchette. Transferring restaurant ownership from the company to a franchisee would not, all else being equal, have a significant impact on total collections since the synthetic royalty assessed for corporate-owned restaurants was initially sized to approximate the royalty rate charged to franchisees. In the last two quarters of 2023, management deferred approximately $6 million of company-owned restaurant royalty payments to the securitization, bringing the total cumulative deferred amount to nearly $18 million. TGI Fridays has historically supported underperforming franchised restaurants by deferring the royalty payments based on the managing standard defined in the management agreement: standards that are consistent with current practice or, to the extent of changed circumstances, practices, technologies, strategies, or implementation methods consistent with the standards as the manager would implement or observe if the managed assets were owned by the manager at such time. It is management's contention that it is in the long-term interest of the securitization entities and the noteholders to provide temporary relief to allow a restaurant operator, in this case themselves, relief to support future sales growth or perhaps a smoother closing process to the betterment of the brand. TGI Fridays has disclosed this to the controlling class representative (CCR), who retains the rights to remove the manager if the manager takes actions that are materially contrary to the managing standard. TGI Fridays' management has indicated that interest does not accrue on the unpaid deferred amount and that its plan is to repay the entire deferred amount with the refinancing of the class A-2 notes. At this time, it is not known when the total cumulative deferred royalty payment will be made, nor when or if the full royalty payment will be restored. Cash Flow Review S&P said, "Our cash flow assumptions were updated to reflect the lower total restaurant count reported (as of fiscal year-end 2023), the aforementioned U.S. company-owned units' closure, and the lower effective U.S. company-owned units' royalty rate to account for the recent royalty payment deferral action. This resulted in a 17% decrease in base-case projected SNCFs from the August 2023 review's. "To benchmark this note against other corporate securitizations, we ran the standard theoretical 15-year amortization schedule as described in our criteria, despite the uncurable rapid amortization event. These runs resulted in a base-case debt service coverage ratio (DSCR) of 1.10x and a downside DSCR of less than 1.00x. Our cash flow analysis projected that the notes will receive timely interest payments and, ultimately, full principal by the legal final maturity date in the base case. However, the notes failed to be repaid fully by the legal final maturity in the downside case, with a projected unpaid balance of approximately $55 million. "However, while the notes were repaid fully under additional stress in the downside scenario in our previous review, in this updated review, the notes do not get fully repaid when such additional stress is applied. Therefore, we believe a downgrade to 'B- (sf)' from 'B (sf)' is warranted. Based on our cash flow results, we don't believe a rating in the 'CCC' category is appropriate at this time because the transaction should have sufficient liquidity in the near term to cover interest on the notes. A non-payment of principal will not constitute an event of default until the legal final maturity of April 2047. "Lastly, the class A-2 notes' anticipated repayment date (ARD) is less than three months away in April 2024. TGI Fridays' management team indicated that they are working on refinancing options. In isolation, reaching the ARD without full redemption is not necessarily a rating event, but we will continue to closely monitor the situation as it develops." TIKEHAU US III: Fitch Assigns 'BB-sf' Rating on Class ER Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Tikehau US CLO III Ltd.'s refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Tikehau US CLO III LTD. A-1R LT AAAsf New Rating AJ 88676NAC1 LT PIFsf Paid In Full AAAsf AJR LT AAAsf New Rating B 88676NAE7 LT PIFsf Paid In Full AA+sf BR LT AAsf New Rating C1F 88676NAL1 LT PIFsf Paid In Full A+sf C1N 88676NAJ6 LT PIFsf Paid In Full A+sf C1R LT Asf New Rating C2A 88676NAG2 LT PIFsf Paid In Full A+sf C2B 88676NAN7 LT PIFsf Paid In Full A+sf CFR LT Asf New Rating D1 88676MAA7 LT PIFsf Paid In Full BBBsf D1R LT BBB-sf New Rating DF 88676MAC3 LT PIFsf Paid In Full BBBsf DFR LT BBB-sf New Rating ER LT BB-sf New Rating TRANSACTION SUMMARY Tikehau US CLO III Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Tikehau Structured Credit Management LLC that originally closed in January 2023. The CLO's secured notes will be refinanced in whole on Jan. 22, 2024 (the first amendment date) from proceeds of new secured notes. The CLO was originally a static transaction that is being reset to a managed transaction with a four-year reinvestment period. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $600 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.93, versus a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.5% versus a minimum covenant, in accordance with the initial expected matrix point of 73.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 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 four-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class AJR, between 'BB+sf' and 'A+sf' for class BR, between 'Bsf' and 'BBB+sf' for class CR, between less than 'B-sf' and 'BB+sf' for class DR, and between less than 'B-sf' and 'B+sf' for class ER. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class AJR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class BR, 'AA+sf' for class CR, 'A+sf' for class DR, and 'BBB+sf' for class ER. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. UBS-CITIGROUP 2011-C1: DBRS Confirms C Rating on 3 Classes ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates Series 2011-C1 issued by UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1 as follows: -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) All classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' continued concerns about the remaining loan in the transaction, Poughkeepsie Galleria (Prospectus ID#2), a distressed asset that has experienced significant value declines from issuance. The loan is secured by the borrower's fee-simple interest in a 691,325 square foot (sf) portion of a 1,206,057 sf regional mall in Poughkeepsie, New York. The loan transferred to the special servicer in April 2020 for imminent monetary default and in June 2023 a loan modification was executed. The terms of the loan modification allowed for the extension of the loan maturity to January 2025 with two one-year extension options in addition to the loan remaining in cash management. According to the servicer, a reduced interest payment will be made, which will accrue to the principal as part of an arrangement in place until January 2026. A March 2023 appraisal valued the property at $68.0 million compared with the August 2022 value of $69.1 million and issuance value of $237.0 million. The loan was returned to the master servicer in December 2023 and continues to be monitored on the watchlist. Non-collateral anchors include Target and Macy's while the spaces previously occupied by collateral Sears and JCPenney anchors have been vacant since 2020. Based on the September 2023 rent roll, the collateral was 57.9% occupied compared with the November 2022 occupancy rate of 60.3%, and issuance occupancy rate of 87.7%. The largest collateral tenants are Regal Cinemas (10.2% of the net rentable area (NRA), lease expires in December 2026), Dick's Sporting Goods (7.8% of the NRA, lease expires in February 2028), and RPM Raceway (5.6% of the NRA, lease expires in November 2024). There is significant tenant rollover risk as tenants representing 19.2% of the NRA have leases that have expired or will be expiring through YE2024. The parent company of Regal Cinemas, Cineworld, emerged from a bankruptcy process and managed to significantly reduce its debt and raise new equity. In addition, 51 of its cinema locations in the U.S. have shuttered but, to date, the subject location remains in operation. According to the tenant sales report, total in-line sales were reported at $332 per square foot (psf) for the trailing 12 months (T-12) ended June 30, 2023, compared with $336 psf for the T-12 ended November 30, 2022, and the issuance sales figure of $356 psf. Regal Cinema reported sales of $380,000 per screen for the T-12 ended June 30, 2023, while Dick's Sporting Goods reported sales of $250 psf for the same period. The subject's performance remains depressed with the financials for the trailing nine months ended September 30, 2023, reporting a debt service coverage ratio (DSCR) of 0.87 times (x) compared with the YE2022 DSCR and Morningstar DBRS DSCR of 0.76x and 1.17x, respectively. Although the loan modification provides some relief and time for the property to lease up, considering the subject has been operating at a low occupancy rate for the last few years, any meaningful leasing traction will likely require significant capital injection and Morningstar DBRS expects further challenges for the property at disposition given the low investor appetite for malls located in tertiary markets. For this review, Morningstar DBRS analyzed the loan with a liquidation scenario, resulting in a loss severity in excess of 65%, thereby supporting the credit rating confirmations. The Marriott Buffalo Niagara loan was previously in special servicing and was liquidated from the trust in April 2023 at a realized loss of $9.7 million, relatively in line with the Morningstar DBRS loss projection at last review. Notes: All figures are in U.S. dollars unless otherwise noted. VITALITY RE XV: Fitch Gives BB+ Rating on Series 2024 Class B Notes ------------------------------------------------------------------- Fitch Ratings assigned ratings to the Series 2024 Principal-At-Risk Variable Rate Notes issued by Vitality Re XV Limited (Vitality Re XV, the Issuer), a Cayman Islands exempted company to be licensed as a Class C insurer. Both classes of notes have a scheduled termination date of Jan. 7, 2028. The principal amount for Class A is $140,000,000 and for Class B is $60,000,000 with no amortization in both cases. The Interest Spread for Class A Notes is 2.50% and for Class B Notes is 3.50%. This rating is based on the 'weakest-link' of the following key rating drivers: i) medical benefit ratio excess-of-loss (XoL) risk assessment; ii) the Issuer Default Rating (IDR) of ceding insurer(s); and iii) the credit quality of the permitted investments. Fitch believes the risk assessment of the medical benefit ratio XoL presents the greatest risk. Entity/Debt Rating Prior ----------- ------ ----- Vitality Re XV Limited Series 2024, Class A Notes Principal-at-Risk Variable Rate Notes due January, 2028 LT BBB+sf New Rating BBB+(EXP)sf Series 2024, Class B Principal-at-Risk Variable Rate Notes due January 7, 2028 LT BB+sf New Rating BB+(EXP)sf This is the 15th medical benefit ratio "ILS bond" for covered business underwritten by Aetna Life Insurance Company (ALIC). To date, noteholders have not experienced any principal loss on any prior transaction - of which, Vitality Re XII Limited (matures 2025), Vitality Re XIII Limited (2026) and Vitality Re XIV Limited (2027) are outstanding following the issuance of Vitality Re XV. Capitalized but undefined terms have the meaning set forth in the Offering Circular Supplement and the Offering Circular for the Notes. TRANSACTION SUMMARY The Series 2024 Notes (Class A and Class B) provide collateralized, multi-year, indemnity-based annual aggregate XoL reinsurance protection to Health Re, Inc. (Health Re) a Vermont domiciled special purpose financial insurance company wholly-owned by Aetna Inc. (Aetna), that assumes a quota share of certain commercial group health insurance policies (the "Covered Business") underwritten by ALIC. The Covered Business to be ceded to Health Re (and for which Vitality Re XV will provide XoL coverage) primarily consists of commercial insured accident and health business -- namely Preferred Provider Organization (PPO), Point of Service (POS) and Indemnity products -- directly written by ALIC (reportable in ALIC's statutory annual statements as Accident and Health Group except for the Excluded Risks). For the nine months ended Sept. 30, 2023, ALIC earned $9.6 billion of premiums on 1.9 million members for the Covered Business (full-year premiums for 2022 and 2021 were $11.9 billion and $10.5 billion, respectively). Each Class of Notes is "principal-at-risk" where a loss of principal will be triggered if the Covered Business experiences a medical benefit ratio (MBR) in excess of a predetermined attachment point (MBR Attachment) set at inception and reset annually prior to the second, third and fourth Annual Risk Periods. The initial MBR Attachment level is 100% for the Class B Notes and 106% for the Class A Notes. A total loss of principal (MBR Exhaustion) will occur if the MBR reaches 106% and 120% for the Class B and Class A Notes, respectively. There are four Annual Risk Periods - each spanning Jan. 1 to Dec. 31. Milliman, Inc. (Milliman) acting as Modeling Agent will deliver the MBR Risk Analysis Report which informs the probabilities of attachment and expected loss. Milliman will also act as the Reset Agent and will deliver a Reset Report for the second, third and fourth Annual Risk Periods utilizing the Updated Health Industry Exposure Data and the Updated Aetna Exposure Data. The updated MBR Attachment and updated MBR Exhaustion will be established to maintain the same modeled probability of attachment and expected loss as the initial modeled probabilities (used in the MBR Risk Analysis Report) and will be effective Jan. 1 of each Annual Risk Period. The Interest Spread will not change. The Notes may be redeemed due to listed Early Redemption Events such as i) clean-up events; ii) failure of Health Re to meet applicable Vermont capital requirements; iii) a change in regulation or legislation affecting ALIC (or Health Re) that causes ALIC to elect to terminate coverage; iv) Health Re defaults on an Installment Premium payment; v) a replacement is not found following failure of the Reset Agent, Claims Reviewer, or Loss Reserve Specialist to perform their obligations; or vi) Health Re elects to terminate the XOL Agreement under certain conditions. An Early Termination Event Premium will be paid to noteholders for events (ii) and (iv). Health Re may, at its option, elect to require Vitality Re XV to extend the term of each XoL agreement (thereby extending the maturity date of the related Class of Notes) past the Scheduled Termination Date. This extension may be four additional quarters with the Final Extended Redemption Date being Jan. 8, 2029 and is not considered an additional risk period. Generally, claims incurred in a given calendar year are 99% completely paid within 12 months after the end of that year. KEY RATING DRIVERS Medical Benefit Ratio XoL Risk Assessment Initial Modeled MBR Attachment Probability corresponds to 'a-' for Class A and 'bb+' for Class B credit opinion (Neutral trait). Milliman modeled the one-year attachment probability based on the base case analysis as 4 bp and 48 bp for the Class A and Class B Notes, respectively. Fitch qualitatively incorporated scenario test results (see below) to assess the modelled risk for Class A as 'bbb+' and Class B as 'bb+'. The sensitivity tests provide an additional level of conservatism, which Fitch considered in the analysis of modelled results and incorporated into the final assessment of modelled risk relative to the baseline result. Performance Under Various Sensitivity Analysis (Negative). Milliman provided nine claim trend scenarios with the attachment probability for Class A Notes ranging from WP GLIMCHER 2015-WPG: DBRS Confirms BB Rating on Class PR-2 Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-WPG issued by WP Glimcher Mall Trust 2015-WPG as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X at A (sf) -- Class C at A (low) (sf) -- Class PR-1 at BBB (low) (sf) -- Class SQ-1 at BBB (low) (sf) -- Class PR-2 at BB (sf) -- Class SQ-2 at BB (low) (sf) -- Class SQ-3 at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since Morningstar DBRS' last rating action in January 2023. Pearlridge Center (Prospectus ID#1, 52.5% of the pool) reported an annualized Q3 2023 net cash flow (NCF) of $21.1 million, in line with issuance levels, despite occupancy declining to 70.4% as of September 2023. Scottsdale Quarter (Prospectus ID#2, 47.5% of the pool), following a period of positive leasing momentum in 2021 and 2022, has exhibited marked NCF improvement, with an annualized Q3 2023 NCF of $21.4 million, well above the issuance NCF of $13.6 million. Morningstar DBRS updated its loan-to-value (LTV) sizing's to reflect the loans' current performance, with the results of the analysis supporting the credit rating confirmations with this review. This transaction is backed by portions of the senior debt and all of the subordinate debt secured by Scottsdale Quarter, a 541,386-square-foot (sf) mixed-use retail center in Scottsdale, Arizona, and Pearlridge Center, a 1.14 million-sf super-regional mall in Aiea, Hawaii, the state's largest enclosed shopping center. Both properties are managed by Washington Prime Group (WPG). In October 2021, WPG emerged from bankruptcy following significant debt reductions and a corporate restructuring, which included the majority stake in its ownership being transferred to Strategic Value Partners (Strategic). Pearlridge Center is an enclosed center, originally built in 1972 and located just north of Pearl Harbor. The mall is anchored by Macy's (18.4% of the net rentable area (NRA)), lease expiration in February 2027). Major vacancies include a vacant ground-leased anchor pad that was formerly occupied by Sears, which closed in April 2021 and a vacant box representing 5.7% of the NRA that was previously leased to Bed Bath & Beyond prior to the parent company's bankruptcy filing in 2023. Occupancy at the subject property declined to 70.4% according to the September 2023 rent roll, from 91.5% at YE2020, and the loan is currently being monitored on the servicer's watchlist. Strategic has assumed the Sears lease and continues to work with WPG to evaluate leasing opportunities. According to the servicer, there are two prospective tenants that have expressed interest in leasing the entirety of the space. The loan reported an annualized NCF of $21.1 million (with a whole loan debt service coverage ratio (DSCR) of 2.62 times (x)) according to financials for the trailing nine months ended September 30, 2023, in line with the YE2022 NCF of $20.1 million (whole loan DSCR of 2.49x) and the YE2021 NCF of $22.7 million (whole loan DSCR of 2.81x), and surpassing the Morningstar DBRS NCF of $19.3 million derived in 2020. When adjusting for the loss of Bed Bath & Beyond's rent following its departure and in the absence of any additional leasing, Morningstar DBRS estimates the loan's NCF is likely to decline to approximately $19.7 million, with an implied whole loan DSCR of 2.45x. According to the August 2023 tenant sales report, in-line tenants reported sales of approximately $556 per square foot (psf), with same-store year-over-year growth of 3.2% from August 2022. The downward trend in occupancy since 2020 remains Morningstar DBRS' primary concern. However, the mall's stable sales figures and cash flow, along with the prospective leasing activity, are encouraging signs ahead of the loan's June 2025 maturity date. Scottsdale Quarter is a Class A, mixed-use, open-air lifestyle center 17 miles northeast of Phoenix, Arizona, in the affluent Kierland neighborhood of north Scottsdale. The collateral includes an office component representing 32.5% of the NRA. The two largest tenants at the property are both office users, Starwood Hotels & Resorts (14.8% of NRA, lease expiration February 2027) and co-working tenant Spaces (8.7% of NRA, lease expiration December 2033). Major retail tenants include Landmark Theatres, Restoration Hardware, and Forever 21. Occupancy declined to 74.4% in September 2021 following the departure of several tenants. However, there has been strong leasing activity over the past two years and occupancy has increased to 91.7% according to the September 2023 rent roll. Cash flow has increased over 50% since YE2021, primarily due to higher rental rates and improved occupancy. The loan reported an annualized NCF of $21.4 million (reflecting a whole loan DSCR of 3.62x) as of the trailing nine months ended September 30, 2023 up from $19.2 million (whole loan DSCR of 3.25x) as of YE2022 and $13.7 million as of YE2021. While same-store in-line sales have declined slightly year-over-year by approximately 3.4%, they remain strong at $877 psf excluding Apple and $1,041 psf overall. In the analysis for this review, Morningstar DBRS updated its LTV sizing for both loans. For the Pearlridge Center loan, Morningstar DBRS derived an NCF of $19.3 million, accounting for the loss of Bed Bath & Beyond, and applied a capitalization (cap) rate of 7.25%, resulting in a Morningstar DBRS value of $266.8 million, representing a 37.6% haircut to the issuance value of $427.5 million and a whole loan LTV of 84.3%. Morningstar DBRS maintained a positive qualitative adjustment to the LTV sizing benchmarks totaling 4.0% to reflect the property's quality and strong market fundamentals, as the property benefits from its location and strong competitive position. For the Scottsdale Quarter loan, Morningstar DBRS considered an upgrade stress given the loan's significant cash flow growth since 2020. Morningstar DBRS updated its blended cap rate approach, assuming 7.25% for retail space and 10% for office space, resulting in an overall cap rate of 8.25%. Morningstar DBRS' concluded NCF, based on the annualized Q3 2023 figure, incorporated a 20% haircut stress to account for the recent significant improvement in performance and test the cash flow durability. The resulting Morningstar DBRS value was $207.6 million, representing a 40.9% haircut to the issuance value of $351.0 million and a whole loan LTV of 79.5%. Morningstar DBRS maintained a positive qualitative adjustment to the LTV sizing benchmarks totaling 1.0%, which included a -1.0% adjustment for cash flow volatility given the soft office market and a 2.0% adjustment for above-average property quality. The loans are not cross-collateralized or cross-defaulted. Of the $165.0 million whole loan secured by Scottsdale Quarter, $95.0 million is senior A note debt, with a total of $13.0 million in subordinate B note debt and $57.0 million in subordinate C note debt. Of the senior A note debt for Scottsdale Quarter, $25.0 million in pari passu proceeds were contributed to this trust, with the remaining A note debt split pari passu across two conduit transactions in JPMBB Commercial Mortgage Securities Trust 2015-C30 and COMM 2015-CCRE25 Mortgage Trust, the latter of which is not rated by Morningstar DBRS. The $25.0 million in pari passu A note debt and the $13.0 million B note back the pooled classes, and the $57.0 million in C note debt backs the rake SQ classes in the subject transaction. Of the senior A note debt for Pearlridge Center, $10.4 million in pari passu proceeds were contributed to this trust, with the remaining A note debt split pari passu across the same two conduit transactions mentioned above. The $10.4 million in pari passu A note debt and the $48.6 million B note back the pooled classes, and the $46.0 million in C note debt backs the rake PR classes in the subject transaction. The Morningstar DBRS credit ratings assigned to Classes SQ-1, SQ-2, and SQ-3 are lower than the results implied by the LTV sizing benchmarks. These classes are loan-specific certificates that are only entitled to payments of interest and principal from the Scottsdale Quarter loan. The variances are warranted given the property's significant exposure to the office sector, which continues to face challenges, driven by shifts in workplace dynamics and end-user demand. Also, the loan is scheduled to mature in June 2025, and, given the higher-interest-rate environment, the borrower may face additional challenges securing takeout financing. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Reviews 33 Classes From 6 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. reviewed 33 classes from six U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-Qualified Mortgage and home equity line of credit collateral. Of the 33 classes reviewed, Morningstar DBRS upgraded five credit ratings and confirmed 28 credit ratings. The Affected Ratings are available at https://bit.ly/3SOGh8d The Issuers are: MFA 2023-INV1 Trust MFA 2023-NQM1 Trust ACHM Trust 2023-HE1 MFA 2021-INV1 Trust BRAVO Residential Funding Trust 2023-NQM1 Imperial Fund Mortgage Trust 2023-NQM1 The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on March 3, 2023. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: The principal methodology applicable to the credit ratings are the U.S. RMBS Surveillance Methodology. [*] Fitch Affirms 24 Classes From Four CDOs, Outlook Stable ----------------------------------------------------------- Fitch Ratings has affirmed the ratings of 24 classes from four collateralized debt obligations (CDOs). The Rating Outlooks for 14 of the classes remain Stable. Rating actions and performance metrics for each CDO are reported in the accompanying rating action report. Entity/Debt Rating Prior ----------- ------ ----- MMCapS Funding XVIII, Ltd./Corp A-1 60688HAA3 LT AAAsf Affirmed AAAsf A-2 60688HAB1 LT AAAsf Affirmed AAAsf B 60688HAC9 LT AA-sf Affirmed AA-sf C-1 60688HAD7 LT BBsf Affirmed BBsf C-2 60688HAE5 LT BBsf Affirmed BBsf C-3 60688HAF2 LT BBsf Affirmed BBsf D 60688HAG0 LT Csf Affirmed Csf U.S. Capital Funding V Ltd./Corp. A-1 90342WAA5 LT AAsf Affirmed AAsf A-2 90342WAC1 LT A+sf Affirmed A+sf A-3 90342WAE7 LT BBsf Affirmed BBsf B-1 90342WAG2 LT Csf Affirmed Csf B-2 90342WAJ6 LT Csf Affirmed Csf C 90342WAL1 LT Csf Affirmed Csf U.S. Capital Funding VI, Ltd./Corp. Class A-1 903428AA8 LT A-sf Affirmed A-sf Class A-2 903428AB6 LT BB-sf Affirmed BB-sf Class B-1 903428AD2 LT Csf Affirmed Csf Class B-2 903428AE0 LT Csf Affirmed Csf Class C-1 903428AF7 LT Csf Affirmed Csf Class C-2 903428AC4 LT Csf Affirmed Csf Preferred Term Securities XVIII, Ltd./Inc. Class A 1 Senior Notes 74042WAA2 LT AAsf Affirmed AAsf Class A 2 Senior Notes 74042WAB0 LT AAsf Affirmed AAsf Class B Mezz Notes 74042WAC8 LT Asf Affirmed Asf Class C Mezz Notes 74042WAD6 LT CCCsf Affirmed CCCsf Class D Mezz Notes 74042WAE4 LT Csf Affirmed Csf TRANSACTION SUMMARY The CDOs are collateralized primarily by trust preferred securities issued by banks and insurance companies. KEY RATING DRIVERS All of the transactions deleveraged from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 1% to 46% of their last review note balances. The magnitude of the deleveraging for each CDO is reported in the accompanying rating action report. For three transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, deteriorated, while the remaining transaction exhibited positive credit migration. One CDO experienced two new deferrals. No new cures or defaults have been reported since last review. The ratings for the class B note in MMCapS Funding XVIII, Ltd./Corp (MMCaps XVIII), the class A-2 notes in U.S. Capital Funding V, Ltd./Corp. (US Cap V), and the class A-1 and A-2 notes in U.S. Capital Funding VI, Ltd./Corp. are two notches lower than their model-implied rating (MIR) given the sensitivity of modelling results to interest rates. In addition, the rating for the class A-3 notes in US Cap V is one notch lower than its MIR due to the modest cushion at the MIR. The ratings for classes C-1, C-2 and C-3 notes in MMCaps XVIII and the class C notes in Preferred Term Securities XVIII, Ltd./Inc. (PreTSL XVIII) are one notch higher than their MIR given their marginal failures in the sector-wide sensitivity scenario at their MIR. The Stable Outlooks on 14 tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with the classes' ratings. Fitch considered the rating of the issuer account bank in the ratings for the class A-1 and A-2 notes in PreTSL XVIII and the class A-1 notes in US Cap V, due to the transaction documents not conforming to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria." These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of its TAB. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. 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 Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. [*] Fitch Hikes Three and Affirms 43 Classes From 10 CLOs --------------------------------------------------------- Fitch Ratings, on Jan. 24, 2024, upgraded the class D notes in Golub Capital Partners CLO 60(B), Ltd. (Golub 60(B)), class B notes in Invesco U.S. CLO 2023-1, Ltd (Invesco 2023-1) and class D-R notes in Golub Capital Partners CLO 50(B)-R (Golub 50(B)-R). In addition, Fitch has assigned a Positive Rating Outlook for the class D-R notes in Golub 50(B)-R. Fitch also revised the Rating Outlooks to Positive from Stable on the class B-R and C-R notes in Golub 50(B)-R, class B notes in Golub 60(B), class C notes in Invesco 2023-1, as well as the class B and C notes in Neuberger Berman Loan Advisers CLO 48, Ltd. The Entities involved are: - Invesco U.S. CLO 2023-1, Ltd - Invesco U.S. CLO 2023-2, Ltd. - Golub Capital Partners CLO 50(B)-R, Ltd. - Golub Capital Partners CLO 60(B), Ltd. - Neuberger Berman Loan Advisers CLO 47, Ltd. - Neuberger Berman Loan Advisers CLO 48, Ltd. - BlueMountain CLO XXX Ltd. - Pikes Peak CLO 12 Ltd - RR 25 LTD - RAD CLO 18, Ltd. A list of the Affected Ratings is available at http://tinyurl.com/3bhvmnyx TRANSACTION SUMMARY All 10 CLOs are secured primarily by first-lien, senior secured leveraged loans and all transactions are still in their reinvestment periods. KEY RATING DRIVERS Updated Cash Flow Analysis The upgrades to three tranches were based on improved modelling results in the updated Fitch Stressed Portfolio (FSP) analysis that were driven by a shorter risk horizon compared to last review. This more than offset a slight portfolio deterioration since the last review of each transaction, with the WARF increasing on average by 0.3 units to 25.2. In addition, six Outlooks were revised to Positive from Stable due to improved modelling results. These six classes of notes were affirmed one notch below their respective MIRs as outlined due to limited cushions at the higher rating levels, as outlined in the supplemental Rating Action Report. The Stable Outlooks on the remaining notes reflect Fitch's expectation that the notes have sufficient levels of credit enhancement to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. The class D notes in RR 25 LTD were affirmed one notch below their MIR with no change to Outlook, due to a very marginal cushion at the respective MIR and a subordinated position in the capital structure. The remaining ratings are in line with their respective model-implied ratings (MIRs), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria" for 38 classes included in this review. Fitch analyzed each CLO based on the current portfolio and an updated FSP cash flow analysis. The FSP analysis stressed the current portfolios as of the latest trustee reporting to account for permissible concentration and collateral quality test (CQT) limits of each transaction. Asset Credit Quality and Asset Security Please refer to the supplemental Rating Action Report for additional portfolio specific information on the asset credit quality and security. For further information and expanded data, analytics, and visualization tools, please refer to the interactive deal-specific CLO trackers. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. Fitch updated the rating sensitivity analysis for the upgraded notes assuming a 25% increase to the mean default rate and a 25% decrease to recovery rate at all rating levels for the current portfolio, which would lead to downgrades of up to three notches, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. Fitch updated the rating sensitivity analysis for the upgraded notes assuming a 25% decrease to the mean default rate and a 25% increase to recovery rate at all rating levels for the current portfolio, which would lead to downgrades of up to four notches, based on MIRs. 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 Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. [*] Fitch Lowers 8 & Affirms 65 Classes on 5 US CMBS Transactions ----------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed 65 classes of five U.S. CMBS transactions from the 2014, 2016, 2017 and 2019 vintages. Five classes were assigned a Negative Rating Outlook following their downgrades, and the Rating Outlooks on 10 classes were revised to Negative from Stable in connection with the correction of errors. This rating action commentary corrects errors with respect to the rating and/or Rating Outlook for 17 classes, originally published between May 23, 2023 and Nov. 17, 2023, caused by incorrect analytical loan-level inputs or modeling adjustment mismatches to pari passu loans. Additionally, this rating action commentary also corrects an error with respect to the rating for class X-C in CGCMT 2014-GC21, which incorrectly assigned a rating that was inconsistent with the lowest rated reference class E whose payable interest has an impact on the payment to the interest-only class. The Entities involved are: - Citigroup Commercial Mortgage Trust 2014-GC21 - BANK 2017-BNK9 - CSAIL 2017-CX9 Commercial Mortgage Trust - GS Mortgage Securities Trust 2019-GC42 - Morgan Stanley Capital I Trust 2016-UBS9 Rating Actions Entity/Debt Rating Prior ----------- ------ ----- Citigroup Commercial Mortgage Trust (CGCMT) 2014-GC21 A-4 17322MAV8 LT AAAsf Affirmed AAAsf A-5 17322MAW6 LT AAAsf Affirmed AAAsf A-AB 17322MAX4 LT AAAsf Affirmed AAAsf A-S 17322MAY2 LT AAAsf Affirmed AAAsf B 17322MAZ9 LT Asf Affirmed Asf C 17322MBA3 LT BBBsf Affirmed BBBsf D 17322MAA4 LT CCCsf Affirmed CCCsf E 17322MAC0 LT CCsf Affirmed CCsf F 17322MAE6 LT Csf Affirmed Csf PEZ 17322MBD7 LT BBBsf Affirmed BBBsf X-A 17322MBB1 LT AAAsf Affirmed AAAsf X-B 17322MBC9 LT BBBsf Affirmed BBBsf X-C 17322MAJ5 LT CCsf Downgrade CCCsf GS Mortgage Securities Trust (GSMS) 2019-GC42 A-1 36257UAH0 LT AAAsf Affirmed AAAsf 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 BBBsf Affirmed BBBsf E 36257UAC1 LT BBB-sf Affirmed BBB-sf F-RR 36257UAD9 LT Bsf Downgrade BB-sf G-RR 36257UAE7 LT CCCsf Downgrade B-sf X-A 36257UAN7 LT AAAsf Affirmed AAAsf X-B 36257UAP2 LT A-sf Affirmed A-sf X-D 36257UAB3 LT BBB-sf Affirmed BBB-sf Morgan Stanley Capital I Trust (MSCI) 2016-UBS9 A-3 61766CAD1 LT AAAsf Affirmed AAAsf A-4 61766CAE9 LT AAAsf Affirmed AAAsf A-S 61766CAG4 LT AAAsf Affirmed AAAsf A-SB 61766CAF6 LT AAAsf Affirmed AAAsf B 61766CAK5 LT AA-sf Affirmed AA-sf C 61766CAL3 LT A-sf Affirmed A-sf D 61766CAV1 LT BB-sf Downgrade BBB-sf E 61766CAX7 LT B-sf Downgrade BB-sf F 61766CAZ2 LT CCCsf Downgrade B-sf X-A 61766CAH2 LT AAAsf Affirmed AAAsf X-B 61766CAJ8 LT AA-sf Affirmed AA-sf X-D 61766CAM1 LT BB-sf Downgrade BBB-sf X-E 61766CAP4 LT B-sf Downgrade BB-sf BANK 2017-BNK9 A-3 06540RAD6 LT AAAsf Affirmed AAAsf A-4 06540RAE4 LT AAAsf Affirmed AAAsf A-S 06540RAH7 LT AAAsf Affirmed AAAsf A-SB 06540RAC8 LT AAAsf Affirmed AAAsf B 06540RAJ3 LT AA-sf Affirmed AA-sf C 06540RAK0 LT BBBsf Affirmed BBBsf D 06540RAU8 LT BB-sf Affirmed BB-sf E 06540RAW4 LT B-sf Affirmed B-sf F 06540RAY0 LT CCCsf Affirmed CCCsf X-A 06540RAF1 LT AAAsf Affirmed AAAsf X-B 06540RAG9 LT AA-sf Affirmed AA-sf X-D 06540RAL8 LT BB-sf Affirmed BB-sf X-E 06540RAN4 LT B-sf Affirmed B-sf X-F 06540RAQ7 LT CCCsf Affirmed CCCsf CSAIL 2017-CX9 Commercial Mortgage Trust A-2 12595FAB8 LT AAAsf Affirmed AAAsf A-3 12595FAC6 LT AAAsf Affirmed AAAsf A-4 12595FAD4 LT AAAsf Affirmed AAAsf A-5 12595FAE2 LT AAAsf Affirmed AAAsf A-S 12595FAJ1 LT AAAsf Affirmed AAAsf A-SB 12595FAF9 LT AAAsf Affirmed AAAsf B 12595FAK8 LT Asf Affirmed Asf C 12595FAL6 LT BBBsf Affirmed BBBsf D 12595FAP7 LT BB+sf Affirmed BB+sf E 12595FAR3 LT B+sf Affirmed B+sf F 12595FAT9 LT CCCsf Affirmed CCCsf V1-A 12595FBB7 LT AAAsf Affirmed AAAsf V1-B 12595FBC5 LT BBBsf Affirmed BBBsf V1-D 12595FBD3 LT BB+sf Affirmed BB+sf V1-E 12595FBF8 LT B+sf Affirmed B+sf X-A 12595FAG7 LT AAAsf Affirmed AAAsf X-B 12595FAH5 LT Asf Affirmed Asf X-E 12595FAM4 LT B+sf Affirmed B+sf KEY RATING DRIVERS Criteria Update; 'Bsf' Loss Expectations: The rating actions reflect the impact of the updated U.S. and Canadian Multiborrower CMBS Rating Criteria, published on May 22, 2023, and incorporate any changes in loan performance and/or credit enhancement (CE) since Fitch's prior rating action. Deal-level 'Bsf' rating case losses are as follows: - MSCI 2016-UBS9: 6.8%; - GSMS 2019-GC42: 5.0%; - CSAIL 2017-CX9: 4.8%; - BANK 2017-BNK9: 6.8%; - CGCMT 2014-GC21: 8.7%. MSCI 2016-UBS9: The downgrades to classes D, X-D, E, X-E and F in MSCI 2016-UBS9 reflect higher overall pool loss expectations, driven primarily by the 2100 Ross office loan, and including the correction of the error. The Negative Outlook revisions on classes B, X-B and C, and assignment of Negative Outlooks on classes D, X-D, E and X-E following their downgrades, reflect performance and refinance concerns on two office loans in the top 15, 2100 Ross and Princeton Pike Corporate Center, and three retail outlet loans, Grove City Premium Outlets, Gulfport Premium Outlets and Ellenton Premium Outlets. The largest contributor to overall loss expectations, 2100 Ross, is secured by a 33-story, 843,728-sf office building located in the Arts District of downtown Dallas, TX. The property's largest tenants include Lockton Companies (11.7% of NRA; leased through March 2026), Netherland, Sewell & Associates (7.3%; September 2025), Prudential Mortgage Capital (6.5%, April 2027) and Merrill Lynch, Pierce, Fenner and Smith (5.6%, July 2027). Occupancy for the property was 63.5% as of the March 2023 rent roll, compared with 63% at YE 2022, 81% at YE 2020 and 2021 and 82% at YE 2019. The largest tenant, CBRE (15% of NRA, 20% base rent), vacated at lease expiration in March 2022, relocating to an office tower in the uptown area of Dallas. The vacant CBRE space has yet to be backfilled. The servicer-reported NOI debt service coverage ratio (DSCR) as of March 2023 was 1.29x, down from 1.35x at YE 2022, 1.52x at YE 2021, 1.56x at YE 2020 and 1.39x at YE 2019. According to CoStar as of 2Q23, the Dallas CBD office submarket had a vacancy rate of 26.3% with an elevated availability rate of 30.2% and a market rent of $28.76 psf. Fitch's 'Bsf' rating case loss of 24% prior to concentration adjustments is based on a 10% cap rate and 25% stress to the YE 2021 NOI, and incorporates a 100% probability of default to account for heightened default risk due to loss of the largest tenant, lack of leasing momentum and weak submarket fundamentals. GSMS 2019-GC42: The downgrades to classes F-RR and G-RR in GSMS 2019-GC42 reflect increased pool loss expectations, driven primarily by the Northpoint Tower office loan, since Fitch's prior rating action and including the correction of the error. The Negative Outlook revisions on classes E and X-D, and assignment of a Negative Outlook on class F-RR following its downgrade, reflect their limited ratings cushion and refinance concerns with the Northpoint Tower loan, secured by an 873,335-sf office property in Cleveland, OH, that matures in September 2024. Fitch's 'Bsf' rating case loss of 12% prior to concentration adjustments on the Northpoint Tower loan is based on a 10% cap rate and 5% stress to YE 2021 NOI, and incorporates an increased probability of default due to heightened maturity default risk. CSAIL 2017-CX9: The affirmations reflect the impact of the updated criteria and generally stable pool loss expectations since Fitch's prior rating action. The pool is concentrated with only 24 loans remaining, of which 65% is secured by office properties, many of which are underperforming. Six loans (31%) were flagged as Fitch Loans of Concern (FLOCs), which includes one REO asset (6.4%) and three loans (9.6%) in special servicing. The Negative Outlook revisions on classes A-S, X-A and V1-A, and maintenance of Negative Outlooks on classes B, X-B, C, V1-B, D, V1-D, E, V1-E and X-E reflect an additional sensitivity analysis that incorporates an increased probability of default assumption on the Center 78, Keystone 200 & 300 and Apex Fort Washington loans. The Center 78 loan is secured by a 372,672-sf suburban office building in Warren, NJ. Performance continues to deteriorate, with occupancy falling to 68% due to the second largest tenant (13.6% NRA) vacating at lease expiration in October 2023. With the tenant's departure, cash flow is insufficient to cover debt service. Fitch's 'Bsf' rating case loss of 10% prior to concentration adjustments reflects a 10% cap rate and 20% stress to the YE 2022 NOI. Fitch also conducted an additional scenario that applies a 'Bsf' sensitivity case loss of 29% on this loan which factors a higher probability of default given the occupancy declines and elevated vacancy in the submarket. BANK 2017-BNK9: The affirmations reflect the impact of the updated criteria and generally stable pool loss expectations since Fitch's prior rating action. Seven loans (19.8%) were flagged as FLOCs, which includes two loans (6%) in special servicing. The Negative Outlook revisions on classes B and X-B, and maintenance of Negative Outlooks on classes C, D, X-D, E and X-E are due to the pool's elevated level of FLOCs, including exposure to underperforming office properties facing declining occupancy and high submarket vacancy rates. Approximately 27% of the remaining pool is secured by office assets. The Negative Outlooks also reflect an additional sensitivity analysis that incorporates a 100% probability of default on the Warwick Mall loan, secured by an approximately 588,000-sf regional mall located in Warwick, RI, flagged for its secondary market regional mall location, lagged recovery post-pandemic and refinance concerns. CGCMT 2014-GC21: The downgrade of class X-C to 'CCsf' from 'CCCsf' in CGCMT 2014-GC21 is tied to its lowest rated reference class E (rated CCsf) whose payable interest has an impact on the payment to the interest-only class. Changes to CE: These pools' aggregate balance has been reduced by an average of 20.4% (ranging from 1.0% to 35.9%) since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with potential further declines in performance that could result in higher expected losses on FLOCs. If expected losses increase, downgrades to these classes are anticipated. Downgrades to 'AAAsf' rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur. For 'AAAsf' rated bonds, additional stresses applied to defeased collateral as the U.S. sovereign rating is lower than 'AAA' could also contribute to downgrades. Downgrades to 'AAsf', 'Asf' and 'BBBsf' category rated classes could occur if deal-level losses increase significantly on non-defeased loans in the transactions and with outsized losses on larger FLOCs. Downgrades to 'BBsf' and 'Bsf' category rated classes are possible with higher expected losses from continued performance of the FLOCs and with greater certainty of near-term losses on specially serviced assets and other FLOCs. Downgrades to distressed ratings of 'CCCsf' through 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction. Upgrades to the 'Asf' and '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 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings of 'CCCsf' through 'Csf' 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. [*] Fitch Puts 33 Tranches on 6 TruPS CDO Rating Under Observation ------------------------------------------------------------------ Fitch Ratings has placed 33 tranches issued by six U.S. Trust Preferred Securities (TruPS) collateralized debt obligations (CDOs) Under Criteria Observation (UCO), following the publication of Fitch's U.S. Trust Preferred CDOs Surveillance Rating Criteria on Jan. 19, 2024. The Entities involved are: - Kodiak CDO I, Ltd./Inc. - Preferred Term Securities XXV, Ltd./Inc. - Preferred Term Securities XXVI, Ltd./Inc. - Preferred Term Securities XXIV, Ltd./Inc. - Taberna Preferred Funding IX, Ltd./Inc. - Taberna Preferred Funding V, Ltd./Inc. The Ratings are: Entity/Debt Rating Prior ----------- ------ ----- Preferred Term Securities XXIV, Ltd./Inc. A-1 74043CAA5 LT AAsf Under Criteria Observation AAsf Kodiak CDO I, Ltd./Inc. A-2 50011PAB2 LT BBB+sf Under Criteria Observation BBB+sf B 50011PAC0 LT Dsf Under Criteria Observation Dsf C 50011PAD8 LT CCsf Under Criteria Observation CCsf D-1 50011PAE6 LT Csf Under Criteria Observation Csf D-2 50011PAJ5 LT Csf Under Criteria Observation Csf D-3 50011PAK2 LT Csf Under Criteria Observation Csf E-1 50011PAF3 LT Csf Under Criteria Observation Csf E-2 50011PAL0 LT Csf Under Criteria Observation Csf F 50011PAG1 LT Csf Under Criteria Observation Csf G 50011PAH9 LT Csf Under Criteria Observation Csf H 50011NAC5 LT Csf Under Criteria Observation Csf Preferred Term Securities XXVI, Ltd./Inc. A-1 74042QAA5 LT AAsf Under Criteria Observation AAsf Taberna Preferred Funding IX, Ltd./Inc. A-1LA 87331XAA2 LT BBB+sf Under Criteria Observation BBB+sf A-1LAD 87331XAB0 LT BBB+sf Under Criteria Observation BBB+sf A-1LB 87331XAH7 LT Dsf Under Criteria Observation Dsf A-2LA 87331XAJ3 LT Dsf Under Criteria Observation Dsf A-2LB 87331XAK0 LT Csf Under Criteria Observation Csf A-3LA 87331XAL8 LT Csf Under Criteria Observation Csf A-3LB 87331XAM6 LT Csf Under Criteria Observation Csf B-1L 87331XAN4 LT Csf Under Criteria Observation Csf B-2L 87331WAA4 LT Csf Under Criteria Observation Csf Taberna Preferred Funding V, Ltd./Inc. A-1LA 87331BAA0 LT BB-sf Under Criteria Observation BB-sf A-1LAD 87331BAB8 LT BB-sf Under Criteria Observation BB-sf A-1LB 87331BAC6 LT Dsf Under Criteria Observation Dsf A-2L 87331BAD4 LT Csf Under Criteria Observation Csf A-3FV 87331BAF9 LT Csf Under Criteria Observation Csf A-3FX 87331BAG7 LT Csf Under Criteria Observation Csf A-3L 87331BAE2 LT Csf Under Criteria Observation Csf B-1L 87331BAH5 LT Csf Under Criteria Observation Csf B-2FX 87331CAB6 LT Csf Under Criteria Observation Csf B-2L 87331CAA8 LT Csf Under Criteria Observation Csf Preferred Term Securities XXV, Ltd./Inc. A-1 74042FAA9 LT AAsf Under Criteria Observation AAsf KEY RATING DRIVERS This rating action includes notes that could incur rating changes as a result of the application of the updated criteria. It does not indicate a change in the underlying credit profile, nor does it affect existing Rating Outlooks or Rating Watch status of the notes. Fitch will resolve the UCO status by applying the updated criteria to each transaction within six months. Fitch expects to withdraw ratings on three real estate investment trust (REIT) TruPS CDOs that are currently in an event of default. The resolutions on the ratings of the notes issued by the other three CDOs would be based on the then current performance metrics and include the combined impact of the criteria update and change in performance and can result in affirmations, upgrades or downgrades. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. 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. [*] Moody's Takes Action on $275MM of US RMBS Issued 2004-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 17 bonds and downgraded the rating of one bond from seven US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE5 Cl. M-1, Upgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. II-A, Upgraded to Aa1 (sf); previously on Jun 24, 2022 Upgraded to Ba1 (sf) Cl. I-A-3, Upgraded to Aaa (sf); previously on Jun 24, 2022 Upgraded to Ba1 (sf) Cl. I-A-4, Upgraded to Aa1 (sf); previously on Jun 24, 2022 Upgraded to Ba2 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2007-HE7 Cl. II-A-2, Upgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. III-A-2, Upgraded to Caa3 (sf); previously on May 21, 2010 Downgraded to C (sf) Cl. III-A-1, Upgraded to Ba1 (sf); previously on Apr 12, 2023 Upgraded to B1 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Apr 12, 2023 Upgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Ba1 (sf); previously on Apr 13, 2018 Upgraded to Caa1 (sf) Issuer: IndyMac INDX Mortgage Loan Trust 2005-AR6 Cl. 2-A-1, Downgraded to B3 (sf); previously on May 31, 2019 Downgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Acquisition Trust 2007-HE1 Cl. AV-3, Upgraded to Aaa (sf); previously on Apr 7, 2023 Upgraded to Ba1 (sf) Cl. AV-4, Upgraded to Baa2 (sf); previously on Apr 7, 2023 Upgraded to Ba2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-WF1 Cl. I-A, Upgraded to Aaa (sf); previously on Apr 7, 2023 Upgraded to Aa3 (sf) Cl. II-A-4, Upgraded to Baa1 (sf); previously on Mar 11, 2020 Downgraded to B1 (sf) Cl. II-A-5, Upgraded to A3 (sf); previously on Mar 11, 2020 Downgraded to Ba3 (sf) Issuer: RAMP Series 2004-KR2 Trust Cl. M-I-2, Upgraded to A1 (sf); previously on Apr 7, 2023 Upgraded to Ba1 (sf) Cl. M-II-1, Upgraded to A3 (sf); previously on Apr 7, 2023 Upgraded to Ba1 (sf) Issuer: Structured Asset Investment Loan Trust 2005-3 Cl. M4, Upgraded to Ba1 (sf); previously on Apr 7, 2023 Upgraded to B2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrade is primarily due to a deterioration in collateral performance, and decline in credit enhancement available to the bond. 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 RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $307MM of US RMBS Issued 2005-2006 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 bonds and downgraded the ratings of two bonds from eight US residential mortgage-backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Argent Securities Trust 2006-W1 Cl. A-1, Upgraded to Aaa (sf); previously on Nov 14, 2022 Upgraded to Aa2 (sf) Cl. A-2C, Upgraded to B2 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Cl. A-2D, Upgraded to B2 (sf); previously on Nov 20, 2018 Upgraded to Caa2 (sf) Issuer: First NLC Trust 2005-1 Cl. A, Downgraded to B1 (sf); previously on May 14, 2015 Upgraded to Ba3 (sf) Issuer: Fremont Home Loan Trust 2005-D Cl. 2-A-4, Upgraded to Aaa (sf); previously on Dec 11, 2018 Upgraded to Aa1 (sf) Cl. M1, Upgraded to Ba3 (sf); previously on May 18, 2017 Upgraded to B3 (sf) Issuer: RALI Series 2006-QS10 Trust Cl. A-10, Downgraded to Ca (sf); previously on Dec 23, 2010 Downgraded to Caa3 (sf) Issuer: Structured Asset Investment Loan Trust 2005-9 Cl. M1, Upgraded to Aaa (sf); previously on Sep 30, 2022 Upgraded to A1 (sf) Issuer: Structured Asset Securities Corp Trust 2005-NC2 Cl. M6, Upgraded to A1 (sf); previously on Sep 30, 2022 Upgraded to Baa1 (sf) Cl. M7, Upgraded to Caa1 (sf); previously on Dec 1, 2017 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2005-WF4 Cl. M6, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded to Aa1 (sf) Cl. M7, Upgraded to Aa1 (sf); previously on Apr 24, 2023 Upgraded to A2 (sf) Cl. M8, Upgraded to Ba2 (sf); previously on Apr 24, 2023 Upgraded to Caa3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF1 Cl. M5, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded to Aa3 (sf) Cl. M6, Upgraded to Ba1 (sf); previously on Apr 24, 2023 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a deterioration in collateral performance, and/or decline in credit enhancement available to the bonds. The rating downgrade of Class A issued by First NLC Trust 2005-1 is due to outstanding interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. 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. This includes the potential impact of collateral performance volatility on ratings. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $80.9MM of US RMBS Issued 2004-2007 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three bonds and downgraded the rating of one bond from three US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: Structured Asset Investment Loan Trust 2004-4 Cl. M1, Downgraded to Ba1 (sf); previously on Aug 18, 2016 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-BC6 Cl. A1, Upgraded to Aaa (sf); previously on Apr 24, 2023 Upgraded to Aa2 (sf) Cl. A5, Upgraded to Aa2 (sf); previously on Apr 24, 2023 Upgraded to A1 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2007-AR2 Cl. I-A-1, Upgraded to Ba1 (sf); previously on Sep 30, 2022 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and an increase in credit enhancement available to the bonds. The rating downgrade is primarily due to decline in credit enhancement available to the bond. 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. These include the potential impact of collateral performance volatility on ratings. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. 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 410 Classes From 136 US RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 410 classes from 136 U.S. RMBS transactions issued between 2004 and 2007. The review yielded 208 downgrades and 202 discontinuances. A list of Affected Ratings can be viewed at: https://rb.gy/dpkzke S&P said, "The rating actions reflect our analysis of the observed interest shortfalls or missed interest payments on the affected classes during recent remittance periods. The downgrades are consistent with our "S&P Global Ratings Definitions," published June 9, 2023, which imposes a maximum rating threshold on classes that have incurred missed interest payments due to credit or liquidity erosion. In applying our ratings definitions, we looked to see if the respective class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "The ratings on the 208 downgraded classes from 64 transactions were all lowered to 'D (sf)' from 'CC (sf)'. These classes received additional compensation for outstanding interest shortfalls or missed interest payments. As such, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. Our main rationale for these downgrades is the "ultimate repayment of missed interest unlikely at higher rating levels". "In accordance with our surveillance and withdrawal policies, we discontinued 202 ratings from 74 transactions that had observed interest shortfalls or missed interest payments during recent remittance periods. We had previously lowered our ratings on these classes to 'D (sf)' because of principal losses, accumulated interest shortfalls or missed interest payments, and/or credit-related reductions in interest due to loan modifications. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review. "We will continue to monitor our ratings on the transactions, especially the securities that experience interest shortfalls or missed interest payments, and adjust our ratings as we consider appropriate." ********* 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. 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Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2024. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***