/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/240324.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, March 24, 2024, Vol. 28, No. 83 Headlines 720 EAST IV: S&P Assigns BB- (sf) Rating on $13.5MM Class E Notes ACC AUTO 2021-A: Moody's Upgrades Rating on Class D Notes to Ba2 AGL CLO 30: Fitch Assigns 'BB-(EXP)' Ratings on Class E Notes AMMC CLO XII: S&P Affirms CCC+ (sf) Rating on Class F-R Notes APIDOS CLO XLVII: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E Notes APIDOS CLO XLVII: Moody's Assigns B3 Rating to $500,000 F Notes ARES LXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES XXXIV: S&P Affirms B- (sf) Rating on Class F-R Notes AUDAX SENIOR 9: S&P Assigns BB- (sf) Rating on Class E Debts BAIN CAPITAL 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes BATTALION CLO XXV: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes BAYVIEW OPPORTUNITY 2024-CAR1: Moody's Assigns '(P)B3' to F Notes BBCMS MORTGAGE 2024-5C25: Fitch Gives B-(EXP) Rating on G-RR Certs BDS 2020-FL5: DBRS Confirms B(high) Rating on Class G Notes BENCHMARK 2024-V6: Fitch Assigns B-(EXP) Rating on Cl. G-RR Certs BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Class E-R4 Notes BLP COMMERCIAL 2024-IND2: DBRS Finalizes BB(low) on HRR Certs BRAVO RESIDENTIAL 2024-NQM2: DBRS Finalizes B(high) on B2 Notes BRAVO RESIDENTIAL 2024-NQM3: Fitch Gives B(EXP) Rating on B-2 Notes BRYANT PARK 2024-22: S&P Assigns Prelim BB- (sf) Rating on E Notes BX COMMERCIAL 2024-XL5: Moody's Assigns Ba1 Rating to Cl. E Certs CARLYLE US 2018-2: S&P Affirms BB- (sf) Rating on Class D Notes CARLYLE US 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes CARVANA AUTO 2024-N1: DBRS Finalizes BB Rating on Class E Notes CARVANA AUTO 2024-P1: S&P Assigns BB+ (sf) Rating on Cl. N Notes CHASE HOME 2024-2: DBRS Finalizes B(low) Rating on Class B-5 Certs CITIGROUP 2015-101A: S&P Lowers Class G Certs Rating to 'B- (sf)' CITYSCAPE HOME 1996-2: Moody's Lowers Rating on A-5 Notes to B1 COLUMBIA CENT 32: S&P Affirms BB- (sf) Rating on Class E Notes COMM 2013-CCRE13: Moody's Downgrades Rating on 2 Tranches to Ba1 CSAIL 2016-C5: DBRS Confirms B Rating on Class X-F Certs CSMC 2019-ICE4: DBRS Confirms BB Rating on Class F Certs CWABS ASSET-BACKED 2007-12: Moody's Ups Rating on 1-A-2 Certs to B2 DIAMETER CREDIT II: Moody's Ups Rating on $25.65MM E Notes to Ba2 DK TRUST 2024-SPBX: Fitch Assigns 'B+sf' Rating on Class HRR Certs ELMWOOD CLO VIII: S&P Assigns Prelim B- (sf) Rating on F-R Notes EMPOWER CLO 2024-1: S&P Assigns BB- (sf) Rating on Class E Debts EXETER AUTOMOBILE: Fitch Affirms Ratings on 34 Classes in 6 Deals FREDDIE MAC 2023-HQA1: Moody's Hikes Rating on 16 Tranches to Ba2 FREDDIE MAC 2024-HQA1: Moody's Assigns Ba1 Rating to 10 Tranches GENERATE CLO 7: S&P Assigns BB- (sf) Rating on Class E-R Notes GREAT WOLF 2024-WOLF: DBRS Gives Prov. B(low) Rating on G Certs GS MORTGAGE 2005-ROCK: S&P Affirms BB+(sf) Rating on Class J Certs GS MORTGAGE 2014-GC26: DBRS Confirms C Rating on 2 Classes GS MORTGAGE 2024-PJ2: DBRS Finalizes B(high) Rating on B-5 Notes GS MORTGAGE 2024-RPL2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes GSF 2023-1: Fitch Affirms 'BB-(EXP)' Rating on Class E Debt HILDENE TRUPS A4B: Moody's Gives Ba3 Rating to $10.7MM Cl. B Notes HINNT LLC 2024-A: Fitch Assigns 'B(EXP)sf' Rating on Class E Notes INVESCO US 2024-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes JP MORGAN 2024-2: DBRS Finalizes BB Rating on Class B-4 Certs JP MORGAN MORTGAGE 2007-A1: S&P Affirms 'BB+' Rating on 1-A-2 Notes KCAP F3C: S&P Lowers Class E Notes Rating to 'B+ (sf)' MARINER FINANCE 2022-A: S&P Raises Class E Notes Rating to BB-(sf) METRONET INFRASTRUCTURE 2024-1: Fitch Rates Class C Notes 'BB-sf' MILFORD PARK: Fitch Affirms 'BB-sf' Rating on Class E Notes MORGAN STANLEY 2014-C19: DBRS Confirms C Rating on Class F Certs MOSAIC SOLAR 2023-2: Fitch Affirrms 'BB-sf' Rating on Class D Notes NAVIENT STUDENT 2014-1: Moody's Lowers Rating on A-3 Notes to Ba2 NEUBERGER BERMAN 39: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes NEW MOUNTAIN 5: S&P Assigns BB- (sf) Rating on Class E Notes NEW RESIDENTIAL 2024-NQM1: Fitch Gives B-sf Rating on Cl. B-3 Notes NEWSTAR ARLINGTON: S&P Affirms B- (sf) Rating on Class F-R Notes NYMT LOAN 2024-CP1: Fitch Assigns 'Bsf' Rating on Class B-2 Notes OBX TRUST 2024-HYB2: Moody's Assigns B2 Rating to Cl. B-2 Certs OHA CREDIT XII: S&P Assigns Prelim B-(sf) Rating on Cl. F-R2 Notes OZLM FUNDING IV: S&P Affirms B- (sf) Rating on Class E-R Notes PALMER SQUARE 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes PEEBLES PARK: S&P Assigns BB- (sf) Rating on Class E Notes PIKES PEAK 7: Fitch Assigns 'BB-(EXP)' Rating on Class E-R Notes POST CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes PRESTIGE AUTO 2024-1: S&P Assigns Prelim 'BB-' Rating on E Notes PRET TRUST 2024-RPL1: Fitch Assigns 'B' Rating on Class B-2 Notes PRKCM 2024-AFC1: DBRS Finalizes B Rating on Class B-2 Notes PRPM 2024-RPL1: DBRS Finalizes BB Rating on Class B-1 Notes RCKT MORTGAGE 2024-CES2: Fitch Gives 'B(EXP)sf' Rating on B-2 Notes REGATTA XXVII: Fitch Assigns 'BB-sf' Rating on Class E Notes RR 55 LTD: Fitch Assigns 'BB+sf' Rating on Class D-R Notes SEQUOIA MORTGAGE 2024-3: Fitch Assigns BBsf Rating on Cl. B4 Certs SIGNAL PEAK 5: S&P Affirms BB-p (sf) Rating on Class E-R Notes SILVER POINT 4: Moody's Assigns B3 Rating to $225,000 Cl. F Notes SLM STUDENT 2010-1: S&P Lowers Class A Notes Rating to 'CCC (sf)' SLM STUDENT 2013-2: Fitch Lowers Rating on Class B Notes to Bsf SOFI PERSONAL 2024-2: Fitch Assigns 'BBsf' Rating on Class F Notes STRUCTURED ASSET 2007-AR1: Moody's Ups I-A-1 Notes Rating to Ba1 SYMPHONY CLO 42: Fitch Assigns 'BB-sf' Rating on Class E Notes TABERNA PREFERRED I: Fitch Withdraws BB Rating on 2 Tranches TEXAS DEBT 2024-I: Fitch Assigns 'BB-sf' Rating on Class E Notes TOORAK MORTAGE 2024-RRTL1: DBRS Finalizes B Rating on B-1 Notes TRALEE CLO II: S&P Lowers Class E-R Notes Rating to 'B- (sf)' TRINITAS CLO XXVII: S&P Assigns Prelim 'BB-(sf)' Rating on E Notes VENTURE XVII: Moody's Cuts Rating on $8.5MM Cl. F-RR Notes to Caa3 WB COMMERCIAL 2024-HQ: Moody's Assigns Ba1 Rating to Cl. HRR Certs WELLINGTON MANAGEMENT 2: S&P Assigns BB- (sf) Rating on E Notes WELLS FARGO 2021-FCMT: Fitch Affirms 'B-sf' Rating on Class F Certs WESTLAKE AUTOMOBILE 2024-1: S&P Assigns BB (sf) Rating on E Notes ZIPLY FIBER: Fitch Gives 'BB-(EXP)' Rating on 2024-1 C Notes [*] Fitch Affirms 6 Timeshare Transactions by Holiday Inn [*] Moody's Takes Action on $64.9MM of US RMBS Issued 2006-2007 [*] Moody's Takes Actions on $36.4MM of US RMBS Issued 2020 [*] Moody's Upgrades Rating on $79.1MM of US RMBS Issued 2006-2007 [*] S&P Takes Various Action on 61 Classes From 18 U.S. RMBS Deals ********* 720 EAST IV: S&P Assigns BB- (sf) Rating on $13.5MM Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to 720 East CLO IV Ltd./720 East CLO IV LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Northwestern Mutual Investment Management Co. LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 720 East CLO IV Ltd./720 East CLO IV LLC Class A-1, $288.00 million: AAA (sf) Class A-2, $27.00 million: AAA (sf) Class B, $27.00 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D (deferrable), $27.00 million: BBB- (sf) Class E (deferrable), $13.50 million: BB- (sf) Subordinated notes, $44.65 million: Not rated ACC AUTO 2021-A: Moody's Upgrades Rating on Class D Notes to Ba2 ---------------------------------------------------------------- Moody's Ratings takes action on 14 classes of bonds issued from 11 non-prime auto securitizations. The bonds are backed by pools of retail automobile non-prime loan contracts originated and serviced by multiple parties. The complete rating actions are as follows: Issuer: ACC Auto Trust 2021-A Class D Notes, Upgraded to Ba2 (sf); previously on Jul 30, 2021 Definitive Rating Assigned B2 (sf) Issuer: ACC Auto Trust 2022-A Class C Notes, Upgraded to Baa2 (sf); previously on Dec 18, 2023 Upgraded to Ba1 (sf) Class D Notes, Downgraded to Caa3 (sf); previously on Dec 18, 2023 Downgraded to Caa1 (sf) Issuer: American Credit Acceptance Receivables Trust 2021-4 Class D Asset Backed Notes, Upgraded to Aaa (sf); previously on Dec 18, 2023 Upgraded to Aa1 (sf) Issuer: American Credit Acceptance Receivables Trust 2022-2 Class C Asset Backed Notes, Upgraded to Aaa (sf); previously on Dec 18, 2023 Upgraded to Aa1 (sf) Issuer: American Credit Acceptance Receivables Trust 2023-2 Class C Asset Backed Notes, Upgraded to Aa2 (sf); previously on May 3, 2023 Definitive Rating Assigned Aa3 (sf) Issuer: CIG Auto Receivables Trust 2021-1 Class D Notes, Upgraded to Aa1 (sf); previously on Dec 18, 2023 Upgraded to Aa2 (sf) Issuer: CPS Auto Receivables Trust 2022-B Class D Notes, Upgraded to Aa3 (sf); previously on Dec 18, 2023 Upgraded to A2 (sf) Issuer: CPS Auto Receivables Trust 2022-D Class C Notes, Upgraded to Aa1 (sf); previously on Dec 18, 2023 Upgraded to Aa3 (sf) Class D Notes, Upgraded to Baa2 (sf); previously on Oct 26, 2022 Definitive Rating Assigned Baa3 (sf) Issuer: CPS Auto Receivables Trust 2023-B Class C Notes, Upgraded to Aa3 (sf); previously on Apr 26, 2023 Definitive Rating Assigned A2 (sf) Issuer: Credit Acceptance Auto Loan Trust 2021-3 Class C Notes, Upgraded to Aaa (sf); previously on Dec 18, 2023 Upgraded to Aa1 (sf) Issuer: Credit Acceptance Auto Loan Trust 2021-4 Class B Notes, Upgraded to Aaa (sf); previously on Dec 18, 2023 Upgraded to Aa2 (sf) Class C Notes, Upgraded to Aa3 (sf); previously on Oct 28, 2021 Definitive Rating Assigned A2 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade actions are primarily driven by the buildup of credit enhancement due to structural features including sequential pay structures, non-declining reserve accounts and overcollateralization. The downgrade action for the Class D notes in ACC Auto Trust 2022-A is primarily driven by material declines in credit enhancement available for the affected notes as a result of weak pool performance. Overcollateralization declined to 5.9% of the outstanding pool balance as of the February payment date compared to a target level of 16.0%, and cumulative net losses-to-liquidation remain elevated at 30.3%. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. ACC Auto Trust 2021-A: 19.0% ACC Auto Trust 2022-A: 29.0% American Credit Acceptance Receivables Trust 2021-4: 30.0% American Credit Acceptance Receivables Trust 2022-2: 36.0% American Credit Acceptance Receivables Trust 2023-2: 31.0% CIG Auto Receivables Trust 2021-1: 17.0% CPS Auto Receivables Trust 2022-B: 22.0% CPS Auto Receivables Trust 2022-D: 23.0% CPS Auto Receivables Trust 2023-B: 24.0% Credit Acceptance Auto Loan Trust 2021-3: 27.0% Credit Acceptance Auto Loan Trust 2021-4: 27.0% 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 "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. AGL CLO 30: Fitch Assigns 'BB-(EXP)' Ratings on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AGL CLO 30 Ltd. Entity/Debt Rating ----------- ------ AGL CLO 30 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY AGL CLO 30 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit 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 24.27, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.69% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.49% versus a minimum covenant, in accordance with the initial expected matrix point of 71.1%. Portfolio Composition (Neutral): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' 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. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for AGL CLO 30 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AMMC CLO XII: S&P Affirms CCC+ (sf) Rating on Class F-R Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R, C-R, and D-R notes from AMMC CLO XII Ltd. At the same time, S&P affirmed its rating on the class A-R2, E-R, and F-R notes from the same transaction. The transaction is a broadly syndicated CLO managed by American Money Management Corp. that was refinanced on July 2, 2021. The rating actions follow S&P's review of the transaction's performance using data from the February 2024 trustee report. The transaction has paid down $128.43 million to the class A-R2 notes since S&P's July 2, 2021, rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the April 2021 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 143.32% from 130.54%. -- The class C O/C ratio improved to 123.82% from 118.08%. -- The class D O/C ratio improved to 113.98% from 111.33%. -- The class E O/C ratio improved to 105.58% from 105.31%. -- The class F O/C ratio declined to 102.56% from 103.08%. While the senior O/C ratios experienced a positive movement due to the paydowns to the senior notes, the junior O/C ratio marginally declined potentially due to par losses. Collateral obligations with ratings in the 'CCC' category have decreased in dollar value but have slightly increased in percentage, to 6.81% ($19.51 million) as of the February 2024 trustee report, from 6.45% ($25.57 million) as of the April 2021 trustee report. Over the same period, the exposure to defaulted collateral decreased to $0.48 million from $5.25 million. However, despite some credit deterioration, the transaction, especially the senior tranches, has benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 3.42 years reported as of the February 2024 trustee report, compared with 4.39 years reported at the time of our July 2021 rating actions. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels, O/C improvement, paydowns, and collateral seasoning. On a standalone basis, the results of the cash flow analysis indicated higher ratings for the class C-R notes; however, S&P's rating actions reflect additional sensitivity runs that considered the exposure to lower-quality assets and distressed prices it noticed in the portfolio. The cash flow results indicated a lower rating for the class E-R and F-R notes than the rating action reflects. S&P said, "However, we affirmed the rating on class E-R after considering the margin of failure and its relatively stable O/C ratio, which currently has a significant cushion over its minimum requirements. Similarly, though the class F-R notes cash flows indicated a lower rating, we considered its current O/C, which is passing, the degree of financial stress, likelihood of default, and the level of available credit enhancement, which in our opinion are in line with a 'CCC+' risk, and thus the class fits our definition of 'CCC' risk in accordance with our guidance criteria. Therefore, we affirmed the rating on the class F-R notes at 'CCC+ (sf)'. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and it will take rating actions as we deem necessary. AMMC CLO XII Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the credit spread adjustment recommended by the Alternative Reference Rates Committee. Our cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, our cash flow analysis considered the same. Ratings Raised AMMC CLO XII Ltd. Class B-R to 'AAA (sf)' from 'AA (sf)' Class C-R to 'AA- (sf)' from 'A (sf)' Class D-R to 'BBB+ (sf)' from 'BBB (sf)' Ratings Affirmed AMMC CLO XII Ltd. Class A-R2: AAA (sf) Class E-R: B+ (sf) Class F-R: CCC+ (sf) APIDOS CLO XLVII: Fitch Assigns 'BB+(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Apidos CLO XLVII Ltd. Entity/Debt Rating ----------- ------ Apidos CLO XLVII Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Apidos CLO XLVII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 97.5% first-lien senior secured loans and has a weighted average recovery assumption of 74.94%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. APIDOS CLO XLVII: Moody's Assigns B3 Rating to $500,000 F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Apidos CLO XLVII Ltd (the "Issuer" or "Apidos XLVII"). Moody's rating action is as follows: US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2037, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2037, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos XLVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 85% ramped as of the closing date. CVC Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3075 Weighted Average Spread (WAS): 3.527% Weighted Average Coupon (WAC): 4.90% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.1 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXIX CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXIX CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Ares LXIX CLO Ltd. was upsized by approximately $100 million to $500 million, rather than the effective date target par amount of $400 million that was anticipated when the expected ratings were assigned on Jan. 23, 2024. 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 $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4, versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.0% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.31% versus a minimum covenant, in accordance with the initial expected matrix point of 69.20%. 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 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 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, 'AAsf' for class C notes, 'A-sf' for class D notes, and 'BBBsf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Ares LXIX CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES XXXIV: S&P Affirms B- (sf) Rating on Class F-R Notes --------------------------------------------------------- S&P Global Ratings assigned its rating to the class A-R3 replacement debt from Ares XXXIV CLO Ltd./Ares XXXIV CLO LLC, a CLO originally issued in September 2015 that is managed by Ares CLO Management LLC. At the same time, we withdrew our rating on the class A-R2 debt following payment in full on the March 14, 2024, refinancing date. S&P also affirmed its ratings on the class B-R2, C-R, D-R, E-R, and F-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture, the non-call period for the newly issued note was set to April 17, 2025. Replacement And Outstanding Debt Issuances Replacement debt -- Class A-R3, $640.00 million: Three-month term SOFR + 1.32% Outstanding debt -- Class A-R2, $640.00 million: Three-month term SOFR + 1.51% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-R and F-R notes. Given the overall credit quality of the portfolio and the passing coverage tests, we affirmed our rating on the class E-R notes due to the low margin of failure within our cash flow stresses, and we affirmed our rating on the class F-R notes as they do not meet our 'CCC' rating definition. "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 we will take rating actions as we deem necessary." Rating Assigned Ares XXXIV CLO Ltd./Ares XXXIV CLO LLC Class A-R3, $ 640 million: 'AAA (sf)' Rating Withdrawn Ares XXXIV CLO Ltd./Ares XXXIV CLO LLC Class A-R2 to NR from 'AAA (sf)' Ratings Affirmed Ares XXXIV CLO Ltd./Ares XXXIV CLO LLC Class B-R2: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Class E-R: BB- (sf) Class F-R: B- (sf) Subordinated notes: NR NR--Not rated. AUDAX SENIOR 9: S&P Assigns BB- (sf) Rating on Class E Debts ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Audax Senior Debt CLO 9 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed by a mix of broadly syndicated and middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Audax Management Co. (NY) LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of a mix of broadly syndicated and middle market speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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. Ratings Assigned Audax Senior Debt CLO 9 LLC Class A-1, $348.000 million: AAA (sf) Class A-2, $24.000 million: AAA (sf) Class B, $36.000 million: AA (sf) Class C (deferrable), $48.000 million: A (sf) Class D (deferrable), $36.000 million: BBB- (sf) Class E (deferrable), $36.000 million: BB- (sf) Subordinated notes, $78.356 million: Not rated BAIN CAPITAL 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2024-1, Limited. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2024-1,Limited A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Bain Capital Credit CLO 2024-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.86, versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.4% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.62% versus a minimum covenant, in accordance with the initial expected matrix point of 71.65%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. BATTALION CLO XXV: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Battalion CLO XXV Ltd. Entity/Debt Rating ----------- ------ Battalion CLO XXV Ltd. A LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated A LT NRsf New Rating Subordinated B LT NRsf New Rating TRANSACTION SUMMARY Battalion CLO XXV Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.92, 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 74.75% versus a minimum covenant, in accordance with the initial expected matrix point of 71.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted-average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, between less than 'B-sf' and 'B+sf' for class E, and less than 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D, 'BBB+sf' for class E, and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Battalion CLO XXV Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BAYVIEW OPPORTUNITY 2024-CAR1: Moody's Assigns '(P)B3' to F Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the notes to be issued by Bayview Opportunity Master Fund VII 2024-CAR1, LLC (BVCLN 2024-CAR1). The credit-linked note references a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Huntington National Bank (HNB, senior unsecured A3). The complete rating actions are as follows: Issuer: Bayview Opportunity Master Fund VII 2024-CAR1, LLC Class A Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa3 (sf) Class C Notes, Assigned (P)A3 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The rated notes are floating-rate obligations secured by a cash collateral account. Payments on the notes are linked to a tranched credit default swap (CDS) transaction entered into with respect to the reference pool between HNB and the issuer, with HNB as the protection buyer. HNB pays a monthly fixed CDS premium and receives compensation for losses incurred on the reference pool. This deal is unique in that the source of principal payments for the notes will be a cash collateral account held by a third party with a rating of atleast A2 or P-1 by Moody's. The transaction also benefits from a Letter of Credit covering five months of fixed premium amount provided by a third party with a rating of atleast A2 or P-1 by Moody's. As a result, the rated notes are not limited by the long-term senior unsecured rating of HNB. The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the reference pool and its expected performance, the strength of the capital structure, and the experience of HNB as the servicer. Moody's median cumulative net loss expectation for the BVCLN 2024-CAR1 reference pool is 0.50% and loss at a Aaa stress of 4.50%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the reference pool; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of HNB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit from 5.70%, 4.20%, 2.60%, 2.00%, 1.10% and 0.60% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination.The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2023. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. BBCMS MORTGAGE 2024-5C25: Fitch Gives B-(EXP) Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and issued a presale report on BBCMS Mortgage Trust 2024-5C25 commercial mortgage pass-through certificates series 2024-5C25. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $821,000 class A-1 'AAAsf'; Outlook Stable; - $619,650,000 class A-3 'AAAsf'; Outlook Stable; - $620,471,000a class X-A 'AAAsf'; Outlook Stable; - $171,738,000a class X-B 'A-sf'; Outlook Stable; - $96,395,000 class A-S 'AAAsf'; Outlook Stable; - $43,211,000 class B 'AA-sf'; Outlook Stable; - $32,132,000 class C 'A-sf'; Outlook Stable; - $14,404,000ab class X-D 'BBBsf'; Outlook Stable; - $14,404,000b class D 'BBBsf'; Outlook Stable; - $13,295,000bc class E-RR 'BBB-sf'; Outlook Stable; - $17,728,000bc class F-RR 'BB-sf'; Outlook Stable; - $12,188,000bc class G-RR 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $9,972,000bc class H-RR - $26,592,000bc class J-RR (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal Risk Retention Interest classes. TRANSACTION SUMMARY The certificate represents the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 38 commercial properties with an aggregate principal balance of $886,388,000 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., 3650 Real Estate Investment Trust 2 LLC, Citi Real Estate Funding Inc., German American Capital Corp., UBS AG, Societe General Financial Corporation, Bank of Montreal, Argentic Real Estate Finance 2 LLC, Starwood Mortgage Capital LLC, KeyBank National Association, BSPRT CMBS Finance, LLC, as loan sellers; Midland Loan Services, a Division of PNC Bank, National Association, as master servicer, 3650 REIT Loan Servicing LLC, as special servicer; and Computershare Trust Company, National Association, as trustee and certificate administrator. The certificates are expected to follow a sequential paydown structure. The transaction is expected to close on March 28, 2024. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 28 loans totaling 94.8% of the pool by balance, including all of the pool's hospitality and office loans. Fitch's cash flow sample included the largest 20 loans in the pool, as well as loans numbers 22-27, 30 and 33. Fitch's resulting net cash flow (NCF) of $94.0million represents a 14.8% decline from the issuer's underwritten NCF of $110.3million. Higher Leverage Compared to Recent Transactions: The pool has higher leverage than U.S. private-label multi-borrower five-year transactions rated by Fitch Ratings during 2023 and 2024 YTD. The pool's Fitch loan-to-value ratio (LTV) of 92.5% is higher than the 2023 and 2024 TYD averages of 89.7% and 86.1%, respectively. The pool's Fitch NCF debt yield (DY) of 10.6% is equal to 2023 average, but worse than the 2024 YTD average of 11.2%. Investment Grade Credit Opinion Loans: Two loans totaling 8.5% of the pool received an investment grade credit opinion on a stand-alone basis. Kenwood Towne Centre (5.6% of pool) received a stand-alone credit opinion of 'BBBsf*'. Tysons Corner Center (2.8%) received a stand-alone credit opinion of 'AAsf*'. The pool's total credit opinion percentage is lower than averages for five-year transactions rated by Fitch during 2023 and 2024 YTD of 14.6% and 16.7%, respectively. Excluding these credit opinion loans, the pool's Fitch LTV and DY are 90.0% and 10.9%, respectively. High Loan Concentration: The largest 10 loans make up 59.9% of the pool; however, this is less concentrated than recently rated Fitch transactions. The average top 10 loan concentration for five-year transactions rated by Fitch during 2023 and YTD 2024 are 63.3% and 65.3%, 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 21.6. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. 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 to the same one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'Bsf'/'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 in one variable, Fitch NCF. Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf' 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on 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. BDS 2020-FL5: DBRS Confirms B(high) Rating on Class G Notes ----------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of notes issued by BDS 2020-FL5 Ltd. as follows: -- Class B Notes at AAA (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at A (sf) -- Class E Notes at A (low) (sf) -- Class F Notes at BB (high) (sf) -- Class G Notes at B (high) (sf) Morningstar DBRS discontinued the ratings on Classes A and AS after the bonds were paid in full with the February 2024 remittance. The trends on all classes are Stable except for Classes F and G, which carry Negative trends. Morningstar DBRS changed the trends on Classes F and G to Negative from Stable to reflect increased credit risks associated with the remaining loans in the transaction, the majority of which are secured by office properties. As of February 2024 reporting, five loans in the transaction, representing 68.6% of the current trust balance, were secured by office properties. Most of these loans are scheduled to mature in 2024 and given the hesitancy exhibited by lenders for that property type in 2023, Morningstar DBRS expects refinance difficulty to continue for those borrowers over the near to medium term. The credit rating confirmations reflect the increased credit support to the bonds as a result of successful loan repayments, with collateral reduction of 62.5% since issuance. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The pool's collateral initially consisted of 24 floating-rate loans secured by 26 properties with a cut-off pool balance of $492.2 million. The trust featured a two-year reinvestment period that expired with the February 2022 payment date. As of the February 2024 remittance, eight loans remain in the transaction with a current trust balance of $206.0 million. Since Morningstar DBRS' previous credit rating action in April 2023, five loans, with a former cumulative trust loan balance of $133.4 million, have been repaid from the transaction or repurchased by the issuer. Beyond the office concentration noted above, there are two multifamily properties, representing 17.0% of the current pool balance, and one hospitality property, representing 14.5% of the current pool balance. The loans are primarily secured by properties in suburban markets with four loans, representing 73.9% of the current trust balance, in locations with Morningstar DBRS Market Ranks of 4 and 5. The remaining two loans, representing 20.1% of the pool, are secured by properties in urban locations with Morningstar DBRS Market Ranks of 6 and 7. In comparison with the pool composition in April 2023, loans comprising 73.9% of the pool were in suburban markets and 26.1% were in urban markets. The collateral pool exhibits elevated leverage from issuance with a current weighted-average (WA) appraised loan-to-value ratio (LTV) of 63.9% and a WA stabilized LTV of 79.7%. In comparison, these figures were 75.1% and 73.9%, respectively, at closing. As the majority of individual property appraisals were conducted between 2019 and 2022, it is possible individual property values may have decreased since that time, particularly for the office property types, given the current interest rate and capitalization rate environment. In the analysis for this review, Morningstar DBRS considered the likelihood of refinance for each of the remaining loans, based on a stressed value estimate where merited. The results of that analysis showed the pool's cumulative potential exposure to loans with LTV ratios of more than 100.0% would be contained to the unrated preferred equity bond, which has a current balance of $45.4 million; however, the increased credit stress to the bond, according to that analysis, supports the Negative trends on Classes F and G. In total, the lender had advanced $31.4 million in loan future funding to six of the remaining individual borrowers to aid in property stabilization efforts through December 2023. The largest advance have been made to the borrower of the Northridge I & II loan (Prospectus ID# 31; 19.2% of the pool balance). The loan, which represents the largest in the pool, is secured by two suburban office towers totaling 258,462 square feet (sf) in Herndon, Virginia. The advanced funds were used to pay for capital expenditure (capex) and leasing costs. According to the collateral manager, the capex program was completed as of Q4 2022, as the borrower shifted its focus toward leasing efforts. As of YE2023, the property was 79.4% occupied while generating net operating income (NOI) of $2.3 million, resulting in an NOI debt service coverage ratio (DSCR) of 0.70 times (x). Cash flow may improve in 2024 as the borrower has executed three letters of intent totaling 20,000 sf since Q2 2023, which would increase occupancy to 87.0% if the leases are signed. The loan has a final maturity date of January 2025 as the sponsor exercised both of its extension options. In its analysis, Morningstar DBRS applied a current market cap rate to the in-place NOI, which resulted in an elevated LTV exceeding 100.0%, suggesting a replacement loan will require a significant cash equity contribution from the sponsor. An additional $11.4 million of loan future funding, allocated to two individual borrowers, remains outstanding. Of this amount, $10.3 million is allocated to the borrower of the Morris Corporate Center I and II loan, and $1.1 million is allocated to the borrower of the Forest City Medical Pavilion loan for further capex and prospective leasing costs. Six loans, representing 68.5% of the pool balance, are the servicer's watchlist. All these loans have been flagged for upcoming loan maturity, though select loans have also been flagged for below-breakeven DSCRs. The largest loan on the servicer's watchlist is One Skyline Tower (Prospectus ID# 5; 17.0% of the pool balance), which is secured by a Class A office building totaling 520,463 sf in Falls Church, Virginia. The property is currently 100% occupied across two U.S. General Services Administration (GSA) tenants; however, occupancy is expected to decrease to 57.0% after the largest tenant, Social Security Administration (SSA;64.2% NRA), provided notice it will vacate 185,291 sf of its space upon its September 2024 lease expiration. According to the collateral manager the other remaining tenant at the property, U.S. Department of Justice (DoJ), may be interested in backfilling all or a portion of the forthcoming vacant space. Reportedly, the borrower plans to pursue this potential leasing opportunity prior to marketing the space to any other users in the market. Additionally, the collateral manager reported the borrower exercised its final extension option extending loan maturity through November 2024 allowing the borrower additional time to potentially secure an expansion lease with the DoJ or another replacement tenant. In its analysis, Morningstar DBRS applied a current market cap rate to the in-place net cash flow (net of the rent and operating expenses associated with the space the SSA is giving back), which resulted in an elevated LTV in excess of 100%, suggesting a replacement loan will require a significant equity contribution. The second-largest loan on the servicer's watchlist, Briarwood Office (Prospectus ID# 34; 12.9% of the pool balance), is secured by a four-building office property in Englewood, Colorado. As of the February 2024 rent roll, the property was 79.7% occupied. The loan matures in March 2024 after the lender provided the borrower a six-month extension to allow the borrower time to divide the property into four separate parcels to sell the properties individually. As the property division and building sale process is still ongoing, Morningstar DBRS expects the loan will be extended further. As of September 2023, the loan reported a DSCR of 0.55x. In its current analysis, Morningstar DBRS applied a cap rate adjustment, which resulted in an LTV above 100.0%. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2024-V6: Fitch Assigns B-(EXP) Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2024-V6 Mortgage Trust commercial mortgage pass-through certificates series V6 as follows: - $3,107,000 class A-1 'AAAsf'; Outlook Stable; - $741,850,000 class A-3 'AAAsf'; Outlook Stable; - $744,957,000a class X-A 'AAAsf'; Outlook Stable; - $216,836,000a class X-B 'A-sf'; Outlook Stable; - $130,368,000 class A-S 'AAAsf'; Outlook Stable; - $50,551,000 class B 'AA-sf'; Outlook Stable; - $35,917,000 class C 'A-sf'; Outlook Stable; - $29,267,000a,b class X-D 'BBB-sf'; Outlook Stable; - $18,624,000a,b class X-F 'BB-sf'; Outlook Stable; - $18,624,000b class D 'BBBsf'; Outlook Stable; - $10,643,000b class E 'BBB-sf'; Outlook Stable; - $18,624,000b class F 'BB-sf'; Outlook Stable; - $11,972,000b,c class G-RR 'B-sf'; Outlook Stable; Fitch does not expect to rate the following classes: - $42,569,577b,c class J-RR; - $25,834,423b,d RR Certificates. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes G-RR and J-RR certificates comprise the transaction's eligible horizontal risk retention interest. (d) The RR certificates comprise the transaction's eligible 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 $1,090,060,000 as of the cutoff date. The mortgage loans are secured by the borrowers' fee and leasehold interests in 62 commercial properties. The loans were contributed to the trust by Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., German American Capital Corporation and Bank of Montreal. The master servicer is expected to be Midland Loan Services, and the special servicer is expected to be LNR Partners, 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 Higher Leverage than Recent Transactions: The pool has higher leverage than 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 94.5% is higher than the 2023 average of 88.3%, but still lower than the 2022 average of 99.3%. The pool's Fitch net cash flow (NCF) debt yield (DY) of 10.7% is lower than the 2023 average of 10.9% but higher than the 2022 average of 9.9%. Lower Proportion of Investment-Grade Credit Opinion Loans: Two loans representing 9.9% of the pool balance received an investment-grade credit opinion. Kenwood Towne Centre (6.0% of pool) received a standalone credit opinion of 'BBBsf*'. Tyson's Corner Center (3.9%) received a standalone credit opinion of 'AAsf*'. The pool's total credit opinion percentage of 9.9% is well below the 2023 and 2022 averages of 17.8% and 14.4%, respectively. Lower Loan Concentration: The pool is less concentrated than recently rated Fitch transactions. The largest 10 loans make up 55.0% of the pool, which is lower than the 2023 average of 63.7% and slightly lower 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 27.3. 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: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else equal. This is mainly 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' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'CCC+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' / 'BBB-sf' / 'BB-sf' / 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' /'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and the findings did not have an impact on the 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 report. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET IV: S&P Assigns BB- (sf) Rating on Class E-R4 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class X-R4, A-R4, B-R4, C-R4, D-1A-R4, D-1B-R4, D-2-R4, and E-R4 replacement debt from Benefit Street Partners CLO IV Ltd./Benefit Street Partners CLO IV LLC, a CLO managed by Benefit Street Partners LLC. At the same time, S&P withdrew its ratings on the original class X, A-1-RRR, A-2A-RRR, A-2B-RRR, B-RRR, C-RRR, and D-RR debt following payment in full. This is the fourth refinancing of the transaction, which originally closed in May 2014. The replacement debt were issued via a supplemental indenture, which outlined the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R4, A-R4, B-R4, C-R4, D-1A-R4, D-1B-R4, D-2-R4, and E-R4 debt were issued at generally higher interest rates than the debt issued in the third refinancing. -- The replacement class X-R4, A-R4, B-R4, C-R4, D-1A-R4, D-2-R4, and E-R4 debt were issued with floating spreads, and the class D-1B-R4 debt was issued with a fixed coupon. -- The noncall period was extended to April 2025, while the reinvestment period was extended to April 2026 and the stated maturity was extended to April 2034. -- In connection with the refinancing, the issuer modified certain concentration limitations and some of the provisions related to workout assets. -- The class X-R4 debt was issued in connection with this refinancing. This class is expected to be paid down using interest proceeds during the first seven payment dates, beginning with the July 2024 payment date. Replacement And Original Debt Issuances Replacement debt -- Class X-R4, $2.00 million: Three-month CME term SOFR + 1.00% -- Class A-R4, $320.00 million: Three-month CME term SOFR + 1.35% -- Class B-R4, $60.00 million: Three-month CME term SOFR + 1.90% -- Class C-R4, $30.00 million: Three-month CME term SOFR + 2.40% -- Class D-1A-R4, $17.50 million: Three-month CME term SOFR + 3.70% -- Class D-1B-R4, $10.00 million: 7.64% -- Class D-2-R4, $7.50 million: Three-month CME term SOFR + 5.15% -- Class E-R4, $17.50 million: Three-month CME term SOFR + 7.15% Original debt -- Class X, $5.00 million: Three-month LIBOR + 0.60% -- Class A-1-RRR, $310.00 million: Three-month LIBOR + 1.18% -- Class A-2A-RRR, $60.00 million: Three-month LIBOR + 1.55% -- Class A-2B-RRR, $10.00 million: 2.23% -- Class B-RRR, $30.00 million: Three-month LIBOR + 2.15% -- Class C-RRR, $30.00 million: Three-month LIBOR + 3.60% -- Class D-RR, $17.50 million: Three-month LIBOR + 6.83% -- Subordinated notes, $66.48 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." Ratings Assigned Benefit Street Partners CLO IV Ltd./ Benefit Street Partners CLO IV LLC Class X-R4, $2.00 million: AAA (sf) Class A-R4, $320.00 million: AAA (sf) Class B-R4, $60.00 million: AA (sf) Class C-R4 (deferrable), $30.00 million: A (sf) Class D-1A-R4 (deferrable), $17.50 million: BBB (sf) Class D-1B-R4 (deferrable), $10.00 million: BBB (sf) Class D-2-R4 (deferrable), $7.50 million: BBB- (sf) Class E-R4 (deferrable), $17.50 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO IV Ltd./ Benefit Street Partners CLO IV LLC Class A-1-RRR, $310.00 million: to NR from 'AAA (sf)' Class A-2A-RRR, $60.00 million: to NR from 'AA (sf)' Class A-2B-RRR, $10.00 million: to NR from 'AA (sf)' Class B-RRR, $30.00 million: to NR from 'A (sf)' Class C-RRR, $30.00 million: to NR from 'BBB- (sf)' Class D-RR, $17.50 million: to NR from 'BB- (sf)' Other Outstanding Debt Benefit Street Partners CLO IV Ltd./ Benefit Street Partners CLO IV LLC Subordinated notes, $66.48 million: NR NR--Not rated. BLP COMMERCIAL 2024-IND2: DBRS Finalizes BB(low) on HRR Certs ------------------------------------------------------------- DBRS, Inc. finalized provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-IND2 (the Certificates) issued by BLP Commercial Mortgage Trust 2024-IND2 (the Trust): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The BLP Commercial Mortgage Trust 2024-IND2 transaction is collateralized by the borrower's fee-simple interests in a portfolio of 50 cross-collateralized industrial properties totaling 7.6 million sf. The portfolio is spread across 9 states, including Texas, California, Illinois and 12 markets, including Dallas Fort-Worth, TX; Inland Empire, CA; and Chicago. The properties themselves are a mix of bulk distribution, light industrial, shallow bay, industrial service facility (truck terminal) and cold storage properties. Overall, the subject markets have solid fundamentals with positive annual growth in rents while absorbing new supply. Morningstar DBRS continues to take a favorable view on the long-term growth and stability of the warehouse and logistics sector. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution Amounts for the rated classes. 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, Yield Maintenance Premium. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2024-NQM2: DBRS Finalizes B(high) on B2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Series 2024-NQM2 (the Notes) issued by BRAVO Residential Funding Trust 2024-NQM2 (the Trust) as follows: -- $252.4 million Class A-1 at AAA (sf) -- $26.5 million Class A-2 at AA (sf) -- $29.7 million Class A-3 at A (high) (sf) -- $18.7 million Class M-1 at BBB (high) (sf) -- $11.9 million Class B-1 at BB (high) (sf) -- $10.1 million Class B-2 at B (high) (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 32.35% of credit enhancement provided by subordinated Notes. The AA (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 25.25%, 17.30%, 12.30%, 9.10%, and 6.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes. The Notes are backed by 906 loans with a total principal balance of approximately $373,133,336 as of the Cut-Off Date (January 31, 2024). The pool is, on average, two months seasoned with loan ages ranging from one to eight months. The primary originator of the mortgages is OCMBC, Inc. doing business as (dba) LoanStream Mortgage (OCMBC; 73.2%) and Citadel Servicing Corporation (CSC) dba Acra Lending (Acra; 22.5%). The remaining originators each comprise less than 10% of the mortgage loans. ServiceMac, LLC will subservice all but four of the Citadel-serviced loans (23.9%) on behalf of CSC, while Nationstar Mortgage LLC dba Rushmore Servicing will service the other loans (76.1%). In August 2023, Mr. Cooper Group Inc. (the parent of Nationstar Mortgage LLC dba Mr. Cooper) acquired investment management firm Roosevelt Management Company, LLC and its affiliated subsidiaries including Rushmore Loan Management Services (i.e., Rushmore is now part of Mr. Cooper). As further detailed in this report, Morningstar DBRS did not perform individual originator reviews for OCMBC, or the originators comprising less than 10% for the purpose of evaluating the mortgage pool. Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS), will act as Indenture Trustee, Paying Agent, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as Custodian. As of the Cut-Off Date, 100% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 60.8% of the loans by balance are designated as non-QM. Approximately 38.9% of the loans in the pool made to investors for business purposes are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicers or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible horizontal residual interest consisting of a portion of the Class B-3 Notes and 100% of the Class XS Notes, collectively representing at least 5.0% of the aggregate fair value of the Notes (other than the Class SA, and Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in February 2027 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Notes at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). However, in contrast to the prior Morningstar DBRS-rated transaction from this shelf, in the case of a Credit Event, principal proceeds will be allocated to cover interest shortfalls on the Class A-1 and then in reduction of the Class A-1 note balance, before a similar allocation of funds to the Class A-2 (IPIP). Prior issuance would typically allocate principal (after a Credit Event) to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. In the current transaction, and the prior transaction, for the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. Of note, the Class A-1, A-2, and A-3 Notes coupon rates step up by 100 basis points on and after the payment date in March 2028. Interest and principal otherwise payable to the Class B-3 Notes as accrued and unpaid interest may be used to pay the Class A-1, A-2, and A-3 Notes Cap Carryover Amounts after the Class A coupons step up. Morningstar DBRS' credit ratings on the Notes 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 Notes are the related Current Interest, Interest Carryforward Amount, and the related Note Amount. 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. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' credit ratings on the Class A-1, Class A-2, and Class A-3 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A-1, Class A-2, and Class A-3 Notes if the Class A-1, Class A-2, and Class A-3 Notes remain outstanding on the step-up date (March 2028) in accordance with the applicable transaction document(s). 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. BRAVO RESIDENTIAL 2024-NQM3: Fitch Gives B(EXP) Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2024-NQM3 (BRAVO 2024-NQM3). Entity/Debt Rating ----------- ------ BRAVO 2024-NQM3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The BRAVO 2024-NQM3 notes are supported by 686 loans with a total balance of approximately $325.63 million as of the cutoff date. Approximately 36.0% of the loans in the pool were originated by Citadel (dba Acra Lending) [Citadel], 12.2% by Deephaven Mortgage LLC (Deephaven), 9.8% by ClearEdge Lending LLC (ClearEdge), 5.2% by All Credit Considered Mortgage, Inc. (ACC), and the remaining loans by multiple originators, each of which originated less than 5% of the mortgage loans. Approximately 40.7% of the loans will be serviced by Selene Finance LP (Selene), 36.0% by Citadel Servicing Corporation (Citadel), primarily subserviced by ServiceMac, and 23.3% by Select Portfolio Servicing Inc (SPS). 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 9.5% above a long-term sustainable level, versus 11.4% on a national level, as of 3Q23, up 1.7% since 2Q23. Housing affordability is at its worst in decades driven by high interest rates and elevated home prices. Home prices increased 5.5% YoY nationally, as of December 2023, despite modest regional declines but are still supported by limited inventory. Non-Qualified Mortgage Credit Quality (Mixed): The collateral consists of 686 loans totaling around $325.63 million and seasoned at around seven months in aggregate, calculated by Fitch as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile, a 731 model FICO and a 40% debt to income (DTI) ratio, including mapping for debt service coverage ratio (DSCR) loans, and moderate leverage of 76% for a sustainable loan to value (sLTV) ratio. Of the pool, 60.8% of loans are treated as owner-occupied, while 39.2% 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, 2.8% of the loans were originated through a retail channel. Of the loans, 64.5% are non-qualified mortgages (non-QMs), 0.2% are high-priced qualified mortgages (HPQM), while the Ability to Repay/Qualified Mortgage Rule (ATR) is not applicable for the remaining portion. Loan Documentation (Negative): Approximately 89.1% of the pool loans were underwritten to less than full documentation, as determined by Fitch, and 48.5% 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, 21.4% 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, 0.01% (6 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. On or after April 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 principal and interest (P&I) 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 41.1% 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% PD credit was applied at the loan level for all loans graded either 'A' or 'B'; - Fitch lowered its loss expectations by approximately 48bps as a result of the diligence review. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRYANT PARK 2024-22: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC's floating- and fixed rate-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Marathon Asset Management L.P. The preliminary ratings are based on information as of March 14, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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 Bryant Park Funding 2024-22 Ltd./Bryant Park Funding 2024-22 LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $4.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $20.00 million: A+ (sf) Class C-2 (deferrable), $4.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $37.25 million: Not rated BX COMMERCIAL 2024-XL5: Moody's Assigns Ba1 Rating to Cl. E Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by BX Commercial Mortgage Trust 2024-XL5, Commercial Mortgage Pass-Through Certificates, Series 2024-XL5: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa1 (sf) Cl. C, Definitive Rating Assigned Aa3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba1 (sf) Cl. HRR, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interests in in a portfolio of 186 primarily industrial properties encompassing approximately 16,586,173 SF. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The collateral portfolio consists of 186 primarily industrial properties located across eleven states and 20 distinct markets. The metropolitan statistical area concentration is in Seattle (14.8% of net rentable area (the "NRA") and 16.1% of underwritten NOI) and the largest state concentration is in California (14.9% of NRA and 18.6% of underwritten NOI). The portfolio's property-level Herfindahl score is 65.7 based on allocated loan amount (the "ALA"). The collateral properties contain a total of 16,586,173 SF of NRA across the following six industrial and commercial subtypes: Warehouse (40.4% of NRA, 36.9% of underwritten NOI); Light Industrial (32.0%, 33.6%); Bulk Warehouse (17.5%, 17.4%); Manufacturing (8.6%, 10.7%); Office/Retail (1.2%, 1.1%); and Industrial (0.4%, 0.2%). Property size ranges between 3,600 SF and 846,155 SF, and averages approximately 89,173 SF. Maximum clear heights for properties range between 11 feet and 36 feet, and average approximately 25 feet. Construction dates for properties in the portfolio range between 1964 and 2007, with a weighted average year built of 1992. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 0.98X and Moody's first mortgage actual stressed DSCR is 0.74X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $2,350,000,000 represents a Moody's LTV ratio of 113.3% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 101.5%, compared with 101.2% in place at Moody's provisional ratings, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's property quality grade is 0.75. Notable strengths of the transaction include: proximity to global gateway markets, infill locations, strong occupancy with rent growth, geographic diversity, tenant granularity, multiple property pooling and experienced sponsorship. Notable concerns of the transaction include: high Moody's LTV, rollover risk, property age, floating-rate interest-only loan profile, non-sequential prepayment provision, and credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. CARLYLE US 2018-2: S&P Affirms BB- (sf) Rating on Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R and A-2-R replacement debt from Carlyle US CLO 2018-2 Ltd./Carlyle US CLO 2018-2 LLC, a CLO originally issued in 2018 that is managed by Carlyle CLO Management LLC. At the same time, S&P withdrew its ratings on the original class A-1 and A-2 debt following payment in full on the March, 20, 2024, refinancing date. S&P also affirmed its ratings on the class B, C, and D debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- A non-call period was implemented for the class A-1-R and A-2-R debt, ending Sept. 20, 2024. -- No additional assets were purchased on the March 20, 2024, refinancing date. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 15, 2024 -- The required minimum overcollateralization and interest coverage ratios remain unchanged. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class D debt after considering the relatively stable overcollateralization ratio since our last rating action on the transaction, the portfolio's manageable exposure to 'CCC'/'D' rated collateral, and the fact that the transaction is now in its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt are paid down." Replacement And Original Debt Issuances Replacement debt -- Class A-1-R, $359.76 million: Three-month term SOFR + 1.15% -- Class A-2-R, $61.60 million: Three-month term SOFR + 1.80% Original debt -- Class A-1, $359.76 million: Three-month term SOFR + 1.35161% -- Class A-2, $61.60 million: Three-month term SOFR + 1.86161% -- Class B, $55.40 million: Three-month term SOFR + 2.31161% -- Class C, $33.00 million: Three-month term SOFR + 3.16161% -- Class D, $27.00 million: Three-month term SOFR + 5.51161% -- Subordinated notes, $59.55 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis to estimate future performance, based on the portfolio and transaction data in the trustee report. 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 rating assigned to the debt remain consistent with the credit enhancement available to support it, and we will take rating actions as we deem necessary." Ratings Assigned Carlyle US CLO 2018-2 Ltd./Carlyle US CLO 2018-2 LLC Class A-1-R, $359.76 million: AAA (sf) Class A-2-R, $61.60 million: AA (sf) Ratings Withdrawn Carlyle US CLO 2018-2 Ltd./Carlyle US CLO 2018-2 LLC Class A-1 to NR from AAA (sf) Class A-2 to NR from AA (sf) Ratings Affirmed Carlyle US CLO 2018-2 Ltd./Carlyle US CLO 2018-2 LLC Class B, $55.40 million: A (sf) Class C, $33.00 million: BBB- (sf) Class D, $27.00 million: BB- (sf) NR--Not rated. CARLYLE US 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2024-1, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2024-1, Ltd A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Carlyle US CLO 2024-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.87, versus a maximum covenant, in accordance with the initial expected matrix point of 27. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.56% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.65% versus a minimum covenant, in accordance with the initial expected matrix point of 72.05%. Portfolio Composition (Neutral): The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Positive): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A notes; and as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D; and 'BBBsf' for class E USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. CARVANA AUTO 2024-N1: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc finalized its provisional ratings to the classes of notes issued by Carvana Auto Receivables Trust 2024-N1 (CRVNA 2024-N1 or the Issuer) as follows: -- $41,100,000 Class A-1 Notes at R-1 (high) (sf) -- $124,000,000 Class A-2 Notes at AAA (sf) -- $68,270,000 Class A-3 Notes at AAA (sf) -- $77,130,000 Class B Notes at AA (sf) -- $46,010,000 Class C Notes at A (sf) -- $32,450,000 Class D Notes at BBB (high) (sf) -- $55,570,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The ratings are based on Morningstar DBRS's 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, subordination, a fully funded 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. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of Carvana, LLC (Carvana) and Bridgecrest Credit Company, LLC and considers the entities to be an acceptable originator and servicer, respectively, of auto loans. (4) The operational history of Carvana and the strength of the overall company and its management team. -- Company management has considerable experience in the consumer lending business. -- Carvana has a technology-driven platform that focuses on providing the customer with high-level experience, selection, and value. Its website and smartphone app provide the consumer with vehicle search and discovery (currently showing more than 34,000 vehicles online); the ability to trade or sell vehicles almost instantaneously; and real-time, personalized financing. Carvana has developed underwriting policies and procedures for use across the lending platform that leverages technology where appropriate to validate customer identity, income, employment, residency, creditworthiness, and proper insurance coverage. -- Carvana has developed multiple proprietary risk models to support various aspects of its vertically integrated automotive lending business. All proprietary risk models used in Carvana's lending business are regularly monitored and tested. The risk models are updated from time to time to adjust for new performance data, changes in customer and economic trends, and additional sources of third-party data. (5) The credit quality of the collateral, which includes Carvana-originated loans with Deal Scores of 49 or lower. -- As of the February 11, 2024 Cut-off Date, the collateral pool for the transaction is primarily composed of receivables due from nonprime obligors with a weighted-average (WA) FICO score of 578, WA annual percentage rate of 21.68%, and WA loan-to-value ratio of 101.6%. Approximately 59.69%, 28.16%, and 12.14% of the pool include loans with Carvana Deal Scores greater than or equal to 30, between 10 and 29, and between 0 and 9, respectively. Additionally, 1.68% is composed of obligors with FICO scores greater than 751, 35.83% consists of FICO scores between 601 and 750, and 62.49% is from obligors with FICO scores less than or equal to 600 or with no FICO score. -- Morningstar DBRS analyzed the performance of Carvana's auto loan and retail installment contract originations and static pool vintage loss data broken down by Deal Score to determine a projected CNL expectation for the CRVNA 2024-N1 pool. (6) The Morningstar DBRS CNL assumption is 14.30% based on the cut-off date pool composition. -- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update," published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (7) Carvana's financial condition as reported in its annual report on Form 10-K filed as of February 23, 2023. (8) The legal structure and expected presence of legal opinions, which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Carvana, that the trust has a valid first-priority security interest in the assets, and consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." The ratings on the Class A-1, Class A-2 and Class A-3 Notes reflect 48.75% of initial hard credit enhancement provided by the subordinated notes in the pool (47.50%) and the reserve account (1.25%). The ratings on the Class B, C, D, and E Notes reflect 31.40%, 21.05%, 13.75%, and 1.25% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. DBRS Morningstar's credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Accrued Note Interest and the related Note Balance. DBRS Morningstar's credit rating does not address non-payment risk associated with contractual payment obligations that are not financial obligations. DBRS Morningstar's long-term credit ratings provide opinions on risk of default. DBRS Morningstar 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 DBRS Morningstar short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CARVANA AUTO 2024-P1: S&P Assigns BB+ (sf) Rating on Cl. N Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2024-P1's asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 14.69%, 11.91%, 9.94%, 6.30%, and 7.71% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.50x, 3.67x, 2.33x, and 1.73x coverage of our expected cumulative net loss of 2.30% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA+ (sf)', 'AA- (sf)', 'BBB+ (sf)', and 'BB+ (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within our credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which we believe are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, our view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Carvana Auto Receivables Trust 2024-P1 Class A-1, $43.97 million: A-1+ (sf) Class A-2, $124.96 million: AAA (sf) Class A-3, $124.96 million: AAA (sf) Class A-4, $72.78 million: AAA (sf) Class B, $13.79 million: AA+ (sf) Class C, $6.90 million: AA- (sf) Class D, $6.70 million: BBB+ (sf) Class N, $11.00 million: BB+ (sf) CHASE HOME 2024-2: DBRS Finalizes B(low) Rating on Class B-5 Certs ------------------------------------------------------------------ DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2024-2 (the Certificates) issued by Chase Home Lending Mortgage Trust 2024-2 (CHASE 2024-2): -- $641.7 million Class A-2 at AAA (sf) -- $641.7 million Class A-3 at AAA (sf) -- $641.7 million Class A-3-X at AAA (sf) -- $481.3 million Class A-4 at AAA (sf) -- $481.3 million Class A-4-A at AAA (sf) -- $481.3 million Class A-4-X at AAA (sf) -- $160.4 million Class A-5 at AAA (sf) -- $160.4 million Class A-5-A at AAA (sf) -- $160.4 million Class A-5-X at AAA (sf) -- $385.0 million Class A-6 at AAA (sf) -- $385.0 million Class A-6-A at AAA (sf) -- $385.0 million Class A-6-X at AAA (sf) -- $256.7 million Class A-7 at AAA (sf) -- $267.7 million Class A-7-A at AAA (sf) -- $267.7 million Class A-7-X at AAA (sf) -- $96.3 million Class A-8 at AAA (sf) -- $96.3 million Class A-8-A at AAA (sf) -- $96.3 million Class A-8-X at AAA (sf) -- $76.6 million Class A-9 at AAA (sf) -- $76.6 million Class A-9-A at AAA (sf) -- $76.6 million Class A-9-X at AAA (sf) -- $718.3 million Class A-X-1 at AAA (sf) -- $14.3 million Class B-1 at AA (low) (sf) -- $14.3 million Class B-1-A at AA (low) (sf) -- $14.3 million Class B-1-X at AA (low) (sf) -- $9.1 million Class B-2 at A (low) (sf) -- $9.1 million Class B-2-A at A (low) (sf) -- $9.1 million Class B-2-X at A (low) (sf) -- $6.0 million Class B-3 at BBB (low) (sf) -- $2.6 million Class B-4 at BB (low)(sf) -- $1.9 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, Class A-3, Class A-3-X, Class A-4, Class A-4-A, Class A-4-X, Class A-5, Class A-6, Class A-7, Class A-7-A, Class A-7-X, Class A-8, Class A-9, Class B-1 and Class B-2 Certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-9 and Class A-9-A certificates) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 4.85% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 2.95%, 1.75%, 0.95%, 0.60%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This 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 723 loans with a total principal balance of $754,962,965 as of the Cut-Off Date (February 1, 2024). 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 six months. All of the loans are traditional, nonagency, prime jumbo mortgage loans. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. J.P. Morgan Chase Bank N.A (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by Morningstar DBRS) will act as Securities Administrator. U.S. Bank Trust National Association will act as and Delaware Trustee. JPMCB will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. 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, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS's long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. CITIGROUP 2015-101A: S&P Lowers Class G Certs Rating to 'B- (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on six classes of commercial mortgage pass-through certificates from Citigroup Commercial Mortgage Trust 2015-101A, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on three other classes from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a 20-year, fixed rate, interest-only (IO) mortgage loan secured by the borrower's leasehold interest in a 23-story, 436,204-sq.-ft. class A office building located at 101 Avenue of the Americas in the Hudson Square office submarket of lower Manhattan. Rating Actions The downgrades on classes C, D, E, F, and G reflect: -- S&P's revised expected-case valuation, which is 15.1% lower than the valuation we derived in its last review in August 2020. Although the office collateral is 92.7% occupied, S&P used higher vacancy and tenant improvement costs to account for tenant concentration risk and weakened office submarket fundamentals reinforced by companies continuing to embrace remote and hybrid work arrangements. -- S&P's belief that, despite reporting between a 92.7% and 100.0% occupancy rate since 2015, the property's vacancy rate may increase in line with the current office submarket metrics. According to the Jan. 31, 2024, rent roll, five tenants comprising 24.8% of the net rentable area (NRA) have leases that expire through 2025. The borrower indicated that approximately 12.7% of the building's NRA is marketed for sublease. CoStar projects vacancy rates for four- and five-star office properties in the subject building's submarket to remain elevated over the next few years. -- The affirmations on classes A and B reflect the low debt per sq. ft. (about $257 per sq. ft. through class B), among other factors. S&P lowered its rating on the class X-B IO certificates and affirmed its rating on the class X-A IO certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. Class X-A's notional amount references the balance of class A. Class X-B's notional amount references the balances of classes B and C. S&P said, "In our Aug. 6, 2020, review, the property was 99.7% occupied. However, we assumed a 10.0% vacancy rate (on par with the submarket vacancy rate at that time) to account for tenant concentration and high rollover risks during the loan term, an $83.27-per-sq.-ft. gross rent, as calculated by S&P Global Ratings, and a 52.2% operating expense ratio to derive an S&P Global Ratings' long-term sustainable net cash flow (NCF) of $13.8 million. Using an S&P Global Ratings capitalization rate of 6.50% and adding to value approximately $19.0 million (mainly for the present value of the difference between our assumed ground rent expenses 10 years beyond the loan term and the actual in place ground rent expenses), we arrived at an S&P Global Ratings expected-case value of $231.4 million, or $530 per sq. ft. "Since our last review, the property's reported NCF dipped in 2021 and 2022 and rebounded slightly in 2023 to $19.5 million. The reported occupancy fell to 92.7%, according to the Jan. 31, 2024, rent roll, which reflects co-working tenant RGN-New York downsizing to 3.5% of the NRA at the property in October 2023 from 7.0% and former tenant Topology Inc. (3.5% of NRA) vacating the premises upon its lease expiration in September 2022. In addition, five tenants comprising 24.8% of the NRA have leases that expire through 2025. The borrower indicated that approximately 13.2% of the building's NRA is marketed for sublease. CoStar noted that average vacancy rate for four- and five-star office properties in the subject building's submarket is 15.8% as of year-to-date March 2024. "As a result, to account for tenant concentration and high rollover during the loan term, we assumed a 15.0% vacancy rate (on par with the current submarket vacancy level), an $87.83-per-sq.-ft. S&P Global Ratings' gross rent, a 57.1% operating expense ratio, and higher tenant improvement costs to arrive at a S&P Global Ratings long-term sustainable NCF of $11.9 million, 13.9% lower than our last review NCF of $13.8 million. Using a 6.5% S&P Global Ratings capitalization rate, unchanged from the last review, and adding to value about $13.5 million for the present value of the difference between our assumed ground rent expenses 10 years beyond the loan and the actual in place ground rent expenses, we derived an S&P Global Ratings expected-case value of $196.4 million, or $450 per sq. ft., which is 15.1% lower than our last review value of $231.4 million and 50.9% below the issuance appraisal value of $400.0 million. This yielded an S&P Global Ratings loan-to-value ratio of 101.8% on the trust balance, up from 86.4% in our last review." Although the model-indicated ratings were lower than the current or revised ratings on classes A, B, C, D, and E, S&P tempered its downgrades on classes C, D, and E and affirmed its ratings on classes A and B because of certain qualitative considerations. These include: -- The potential that the sponsor can backfill vacant spaces in a timely manner despite weakened office submarket fundamentals. -- The low near-term default risk, in our view. The loan does not mature until January 2035 and has a reported debt service coverage of 2.07x as of year-end 2023. -- The low-to-moderate debt per sq. ft. for these classes ($406 per sq. ft. though class E). -- The significant market value decline based on the 2015 appraisal value that would be needed 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. S&P said, "We will continue to monitor the property's tenancy and performance. If we receive information that differs materially from our expectations, such as reported negative changes in the performance beyond what we already considered, or the loan transfers to special servicing and the workout strategy negatively affects the transaction's liquidity and recovery, we may revisit our analysis and take further rating actions as we deem appropriate." Property-Level Analysis The 23-story, 436,204-sq.-ft. (of which 2,110 sq. ft. is retail space) class A office building is located at 101 Avenue of the Americas in the Hudson Square office submarket of lower Manhattan. It was built in 1990 for single-tenancy occupancy, and the sponsor, Edward J. Minskoff Equities Inc., spent approximately $57.0 million through 2015 in renovations and capital expenditures since the sole original tenant vacated in 2011. The building is less than one mile from the recently completed St. John's Terminal, Google's new headquarters in New York City, and is at the foot of the Holland Tunnel, which connects lower Manhattan to New Jersey. The property initially benefits from lower tax obligations during the first 10 years of the loan through a tax abatement program under New York City's Industrial and Commercial Abatement Program (ICAP) that ends in 2025. According to Wells Fargo, the unabated real estate taxes were estimated to be about $8.5 million, up from $4.7 million expected at issuance. Since the reported year-end 2023 real estate taxes were $8.0 million, we assessed that the tax benefit has virtually phased out and assumed the 2023 real estate tax amount in our current analysis with no add to value adjustment. The property is subject to a ground lease as of Dec. 19, 1989, between the borrower as lessee and The Rector, Church Wardens, and Vestrymen of Trinity Church in the City of New York as lessor. The ground lease expires on Dec. 18, 2088, with no extension options and specifies an annual fixed base rent payment that escalates 3.0% per annum, compounded annually. At issuance, the annual ground rent payment was $1.6 million. As of year-end 2023, the servicer reported ground rent expenses of $2.1 million. We assumed ground rent expenses 10 years beyond the loan term of $3.8 million in our analysis. The reported NCF declined 6.6% in 2021 to $20.0 million from $21.4 million in 2020. It fell another 8.6% to $18.2 million in 2022 before increasing 7.1% to $19.5 million in 2023. The reported occupancy was 99.7% in 2021, 96.1% in 2022, and 92.4% in 2023. According to the Jan. 31, 2024, rent roll, the property was 92.7% occupied. The five largest tenants comprised 90.6% of NRA and included: -- New York Genome Center Inc. (38.5% of NRA, 38.4% of in place gross rent, as calculated by S&P Global Ratings, September 2033 lease expiration). -- Two Sigma Investments LLC (32.3%, 39.9%, April 2029, except for 7.3% of NRA that expires in April 2024. The tenant has a one-time termination option with notice no later than 18 months prior to April 30, 2024. S&P assessed that the sponsor exercised its termination option because, according to the January 2024 rent roll, the tenant's leases on the 19th and 21st floors expire in April 2024. According to the servicer, the tenant currently operates at a 40-55% utilization rate. Its headquarters is adjacent to the subject property at 100 Avenue of the Americas). -- Digital Ocean (10.3%, 11.4%, June 2025. According to the servicer, the tenant has marketed a portion of its space for sublease). -- Huntsworth Healthcare Group (5.9%, 5.8%; May and June 2024. According to the servicer, the entire space is currently subleased to Two Sigma Investments LLC). -- RGN-New York XX LLC (3.6%, 2.0%, December 2028. The tenant renewed a portion of its space in October 2023). -- The property faces elevated tenant rollover risk in 2024 (14.5% of NRA; 16.2% of S&P Global Ratings' in-place gross rent), 2025 (10.3%; 11.4%), 2029 (25.1%; 31.0%), and 2033 (38.5%; 38.4%). According to CoStar, the Hudson Square office submarket, like other New York City office submarkets, has experienced high vacancies and low demand mainly driven by companies adopting hybrid or remote work arrangements and/or a flight to quality to newer and modern office buildings. As of year-to-date March 2024, the four- and five-star office properties in the submarket had a reported 15.8% vacancy rate, 21.4% availability rate, and $76.33-per-sq.-ft. asking rent, compared with a 6.6% vacancy rate and a $76.99-per-sq.-ft. asking rent in 2020. The property is currently 92.7% leased with a gross rent of $84.55 per sq. ft., as calculated by S&P Global Ratings. CoStar projects the submarket vacancy for four- and five-star office properties to increase to 27.4% in 2024 before decreasing to 16.3% in 2025 and 16.1% in 2026 and the asking rent to contract to $75.63 per sq. ft., $72.83 per sq. ft., and $73.27 per sq. ft. for the same periods. As S&P previously discussed, it utilized a 15.0% vacancy rate, in line with the current submarket vacancy rate, in its current analysis to account for the near-term tenant rollover, high tenant rollover during loan term, and concentrated tenancy at the property,. Table 1 Reported collateral performance by servicer 2023(I) 2022(I) 2021(I) Occupancy rate (%) 92.4 96.1 99.7 Net cash flow (mil. $) 19.5 18.2 20.0 Debt service coverage (x) 2.07 1.93 2.12 Appraisal value (mil. $) 400.0 400.0 400.0 (i)Reporting period. Table 2 S&P Global Ratings' key assumptions CURRENT LAST REVIEW ISSUANCE (MARCH (AUGUST (JANUARY 2024)(I) 2020)(I) 2015)(I) Vacancy rate (%) 15.0 10.0 7.0 Net cash flow (mil. $) 11.9 13.8 13.6 Capitalization rate (%) 6.50 6.50 6.50 Value (mil. $) 196.4 231.4 236.9 Value per sq. ft. ($) 450 530 543 Loan-to-value ratio (%) 101.8 86.4 84.4 (i)Review period. Transaction Summary The 20-year, IO mortgage loan had an initial and current balance of $200 million (according to the March 15, 2024, trustee remittance report), pays an annual fixed interest rate of 4.65%, and matures on Jan. 10, 2035. The borrower is permitted to incur future debt, subject to certain performance hurdles, an acceptable intercreditor agreement, a non-consolidation opinion, and rating agency confirmation. The servicer, Wells Fargo Bank N.A., confirmed that no mezzanine debt or preferred equity was incurred currently. Through its March 2024 debt service payment, the loan has a reported current payment status. To date, the trust has not incurred and principal loss. Wells Fargo reported a 2.07x debt service coverage for year-end 2023 and 1.93x for year-end 2022. Ratings Lowered Citigroup Commercial Mortgage Trust 2015-101A Class C to 'A (sf)' from 'A+ (sf)' Class D to 'BBB (sf)' from 'BBB+ (sf)' Class E to 'BB- (sf)' from 'BB (sf)' Class F to 'B- (sf)' from 'B+ (sf)' Class G to 'B- (sf)' from 'B+ (sf)' Class X-B to 'A (sf)' from 'A+ (sf)' Ratings Affirmed Citigroup Commercial Mortgage Trust 2015-101A Class A: AAA (sf) Class B: AA (sf) Class X-A: AAA (sf) CITYSCAPE HOME 1996-2: Moody's Lowers Rating on A-5 Notes to B1 --------------------------------------------------------------- Moody's Ratings has downgraded the rating of Class A-5 issued by Cityscape Home Equity Loan Trust 1996-2. The collateral backing this deal consists of subprime mortgages. The complete rating action is as follow: Issuer: Cityscape Home Equity Loan Trust 1996-2 A-5, Downgraded to B1 (sf); previously on Sep 6, 2023 Affirmed A1 (sf) RATING RATIONALE The rating downgrade of Class A-5 from Cityscape Home Equity Loan Trust 1996-2 reflects the heightened likelihood that this bond may not be paid in full prior to its stated final scheduled distribution date in August 2026. For structured finance securities with third-party support, the rating applied is typically the higher of the support provider's rating and the underlying rating. For the bond in this rating action, the collateral pool backing the transaction has decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology. Moody's does not maintain underlying ratings on US RMBS transactions where the effective number of borrowers has reduced below the threshold. Following the withdrawal of the underlying rating in February 2012, the current rating on the security reflected the rating of the support provider, Assured Guaranty Municipal Corp. While a financial guaranty insurance policy will be in effect until the tranche is paid off, it does not guarantee the payment of the full principal balance by the stated final scheduled distribution date in August 2026. Moody's analysis takes into consideration Moody's estimate of the principal amount outstanding on the stated final scheduled distribution date based on the average amortization speed of the tranche balance over the past 12 months. Therefore, the rating downgrade of Class A-5 from Cityscape Home Equity Loan Trust 1996-2 to below the support provider's rating (Assured Guaranty Municipal Corp. – Long term rating of A1) reflects the heightened likelihood that this bond may not be paid in full prior to its stated final scheduled distribution date in August 2026, on which Moody's current rating is based. Principal Methodology The principal methodology used in this rating was "Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology" 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 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. COLUMBIA CENT 32: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, B-1-R, D-R, and X-R debt and A-1-R loans from Columbia Cent CLO 32 Ltd., a CLO originally issued in 2022 that is managed by Columbia Cent CLO Advisors LLC. At the same time, S&P withdrew its ratings on the original class A-1, B-1, D, and X debt and the class A-1 loans following payment in full on the March 15, 2024, refinancing date. S&P also affirmed its ratings on the class A-F, A-FJ, B-F, C-1, C-F, and E debt, which were not refinanced. The replacement debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period on the refinanced debt is being extended to April 24, 2025. Replacement And Original Debt Issuances Replacement debt Class A-1-R loans, $50.00 million: Three-month SOFR + 1.45% Class A-1-R, $150.00 million: Three-month SOFR + 1.45% Class A-F, $24.00 million: 4.49%(i) Class A-FJ, $7.00 million: 4.82%(i) Class B-1-R, $15.00 million: Three-month SOFR + 2.05% Class B-F, $20.00 million: 5.20%(i) Class C-1, $16.00 million: Three-month SOFR + 3.17%(i) Class C-F, $5.00 million: 5.97%(i) Class D-R, $21.00 million: Three-month SOFR + 3.70% Class E, $11.38 million: Three-month SOFR + 8.07%(i) Class X-R, $1.29 million: Three-month SOFR + 1.15% Subordinated notes, $30.25 million: Not applicable(i) (i)Tranche was not refinanced. Original debt Class A-1 loans, $50.00 million: Three-month SOFR + 1.70% Class A-1, $150.00 million: Three-month SOFR + 1.70% Class A-F, $24.00 million: 4.49% Class A-FJ, $7.00 million: 4.82% Class B-1, $15.00 million: Three-month SOFR + 2.40% Class B-F, $20.00 million: 5.20% Class C-1, $16.00 million: Three-month SOFR + 3.17% Class C-F, $5.00 million: 5.97% Class D, $21.00 million: Three-month SOFR + 4.20% Class E, $11.38 million: Three-month SOFR + 8.07% Class X, $1.29 million: Three-month SOFR + 1.15% Subordinated notes, $30.25 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 notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class A-1-R Loans, $50.00 million: AAA (sf) Class A-1-R, $150.00 million: AAA (sf) Class B-1-R, $15.00 million: AA (sf) Class D-R, $21.00 million: BBB- (sf) Class X-R, $1.29 million: AAA (sf) Ratings Affirmed Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class A-F, $24.00 million: AAA (sf) Class A-FJ, $7.00 million: AAA (sf) Class B-F, $20.00 million: AA (sf) Class C-1, $16.00 million: A (sf) Class C-F, $5.00 million: A (sf) Class E, $11.38 million: BB- (sf) Ratings Withdrawn Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Class A-1 Loans to NR from AAA (sf) Class A-1 to NR from AAA (sf) Class B-1 to NR from AA (sf) Class D to NR from BBB- (sf) Class X to NR from AAA (sf) Other Outstanding Ratings Columbia Cent CLO 32 Ltd./Columbia Cent CLO 32 Corp. Subordinated notes: NR NR--Not rated. COMM 2013-CCRE13: Moody's Downgrades Rating on 2 Tranches to Ba1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on two classes in COMM 2013-CCRE13 Mortgage Trust, Commercial Pass-Through Certificates, Series 2013-CCRE13 as follows: Cl. C, Downgraded to Ba1 (sf); previously on May 25, 2023 Downgraded to Baa2 (sf) Cl. PEZ, Downgraded to Ba1 (sf); previously on May 25, 2023 Downgraded to A2 (sf) RATINGS RATIONALE The rating on the P&I class, Cl. C, was downgraded primarily due to the increased risk of interest shortfalls as a result of the significant exposure to specially serviced and delinquent loans. As of the March 2024 remittance statement, six loans (97% of the pool) are in special servicing, have passed their scheduled maturity dates, and are 60 or more days delinquent on their monthly debt service payments. Furthermore, the largest loan, 175 West Jackson (58% of the pool), has been deemed non-recoverable by the master servicer and is secured by a distressed office property. As a result of the non-recoverability determination on the 175 West Jackson Loan and the exposure to loans in special servicing, interest shortfalls have impacted up to Cl. D as of the March 2024 remittance statement. Since nearly all the remaining loans are delinquent and in special servicing, the interest shortfalls are expected to continue and may increase if the loans remain delinquent on debt service payments. The rating on the exchangeable class, Cl. PEZ, was downgraded based on a decline in the credit quality of its referenced exchangeable classes and principal paydowns of higher quality referenced exchangeable classes. Cl. PEZ originally referenced Cl. A-M, Cl. B and Cl. C. However, Cl. A-M and Cl. B have now paid off in full and Cl. C is the only outstanding referenced classes. Moody's rating action reflects a base expected loss of 50.4% of the current pooled balance, compared to 8.4% at Moody's last review. Moody's base expected loss plus realized losses is now 6.9% of the original pooled balance, compared to 6.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 97% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the March 12, 2024 distribution date, the transaction's aggregate pooled certificate balance has decreased by 87% to $139.2 million from $1.1 billion at securitization. The certificates are collateralized by seven mortgage loans, all of which have now passed their anticipated scheduled maturity dates. As of the March 2024 remittance statement cumulative interest shortfalls were $5.2 million and impacted up to Cl. D. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), non-recoverable determinations, loan modifications and extraordinary trust expenses. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $6.5 million. Six loans, constituting 97% of the pool, are currently in special servicing. The largest specially serviced loan is the 175 West Jackson Loan ($80.5 million – 57.9% of the pool), which represents a pari passu portion of a $251 million mortgage loan. The loan is secured by a Class A, 22-story office building totaling 1.45 million square feet (SF) and located within the CBD of Chicago, Illinois. The property's performance has declined steadily since 2015, with occupancy declining to 55% in December 2023 from 86% in 2015, and the year-end 2023 net operating income (NOI) was 51% lower than in 2013. The loan first transferred to special servicing in March 2018 for imminent monetary default and was subsequently assumed by Brookfield Property Group as the new sponsor in connection with the purchase of the property for $305 million, returning to the master servicer in August 2018. However, in November 2021, the loan transferred back to special servicing, and as of the March 2024 remittance statement was last paid through its March 2023 payment date. The most recent appraisal value was 34% below the outstanding loan balance and this loan has been deemed non-recoverable by the master servicer. The special servicer commentary indicates a receiver was hired to market the property for sale with a potential loan assumption, and the special servicer is currently in the process of reviewing offers. Moody's expects a significant loss from this loan. The second largest specially serviced loan is the Park Plaza ($16.1 million – 11.6% of the pool), which is secured by a 210,774 SF, four-story suburban office building located in Naperville, Illinois. The loan transferred to special servicing in November 2023 due to imminent default and failed to pay off at its scheduled maturity date in November 2023. The property was 69% leased as of March 2023, the same as in December 2022 and compared to 83% in December 2021. Due to the decrease in occupancy, the property's NOI has declined in recent years and the year-end 2022 NOI was 35% below the NOI in 2014. Additionally, the property faces significant upcoming lease rollover risk from the largest tenant, Travelers Indemnity Company (51.4% of the NRA), which has a lease expiration in June 2024. As of the March 2024 remittance statement the loan was classified as non-performing maturity and was last paid through October 2023. Per the servicer commentary, the special servicer is evaluating workout options with the borrower. The third largest specially serviced loan is the 525 West 22nd Street ($14.2 million – 10.2% of the pool), which is secured by a 16,225 SF retail gallery located in New York, New York. The subject is 100.0% occupied by established gallery retail tenants and sits in Manhattan's Gallery District, with direct proximity to the New York City High Line. The loan remained mostly current during the loan term but transferred to special servicing ahead of its scheduled maturity date in December 2023 and is last paid through its November 2023 payment date. The property was previously impacted by the coronavirus pandemic and while occupancy returned to 100% after temporarily dipping to 42% in 2020, the rental rates have fallen upon lease renewals. The year-end 2022 NOI DSCR was 0.99X based on interest only payments at a 5.2% interest rate. An updated appraisal value was reported in January 2024 that was 32% below the value at securitization and marginally above the outstanding loan balance. Per servicer commentary, the borrower is working toward a modification that could involve a principal paydown and the special servicer is dual-tracking foreclosure while negotiating resolution options with the borrower. The fourth largest specially serviced loan is the Plaza Riviera loan ($9.8 million – 7.0% of the pool). The loan is secured by an office in Redondo Beach, California. The property's performance has declined significantly since 2019 due to declines in occupancy and the loan's DSCR has been below 1.00X since 2020. As of September 2023, the property was 59% leased, compared to 61% in 2022 and 93% at the time of securitization. The loan has amortized 18% since securitization, however, the loan failed to pay off at its November 2023 maturity date and was unable to secure refinancing after several forbearances and the loan transferred to special servicing in February 2024. As of the March 2024 remittance date, the loan was last paid through its December 2023 payment date. The remaining two specially serviced loans are secured by a limited-service hotel property located in Moon Township, Pennsylvania, and a retail property located in Austin, Texas, that are both classified as non-performing maturity and were last paid through their November 2023 maturity date. The sole performing loan is the Walgreens - Silsbee, TX loan ($3.6 million – 2.6% of the pool), which is secured by free-standing retail building located in Silsbee, Texas. Walgreens occupies 100% of the building on an absolute NNN lease. The property performance has been consistent and is in line with securitization. The loan has passed its anticipated repayment date and has a final maturity date in 2035. The loan has amortized approximately 15% since securitization and Moody's LTV and stressed DSCR are 110% and 0.86X, respectively, compared to 113% and 0.84X at the last review. CSAIL 2016-C5: DBRS Confirms B Rating on Class X-F Certs -------------------------------------------------------- DBRS Limited confirmed all credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-C5 issued by CSAIL 2016-C5 Commercial Mortgage Trust as follows: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at AA (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) Morningstar DBRS changed the trends on Classes X-D, D, X-E, E, X-F, and F to Negative from Stable. All other trends remain Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations since the last rating action. However, there are some challenges for the pool with two loans in special servicing and the highest concentration of non-defeased loans secured by office properties, with exposure to challenged markets and near-term tenant rollover. Morningstar DBRS notes mitigating factors in the moderate loss severities expected for the specially serviced loans and the overall stable performance as of the most recent reporting for most of the office loans in the pool. The transaction also benefits from the seven years of amortization since issuance, as well as significant defeasance and loan repayments, as further described below. However, given the loan-specific challenges and heightened credit risk for some of the office loans, most notably 401 Market (Prospectus ID#5, 8.6% of the pool), and increased loss expectations, the Negative trends for the three lowest-rated classes most exposed to loss were warranted. The 401 Market loan is collateralized by a 484,643 square foot (sf), Class A office building in the Center City submarket of Philadelphia. Since issuance, the property has been fully leased to two tenants, Wells Fargo (66.8% of the net rentable area (NRA)) and American Bible Society (28.1% of the NRA). The loan was added to the servicer's watchlist in November 2023 after Wells Fargo indicated it will not be renewing its lease upon expiration in September 2024, having already vacated one floor (8.0% of the NRA). The Wells Fargo lease is part of a larger, multi-property, master lease agreement, which allows the tenant to terminate up to 234,336 sf across the larger portfolio without payment of a termination fee; however, the tenant or the guarantor will be required to pay a termination fee equal to the net present value of the remaining lease payments for the outstanding lease term on the remainder of the space. As of the February 2024 reporting, the borrower had access to reserves totaling $4.7 million to help re-tenant the space. While the tenant's departure will result in a below breakeven coverage without any leasing momentum, Wells Fargo (34.7% of the gross rent) currently pays a rental rate of only $6.22 psf, well below the submarket effective rental rate of $24.95 psf and the asking rental rate of $33.53 psf according to Reis, indicating that future leasing could lead to potential upside. The tenant, however, has occupied the majority of its space since 2004 and the space is in need of capital expenditure. In addition, the Center City submarket has experienced just 1.6% rent growth over the past four years, with vacancy doubling from 7.3% as of Q1 2020 to 14.6% as of Q4 2023, with significant negative absorption during that time period. Given the anticipated vacancy and soft market conditions, its value is expected to decline significantly prior to loan maturity in October 2025, indicating elevated refinance risk. As such, Morningstar DBRS analyzed the loan with elevated probability of default and stressed loan-to-value (LTV) assumptions, resulting in an expected loss almost three times the pool average. As of the February 2024 reporting, 48 of the original 59 loans remain in the pool, with an aggregate principal balance of $615.3 million, reflecting a collateral reduction of 34.3% since issuance as a result of loan repayments, scheduled amortization, and the liquidation of three loans. Since the last rating action in April 2023, one additional loan has fully defeased, bringing the total defeased collateral to 20 loans, representing 26.9% of the pool. The pool is most concentrated by office properties, representing 16.7% of the pool (or 22.9% of the pool excluding defeasance), followed by multifamily and industrial at 15.8% and 15.6%, respectively. Eight loans (20.1% of the pool) are on the servicer's watchlist, predominantly being monitored for significant near-term tenant rollover or low debt service coverage ratios (DSCR), and two loans (5.1% of the pool) remain in special servicing. For this review, Morningstar DBRS analyzed both loans in special servicing with liquidation scenarios at a total loss of nearly $12.0 million, partially writing down the principal balance of the non-rated Class NR. The largest specially serviced loan, Sheraton Lincoln Harbour Center (Prospectus ID#12, 3.2% of the pool), is secured by a 343-room full-service hotel in Weehawken, New Jersey. The loan transferred to special servicing in January 2021 and remains delinquent. At last review, Morningstar DBRS noted that the sponsor was no longer supporting operations at the hotel and the special servicer was pursuing foreclosure, while dual tracking a potential sale of the asset. The receiver listed the property for sale in 2022 and early 2023 but no acceptable bids were received and the property was taken off the market. Property operations have improved significantly since the receiver took possession with an above breakeven DSCR as of the Q3 2023 annualized financials. As of September 2023, the property reported a year-to-date occupancy rate of 87.8%, with average daily revenue (ADR) of $178 and revenue per available room (RevPAR) of $156, with demand segmentation led by corporate travel and the airline business. Despite the improvement in performance, with RevPAR approaching pre-pandemic and issuance levels, an appraisal dated July 2023 valued the property at $80.5 million, a marginal improvement over the August 2022 value of $79.5 million, but a 37.1% decline from the issuance value of $128.0 million, reflecting an LTV ratio above 110% based on the total loan exposure. In its analysis for this review, Morningstar DBRS liquidated the loan from the trust based on a haircut to the most recent appraised value, resulting in an implied loss approaching $8.0 million, or a loss severity of approximately 40%. The second specially serviced loan, Frisco Plaza (Prospectus ID#23, 1.9% of the pool), is secured by a 61,453 sf retail property in Frisco, Texas. The loan transferred to special servicing in April 2019 for imminent default after the former largest tenant, LA Fitness (previously 73.2% of NRA) defaulted on the terms of its lease by failing to pay rent. Although the borrower was subsequently able to bring the loan current, LA Fitness vacated at lease expiration in March 2021, bringing occupancy down to 16.5%, and the asset became real estate owned as of February 2022. Occupancy remains low at 22.5% as of Q3 2023, resulting in a negative cash flow. According to the most recent servicer commentary, the receiver plans to take the asset to market in 2024. An August 2023 appraisal valued the property at $13.0 million, an improvement over the February 2022 value of $10.8 million, but still around a 30.0% decline from its issuance appraised value of $18.5 million, reflecting an LTV ratio in excess of 100% based on total exposure. In its analysis for this review, Morningstar DBRS liquidated the loan from the trust based on a haircut to the most recent appraised value, resulting in an implied loss approaching $4.0 million, or a loss severity of approximately 35%. Notes: All figures are in U.S. dollars unless otherwise noted. CSMC 2019-ICE4: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-ICE4 issued by CSMC 2019-ICE4 as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class HRR at B (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the underlying collateral. The loan has exhibited significant cash flow growth since issuance and benefits from an experienced operator in Lineage Logistics, which has the largest temperature-controlled storage, warehousing, and logistics company in North America. At issuance, the collateral consisted of 64 industrial cold storage and distribution facilities totaling about 17.7 million square feet (sf) in 22 states. Two properties have been released to date, which resulted in a nominal decrease of the loan balance to $2.34 billion as of the February 2024 remittance from $2.35 billion. The transaction features a partial pro rata/sequential-pay structure, where, in the event properties are released, the first 20% of the principal balance will be paid pro rata. All remaining properties are master-leased to Lineage Logistics, following its assumption of Southeast Frozen Foods Company's operations in 2021. The interest-only, floating-rate loan is currently on the servicer's watchlist because its final maturity is in May 2024 as the loan has exercised all its extension options. Per the most recent servicer commentary, the borrower has expressed its intent to repay the loan by the maturity date. In the event that the loan is not repaid by maturity, a cash sweep would be triggered. According to the trailing 12-month period ended (T-12) September 30, 2023, financials, the net cash flow (NCF) improved to $341.3 million, compared with the YE2022 NCF of $275.6 million and the Morningstar DBRS NCF of $226.6 million. The growth in cash flow is primarily due to increases in both rental revenue and other income. However, debt service has increased given the floating-rate nature of the loan, with the T-12 September 30, 2023, debt service coverage ratio (DSCR) of 2.35 times (x), compared with the YE2022 DSCR of 4.09x. Despite the DSCR decline, the figure is still healthy and the loan is well-positioned to refinance as the collateral remains 100% occupied. Considering the near-term maturity, Morningstar DBRS took a conservative approach and maintained the issuance sizing in its analysis, which is based on the Morningstar DBRS NCF of $226.6 million and a capitalization rate of 8.75%, resulting in a Morningstar DBRS value of $2.6 billion, which represents a 21.8% haircut from the issuance appraised value of $3.3 billion. Morningstar DBRS applied positive qualitative adjustments totaling 7.5% to reflect the low cash flow volatility, good property quality, and strong market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. CWABS ASSET-BACKED 2007-12: Moody's Ups Rating on 1-A-2 Certs to B2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds issued by CWABS Asset-Backed Certificates Trust 2007-12. The collateral backing this deal consists of subprime mortgages. The complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2007-12 Cl. 1-A-2, Upgraded to B2 (sf); previously on Jan 21, 2022 Upgraded to Caa2 (sf) Cl. 2-A-3, Upgraded to A1 (sf); previously on Nov 22, 2016 Upgraded to Caa2 (sf) Cl. 2-A-4, Upgraded to B1 (sf); previously on Nov 22, 2016 Upgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect improving trends in the collateral performance and credit enhancement available to the bonds, Moody's updated loss expectations on the underlying pools and, in the case of the class 2-A-3, the short expected time to maturity. The class 2-A-3 has benefited in recent years from a senior priority in the Group 2 payment waterfall and a number of months with large prepayments, which have accelerated the speed of pay down to the class. Using the past 12 months of principal pay, and assuming no significant deterioration in collateral performance, Moody's expect the class 2-A-3 will be paid in full within the next 12 months. 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 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. DIAMETER CREDIT II: Moody's Ups Rating on $25.65MM E Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Diameter Credit Funding II, Ltd.: US$36,900,000 Class B Senior Secured Fixed Rate Notes Due 2038 (the "Class B Notes"), Upgraded to Aa1 (sf); previously on January 25, 2022 Upgraded to Aa2 (sf) US$12,150,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes Due 2038 (the "Class C Notes"), Upgraded to A1 (sf); previously on January 25, 2022 Upgraded to A2 (sf) US$12,150,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes Due 2038 (the "Class D Notes"), Upgraded to A3 (sf); previously on January 25, 2022 Upgraded to Baa2 (sf) US$25,650,000 Class E Junior Secured Deferrable Fixed Rate Notes Due 2038 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on January 25, 2022 Assigned Ba3 (sf) Diameter Credit Funding II, Ltd., originally issued in November 2019 and partially refinanced in January 2022, 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 January 2025. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE These rating actions reflect the benefit of the shortening of the weighted average life (WAL) covenant since January 2022, 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 6 years compared to 8 years when the deal was last partially refinanced in 2022. The upgrade actions also reflect benefit of the short period of time remaining before the end of the deal's reinvestment period in January 2025, after which note repayments are expected to commence. Additionally, the deal currently reports passing all its covenants. No action was taken on the Class A notes because its expected loss remains commensurate with its current rating, after taking into account the 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: $266,531,072 Defaulted par: $2,514,964 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3450 Weighted Average Coupon (WAC): 6.60% Weighted Average Recovery Rate (WARR): 33.7% Weighted Average Life (WAL): 6 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, decrease in overall 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. DK TRUST 2024-SPBX: Fitch Assigns 'B+sf' Rating on Class HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following final ratings and Ratings Outlooks to DK Trust 2024-SPBX, Commercial Mortgage Pass-Through Certificates, Series 2024-SPBX: - $265,600,000a class A 'AAAsf'; Outlook Stable; - $129,100,000a, b class X-CP 'BBB-sf'; Outlook Stable; - $129,100,000a, b class X-NCP 'BBB-sf'; Outlook Stable; - $44,600,000a class B 'AA-sf'; Outlook Stable; - $35,100,000a class C 'A-sf'; Outlook Stable; - $49,400,000a class D 'BBB-sf'; Outlook Stable; - $65,950,000a class E 'BB-sf'; Outlook Stable; - $24,350,000a, c class HRR 'B+sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only (IO). (c) Horizontal risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust that will hold a $485.0 million, two-year, floating-rate, IO commercial mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple and leasehold interests in a portfolio of 108 self-storage facilities totaling approximately 7.4 million sf and comprising 38,998 self-storage units, 4,319 parking spaces and 111 other units located in nine states. Loan proceeds in combination with $4.7 million of sponsor equity were used to refinance approximately $462.5 million of existing balance sheet debt, fund $1.3 million of upfront reserves and pay $25.9 million of closing costs. The certificates will follow a standard senior sequential-pay structure, including voluntary prepayments. The loan was originated by Bank of America, N.A. and JPMorgan Chase Bank, N.A., which will act as mortgage loan sellers. KeyBank National Association will be the servicer and special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's net cash flow (NCF) for the portfolio is estimated at $38.3 million; this is 6.0% lower than the issuer's NCF and 7.4% lower than the YE 2023 NCF. Fitch applied an 8.0% cap rate to derive a Fitch value of $478.4 million for the portfolio. Fitch Leverage: The $485 million trust loan equates to debt of approximately $66 psf with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.88x, 101.4% and 7.9%, respectively. Based on the total rated debt and a blend of the Fitch and market cap rates, the transaction's Fitch Market LTV is 59.2%. Fitch expects the Fitch Market LTV for non-investment grade tranches to not exceed 100%. Geographic Diversity: The portfolio exhibits geographic diversity, with 108 self-storage properties located across nine states encompassing 59 markets and 29 distinct MSAs. The largest three state concentrations account for 67.1% of the portfolio by allocated loan amount (ALA). This includes Texas (29 properties; 37.4% of ALA), Michigan (19 properties; 18.3% of ALA) and Arkansas (eight properties; 11.4% of ALA). No other state accounts for more than 7.3% of the ALA. Thirteen properties representing 10.9% of the ALA are located in the Amarillo, TX MSA, followed by six properties representing 9.9% of the ALA in the Waco, TX MSA. All other MSAs represent less than 4.0% of the ALA. The portfolio's effective MSA count is 16.1. Portfolios with lower effective MSA counts are more concentrated than those with higher counts. Sponsorship: The loan is sponsored by a joint venture between Davidson Kempner Capital Management LP and SpareBox. Founded in 1983, Davidson Kempner is a global institutional alternative asset management firm with over $35 billion in assets under management. SpareBox is an owner and operator of self-storage assets and the properties in this transaction comprise the company's entire portfolio. SpareBox was founded in 2020 with a business model predicated on a completely contactless system in which renters can check availability, sign leases, make payments and access their units through a computer, smartphone or kiosk. SpareBox relies upon proprietary technology to implement its business model and achieve asset management efficiencies. 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 (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'B-sf'. 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 MIR sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B+sf'; - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / 'BBsf' / 'BBsf'. 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. ELMWOOD CLO VIII: S&P Assigns Prelim B- (sf) Rating on 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 VIII Ltd./Elmwood CLO VIII LLC, a CLO originally issued in March 2021 that is managed by Elmwood Asset Management LLC. The preliminary ratings are based on information as of March 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 22, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, S&P expect 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 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 notes are expected to be issued at a higher spread over three-month CME term SOFR than the original notes. -- The replacement class F-R notes are expected to be issued at the same spread over three-month CME term SOFR as the original notes. -- The replacement class A-R, B-R, C-R, D-R, E-R, and F-R notes are expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity and reinvestment period will be extended by 3.25 years. -- The non-call period will be extended until April 2026. Replacement And Original Debt Issuances Replacement debt Class A-R, $672.00 million: Three-month CME term SOFR + 1.550% Class B-R, $126.00 million: Three-month CME term SOFR + 2.000% Class C-R, $63.00 million: Three-month CME term SOFR + 2.500% Class D-R, $63.00 million: Three-month CME term SOFR + 3.800% Class E-R, $42.00 million: Three-month CME term SOFR + 6.250% Class F-R, $15.75 million: Three-month CME term SOFR + 8.000% Subordinated notes, $94.50 million: Not applicable Original debt Class A-1, $576.00 million: Three-month LIBOR + 1.24% Class A-2, $96.00 million: Three-month LIBOR + 1.08% Class B-1, $108.00 million: Three-month LIBOR + 1.55% Class B-2, $18.00 million: Three-month LIBOR + 1.45% Class C-1, $54.00 million: Three-month LIBOR + 1.95% Class C-2, $9.00 million: Three-month LIBOR + 1.80% Class D-1, $54.00 million: Three-month LIBOR + 3.00% Class D-2, $9.00 million: Three-month LIBOR + 2.85% Class E-1, $31.50 million: Three-month LIBOR + 6.00% Class E-2, $5.25 million: Three-month LIBOR + 5.75% Class F-1, $9.00 million: Three-month LIBOR + 8.00% Class F-2, $1.50 million: Three-month LIBOR + 8.00% Subordinated notes, $94.50 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 Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC Class A-R, $672.00 million: AAA (sf) Class B-R, $126.00 million: AA (sf) Class C-R (deferrable), $63.00 million: A (sf) Class D-R (deferrable), $63.00 million: BBB- (sf) Class E-R (deferrable), $42.00 million: BB- (sf) Class F-R (deferrable), $15.75 million: B- (sf) Subordinated notes, $94.50 million: Not rated EMPOWER CLO 2024-1: S&P Assigns BB- (sf) Rating on Class E Debts ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Empower Capital Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC Class A-1, $279.000 million: AAA (sf) Class A-2, $18.000 million: AAA (sf) Class B, $45.000 million: AA (sf) Class C (deferrable), $27.000 million: A (sf) Class D-1 (deferrable), $27.000 million: BBB- (sf) Class D-2 (deferrable), $4.500 million: BBB- (sf) Class E (deferrable), $13.500 million: BB- (sf) Subordinated notes, $43.575 million: Not rated EXETER AUTOMOBILE: Fitch Affirms Ratings on 34 Classes in 6 Deals ----------------------------------------------------------------- Fitch Ratings has revised the Rating Outlooks on two classes in two Exeter Automobile Receivables Trust (EART) transactions to Negative from Stable. Fitch has also affirmed the ratings for all 34 classes of notes in six EART transactions. Entity/Debt Rating Prior ----------- ------ ----- Exeter Automobile Receivables Trust 2022-5 A-3 30167FAC6 LT AAAsf Affirmed AAAsf B 30167FAD4 LT AAsf Affirmed AAsf C 30167FAE2 LT Asf Affirmed Asf D 30167FAF9 LT BBBsf Affirmed BBBsf E 30167FAG7 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2022-6 A-3 30168AAC6 LT AAAsf Affirmed AAAsf B 30168AAD4 LT AAsf Affirmed AAsf C 30168AAE2 LT Asf Affirmed Asf D 30168AAF9 LT BBBsf Affirmed BBBsf E 30168AAG7 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-1 A-2 30168BAB6 LT AAAsf Affirmed AAAsf A-3 30168BAC4 LT AAAsf Affirmed AAAsf B 30168BAD2 LT AAsf Affirmed AAsf C 30168BAE0 LT Asf Affirmed Asf D 30168BAF7 LT BBBsf Affirmed BBBsf E 30168BAG5 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-2 A-2 30168CAB4 LT AAAsf Affirmed AAAsf A-3 30168CAC2 LT AAAsf Affirmed AAAsf B 30168CAD0 LT AAsf Affirmed AAsf C 30168CAE8 LT Asf Affirmed Asf D 30168CAF5 LT BBBsf Affirmed BBBsf E 30168CAG3 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-3 A-2 301989AB5 LT AAAsf Affirmed AAAsf A-3 301989AC3 LT AAAsf Affirmed AAAsf B 301989AD1 LT AAsf Affirmed AAsf C 301989AE9 LT Asf Affirmed Asf D 301989AF6 LT BBBsf Affirmed BBBsf E 301989AG4 LT BBsf Affirmed BBsf Exeter Automobile Receivables Trust 2023-4 A2 30166TAB9 LT AAAsf Affirmed AAAsf A3 30166TAC7 LT AAAsf Affirmed AAAsf B 30166TAD5 LT AAsf Affirmed AAsf C 30166TAE3 LT Asf Affirmed Asf D 30166TAF0 LT BBBsf Affirmed BBBsf E 30166TAG8 LT BBsf Affirmed BBsf KEY RATING DRIVERS The Negative Outlooks for the class E notes in 2022-5 and 2022-6 reflect the possibility of a downgrade in the next one to two years. The revision of the Outlook from Stable is the result of continued underperformance in these series, both higher delinquencies and defaults than initial assumptions, resulting in declining overcollateralization (OC) and consequent loss coverage under Fitch's cash flow modeling. Fitch will closely monitor the pace of losses in these series and the extent of any potential improvement in delinquencies, deferrals and defaults from the imminent tax return season in determining any rating actions on these notes. Negative rating pressure will increase for the class E notes for 2022-5 and 2022-6 if recent default performance continues without flattening. The affirmations of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking higher than the initial rating case proxies, particularly for the 2022 transactions. However, hard CE levels have grown for all classes of notes in each transaction since close based on the current collateral balance. The slower pace of expected upgrades is reflected in the continuing Stable Outlooks for these classes. As of the February 2024 distribution date, 61+ day delinquencies were 10.09%, 9.22%, 8.03%, 7.13%, 6.30%, and 5.78% for EART 2022-5, 2022-6, 2023-1, 2023-2, 2023-3, and 2023-4 respectively. Cumulative net losses (CNL) were 11.32%, 10.43%, 6.64%, 4.55%, 3.63%, and 2.41%, respectively, all tracking higher than Fitch's initial rating case proxies of 18.75%, 19.00%, 19.00%, 20.00%, 20.00%, and 20.00%, respectively. The revised lifetime rating case CNL proxies consider the transactions' remaining pool factors, pool compositions, and performance to date. Furthermore, they consider current and future macroeconomic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential further increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case loss proxies. Given the high losses of the 2022 transactions, Fitch raised the rating case CNL proxies to 25.50% and 26.50% for 2022-5 and 2022-6, respectively, each from 21.00%. Fitch also revised its delinquent interest and recovery assumptions to be consistent with recent rated series. For 2023-1, Fitch raised the rating case to 22.00% from 19.00%. Fitch also raised the ratings case for 2023-2, 2023-3, and 2023-4 to 22.00% from 20.00%. The different rating cases reflect how underperformance is most acute for the 2022 transactions. Although these transactions under some extrapolation measures are exceeding Fitch's revised CNL proxies, Fitch expects some moderation. Fitch's analysis caps defaults at 100% of the collateral pool. Fitch's base case loss expectations, which do not include a margin of safety and are not used in Fitch's quantitative analysis to assign ratings, are 1.00% lower than the rating case CNL proxy for each series resulting in 24.50%, 25.50%, 21.00%, 21.00%, 21.00%, and 21.00% for EART 2022-5, 2022-6, 2023-1, 2023-2, 2023-3, and 2023-4, respectively, based on Fitch's Global Economic Outlook and prior transaction performance. Fitch conducted updated cashflow modeling for each transaction and loss coverage multiples for the rated notes are consistent with or in excess of 3.00x for 'AAAsf', 2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for 'BBBsf' and 1.25x for 'BBsf' (except for 2022-5 and 2022-6 class E which demonstrate some compression to the multiple given the aforementioned items). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxies and affect available loss coverage and multiples levels for the transactions. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect the ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review the notes were found to have sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation for each transaction. For outstanding transactions, this scenario suggests a possible downgrade of up to three categories for all classes of notes. To date, while the transactions have weakening performance with losses sometimes exceeding Fitch's initial expectations, hard credit enhancement has built to a degree that is supportive of adequate loss coverage and multiple levels at the current ratings. Therefore, further deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding notes. 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 CNLs were 20% less than projected CNL proxy, the ratings could be affirmed or upgraded. 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. FREDDIE MAC 2023-HQA1: Moody's Hikes Rating on 16 Tranches to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 23 bonds issued by Freddie Mac STACR REMIC Trust 2023-HQA1, which was issued by the Freddie Mac to share the credit risk on a reference pool of mortgages with the capital markets. This transaction is a high-LTV transaction, which benefit from mortgage insurance. In addition, the credit risk exposure of the notes depends on the actual realized losses and modification losses incurred by the reference pool. The complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC Trust 2023-HQA1 Cl. M-1A, Upgraded to A2 (sf); previously on May 22, 2023 Definitive Rating Assigned A3 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2A, Upgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba2 (sf) Cl. M-2AI*, Upgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba2 (sf) Cl. M-2AR, Upgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba2 (sf) Cl. M-2AS, Upgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba2 (sf) Cl. M-2AT, Upgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba2 (sf) Cl. M-2AU, Upgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba2 (sf) Cl. M-2B, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2BI*, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2BR, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2BS, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2BT, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2BU, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2I*, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2R, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2RB, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2S, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2SB, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2T, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2TB, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2U, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) Cl. M-2UB, Upgraded to Ba2 (sf); previously on May 22, 2023 Definitive Rating Assigned Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. FREDDIE MAC 2024-HQA1: Moody's Assigns Ba1 Rating to 10 Tranches ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 24 classes of credit risk transfer (CRT) residential mortgage-backed securities (RMBS) issued by Freddie Mac STACR REMIC Trust 2024-HQA1, and sponsored by Federal Home Loan Mortgage Corp ("Freddie Mac"). The securities reference a pool of mortgage loans acquired by Freddie Mac and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC Trust 2024-HQA1 Cl. A-1, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned A3 (sf) Cl. M-2, Definitive Rating Assigned Baa3 (sf) Cl. M-2A, Definitive Rating Assigned Baa3 (sf) Cl. M-2AI*, Definitive Rating Assigned Baa3 (sf) Cl. M-2AR, Definitive Rating Assigned Baa3 (sf) Cl. M-2AS, Definitive Rating Assigned Baa3 (sf) Cl. M-2AT, Definitive Rating Assigned Baa3 (sf) Cl. M-2AU, Definitive Rating Assigned Baa3 (sf) Cl. M-2B, Definitive Rating Assigned Ba1 (sf) Cl. M-2BI*, Definitive Rating Assigned Ba1 (sf) Cl. M-2BR, Definitive Rating Assigned Ba1 (sf) Cl. M-2BS, Definitive Rating Assigned Ba1 (sf) Cl. M-2BT, Definitive Rating Assigned Ba1 (sf) Cl. M-2BU, Definitive Rating Assigned Ba1 (sf) Cl. M-2I*, Definitive Rating Assigned Baa3 (sf) Cl. M-2R, Definitive Rating Assigned Baa3 (sf) Cl. M-2RB, Definitive Rating Assigned Ba1 (sf) Cl. M-2S, Definitive Rating Assigned Baa3 (sf) Cl. M-2SB, Definitive Rating Assigned Ba1 (sf) Cl. M-2T, Definitive Rating Assigned Baa3 (sf) Cl. M-2TB, Definitive Rating Assigned Ba1 (sf) Cl. M-2U, Definitive Rating Assigned Baa3 (sf) Cl. M-2UB, Definitive Rating Assigned Ba1 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the GSE's oversight of originators and servicers, and the third-party review. Moody's expected loss for this pool in a baseline scenario-mean is 1.16%, in a baseline scenario-median is 0.92% and reaches 5.40% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in 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. GENERATE CLO 7: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned ratings to the class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Generate CLO 7 Ltd./Generate CLO 7 LLC, formerly known as York CLO-7 Ltd., a CLO originally issued in January 2020 that is managed by Generate Advisors LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full on the March 15, 2024, refinancing date. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, and E-R debt was issued at a spread over three-month SOFR than the original notes, and the class D-2-R debt was issued at a fixed coupon. -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, and E-R debt was issued at a floating spread, replacing the current fixed coupon and floating spread. -- The stated maturity and reinvestment period were extended by 4.25 years. -- A new non-call period was established for approximately two years. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Generate CLO 7 Ltd./Generate CLO 7 LLC Class A-1-R, $244.00 million: AAA (sf) Class A-2-R, $16.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $18.15 million: BBB- (sf) Class D-2-R (deferrable), $5.85 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn Generate CLO 7 Ltd./Generate CLO 7 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Outstanding Debt Generate CLO 7 Ltd./Generate CLO 7 LLC Subordinated notes, $36.80 million: Not rated GREAT WOLF 2024-WOLF: DBRS Gives Prov. B(low) Rating on G Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2024-WOLF (the Certificates) to be issued by Great Wolf Trust 2024-WOLF (the Trust): -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The collateral for the Trust includes the borrower's fee and/or leasehold interests in eight Great Wolf Lodge resorts, totaling 3,044 keys, 461,521 square feet of indoor water park space and 60,459 square feet of meeting space, located across seven states. Transaction proceeds of $1.0 billion along with the transaction sponsor's cash equity of approximately $9.6 million will be used to repay approximately $702.0 million of existing commercial mortgage-backed securities debt across the Portfolio, repay existing construction debt of approximately $287.6 million for the Manteca and Scottsdale assets, and cover closing costs. Six of the assets, Mason, Williamsburg, New England, Sandusky, Minneapolis, and Wisconsin Dells, were previously securitized in the GWT 2019-WOLF transaction and the remaining two assets, Manteca and Scottsdale, opened in June 2021 and October 2019, respectively. The debt payoff for the six assets is inclusive of the release price premiums for those assets. The Morningstar DBRS value of $1.071 billion represents a 26.4% discount to the aggregate appraised as-is value including intangible business value (IBV)) of $1.456 billion. In addition, the Morningstar DBRS cap rate of 9.93% is approximately 103 basis points higher than the appraised as-is value (including IBV) implied cap rate, allowing for a reversion to the mean in lodging valuation metrics. The Properties are generally located within drive-to locations that are within a four-hour drive from major metropolitan areas, which provide the demand base for these leisure-oriented assets. The Properties are highly amenitized, providing guests with a complete family vacation experience, with a combination of indoor waterpark, as well as lodging and dining options, among additional exclusive attractions. The sponsor has invested a total of approximately $94.3 million, or $30,985 per key, in capital improvements to the Portfolio since 2020, excluding construction costs for the two new assets in Manteca and Scottsdale. Excluding the two most recently delivered Properties, Manteca and Scottsdale, which tend to have lower immediate capital expenditure (capex) needs and have the latest attractions available from the Great Wolf brand, the previously securitized six assets received approximately $86.7 million in capital improvements since 2020, equating to $39,532 per key. The Portfolio benefits from experienced management and sponsorship, which performs initiatives to help increase ancillary income, improve operating margins, as well as improve overall guest experience and satisfaction. For example, management initiated the Day Pass sales program for waterpark access starting in 2019. As of YE2023, Day Pass sales accounted for approximately $13.1 million in revenue, with 204,592 passes sold, which is significantly higher than the level for the trailing 12-month (T-12) period ended October 31, 2019, as of the GWT 2019-WOLF securitization, of $496,198, with 7,981 passes sold. Day Pass sales have dynamic pricing, which fluctuate based on the occupancy level at each Property. For example, during high occupancy periods (more demand for waterpark passes than availability), day passes will be offered at a premium, in order to drive revenue and minimize impact on overall guest experience. The Portfolio reported weighted-average occupancy, average daily rate (ADR), and revenue per available room (RevPAR) levels of approximately 81.5%, $266.42, and $217.13, respectively, as of YE2023. The previously securitized six Properties reported occupancy, ADR, and RevPAR increases of 7.9%, 8.8%, and 17.4%, respectively, over their T-12 ended October 2019 performance level. In 2019, prior to the coronavirus pandemic, the Portfolio reported occupancy, ADR, and RevPAR levels of 76.5%, $214.79, and $164.39, respectively (Scottsdale opened in October 2019 and this figure excludes Manteca, which opened in June 2021 and operated under a government-enforced occupancy cap from January 2022 to April 2022). While occupancy declined during the pandemic, the sponsor was successful in recovering occupancy and ADR to higher than its pre-pandemic historical average. Morningstar DBRS believes that the strong 2023 performance is at least partially because of a higher transient proportion in the hotel segmentation as a result of the pent-up demand because of the pandemic-related restrictions and, therefore, Morningstar DBRS believes room rates will normalize. Morningstar DBRS concluded to a stabilized RevPAR of $207.65, which is approximately 3.0% less than the YE2022 level and approximately 4.4% below the YE2023 level. Overall, Morningstar DBRS has a favorable outlook on the Portfolio, during the five-year fully extended term, given the property's experienced management and sponsor's continued capex commitment. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. 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. For example, Spread Maintenance Premium. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2005-ROCK: S&P Affirms BB+(sf) Rating on Class J Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on 12 classes of trust pass-through certificates from GS Mortgage Securities Corp. II's series 2005-ROCK, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a $1.685 billion, 20-year, fixed-rate, interest-only (IO) mortgage loan secured by a first-priority mortgage (up to $1.21 billion) on the borrower's fee and leasehold interests in Rockefeller Center, comprising 12 individual office/retail properties and a plaza totaling 6.8 million sq. ft. located in the Plaza District office submarket of midtown Manhattan, and a first-priority pledge of the equity interests in the borrower. Rating Actions The affirmations on classes A, A-FL, B, C-1, C-2, D, E, F, G, H, and J reflect: -- The borrower's ability to sign and retain tenants, increasing occupancy since S&P's last review in August 2022 to 92.6% from 88.7%, which is currently above the properties' office submarket level; -- The reported net cash flow (NCF), while still lower than S&P assumed NCF, has trended upward since 2021; and -- S&P's expected-case value, which is unchanged from its last review. S&P said, "At our last review on Aug. 31, 2022, we noted the significant decline in servicer-reported net operating income in 2021 and partial 2022, mainly driven by a decline in income from the retail tenants and observation deck. At that time, we assumed an 11.3% vacancy rate, an S&P Global Ratings gross rent of $79.71 per sq. ft., a 59.4% operating expense ratio, and higher tenant improvement costs to arrive at an S&P Global Ratings long-term sustainable NCF of $191.7 million." Since that time, income from the retail tenants and observation deck has increased, and the borrower has been able to sign new or renewal leases comprising approximately 5.8% of net rentable area (NRA) in 2022 and 7.6% of NRA in 2023. As of the December 2023 rent roll, the property was 92.6% occupied. S&P said, "In our current analysis, we assumed: an in-place occupancy rate of 92.6% despite higher submarket vacancy because the properties have performed at this level in the past three-plus years and tenant rollover is minimal in the next few years; $82.77 per sq. ft. gross rent as calculated by S&P Global Ratings; a 61.0% operating expense ratio; and higher tenant improvement costs. We arrived at the same long-term sustainable NCF that we derived in our last review of $191.7 million, 14.6% above the servicer-reported NCF of $167.3 million as of year-end 2022. The reported NCF for the nine months ending Sept. 30, 2023, is $123.5 million. We attribute the lower reported in-place NCF partly to ongoing rent concessions given to several new and renewing tenants. Using an S&P Global Ratings 6.75% capitalization rate, unchanged from our last review, we derived an S&P Global Ratings expected-case value that is the same as in our last review of $2.84 billion or $438 per sq. ft. and 25.3% below the April 2005 appraisal value of $3.80 billion. This yielded an S&P Global Ratings loan-to-value ratio of 59.3% on the trust loan balance." S&P affirmed its rating on the class X-1 IO certificates based on our criteria for rating IO securities. Although the model-indicated ratings were lower than S&P's current ratings on classes B, C-1, C-2, D, E, F, G, and H, S&P affirmed its ratings on these classes because it weighed certain qualitative considerations. These include: -- The properties' prominent location in the Plaza District office submarket of Manhattan. -- The potential that the properties' operating performance could improve above our expectations. Based on recent media reports, the borrower is expected to open a hotel at 10 Rockefeller in 2026 by repurposing a portion of the office space. In addition, as of the March 2024 reporting period, there is approximately $20.9 million in various lender-controlled reserve accounts, a portion of which is earmarked for leasing activities. -- The healthy leasing momentum the borrower has maintained, signing or renewing 27.0% of NRA since 2019. -- The relatively low debt per sq. ft. ($241.05 per sq. ft. through class H) for these classes. -- The significant market value decline that would be needed before these classes experience principal losses. -- The relative position of these classes in the payment waterfall. S&P said, "We will continue to monitor the tenancy and performance of the properties and loan as well as the borrower's ability to refinance the loan by its maturity date in May 2025. If we receive information that differs materially from our expectations, such as reported negative changes in the performance or the loan transfers to special servicing and the workout strategy negatively affects the transaction's recovery and liquidity, we may revisit our analysis and take rating actions as we deem necessary." Property-Level Analysis Rockefeller Center consists of 12 properties across 10 buildings located in a six-block area of Midtown Manhattan. The properties are bounded by 51st and 48th Streets to the north and south, respectively, and by Fifth Avenue and the Avenue of the Americas to the east and west, respectively. The properties, comprising approximately 6.8 million sq. ft., were constructed in phases between 1931 and 1950. The individual properties include: -- 30 Rockefeller Plaza: 69 floors, 1.39 million sq. ft., of which 205,689 sq. ft. is retail space; -- 630 Fifth Avenue: 39 floors, 1.26 million sq. ft., of which 175,452 sq. ft. is retail space; -- 600 Fifth Avenue: 27 floors, 436,012 sq. ft., of which 51,342 sq. ft. is retail space; -- One Rockefeller Plaza: 34 floors, 587,335 sq. ft., of which 24,328 sq. ft. is retail space; -- 1230 Avenue of the Americas: 21 floors, 737,311 sq. ft., of which 59,754 sq. ft. is retail space; -- 610 Fifth Avenue: seven floors, 125,774 sq. ft., of which 43,285 sq. ft. is retail space; -- 10 Rockefeller Plaza: 17 floors, 344,863 sq. ft., of which 48,385 sq. ft. is retail space; -- 1270 Avenue of the Americas: 31 floors, 509,892 sq. ft., of which 13,877 sq. ft. is retail space; -- 50 Rockefeller Plaza: 15 floors, 507,458 sq. ft., of which 94,771 sq. ft. is retail space; -- 620 Fifth Avenue: seven floors, 131,965 sq. ft., of which 30,166 sq. ft. is retail space; -- Radio City Music Hall: 10 floors, 548,250 sq. ft.; and -- Christie's Auction House: three floors, 183-487 sq. ft. Five of the individual properties--600 Fifth Avenue, 10 Rockefeller Plaza, 1230 Avenue of the Americas, 610 Fifth Avenue, and 620 Fifth Avenue--are subject to ground leases. The ground lessor for these properties, other than 600 Fifth Avenue, is an affiliate of the sponsor, Tishman Speyer. In addition, the collateral includes a landscaped promenade, a lower plaza renovated in 2023 to include more natural light and dining options surrounding an ice-skating/roller rink, five rooftop gardens, a three-story, 320-space parking garage, and an approximately two-mile underground retail and pedestrian concourse connecting all buildings and providing access to the subway. The servicer reports that Top of the Rock (an observation deck at 30 Rockefeller Plaza) renovations are underway, with The Beam (an experience to replicate sitting atop a skyscraper at Top of the Rock) now open to the public and the Skylift slated to be open by October 2024. The reported NCF had declined since the height of the COVID-19 pandemic, but is rebounding in recent years, while occupancy has remained relatively stable (i.e., $257.3 million and 98.6%, respectively, in 2019; $150.9 million and 97.5% in 2020; $136.2 million and 97.2% in 2021; $167.3 million and 98.2% in 2022; and $123.5 million for the nine months ending Sept. 30, 2023, and 92.6% occupied as of the Dec. 31, 2023, rent roll. According to the December 2023 rent roll, the five largest tenants comprised 31.3% of NRA and included: -- Radio City Productions LLC (8.9% of NRA; 2.6% of in-place gross rent, as calculated by S&P Global Ratings; August 2038 lease expiration). The tenant recently renewed for 15 years. -- Deloitte LLP (7.3%; 8.8%; September 2028). -- Lazard Group LLC (6.3%; 7.5%; October 2033). -- Simon & Schuster Inc. (4.6%; 3.7%; November 2034). -- JP Morgan Chase Bank (4.3%; 4.8%; August 2037). The properties generally face staggered tenant rollover, with 4.2% of NRA and 5.0% of S&P Global Ratings' gross rent expiring in 2024; 5.0% and 7.5%, respectively, in 2025; and 3.5% and 4.0%, respectively, in 2026. According to CoStar, the Plaza District office submarket, where the subject properties are located, continues to experience elevated vacancy levels and weakened demand due partly to changing office work preference that caused tenants to exit or contract their leased space. As of March 2024, four- and five-star office properties in the submarket have a 14.2% vacancy rate, 15.3% availability rate, and $94.38 per sq. ft. asking rent compared to a 11.5% vacancy rate and $99.23 per sq. ft. asking rent in 2019. However, CoStar reports that the vacancy rate has been declining since a peak of 15.6% was reached in 2021 while asking rents have been stable. Nevertheless, CoStar projects vacancy to increase to 15.3% by year-end 2024 and 17.4% in 2025 and asking rent to decrease to $93.89 per sq. ft. and $90.77 per sq. ft. for the same period. This compares with an in-place 7.4% vacancy and $82.77 per sq. ft. gross rent, as calculated by S&P Global Ratings. S&P assumed the in-place vacancy rate considering that the properties have historically maintained occupancy above the submarket, the submarket vacancy rates have recently improved, and the low percentage of leases expiring in the next few years. Table 1 Reported collateral performance by servicer YTD ENDING SEPT. 30, 2023 2022 2021 Occupancy rate (%) 93.3 98.2 97.2 NCF ($ mil.) 123.5 167.3 136.3 DSC (x) 1.71 1.73 1.41 Appraisal value ($ mil.) 3,800 3,800 3,800 Table 2 S&P Global Ratings' key assumptions REVIEW AS OF REVIEW AS OF MARCH 2024 AUGUST 2022 Vacancy rate (%) 7.4 11.3 Net cash flow ($ mil.) 191.7 191.7 Capitalization rate (%) 6.75 6.75 Value ($ mil.) 2,840 2,840 Value per sq. ft. ($) 438 438 Loan-to-value ratio (%) 59.3 59.3 YTD--Year to date. Transaction Summary The IO loan had an initial and current balance of $1.685 billion (according to the March 4, 2024, trustee remittance report), pays a weighted average annual fixed interest rate of 5.6435%, and matures on May 1, 2025. In addition, there is a $320.0 million mezzanine loan. As previously mentioned, the trust loan is secured by a first-priority mortgage that was recorded up to $1.21 billion. Therefore, any amount over $1.21 billion would be considered unsecured debt of the borrower. Furthermore, the transaction documents note that the borrower is not required to incur aggregate "all risk" and terrorism coverage premiums greater than $7.95 million in any policy year, subject to annual Consumer Price Index adjustments. S&P increased its minimum credit enhancement levels at each rating category to account for this provision. Through its March 2024 debt service payment, the loan has a reported in-grace but not yet due payment status, similar to all prior payment periods. To date, the trust has not incurred any principal losses. The master servicer, Wells Fargo Bank N.A., reported a debt service coverage of 1.71x for the nine months ending Sept. 30, 2023, and 1.73x as of 2022. Ratings Affirmed GS Mortgage Securities Corp. II Series 2005-ROCK Class A: AAA (sf) Class A-FL: AAA (sf) Class B: AAA (sf) Class C-1: AAA (sf) Class C-2: AAA (sf) Class D: AAA (sf) Class E: AA+ (sf) Class F: AA (sf) Class G: A+ (sf) Class H: A (sf) Class J: BB+ (sf) Class X-1: AAA (sf) GS MORTGAGE 2014-GC26: DBRS Confirms C Rating on 2 Classes ----------------------------------------------------------- DBRS Limited downgraded the credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC26 issued by GS Mortgage Securities Trust 2014-GC26 as follows: -- Class C to BB (sf) from A (low) (sf) -- Class PEZ to BB (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) The trends on Classes A-S, B, X-A, and X-B were changed to Negative from Stable while the Negative trends on Classes C and PEZ were maintained. Classes D, E, and F have ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) ratings. All other classes have Stable trends. The credit rating downgrades and trend changes follow increased loss projections for the loan in special servicing in addition to concerns about a number of loans at increased risk of maturity default. All loans remaining in the pool are scheduled to mature within the next six months. While Morningstar DBRS expects the majority of loans will repay from the pool, a concentrated number of loans exhibit increased default risk given weak credit metrics. Ten loans, including the second-, third-, and fourth-largest loans in the pool—representing 34.3% of the pool balance in aggregate—are current on payments but have been identified by Morningstar DBRS as being at risk for maturity default. Although the trends on Classes A-S and B have been changed to Negative from Stable, the rating confirmations on those classes are supported by the significant existing credit support given the large outstanding balances. However, should these loans default as they near their respective maturity dates, Morningstar DBRS' loss projections may increase to reflect additional adverse selection, further supporting the credit rating downgrades and Negative trends. Additionally, Morningstar DBRS' ratings are constrained by the expectation of accrued interest shortfalls prior to repayment, which has also contributed to Morningstar DBRS' rating downgrades and trend changes. Interest shortfalls currently total $6.2 million, up from a total interest shortfall amount of $4.0 million at the time of the last rating action. Unpaid interest continues to accrue month over month, driven by special servicing fees and appraisal subordinate entitlement reduction from the loan in special servicing. Morningstar DBRS has minimal tolerance for unpaid interest to high investment-grade rated bonds, limited to one to two remittance cycles for the AA (sf) and A (sf) credit rating categories. The largest loan in the pool and the only loan in special servicing is Queen Ka'ahumanu Center (Prospectus #1; 9.5% of the pool). The loan is secured by the borrower's fee-simple interest in a 570,904-square-foot (sf) super-regional mall in Kahului, Hawaii. The loan transferred to special servicing in July 2020 and became real estate owned in June 2022. According to the November 2023 rent roll, the subject was 79.3% occupied, relatively flat from the YE2022 rate of 76.0%, however, 23.3% of the net rentable area (NRA) is leased on a temporary basis. Per the special servicer, ownership is not pursuing long-term leases given the ongoing multifamily redevelopment plans for sections of the mall. Concurrently, ownership is working with Macy's to amend the reciprocal ease agreement to facilitate the redevelopment plans. Although progress has been made with the plans for redevelopment, the year-over-year declines in the property's as-is value indicate significant loss at resolution. The most recent appraisal reported by the servicer, dated June 2023, valued the property at $38.5 million, down from a 2022 appraised value of $44.2 million and well below the issuance appraised value of $120.0 million. Morningstar DBRS analysis included a liquidation scenario based on the most recent appraisal resulting in a loss severity approaching 80%. The second-largest loan in the pool is secured by 1201 North Market Street (Prospectus ID#2; 8.8% of the pool), a high-rise office property in Wilmington, Delaware. The loan is currently on the servicer's watchlist for low debt service coverage ratio (DSCR), which was reported at 1.19 times (x) as of the Q3 2023 financials, compared with 1.04x in YE2022 and the Morningstar DBRS-derived figure of 1.43x at issuance. In addition, cash flows have declined over the past few years. The decline in performance has stemmed largely from shifts in the office sector since the onset of the coronavirus pandemic with an increase in work-from-home and hybrid-work options. The subject has exhibited consistent declines in occupancy, reporting an occupancy rate of 71.8% as of September 2023 compared with 73.0% in YE2022 and 84.5% at issuance. The largest tenant is the law firm Morris Nichols Arsht & Tunnell (lease expiry in December 2028), occupying 18.5% of the NRA), and no other tenant occupies more than 8% of the NRA. Leases representing 5.7% of the NRA are scheduled to expire in 2024. Morningstar DBRS remains concerned about the loan's refinance prospects given its upcoming maturity in November 2024, declining credit metrics, and soft submarket. To reflect this concern, Morningstar DBRS stressed the probability of default (POD) and the loan-to-value ratio (LTV), resulting in an expected loss (EL) more than twice the pool average. As of the February 2024 remittance, 70 of the original 92 loans remain outstanding with a pool balance of $865.3 million, representing a collateral reduction of 31.0% since issuance. Of the remaining loans, 24, representing 30% of the pool balance, have fully defeased. There are currently 10 loans, representing 16.4% of the pool balance, on the servicer's watchlist, eight of which have been flagged for performance-related issues. By property type, the pool is mostly concentrated by retail and office, representing 33.0% and 25.4% of the pool balance, respectively. In general, the office sector has been challenged, given the low investor appetite for that property type and high vacancy rates in many submarkets as a result of the shift in workplace dynamics. Office loans and other loans that have exhibited increased risk were analyzed with stressed LTVs and/or elevated POD penalties, as applicable. The resulting weighted-average (WA) EL for these loans was nearly double the WA EL for the pool. Notes: All figures are in U.S dollars unless otherwise noted. GS MORTGAGE 2024-PJ2: DBRS Finalizes B(high) Rating on B-5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2024-PJ2 (the Notes) issued by GS Mortgage-Backed Securities Trust 2024-PJ2: -- $305.6 million Class A-1 at AAA (sf) -- $305.6 million Class A-1-X at AAA (sf) -- $305.6 million Class A-2 at AAA (sf) -- $283.6 million Class A-3 at AAA (sf) -- $283.6 million Class A-3A at AAA (sf) -- $283.6 million Class A-3-X at AAA (sf) -- $283.6 million Class A-4 at AAA (sf) -- $283.6 million Class A-4A at AAA (sf) -- $141.8 million Class A-5 at AAA (sf) -- $141.8 million Class A-5-X at AAA (sf) -- $141.8 million Class A-6 at AAA (sf) -- $170.2 million Class A-7 at AAA (sf) -- $170.2 million Class A-7-X at AAA (sf) -- $170.2 million Class A-8 at AAA (sf) -- $28.4 million Class A-9 at AAA (sf) -- $28.4 million Class A-9-X at AAA (sf) -- $28.4 million Class A-10 at AAA (sf) -- $70.9 million Class A-11 at AAA (sf) -- $70.9 million Class A-11-X at AAA (sf) -- $70.9 million Class A-12 at AAA (sf) -- $42.5 million Class A-13 at AAA (sf) -- $42.5 million Class A-13-X at AAA (sf) -- $42.5 million Class A-14 at AAA (sf) -- $212.7 million Class A-15 at AAA (sf) -- $212.7 million Class A-15-X at AAA (sf) -- $212.7 million Class A-16 at AAA (sf) -- $141.8 million Class A-17 at AAA (sf) -- $141.8 million Class A-17-X at AAA (sf) -- $141.8 million Class A-18 at AAA (sf) -- $113.4 million Class A-19 at AAA (sf) -- $113.4 million Class A-19-X at AAA (sf) -- $113.4 million Class A-20 at AAA (sf) -- $70.9 million Class A-21 at AAA (sf) -- $70.9 million Class A-21-X at AAA (sf) -- $70.9 million Class A-22 at AAA (sf) -- $22.0 million Class A-23 at AAA (sf) -- $22.0 million Class A-23-X at AAA (sf) -- $22.0 million Class A-24 at AAA (sf) -- $305.6 million Class A-X at AAA (sf) -- $11.5 million Class B-1 at AA (high) (sf) -- $11.5 million Class B-1-A at AA (high) (sf) -- $11.5 million Class B-1-X at AA (high) (sf) -- $6.5 million Class B-2 at A (high) (sf) -- $6.5 million Class B-2-A at A (high) (sf) -- $6.5 million Class B-2-X at A (high) (sf) -- $4.3 million Class B-3 at BBB (high) (sf) -- $4.3 million Class B-3-A at BBB (high) (sf) -- $4.3 million Class B-3-X at BBB (high) (sf) -- $2.3 million Class B-4 at BB (high) (sf) -- $1.5 million Class B-5 at B (high) (sf) -- $22.4 million Class B at BBB (high) (sf) -- $22.4 million Class B-X at BBB (high) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-3L, A-4L, A-16L, and A-22L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1-X, A-3-X, A-5-X, A-7-X, A-9-X, A-11-X, A-13-X, A-15-X, A-17-X, A-19-X, A-21-X, A-23-X, A-X, B-1-X, B-2-X, B-3-X, and B-X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-1-X, A-2, A-3, A-3A, A-3-X, A-4, A-4A, A-6, A-7, A-7-X, A-8, A-10, A-11, A-11-X, A-12, A-14, A-15, A-15-X, A-16, A-17, A-17-X, A-18, A-19, A-19-X, A-20, A-22, A-24, B, B-1, B-2, B-3, and B-X are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-3, A-3A, A-4, A-4A, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21 and A-22 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-23 and A-24) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 8.40% of credit enhancement provided by subordinated notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 4.95%, 3.00%, 1.70%, 1.00%, and 0.55% credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 358 loans with a total principal balance of $333,643,730 as of the Cut-Off Date (February 1, 2024). The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years. The weighted-average (WA) original combined loan-to-value ratio (CLTV) for the portfolio is 72.6%. A small portion of the pool (10.4%) comprises loans with Morningstar DBRS calculated current CLTVs between 80.0% and 90.0%, while 0.3% of the pool falls between 90.0% and 95.0% Morningstar DBRS calculated current CLTV. In addition, 98.9% of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM) (28.9%), Cross Country Mortgage, LLC (CCM) (14.5%), Movement Mortgage, LLC (10.2%), Guaranteed Rate, Inc. (10.2%), and various other originators, each comprising less than 5.0% of the pool. The mortgage loans will be serviced by Newrez, LLC doing business as Shellpoint Mortgage Servicing (SMS) (94.8%) and United Wholesale Mortgage, LLC (UWM) (5.2%). Cenlar FSB will act as the Subservicer for UWM serviced loans. Computershare Trust Company, N.A. will act as the Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider, and Custodian. U.S. Bank Trust National Association (U.S. Bank; rated AA (high) with a Negative trend by Morningstar DBRS) will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-3L, A-4L, A-16L, and A-22L, loans which are the equivalent of ownership of Classes A-3, A-4, A-16, and A-22 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. Morningstar DBRS' credit ratings on the Notes 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 Interest Payment Amounts, the related Interest Shortfalls, and the Debt Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. GS MORTGAGE 2024-RPL2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2024-RPL2 (GSMBS 2024-RPL2). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2024-RPL2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf B LT NRsf New Rating NR(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf PT LT NRsf New Rating NR(EXP)sf RISKRETEN LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The transaction is expected to close on March 8, 2024. The notes are supported by 2,265 reperforming loans with a total balance of $373 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 11.7% above a long-term sustainable level versus 11.1% on a national level as of 3Q23, up 1.82% since the prior quarter. Housing affordability is at its worst level in decades, driven by high interest rates and elevated home prices. RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage RPLs. As of the cutoff date, the pool was 83.7% current. Approximately 43.2% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 96.3% of loans have a prior modification. The borrowers have a weak credit profile (626 FICO and 45% debt-to-income ratio [DTI]) and relatively low leverage (64% sustainable LTV ratio [sLTV]). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down the bonds sequentially (after prioritizing fees to transaction parties, Net WAC shortfalls and to the breach reserve account). No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. 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 MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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 a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride. Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase. Loans with a missing modification agreement received a three-month liquidation timeline extension. Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 50bps. 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. GSF 2023-1: Fitch Affirms 'BB-(EXP)' Rating on Class E Debt ----------------------------------------------------------- Fitch Ratings has downgraded the expected ratings for classes A-1, A-2, A-S and B of GSF 2023-1. Fitch has also affirmed the existing expected ratings for classes C, D, E and X. Entity/Debt Rating Prior ----------- ------ ----- GSF 2023-1 A-1 362945AA5 LT A(EXP)sf Downgrade AAA(EXP)sf A-2 362945AC1 LT A(EXP)sf Downgrade AAA(EXP)sf A-S 362945AE7 LT A(EXP)sf Downgrade AAA(EXP)sf B 362945AG2 LT A(EXP)sf Downgrade AA-(EXP)sf C 362945AJ6 LT A-(EXP)sf Affirmed A-(EXP)sf D 362945AL1 LT BBB-(EXP)sf Affirmed BBB-(EXP)sf E 362945AQ0 LT BB-(EXP)sf Affirmed BB-(EXP)sf F 362945AS6 LT NR(EXP)sf Affirmed NR(EXP)sf X 362945AN7 LT A-(EXP)sf Affirmed A-(EXP)sf The downgraded classes were affected by a rating cap put in place by Fitch at the 'A(EXP)sf' level. TRANSACTION SUMMARY The transaction was given expected ratings by Fitch on Nov. 2, 2023. At that time, the loan pool consisted of one closed loan and nine delayed-close loans for a total of 10 loans with a balance of $195,845,000. The delayed-close loans were given 60 days, post-initial closing (to Jan. 2, 2024), to close into the transaction. Fitch was expected to review the deal in 1Q24 and re-rate the pool as it was constituted at the end of the delayed-close period. Fitch has now re-rated the pool as of that date. The loan pool consisted of four loans with a balance of $93,500,000 on Jan. 2, 2024. This is materially different than the pool Fitch rated on Nov. 2, 2023. KEY RATING DRIVERS Loan Concentration: Three (out of nine) of the delayed-close loans closed and the pool, as of Jan. 2, 2024, consisted of four loans. The pool is very small from a loan count perspective and has a higher loan concentration compared to all recent CLO transactions. Rating Cap: The pool's low loan count, four loans, has triggered Fitch's rating cap at 'A(EXP)sf'. The rating cap addresses Fitch's concerns that low loan count pools are concentrated, lack diversity and could impact senior investment grade classes. Pace of Loan Additions: The pace of adding loans to the pool has been much slower than originally anticipated. The dearth of loans closing into the transaction has resulted in the pool's low loan count and the imposition of the rating cap. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'; - 10% Decline to Fitch NCF: 'AAAsf' / 'Asf' / 'BBBsf' / 'BBsf' / 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet 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' / 'BBB-sf' / 'BB-sf'; - 10% Increase to Fitch NCF: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BBsf'. Additionally, an increase in the pool's loan count to 10 or more loans would remove the rating cap currently imposed at Asf. SUMMARY OF FINANCIAL ADJUSTMENTS There were no variances from Fitch criteria. Cash flow modeling was not employed on this transaction, with the concurrence of the committee. The deal does not employ CRE CLO features that would cause us to cash flow model. For example, the transaction's structure does not contain any note protection tests (interest coverage or overcollateralization) nor is there is an interest payment diversion feature within the retained classes (or anywhere in the structure). The use of the rating cap at 'A(EXP)sf', which has resulted in a change in the class A notes' expected ratings by two rating categories, is not considered a variation from Fitch's credit model-implied rating (MIR) but, rather, it is the MIR at those rating categories for small loan count pools. The expected ratings designation for all classes will remain in place until the pool's composition is known with more certainty. 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. HILDENE TRUPS A4B: Moody's Gives Ba3 Rating to $10.7MM Cl. B Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Hildene TruPS Resecuritization A4B, LLC (the "Issuer"). US$26,700,000 Class A Notes due 2034, Assigned Baa1 (sf) US$10,700,00 Class B Notes due 2034, Assigned Ba3 (sf) The Class A Notes and the Class B Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the portfolio of ALESCO Preferred Funding IV, Ltd. (the "Underlying TruPS CDO") and structure as described in Moody's methodology. The Rated Notes are secured by the following securities that were issued by the Underlying TruPS CDO on May 18, 2004: US$33,824,315.92 of the $69,092,347 Floating Rate Class B-1 Mezzanine Notes due July 2034 (current outstanding balance including deferred interest of $6,712,347.33), (the "Class B-1 Notes") US$42,465,882.33 of the $57,174,527 Floating Rate Class B-2 Mezzanine Notes due July 2034 (current outstanding balance including deferred interest of $5,554,526.62) (the "Class B-2 Notes") US$1,339,520.78 of the $4,018,559 Floating Rate Class B-3 Mezzanine Notes due July 2034 (current outstanding balance including deferred interest of $1,018,559.33) (the "Class B-3 Notes") The Class B-1 Notes, the Class B-2 Notes and the Class B-3 Notes are referred to herein, collectively as the "Underlying Securities". Hildene Structured Advisors, LLC will serve as collateral servicer for this transaction. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates par coverage tests which, if triggered, divert interest proceeds to pay down the notes in order of seniority. The transaction also includes an interest diversion feature from and after the April 2030 payment date, when 60% of the interest at a junior step in the priority of interest payments will be used to pay the principal on the Class A Notes until the Class A Notes' principal has been paid in full, then to the payment of principal of the Class B Notes. The portfolio of the Underlying TruPS CDO consists of mainly TruPS issued by US regional and community banks, the majority of which Moody's does not publicly rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q3-2023 financial data. Moody's assumes a fixed recovery rate of 10% for bank obligations. Moody's analysis on the Rated Notes took into account stress scenarios for the banking sector currently on negative outlook. Furthermore, to address the risk from the deleveraging of the senior-most Class A note in the Underlying TruPS CDO, in conjunction with a currently deferring underlying Class B notes, we modelled different amortization profiles to capture the spread dynamics within a shrinking collateral pool. These stress scenarios were important qualitative considerations. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. For modeling purposes, Moody's used the following base-case assumptions for the Underlying TruPS CDO's portfolio: Par amount: $159,365,000 Weighted Average Rating Factor (WARF): 1035 Weighted Average Spread (WAS): 2.63% Weighted Average Coupon (WAC): 8.13% Weighted Average Life (WAL): 7.95 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 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 portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit assessments. Because these are not public ratings, they are subject to additional estimation uncertainty. HINNT LLC 2024-A: Fitch Assigns 'B(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to notes to be issued by HINNT 2024-A LLC (HINNT 2024-A). Entity/Debt Rating ----------- ------ HINNT 2024-A LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating E LT B(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Improved Collateral Composition: The weighted average (WA) FICO score of the HINNT 2024-A statistical pool is 734, higher than the 729 for HINNT 2022-A and 719 for AALLC 2021-1H. Approximately 25% of the total collateral pool is called collateral from 2016, 2018, and 2019 securitizations, lending to a significant seasoning of 22 months. This transaction also features a prefunding account, which covers approximately 25% of the total collateral balance, funded by loans that must conform to criteria similar to the pool overall. Forward-Looking Approach on CGD Proxy — Weakening Performance: HICV's delinquency and default performance exhibited material increases during the Great Recession. Notable improvement was observed in the 2010-2014 vintages. However, the 2016 through 2022 vintages experienced higher default rates than during the prior recession, due principally to integration challenges following the Silverleaf acquisition and defaults related to paid-product-exits (PPEs). In deriving its cumulative gross default (CGD) proxy of 22.00%, Fitch focused on extrapolations of the 2015-2019 vintages. Structural Analysis — Lower CE: Initial hard credit enhancement (CE) is expected to be 64.0%, 41.0%, 18.0%, 10.5% and 4.0% for class A, B, C, D and E notes, respectively. The hard CE is lower compared to 2022-A for all classes except slightly higher for classes D and E. Hard CE is composed of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.2% per annum. The structure is sufficient to cover multiples of 3.00x, 2.250x, 1.50x, 1.17x and 1.00x for 'AAAsf', 'Asf', 'BBBsf', 'BB-sf' and 'Bsf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: HICV has demonstrated sufficient abilities as an originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of the securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The prepayment sensitivity includes 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Fitch also conducts increases of 1.5x and 2.0x to the CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the ratings would be maintained for the class A note at a stronger rating multiple. For class B, C, D and E notes, the multiples would increase resulting in potential upgrade of up to two rating categories. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Grant Thornton LLP. The third-party due diligence focused on a comparison and re-computation of certain characteristics with respect to 100 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact 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. INVESCO US 2024-1: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-1-R, D-2-R, and E-R replacement debt from Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC, a broadly syndicated CLO that is managed by Invesco CLO Equity Fund 3 L.P., a subsidiary of Invesco Senior Secured Management Inc. In connection with this proposed refinancing, the Cayman Islands-based issuer and Delaware-based co-issuer have been renamed Invesco U.S. CLO 2024-1 Ltd. and Invesco U.S. CLO 2024-1 LLC, respectively, from Lucali CLO Ltd. and Lucali CLO LLC, respectively. This is a proposed refinancing of the issuer's Jan. 7, 2021 transaction that was under the name Lucali CLO Ltd. S&P Global Ratings provided ratings on the initial transaction. The preliminary ratings are based on information as of March 19, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "On the March 21, 2024, refinancing date, the proceeds from the replacement debt will be used to redeem the original debt. At that time, we expect to withdraw our ratings on the original class A, B, C, D, and E debt and assign ratings to the replacement debt. The class X notes from the original transaction were previously redeemed following the final scheduled payment made to the notes on the January 2024 payment date. 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-1-R, D-2-R, and E-R notes are expected to be issued at a higher spread over three-month CME term SOFR than the original class A, B, C, D, and E notes. -- The stated maturity will be extended to April 15, 2037 from the original Jan. 15, 2033 date. -- The reinvestment period will be extended to April 15, 2029 from the original Jan. 15, 2024 date. -- The non-call period will be extended to March 21, 2026 from the original Jan. 15, 2022 date. -- The weighted average life test date will be extended nine years from the first refinancing date. The transaction will be upsized to $500.00 million from $400.00 million following the first refinancing date. A large portion of the collateral that is anticipated to be upsized has already been purchased from the open market into a warehouse, which will be merged into the Issuer on the first refinancing date. There will not be an additional effective date, and the first payment date following the refinancing date will be July 15, 2024. In connection with the upsize, an additional $15.00 million of subordinated notes are expected to be issued on the refinancing date. Of the identified underlying collateral obligations, 99.32% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. Of the identified underlying collateral obligations, 98.23% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. Replacement And Original Debt Issuances Replacement debt Class A-R, $320.00 million: Three-month CME term SOFR + 1.55% Class B-R, $60.00 million: Three-month CME term SOFR + 2.10% Class C-R, $30.00 million: Three-month CME term SOFR + 2.55% Class D-1-R, $25.00 million: Three-month CME term SOFR + 3.75% Class D-2-R, $10.00 million: Three-month CME term SOFR + 5.50% Class E-R, $12.50 million: Three-month CME term SOFR + 7.40% Original debt(ii)(iii) Class A, $256.00 million: Adjusted term SOFR(i) + 1.21% Class B, $48.00 million: Adjusted term SOFR(i) +1.60% Class C, $24.00 million: Adjusted term SOFR(i) + 2.20% Class D, $24.00 million: Adjusted term SOFR(i) + 3.60% Class E, $14.00 million: Adjusted term SOFR(i) + 5.54% Subordinated notes, $40.00 million: Not applicable (i)Adjusted term SOFR--Three-month CME term SOFR + 0.26161%. (ii)The class X notes from the original transaction were previously redeemed following the final scheduled payment made to the notes on the January 2024 payment date. (iii)Available credit support for the notes consists of subordination, overcollateralization, and excess cash flow. 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 Invesco U.S. CLO 2024-1 Ltd./Invesco U.S. CLO 2024-1 LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $25.00 million: BBB (sf) Class D-2-R (deferrable), $10.00 million: BBB- (sf) Class E-R (deferrable), $12.50 million: BB- (sf) JP MORGAN 2024-2: DBRS Finalizes BB Rating on Class B-4 Certs ------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2024-2 (the Certificates) issued by J.P. Morgan Mortgage Trust 2024-2 (JPMMT 2024-2): -- $407.6 million Class A-2 at AAA (sf) -- $407.6 million Class A-3 at AAA (sf) -- $407.6 million Class A-3-X at AAA (sf) -- $305.7 million Class A-4 at AAA (sf) -- $305.7 million Class A-4-A at AAA (sf) -- $305.7 million Class A-4-X at AAA (sf) -- $101.9 million Class A-5 at AAA (sf) -- $101.9 million Class A-5-A at AAA (sf) -- $101.9 million Class A-5-X at AAA (sf) -- $244.5 million Class A-6 at AAA (sf) -- $244.5 million Class A-6-A at AAA (sf) -- $244.5 million Class A-6-X at AAA (sf) -- $163.0 million Class A-7 at AAA (sf) -- $163.0 million Class A-7-A at AAA (sf) -- $163.0 million Class A-7-X at AAA (sf) -- $61.1 million Class A-8 at AAA (sf) -- $61.1 million Class A-8-A at AAA (sf) -- $61.1 million Class A-8-X at AAA (sf) -- $40.0 million Class A-9 at AAA (sf) -- $40.0 million Class A-9-A at AAA (sf) -- $40.0 million Class A-9-X at AAA (sf) -- $447.6 million Class A-X-1 at AAA (sf) -- $447.6 million Class A-X-2 at AAA (sf) -- $447.6 million Class A-X-3 at AAA (sf) -- $10.1 million Class B-1 at AA (sf) -- $10.1 million Class B-1-A at AA (sf) -- $10.1 million Class B-1-X at AA (sf) -- $10.3 million Class B-2 at A (low) (sf) -- $10.3 million Class B-2-A at A (low) (sf) -- $10.3 million Class B-2-X at A (low) (sf) -- $5.5 million Class B-3 at BBB (low) (sf) -- $2.2 million Class B-4 at BB (sf) -- $1.9 million Class B-5 at B (low) (sf) Classes A-3-X, A-4-X, A-5-X, A-6-X, A-7-X, A-8-X, A-9-X, A-X-1, A-X-2, A-X-3, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-2, A-3, A-3-X, A-4, A-4-A, A-4-X, A-5, A-6, A-7, A-7-A, A-7-X, A-8, A-9, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-4-A, A-5, A-5-A, A-6, A-6-A, A-7, A-7-A, A-8, and A-8-A are super senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-9 and A-9-A certificates) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 6.65% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) ratings reflect 4.55%, 2.40%, 1.25%, 0.80%, and 0.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 415 loans with a total principal balance of $479,488,928 as of the Cut-Off Date (February 1, 2024). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average (WA) loan age of two months. Approximately 91.6% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 8.4% of the pool are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) originated 61.0% of the pool. Various other originators, each comprising less than 15%, originated the remainder of the loans. The mortgage loans will be serviced or subserviced, as applicable, by Cenlar FSB (Cenlar; 61.0%), JPMorgan Chase Bank, National Association (JPMCB; 33.5%), and loanDepot.com, LLC (loanDepot; 3.2%). For the JPMCB-serviced loans, Shellpoint Mortgage Servicing (Shellpoint or SMS) will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (June 1, 2024). For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend by Morningstar DBRS) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. JP MORGAN MORTGAGE 2007-A1: S&P Affirms 'BB+' Rating on 1-A-2 Notes ------------------------------------------------------------------- S&P Global Ratings completed its review of 65 ratings from eight U.S. RMBS transactions issued between 2001 and 2007. The review yielded three downgrades, 14 withdrawals, and 48 affirmations. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends, -- Increase or decrease in available credit support, -- A small loan count, and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 13 classes from three transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our interest-only criteria "Criteria Global Methodology For Rating Interest-Only Securities," published April 15, 2010, which resulted in the withdrawal of one rating from one transaction." Ratings list RATING ISSUER SERIES CLASS CUSIP TO FROM CSFB ABS Trust Series 2001-HE22 2001-HE22 A-1 22540VCP5 AA (sf) AA (sf) CSFB ABS Trust Series 2001-HE22 2001-HE22 A-IO 22540VCR1 AA- (sf) AA- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 1-A-1 46630GAA3 A (sf) A (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 1-A-2 46630GAB1 BB+ (sf) BB+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 2-A-1 46630GAC9 BBB- (sf) BBB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 2-A-2 46630GAD7 BBB+ (sf) BBB+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 2-A-3 46630GAE5 BB (sf) BB (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 2-A-4 46630GAF2 BB (sf) BB (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 3-A-1 46630GAG0 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 3-A-2 46630GAH8 BBB- (sf) BBB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 3-A-3 46630GAJ4 A+ (sf) A+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 3-A-4 46630GAK1 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 3-A-5 46630GAL9 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 4-A-1 46630GAM7 BBB+ (sf) BBB+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 4-A-2 46630GAN5 A- (sf) A- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 4-A-3 46630GAP0 BB+ (sf) BB+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 4-A-4 46630GAQ8 BB+ (sf) BB+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 5-A-1 46630GAR6 BBB- (sf) BBB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 5-A-2 46630GAS4 A- (sf) A- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 5-A-3 46630GAT2 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 5-A-4 46630GAU9 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 5-A-5 46630GAV7 A+ (sf) A+ (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 5-A-6 46630GAW5 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 6-A-1 46630GAX3 BBB- (sf) BBB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 6-A-2 46630GAY1 BB- (sf) BB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 7-A-1 46630GBB0 BBB- (sf) BBB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 7-A-3 46630GBD6 BBB- (sf) BBB- (sf) JPMorgan Mortgage Trust 2007-A1 2007-A1 7-A-4 46630GBG9 B (sf) B (sf) Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B MLCC2004-B A-1 59020UBU8 NR BB+ (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B MLCC2004-B A-2 59020UBV6 NR BB+ (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B MLCC2004-B A-3 59020UBW4 NR B (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B MLCC2004-B B-1 59020UCB9 NR CCC (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B MLCC2004-B B-2 59020UCC7 NR CCC (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B MLCC2004-B B-3 59020UCD5 NR CCC (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 2005-3 1A 59020UL37 NR CCC (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 2005-3 2A 59020UL45 NR A (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 2005-3 3A 59020UL52 NR B+ (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 2005-3 5A 59020UL78 NR AA+ (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1 2006-1 I-A 59020U4R3 NR A (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1 2006-1 II-A-1 59020U4S1 NR A (sf) MAIN RATIONALE: Criteria no longer applicable. Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1 2006-1 II-A-2 59020U4T9 NR BBB (sf) MAIN RATIONALE: Criteria no longer applicable. Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 2-A-1 61748HBM2 AA- (sf) AA- (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 2-A-2 61748HBN0 AA- (sf) AA- (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 2-A-3 61748HBP5 AA- (sf) AA- (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 3-A 61748HBQ3 AA (sf) AA (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 4-A 61748HBR1 AA (sf) AA (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 5-A 61748HBS9 A+ (sf) A+ (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 6-A 61748HBT7 BBB+ (sf) BBB+ (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 1-M-2 61748HBH3 A (sf) A (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 1-M-3 61748HBJ9 BB+ (sf) BB+ (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 1-B-1 61748HBK6 BB+ (sf) BB+ (sf) Morgan Stanley Mortgage Loan Trust 2004-6AR 2004-6AR 1-B-2 61748HBL4 BB (sf) BB (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 1-A1 863579GY8 BB- (sf) BB- (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 1-A2 863579GZ5 BB (sf) BB (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 1-A3 863579HA9 BB- (sf) BB- (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 2-A1 863579HB7 BB (sf) BB (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 2-A2 863579HC5 BB- (sf) BB- (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 3-A1 863579HD3 BB (sf) BB (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 3-A2 863579HE1 BB- (sf) BB- (sf) Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20 2004-20 4-A 863579HF8 BB- (sf) BB- (sf) Structured Asset Mortgage Investments II Trust 2004-AR1 2004-AR1 I-A-1 86359LAP4 BBB (sf) A- (sf) MAIN RATIONALE: Erosion of credit support. Structured Asset Mortgage Investments II Trust 2004-AR1 2004-AR1 I-A-2 86359LAQ2 A+ (sf) AA (sf) MAIN RATIONALE: Erosion of credit support. Structured Asset Mortgage Investments II Trust 2004-AR1 2004-AR1 I-A-3 86359LAR0 BBB (sf) A- (sf) MAIN RATIONALE: Erosion of credit support. Structured Asset Mortgage Investments II Trust 2004-AR1 2004-AR1 II-A-1 86359LAS8 AA- (sf) AA- (sf) Structured Asset Mortgage Investments II Trust 2004-AR1 2004-AR1 X 86359LAT6 NR AA (sf) MAIN RATIONALE: Interest-only criteria. NR--Not rated. KCAP F3C: S&P Lowers Class E Notes Rating to 'B+ (sf)' ------------------------------------------------------ S&P Global Ratings raised its ratings on the class B and C debt from KCAP F3C Senior Funding LLC, a U.S. CLO transaction. S&P also removed the ratings on the class B and C debt from CreditWatch, where it placed them with positive implications on Jan. 18, 2024. At the same time, S&P affirmed its ratings on the class A and D debt from the same transaction and removed the rating on the class D debt from CreditWatch, where S&P placed it with positive implications on Jan. 18, 2024. S&P also lowered the rating on the class E debt. The rating actions follow S&P's review of the transaction's performance using data from the February 2024 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns, which increased the senior credit support, and had an increase in defaults and decline in credit quality, which decreased the junior credit support. Since S&P's August 2020 rating actions, the transaction has paid down $106.70 million to the class A debt. These paydowns resulted in improved reported overcollateralization (O/C) ratios for all but the class E debt since the July 2020 trustee report, which S&P used for its previous rating actions. The changes in the reported O/C ratios are as follows: -- The class A/B O/C ratio improved to 169.97% from 142.96%. -- The class C O/C ratio improved to 141.11% from 130.22%. -- The class D O/C ratio improved to 122.41% from 120.56%. -- The class E O/C ratio declined to 108.44% from 112.44%, and is now failing its minimum requirement of 111.40%. While the senior O/C ratios experienced positive movement due to the lower balances of the senior debt, the class E O/C ratio declined due to excess 'CCC' haircuts and overall negative par movement. Its O/C test is currently failing, but the class has not deferred interest, as sufficient interest proceeds are available. S&P said, "The upgrades reflect the improved credit support at the prior rating levels, while the affirmation reflects our view that the credit support available is commensurate with the current rating level. The downgrade reflects heightened obligor concentration in the portfolio, increased exposure to 'CCC' and 'D' rated collateral, and par losses since our last rating action. "The affirmations on the class A and D debt also reflect that they passed our cash flow stresses at their current ratings. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C and D debt. However, because the transaction currently has higher-than-average exposures to 'CCC' and 'D' rated collateral obligations, our rating actions reflect additional sensitivity runs that consider such exposures and offset future potential credit migration in the underlying collateral. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." KCAP F3C Senior Funding LLC has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. S&P's cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, its cash flow analysis considered the same. S&P will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and S&P will take rating actions as it deems necessary. Ratings Raised And Removed From CreditWatch Positive KCAP F3C Senior Funding LLC Class B to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C to 'A+ (sf)' from 'A (sf)/Watch Pos' Rating Lowered KCAP F3C Senior Funding LLC Class E to 'B+ (sf)' from 'BB- (sf)' Rating Affirmed KCAP F3C Senior Funding LLC Class A: AAA (sf) Rating Affirmed And Removed From CreditWatch Positive KCAP F3C Senior Funding LLC Class D to 'BBB- (sf)' from 'BBB- (sf)/Watch Pos' MARINER FINANCE 2022-A: S&P Raises Class E Notes Rating to BB-(sf) ------------------------------------------------------------------ S&P Global Ratings raised its ratings on ten classes and affirmed its ratings on 11 classes from Mariner Finance Issuance Trust (MFIT) 2019-A, 2020-A, 2021-A, 2021-B, and 2022-A. S&P said, "The rating actions reflect our view of the collateral pools' performance to date and the pools' future expected performance, as well as each transaction's structure and credit enhancement. Our analysis also incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. The upgrades and affirmations reflect our view that the total credit support as a percentage of the pool balances, compared with our expected defaults, is commensurate with each raised and affirmed rating. Additionally, upgrade of class D from MFIT 2019-A reflects the expected short term to pay down. "We also reviewed each transaction's operational, legal, and counterparty risks. Considering all these factors, we believe that the creditworthiness of the notes is consistent with the raised and affirmed ratings." Each MFIT transaction is backed by a pool of fixed-rate personal consumer loans and contains a sequential principal payment structure in which the classes are paid principal by seniority. The transactions each also benefit from credit enhancement in the form of a reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. Three of the five MFIT transactions S&P reviewed are still in their revolving periods and scheduled to enter amortization between 2024 and 2026. The MFIT 2019-A and 2020-A transactions' revolving period ended June 30, 2022, and July 31, 2023, respectively. Since then, collections are no longer used to acquire additional loans and instead are used to redeem the notes. S&P said, "Our cash flow modeling assumed that for the transactions in their revolving period, each pool would revolve to the worst-case composition permitted by the transaction documents and enter amortization. Additionally, for deals in amortization we use the actual pool composition for projecting the default rates. We applied our current cash flow modeling assumptions below to all transactions." Cash Flow Modeling Assumptions S&P ran multiple stressed cash flow scenarios commensurate with the various rating scenarios. S&P's scenarios included certain assumptions: -- Annualized monthly loss rates of approximately 15% to 21%, which increase linearly during 12 months to a peak loss equal to a rating-stress multiple of the base case. We applied approximately 62%-73% loss assumptions for the 'AAA' rating scenarios. -- A 5.6% base case recovery rate, haircut accordingly to each stress scenario and applied over 60 months. Voluntary prepayment speeds of 6%-15%. The cash flow runs show timely interest and principal repayment of all of the notes in the transactions under the respective rating stress scenarios. For transaction MFIT 2020-A, while the cash flow results indicated that the class B and C debt could support a higher rating, S&P limited the ratings to one notch below the rating of the classes senior to them in the transaction structure, since the senior notes have a favorable position relative to the subordinated notes in terms of payment priority and in the case of an event of default. S&P said, "We will continue to monitor the performance of all the transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our default expectations under our stress scenarios for each of the rated classes." Ratings Raised Mariner Finance Issuance Trust 2019-A Class D to AAA (sf) from AA+ (sf) Mariner Finance Issuance Trust 2020-A Class C to AA (sf) from AA- (sf) Class D to A (sf) from BBB- (sf) Mariner Finance Issuance Trust 2021-A Class B to AA (sf) from AA- (sf) Class C to A (sf) from A- (sf) Class D to BBB (sf) from BBB- (sf) Mariner Finance Issuance Trust 2021-B Class B to AA (sf) from AA- (sf) Class C to A (sf) from A- (sf) Class D to BBB (sf) from BBB- (sf) Class E to BB (sf) from BB- (sf) Ratings Affirmed Mariner Finance Issuance Trust 2019-A Class C: AAA (sf) Mariner Finance Issuance Trust 2020-A Class A: AAA (sf) Class B: AA+ (sf) Mariner Finance Issuance Trust 2021-A Class A: AAA (sf) Class E: BB- (sf) Mariner Finance Issuance Trust 2021-B Class A: AAA (sf) Mariner Finance Issuance Trust 2022-A Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: BB- (sf) METRONET INFRASTRUCTURE 2024-1: Fitch Rates Class C Notes 'BB-sf' ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes Series 2024-1. Fitch has also affirmed the ratings on Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes Series 2023-3, Series 2023-2, Series 2023-1, and Series 2022-1. The Rating Outlooks remain Stable. Fitch has assigned final ratings and Rating Outlooks as follows: - $344,600,000 series 2024-1, class A-2, 'Asf'; Outlook Stable; - $47,700,000 series 2024-1, class B, 'BBBsf'; Outlook Stable; - $96,00,000 series 2024-1, class C, 'BB-sf'; Outlook Stable. Fitch has additionally affirmed the following classes: - $400,000,000a series 2023-2 class A-1 at 'Asf'; Outlook Stable; --$478,236,000 series 2023-3 class A-2 at 'Asf'; Outlook Stable; - $66,156,000 series 2023-3 class B at 'BBBsf'; Outlook Stable; - $133,109,000 series 2023-3 class C at 'BB-sf'; Outlook Stable; - $487,139,000 series 2023-1 class A-2 at 'Asf'; Outlook Stable; --$67,387,000 series 2023-1 class B at 'BBBsf'; Outlook Stable; - $135,587,000 series 2023-1, class C, at 'BB-sf'; Outlook Stable. - $860,781,000 series 2022-1, class A-2, at 'Asf'; Outlook Stable; - $119,075,000 series 2022-1 class B at 'BBBsf'; Outlook Stable; - $239,584,000 series 2022-1 class C at 'BB-sf'; Outlook Stable. (a) This note is a Variable Funding Note (VFN) and has a maximum commitment of $400 million contingent on leverage consistent with the class A-2 notes. This class will reflect a zero balance at issuance. Entity/Debt Rating Prior ----------- ------ ----- Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2023-2 Class A-1 LT Asf Affirmed Asf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2024-1 A-2 59170JAK4 LT Asf New Rating A(EXP)sf B 59170JAL2 LT BBBsf New Rating BBB(EXP)sf C 59170JAM0 LT BB-sf New Rating BB-(EXP)sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2022-1 Class A-2 59170JAA6 LT Asf Affirmed Asf Class B 59170JAB4 LT BBBsf Affirmed BBBsf Class C 59170JAC2 LT BB-sf Affirmed BB-sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2023-3 Class A-2 59170JA*9 LT Asf Affirmed Asf Class B 59170JA@7 LT BBBsf Affirmed BBBsf Class C 59170JA#5 LT BB-sf Affirmed BB-sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2023-1 Class A-2 59170DAA9 LT Asf Affirmed Asf Class B 59170DAB7 LT BBBsf Affirmed BBBsf Class C 59170DAC5 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY The transaction is a securitization of subscription and contract payments derived from an existing fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. Debt is secured by net revenue from operations and benefits from a perfected security interest in the securitized assets. The collateral consists of high-quality fiber lines that support the provision of internet, cable and phone services to a network of approximately 480,000 customers across 14 states; these assets represent approximately 89.8% of the sponsor's business based on the percentage of revenue generated. For the markets contributed to the transaction, the majority of the subscriber base, comprising 29.0% of annualized run rate revenue (ARRR), is located in Indiana, although the base is spread across a few distinct markets within the state. Since the previous issuance in October 2023, the collateral networks are backed by an additional 47,850 subscribers and include 131,785 newly-passed premises, primarily from organic growth within previously contributed markets. New markets account for 0.7% of ARRR, including markets in two new states, Colorado (ARRR: 0.2%) and Missouri (ARRR: 0.0%). The ratings reflect a structured finance analysis of cash flows from the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, Metronet Holdings, LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $307.9 million, implying a 14.9% haircut to issuer NCF in the base case. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x, versus the debt/issuer NCF leverage of 8.5x. Inclusive of the cash flow required to draw on the maximum VFN commitment of $400 million, the Fitch NCF on the pool is $359.8 million, implying a 16.0% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x, compared with the debt / issuer NCF leverage of 8.1x. Credit Risk Factors: Major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks; scale and diversity of the customer base, market position and penetration; capability of the operator; 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, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, customer churn, lower market penetration, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 14.9% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'Asf' to 'BBB+sf'; class B from 'BBBsf' to 'BBB-sf'; class C from 'BB-sf' to 'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from rate increases, additional customers, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'Asf' to 'Asf'; class B from 'BBBsf' to 'Asf'; class C from 'BB-sf' to 'BB+sf'. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. MILFORD PARK: Fitch Affirms 'BB-sf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has affirmed the ratings on the class A-1, A-2, B, C and D notes in Unity-Peace Park CLO, Ltd. (Unity-Peace Park), the B, C and D notes in Davis Park CLO, Ltd. (Davis Park) and the B, C, D and E notes in Milford Park CLO, Ltd. (Milford Park). Fitch has revised the Rating Outlooks on classes B, C and D issued by Unity-Peace Park to Positive from Stable. The Outlook remains Stable for all other tranches. Entity/Debt Rating Prior ----------- ------ ----- Milford Park CLO, Ltd. B 59966PAC6 LT AAsf Affirmed AAsf C 59966PAE2 LT Asf Affirmed Asf D 59966PAG7 LT BBB-sf Affirmed BBB-sf E 59967DAA6 LT BB-sf Affirmed BB-sf Unity-Peace Park CLO, Ltd. A-1 913318AA9 LT AAAsf Affirmed AAAsf A-2 913318AC5 LT AAAsf Affirmed AAAsf B 913318AE1 LT AAsf Affirmed AAsf C 913318AG6 LT Asf Affirmed Asf D 913318AJ0 LT BBB-sf Affirmed BBB-sf Davis Park CLO, Ltd. B 239086AE1 LT AAsf Affirmed AAsf C 239086AG6 LT Asf Affirmed Asf D 239086AJ0 LT BBB-sf Affirmed BBB-sf TRANSACTION SUMMARY Unity-Peace Park, Davis Park and Milford Park are broadly syndicated collateralized loan obligations (CLOs) managed by Blackstone Liquid Credit Strategies LLC. Unity-Peace Park closed in May 2022 while Davis Park and Milford Park closed in June 2022 Unity-Peace Park and Davis Park will exit the reinvestment period in April 2027 and Milford Park exits the reinvestment period in July 2027. All three CLOs are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Updated Cash Flow Analysis and Stable Collateral Performance As of February 2024 reporting, portfolio performance remains stable across all three CLOs. On average, the Fitch weighted average rating factor (WARF) improved to 25.1 (B/B-) from 25.6 at last review. There are no Fitch classified defaulted assets in any of the three deals. All coverage tests, collateral quality tests (CQTs), and concentration limitations are in compliance. Assets with a Negative Outlook comprise on average 17.2% of the current portfolios compared with 16.9% at last review, while average exposure to issuers on Fitch's watchlist stands at 6.5% compared with 3.4% at last review. On average, the Fitch weighted average recovery rate (WARR) improved to 75.7%, compared to 74.7% at last review. Fitch analyzed each CLO based on the current portfolio and an updated Fitch Stressed Portfolio (FSP) cash flow analysis. The FSP analysis stressed the current portfolios as of the latest trustee reporting to account for permissible concentration and CQT limits of each transaction. The rating actions on the notes are in line with their respective model-implied ratings (MIRs), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria," except for eight classes of notes that were affirmed below their MIRs: one notch below MIR for class C notes in Davis Park, the class B and C notes in Unity-Peace Park and the B, C and E notes in Milford Park and two notches below for the class D notes in both Unity-Peace Park and Milford Park. This was due to the sensitivity of these classes' MIRs, driven by the FSP analysis, to the weighted average spread covenant. Outlook revision to Positive for class B, C, and D notes issued by Unity-Peace Park is supported by lower concentration limitation for non-senior secured limit of 4% that led to higher breakeven default ratio (BEDR) cushions at MIR levels. The Stable Outlooks on the remaining notes reflect Fitch's expectation that the notes have sufficient levels of credit enhancement (CE) to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class' rating. 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 what was assumed at closing and the notes' CE do not compensate for the higher loss expectation than initially anticipated; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two rating notches, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five rating 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. MORGAN STANLEY 2014-C19: DBRS Confirms C Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C19 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 as follows: -- Class E to CCC (sf) from B (sf) -- Class X-E to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class X-C at AA (low) (sf) -- Class C at A (high) (sf) -- Class PST at A (high) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes D and X-D to Negative from Stable. Classes E, F, and X-E no longer carry a trend given their CCC (sf) or lower credit rating. The trends on all remaining classes are Stable. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss projections for select loans in the transaction, most notably for the PacStar Retail Portfolio loan (Prospectus ID#9; 4.4% of the pool), which is collateralized by two retail properties that were recently re-valued at a lower amount compared with the previous appraisal obtained by the special servicer. Of the eight specially serviced loans as of the February 2024 remittance, six loans received updated appraisals since Morningstar DBRS' last credit rating action, with seven of the eight loans liquidated in the analysis for this review. Morningstar DBRS estimates the total liquidated losses to be approximately $50.0 million (with an average loan-level loss severity exceeding 40.0%), which would erode the entirety of the unrated Class G and more than 60.0% of Class F, supporting the credit rating downgrades with this review. The trend change on Class D to Negative from Stable reflects the significant credit erosion to the transaction as the pool winds down, with the majority of the remaining loans scheduled to mature by the end of 2024. According to the February 2024 remittance, 62 of the original 77 loans remain in the pool, representing a collateral reduction of 34.3% since issuance. Of the remaining pool, 16 loans, representing 20.5% of the pool, are fully defeased. Five loans, representing 14.8% of the pool, are on the servicer's watchlist and eight loans, representing 11.4% of the pool, are in special servicing. The transaction is concentrated by property type with seven loans, representing 27.1% of the pool, secured by office collateral, including the largest loan, 300 North LaSalle (Prospectus ID#2; 11.2% of the pool). All but two of the remaining loans, including all seven office loans, are scheduled to mature in 2024. Outside of the specially serviced loans, the overall maturity profile is generally healthy, with a select few non-specially serviced loans exhibiting increased refinance risk. As the transaction is in wind-down, the analysis for this review generally focused on the recoverability prospects for the remaining loans in the pool. The largest loan in the pool, 300 North LaSalle, is secured by a trophy Class A office building in Chicago, totaling 1.3 million square feet (sf). According to the March 2023 rent roll, the property was 93.5% occupied with an average rental rate of $39.84 per square foot. Tenants representing 27.5% of the net rentable area (NRA) are scheduled to roll in 2024, including the second largest tenant, Boston Consulting Group (BCG;12.2% of NRA, lease expiry in December 2024). BCG has confirmed its plans to vacate at lease expiry for a relocation to 360 North Green Street. In July 2023, the loan's sponsor, Irvine Company, announced that Winston & Strawn had been signed as a replacement tenant, taking over all of BCG's former space. The lease terms have been requested from the servicer but have not been provided as of the date of this press release. The largest tenant, Kirkland & Ellis, LLP (Kirkland & Ellis; 51.5% of NRA, original lease expiry in February 2029), had a one-time termination available effective February 2025, which was exercised to accommodate the tenant's plans to relocate to the newly constructed Salesforce Tower Chicago at Wolfpoint, which opened in 2023. As part of the lease termination, the tenant is required to pay a termination fee of $51.2 million, which has been posted in the form of a letter of credit that is on file with the servicer. While no replacement tenants for the Kirkland & Ellis space have been signed to date, the sponsor appears to be committed to the property as evidenced by an announced upcoming $30.0 million capital improvement plan that is expected to include an expansion of the subject's ground-floor restaurant, upgrades to the fitness and conference centers, and refurbished indoor and outdoor spaces. The property's ability to attract a replacement for the BCG space as well as an expansion for another tenant, private equity firm GTCR, as part of a five-year lease extension through 2029 bodes well for the sponsor's ability to attract tenants to the building but the significant footprint that will be left by the absence of Kirkland & Ellis will undoubtedly add complexity to efforts to secure a replacement loan at the August 2024 maturity. Mitigating factors include the low A-note loan-to-value ratio of 22.5%, based on its appraised value at issuance and current A-note balance, planned capital improvement project, and the $51.2 million in termination funds available as additional collateral on the loan. The largest loan in special servicing, PacStar Retail Portfolio (Prospectus ID#9; 4.4% of the pool), is secured by two anchored retail properties totaling 398,131 sf. The larger of the two properties, Yards Plaza, is a 259,137-sf shopping center located eight miles southwest of downtown Chicago. The smaller property, Willowbrook Court Shopping Center, is a 137,650-sf shopping center located within a highly trafficked retail corridor of northwest Houston. The loan transferred to special servicing in September 2021 for imminent nonmonetary default but defaulted on its payment as the loan was last paid through April 2022. Collateral occupancy has continuously declined following the departure of an anchor tenant at the Willowbrook Court property in 2018 and the sponsor has been unable to drive meaningful leasing activity. Through Q2 2023, the loan reported a combined occupancy rate of 54.0% with a debt service coverage ratio of 0.05 times. The borrower has indicated a willingness to transfer the properties back to the lender and a new appraisal was published as of July 2023, valuing the collateral at $25.7 million. The July 2023 value represents a -16.9% variance from the November 2022 value of $30.9 million and a -63.1% variance from the issuance value of $69.6 million. Based on the most recent appraised value, Morningstar DBRS analyzed this loan with a liquidation scenario, resulting in a loss severity in excess of 70.0%. Notes: All figures are in U.S. dollars unless otherwise noted. MOSAIC SOLAR 2023-2: Fitch Affirrms 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the Mosaic Solar Loan Trust 2023-2 (Mosaic 2023-2) notes as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Mosaic Solar Loan Trust 2023-2 Class A 61945WAA7 LT AA-sf Affirmed AA-sf Class B 61945WAB5 LT A-sf Affirmed A-sf Class C 61945WAC3 LT BBB-sf Affirmed BBB-sf Class D 61945WAD1 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Mosaic 2023-2 is a securitization of consumer loans backed by residential solar equipment. All the loans were originated by Solar Mosaic, LLC (Mosaic), one of the oldest established solar lenders in the U.S.; it has advanced solar loans since 2014. KEY RATING DRIVERS Performance Within Expectations: As of the February 2024 servicer report, the cumulative default rate (CDR) is 1.15% and is broadly consistent with Fitch's initial expectations for that level of portfolio seasoning. Prepayments have been lower than initially expected, with an average reported Constant Prepayment Rate CPR of 6.2%, compared to its initial assumption of 10%. However, assets have not yet reached the reamortization period. Extrapolated Asset Assumptions Maintained: Fitch considered both originator-wide data and previous Mosaic transactions to set a lifetime default expectation of 8.3%. Fitch has also assumed a 30% base case recovery rate. Fitch's rating default rates (RDRs) for 'AA-sf', 'A-sf', 'BBB-sf' and 'BB-sf' are, respectively, 33.5%, 24.9%, 17.8% and 12.6%. Fitch's rating recovery rates (RRRs) are, respectively, 19%, 21.8%, 24.0% and 26.0%. Limited History Determines 'AAsf' Cap: Residential solar loans in the U.S. have long terms, many of which are now at 25 years (and for a small portion, 30 years). For Mosaic, more than eight years of performance data are available, which compares favorably with the other solar ABS transactions that Fitch currently rates, and the solar industry at large. Target OC and Amortization Trigger: Class A and B notes will amortize based on target overcollateralization (OC) percentages. The target OC is 100% of the outstanding adjusted balance for the first 16 months, ensuring that there is no leakage of funds initially, irrespective of the collateral performance; then it falls to 15.5%. Should the escalating cumulative loss trigger be breached, the payment waterfall will switch to turbo sequential, deferring any interest payments for class C and D, and, thus, accelerating the senior note deleveraging. The repayment timing of classes C and D is highly sensitive to the timing of a trigger breach. Standard Reputable Counterparties; No Swap: The transaction account is with Wilmington Trust, and the servicer's collection account is with Wells Fargo Bank. Commingling risk is mitigated by transfer of collections within two business days, the high initial ACH share and Wells Fargo's ratings. As both assets and liabilities pay a fixed coupon, there is no need for an interest rate hedge and, thus, no exposure to swap counterparties. Established Specialized Lender: Mosaic is one of the first-movers among U.S. solar loan lenders, with the longest track record among originators of the solar ABS that Fitch rates. Underwriting is mostly automated and in line with those of other U.S. ABS originators. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Asset performance that indicates an implied annualized default rate (ADR) above 1.5% and a simultaneous fall in prepayments activity may put pressure on the rating or lead to a Negative Rating Outlook. Material changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the rating. Below, Fitch shows model-implied rating sensitivities to changes in default and/or recovery assumptions. As transaction performance is in line with expectations, the model has not been re-run since closing. Increase of defaults (Class A / B / C / D): +10%: 'A+sf' / 'Asf' / 'BBB+sf' / 'BB+sf'; +25%: 'Asf' / 'A-sf' / 'BBBsf' / 'BB+sf'; +50%: 'A-sf' / 'BBB+sf' / 'BB+sf' / 'BB-sf'. Decrease of recoveries (Class A / B / C / D): -10%: 'AA-sf' / 'Asf' / 'BBB+sf' / 'BBB-sf'; -25%: 'A+sf' / 'Asf' / 'BBB+sf' / 'BBB-sf'; -50%: 'A+sf' / 'Asf' / 'BBBsf' / 'BBBsf'. Increase of defaults and decrease of recoveries (Class A / B / C / D): +10% / -10%: 'A+sf' / 'Asf' / 'BBBsf' / 'BB+sf'; +25% / -25%: 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BBsf'; +50% / -50%: 'BBB+sf' / 'BBBsf' / 'BB+sf' / 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps ratings in the 'AAsf' category due to limited performance history, while the assigned rating of 'AA-sf' is further constrained by the available credit enhancement (CE). As a result, a positive rating action could result from an increase in CE due to class A deleveraging, underpinned by good transaction performance, for example, through high prepayments and ADR at around 1% or below. The overall economic environment is also an important consideration and Fitch's ABS outlook is generally deteriorating in the short term. Below, Fitch shows model-implied rating sensitivities, capped at 'AA+sf', to changes in default and/or recovery assumptions. As transaction performance is in line with expectations, the model has not been re-run since closing. Decrease of defaults (Class A / B / C / D): -10%: 'AAsf' / 'A+sf' / 'A-sf' / 'BBBsf'; -25%: 'AA+sf' / 'AAsf' / 'Asf' / 'BBB+sf'; -50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'A+sf'. Increase of recoveries (Class A / B / C / D): +10%: 'AA-sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf'; +25%: 'AA-sf' / 'A+sf' / 'A-sf' / 'BBB-sf'; +50%: 'AAsf' / 'A+sf' / 'A-sf' / 'BBBsf'. Decrease of defaults and increase of recoveries (Class A / B / C / D): -10% / +10%: 'AAsf' / 'A+sf' / 'A-sf' / 'BBBsf'; -25% / +25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'BBB+sf'; -50% / +50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'A+sf'. CRITERIA VARIATION This analysis includes a criteria variation due to MIR variations in excess of the limit stated in the consumer ABS criteria report for new ratings. 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 variations for classes B to D are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing, and tranche thickness, the ultimate ratings were constrained by sensitivity analysis. 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 historical information available for this originator did not cover the asset tenor of up to 30 years, as originations began in 2014. Fitch applied a rating cap at the 'AAsf' category to address this limitation. The amortizing nature of the assets, the data available from previous Mosaic transactions and the application of an ADR to the static portfolio allowed us to determine lifetime default assumptions. Taking into account this analytical approach, the rating committee considered the available data sufficient to support a rating in the 'AAsf' category. 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. NAVIENT STUDENT 2014-1: Moody's Lowers Rating on A-3 Notes to Ba2 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings of eight classes of notes issued by five student loan securitizations sponsored and administered by Navient Solutions, LLC. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Navient Student Loan Trust 2014-1 Floating Rate Class A-3 Notes, Downgraded to Ba2 (sf); previously on Nov 23, 2022 Downgraded to Baa3 (sf) Floating Rate Class A-4 Notes, Downgraded to Baa3 (sf); previously on Jun 23, 2023 Downgraded to A3 (sf) Floating Rate Class B Notes, Downgraded to A3 (sf); previously on Sep 16, 2016 Downgraded to A1 (sf) Issuer: Navient Student Loan Trust 2014-8 Floating Rate Class B Notes, Downgraded to A1 (sf); previously on Sep 16, 2016 Upgraded to Aa1 (sf) Issuer: Navient Student Loan Trust 2015-1 Floating Rate Class A-2 Notes, Downgraded to A3 (sf); previously on Sep 25, 2023 Downgraded to A1 (sf) Issuer: Navient Student Loan Trust 2015-2 Floating Rate Class A-3 Notes, Downgraded to A1 (sf); previously on Apr 23, 2015 Definitive Rating Assigned Aaa (sf) Floating Rate Class B Notes, Downgraded to A1 (sf); previously on Oct 5, 2016 Upgraded to Aaa (sf) Issuer: Navient Student Loan Trust 2015-3 Floating Rate Class B Notes, Downgraded to Aa1 (sf); previously on Jun 1, 2018 Upgraded to Aaa (sf) RATINGS RATIONALE The rating downgrades are primarily driven by the updated performance of these transactions and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cash flow scenarios with weights accorded to each scenario. The rating actions reflect the change in the weighted average remaining term. Due to the significant increases in forbearance previously, the weighted average remaining terms continue to rise, negatively impacting collateral pool amortization rates and increasing the risk of notes not paying down by their legal final maturity dates. The rating action on Class A-2 Notes of Navient Student Loan Trust 2015-1 also considers the impact of a data format change introduced by Navient in 2018. For such bonds with long dated legal final maturities (more than five years), Moody's makes adjustments to model outputs to normalize the impact of the collateral data format on modeled cashflows. Moody's ratings on some of the Class A notes of the affected transactions are lower than the ratings on the subordinated Class B notes. Although some transaction structures stipulate that Class B interest is diverted to pay Class A principal upon default on the Class A notes, Moody's analysis indicates that the cash flow available to make payments on the Class B notes will be sufficient to make all required payments, including accrued interest, to Class B noteholders by the Class B final maturity dates, which occur later than the final maturity dates of the Class A notes. 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 and credit enhancement. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published in April 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, and extended remaining terms which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. NEUBERGER BERMAN 39: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 39, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 39, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Neuberger Berman Loan Advisers CLO 39, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers II LLC that originally closed in December 2020. The CLO's secured notes will be refinanced in whole on March 12, 2024 (the first refinancing date) from the proceeds of new secured notes. The secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.75, versus a maximum covenant, in accordance with the initial expected matrix point of 26.00. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 93.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.6% versus a minimum covenant, in accordance with the initial expected matrix point of 72.4%. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 39, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NEW MOUNTAIN 5: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to New Mountain CLO 5 Ltd./New Mountain CLO 5 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by New Mountain Credit CLO Advisers LLC. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned New Mountain CLO 5 Ltd./New Mountain CLO 5 LLC Class A, $256 million: AAA (sf) Class B, $46 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D (deferrable), $26 million: BBB- (sf) Class E (deferrable), $14 million: BB- (sf) Subordinated notes, $41 million: Not rated NEW RESIDENTIAL 2024-NQM1: Fitch Gives B-sf Rating on Cl. B-3 Notes ------------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed notes issued by New Residential Mortgage Loan Trust 2024-NQM1 (NRMLT 2024-NQM1) as follows: Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2024-NQM1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating NR(EXP)sf XS-1 LT NRsf New Rating NR(EXP)sf XS-2 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by New Residential Mortgage Loan Trust 2024-NQM1 (NRMLT 2024-NQM1) as indicated above. The notes are supported by 610 newly originated loans that have a balance of $282 million as of the Feb. 1, 2023 cut-off date. The pool consists of loans originated by NewRez LLC as well as third-party originations from American Heritage Lending and LendSure, among others. The notes are secured mainly by non-qualified mortgage (QM) loans, as defined by the ability-to-repay (ATR) rule. Of the loans in the pool, 75.6% are designated as non-QM, while the remainder are safe harbor QM or are not subject to the ATR rule. 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 10.3% above a long-term sustainable level (relative to 9.4% on a national level as of 2Q23). Housing affordability is the worst it has been in decades, driven by high interest rates and elevated home prices. National home prices increased by 4.7% yoy as of October 2023, despite modest regional declines, but are still being supported by limited inventory. Non-Prime Credit Quality (Negative): The collateral consists of 610 loans, totaling $282 million and seasoned approximately five months in aggregate, according to Fitch, as calculated from the origination date. The borrowers have a moderate credit profile compared with other non-QM transactions, with a 739 Fitch model FICO score and 38% debt/income ratios, as determined by Fitch after converting the debt service coverage ratio values. However, leverage is consistent with the previous NRMLT transactions in 2023, with an 80% sustainable loan/value [sLTV]) within the pool is consistent compared to previous NRMLT transactions from 2023. The pool consists of 64.1% of loans where the borrower maintains a primary residence, while Fitch considers 23.2% as investor property or second homes. Only 17.6% of loans were originated through a retail channel. Moreover, Fitch considers 75.6% as non-QM and the remainder either safe harbor or not subject to QM. Modified Sequential-Payment Structure (Mixed): The structure pays 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 paid sequentially to class A-1, A-2 and A-3 notes until reduced to zero. After the 48th payment date, the A-1 through A-3 classes will be contractually due the lower of the fixed rate for the class plus 1.0% or the Net WAC rate. This increases the principal and interest allocation for A-1 through A-3 and decreases the amount of excess spread available in the transaction. Furthermore, at any time, interest amounts otherwise distributable to class B-3 will be redirected to pay cap carryover amounts to classes A-1 through A-3, sequentially. Loan Documentation (Negative): According to Fitch, 72.7% of the pool was underwritten to less than full documentation. Approximately 62.3% was underwritten to a 12 or 24 month bank statement program for verifying income, which is inconsistent 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 Protection Bureau's ATR rule. The standards aim to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 7.8% of the loans are debt service coverage ratio products and 1.78% are asset depletion products. High Investor Property Concentrations (Negative): Approximately 23.5% of the pool comprises investment property loans, including 7.8% underwritten to a cash flow ratio rather than the borrower's debt/income ratio. Investor property loans exhibit higher probability of default and loss severity than owner-occupied homes. Fitch increased the probability of default by 2.0x for the cash flow ratio loans relative to a traditional income documentation investor loan to account for the increased risk. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, 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, Clayton, Digital Risk, Evolve, Infinity and Selene. The third-party due diligence described in Form 15E focused on a 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 credit was applied at the loan level for all loans graded either 'A' or 'B' - Fitch lowered its loss expectations by approximately 56bp as a result of the diligence review. ESG CONSIDERATIONS The transaction has an ESG credit relevance score for Transaction Parties and operational Risk of '4' due to operational considerations associated with the representation and warranty framework without mitigating factors. For all 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. NEWSTAR ARLINGTON: S&P Affirms B- (sf) Rating on Class F-R Notes ---------------------------------------------------------------- S&P Global Ratings raised its rating on the class B-R debt from NewStar Arlington Senior Loan Program LLC. S&P also removed this rating from CreditWatch, where it was placed with positive implications in January 2024. At the same time, S&P raised its ratings on the class C-1-R and C-2-R debt and affirmed its ratings on the class A-R, D-R, E-R, and F-R debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the February 2024 trustee report. The transaction has paid down $132.14 in collective paydowns to the class A-R debt since our June 2022 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the April 2022 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 186.82% from 150.25%. -- The class C O/C ratio improved to 145.24% from 131.84%. -- The class D O/C ratio improved to 125.46% from 121.32%. While the senior O/C ratios improved, the junior O/C ratio declined slightly since the April 2022 trustee report: -- The class E O/C ratio declined to 109.91% from 112.02%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the junior O/C ratio declined partially due to an increase in defaults and haircuts that the CLO incurred since S&P's last rating action. Collateral obligations with ratings in the 'CCC' category, as a percentage of the total portfolio, have increased to 16.0% from 11.7%, though the aggregate par balance of these assets has declined to $37.94 million from $45.28 million. Over the same period, the total par amount of defaulted collateral has increased to $14.77 million from $7.56 million. However, despite the larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, have benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 2.87 years reported as of the February 2024 trustee report, compared with 3.86 years reported at the time of our June 2022 rating actions. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-1-R, C-2-R, D-R, and E-R debt. S&P said, "However, because the transaction currently has higher exposure to 'CCC' rated collateral obligations and defaulted assets, we limited the upgrade on these classes to offset future potential credit migration in the underlying collateral. Our rating actions also reflect sensitivity runs that considered the exposure to lower quality assets and distressed prices we noticed in the portfolio. Additionally, we would expect to see larger cushions to account for the nature of a middle market transaction." S&P said, "Although the cash flow results indicated a lower rating for the class F-R debt, we view the overall credit seasoning as an improvement to the transaction and also considered the relatively stable O/C ratios, which currently have additional cushion over their minimum requirements. The class F-R debt also subsequently did not meet our 'CCC' criteria for being dependent on favorable conditions. However, any increase in defaults or par losses could lead to negative rating actions on the class F-R debt in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Raised And Removed From CreditWatch Positive NewStar Arlington Senior Loan Program LLC Class B-R to AAA (sf) from AA (sf)/Watch Pos Ratings Raised NewStar Arlington Senior Loan Program LLC Class C-1-R to A+ (sf) from A (sf) Class C-2-R to A+ (sf) from A (sf) Ratings Affirmed NewStar Arlington Senior Loan Program LLC Class A-R: AAA (sf) Class D-R: BBB- (sf) Class E-R: BB- (sf) Class F-R: B- (sf) NYMT LOAN 2024-CP1: Fitch Assigns 'Bsf' Rating on Class B-2 Notes ----------------------------------------------------------------- Fitch Ratings assigns ratings to the residential mortgage-backed notes to be issued by NYMT Loan Trust 2024-CP1 (NYMT 2024-CP1) as follows: Entity/Debt Rating Prior ----------- ------ ----- NYMT Loan Trust 2024-CP1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 1,670 seasoned performing loans (SPLs) and reperforming loans (RPLs) in either a senior or junior lien position with a total balance of approximately $334 million, including $5.9 million in deferred balances. Distributions of P&I and loss allocations are based on a senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.8% above a long-term sustainable level versus 11.1% on a national level as of 3Q23, up 1.82% since the prior quarter. Housing affordability is at its worst level in decades, driven by high interest rates and elevated home prices. RPL Credit Quality (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. As of the cut-off date, the pool was 100% current. Approximately 87.5% of the loans were treated as having clean payment histories for the past two years or more (clean current) or have been clean since origination if seasoned less than two years. Additionally, 25.5% of loans have a prior modification. The borrowers have a moderate credit profile (714 FICO and 41% debt-to-income ratio [DTI]) and relatively low leverage (60% sustainable loan-to-value ratio [sLTV]). Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure, whereby the subordinate classes do not receive principal until the senior classes are repaid in full. The credit enhancement consists of subordinated notes, the distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to repay current or previously allocated realized losses, and to pay coupon cap shortfalls. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduce liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.0%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 multiple third party review firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Loans with a missing modification agreement received a three-month liquidation timeline extension; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 50bps. 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. OBX TRUST 2024-HYB2: Moody's Assigns B2 Rating to Cl. B-2 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 6 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2024-HYB2 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-HYB2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. M-1, Definitive Rating Assigned A2 (sf) Cl. M-2, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) Moody's is withdrawing the provisional rating for the Class A-1A loans, assigned on March 8, 2024, because the issuer will not be issuing this class. 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 1.17%, in a baseline scenario-median is 0.70% and reaches 17.07% 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 XII: S&P Assigns Prelim B-(sf) Rating on Cl. F-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R2, A-2-R2, B-1-R2, B-2-R2, C-R2, D-R2, E-R2, and F-R2 replacement debt and proposed new class X-R2 debt from OHA Credit Partners XII Ltd./OHA Credit Partners XII LLC, a CLO originally issued in January 2016 and refinanced in June 2018 that is managed by Oak Hill Advisors L.P. The preliminary ratings are based on information as of March 18, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 23, 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 X-R2, A-1-R2, A-2-R2, B-1-R2, C-R2, D-R2, E-R2 and F-R2 debt are expected to be issued at a higher spread over three-month CME term SOFR than the original debt, and the class B-2-R2 debt is expected to be newly issued at a fixed coupon. -- The replacement class X-R2, A-1-R2, A-2-R2, B-1-R2, C-R2, D-R2, E-R2 and F-R2 debt are expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity and reinvestment period will be extended by 6.75 and 5.75 years, respectively. -- The class A-1-R2 debt stated maturity date is expected to be one year earlier than other rated debt at closing, but may be extended to a later payment date. -- Class X-R2 debt is expected to be issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds. Replacement and Original Debt Issuances Replacement debt -- Class X-R2, $6.00 million: Three-month CME term SOFR + 1.050% -- Class A-1-R2, $367.25 million: Three-month CME term SOFR + 1.500% -- Class A-2-R2, $40.75 million: Three-month CME term SOFR + 1.700% -- Class B-1-R2, $28.00 million: Three-month CME term SOFR + 2.000% -- Class B-2-R2, $20.00 million: 5.883% -- Class C-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 2.450% -- Class D-R2 (deferrable), $36.00 million: Three-month CME term SOFR + 3.700% -- Class E-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 6.550% -- Class F-R2 (deferrable), $10.80 million: Three-month CME term SOFR + 8.530% Original debt -- Class X-R, $6.20 million: Three-month CME term SOFR + 0.91% -- Class A-1R, $342.00 million: Three-month CME term SOFR + 1.28% -- Class A-2R, $45.00 million: Three-month CME term SOFR + 1.56% -- Class B-R, $70.80 million: Three-month CME term SOFR + 1.86% -- Class C-R (deferrable), $35.40 million: Three-month CME term SOFR + 2.16% -- Class D-R (deferrable), $36.60 million: Three-month CME term SOFR + 3.16% -- Class E-R (deferrable), $22.20 million: Three-month CME term SOFR + 5.71% -- Class F-R (deferrable), $10.80 million: Three-month CME term SOFR + 7.94% -- Subordinated notes, $42.00 million(i): Residual (i)The notional amount of the subordinated notes is expected to increase to $49.26 million in connection with this proposed refinancing. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Partners XII Ltd./OHA Credit Partners XII LLC Class X-R2, $6.00 million: AAA (sf) Class A-1-R2, $367.25 million: AAA (sf) Class A-2-R2, $40.75 million: Not rated Class B-1-R2, $28.00 million: AA (sf) Class B-2-R2, $20.00 million: AA (sf) Class C-R2 (deferrable), $36.00 million: A (sf) Class D-R2 (deferrable), $36.00 million: BBB- (sf) Class E-R2 (deferrable), $24.00 million: BB- (sf) Class F-R2 (deferrable), $10.80 million: B- (sf) Subordinated notes, $49.26 million: Not rated OZLM FUNDING IV: S&P Affirms B- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2-R and B-R debt from OZLM Funding IV Ltd., and removed them from CreditWatch, where S&P placed them with positive implications in January 2024. At the same time, S&P affirmed its ratings on five other classes of debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the Jan 2024 trustee report. The transaction has paid down $196.6 million in paydowns to the class A-1-R debt since our June 2022 rating actions. The following are the changes in the reported overcollateralization (O/C) ratios since the April 2022 trustee report, which S&P used for its previous rating actions: -- The class A O/C ratio improved to 143.62% from 131.36%. -- The class B O/C ratio improved to 125.65% from 119.85%. -- The class C O/C ratio improved to 114.79% from 112.40%. -- The class D O/C ratio improved to 106.82% from 106.68%. -- The class E O/C ratio declined to 103.59% from 104.30%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the junior O/C ratio declined primarily due to negative par movement. Collateral obligations with ratings in the 'CCC' category have increased, with $27.2 million (or 6.6% of performing collateral balance) reported as of the January 2024 trustee report, compared with $23.5 million (or 4.2% of performing collateral balance) reported as of the April 2022 trustee report. However, over the same period, the par amount of defaulted collateral has decreased to $0.7 million from $1.8 million. However, despite the slightly increased concentrations in the 'CCC' category, it is still within the O/C haircut threshold of 7.5%. The transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to underlying collateral's seasoning, with 3.53 years reported as of the January 2024 trustee report, compared with 4.57 years reported at the time of our June 2022 rating actions. The upgraded ratings reflect the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could results in further ratings changes. Although S&P's cash flow analysis indicated higher ratings for the class B-R and C-R debt, our rating actions reflect additional sensitivity runs that considered the CLO's exposure to lower quality assets and distressed prices we noticed in the portfolio. On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class E-R notes than the rating action reflects. S&P said, "However, we affirmed the 'B- (sf)' rating on class E-R after considering its current credit enhancement level and the transaction's relatively low exposures to 'CCC' rated collateral and defaulted obligations. Based on our analysis, we believe this class have sufficient credit enhancement to withstand a steady-state scenario where the current level of stress shows little to no increase and collateral performance remains steady. However, any increase in default and/or par losses could lead to a potential negative rating action in the future." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." OZLM Funding IV Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee (ARRC)-recommended credit spread adjustment. S&P's cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, its cash flow analysis considered the same. Ratings Raised And Removed From Watch Positive OZLM Funding IV Ltd. Class A-2-R: to 'AAA (sf)' from 'AA (sf)/Watch Positive' Class B-R: to 'AA (sf)' from 'A (sf)/Watch Positive' Ratings Affirmed OZLM Funding IV Ltd. Class A-1-R: AAA (sf) Class C-R: BBB (sf) Class D-1-R: BB- (sf) Class D-2-R: BB- (sf) Class E-R: B- (sf) PALMER SQUARE 2024-1: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Capital Management LLC. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Palmer Square CLO 2024-1 Ltd./Palmer Square CLO 2024-1 LLC Class A, $352.0 million: AAA (sf) Class B, $66.0 million: AA (sf) Class C (deferrable), $33.0 million: A (sf) Class D (deferrable), $33.0 million: BBB- (sf) Class E (deferrable), $22.0 million: BB- (sf) Subordinated notes, $48.8 million: Not rated PEEBLES PARK: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Peebles Park CLO Ltd./Peebles Park CLO LLC's floating- and fixed rate-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone CLO Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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. Ratings Assigned Peebles Park CLO Ltd./Peebles Park CLO LLC Class A, $384.00 million: AAA (sf) Class B-1, $48.00 million: AA (sf) Class B-2, $24.00 million: AA (sf) Class C (deferrable), $36.00 million: A (sf) Class D (deferrable), $36.00 million: BBB- (sf) Class E (deferrable), $21.60 million: BB- (sf) Subordinated notes, $59.35 million: Not rated PIKES PEAK 7: Fitch Assigns 'BB-(EXP)' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Pikes Peak CLO 7 reset transaction. Entity/Debt Rating ----------- ------ Pikes Peak CLO 7 A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating TRANSACTION SUMMARY Pikes Peak CLO 7 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Partners Group US Management CLO LLC that originally closed in February 2021. The CLO's secured notes will be refinanced on March 21, 2024 from proceeds of the new secured notes. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.96, versus a maximum covenant, in accordance with the initial expected matrix point of 27.25. 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 73.55% versus a minimum covenant, in accordance with the initial expected matrix point of 71%. Portfolio Composition (Positive): The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 4.9-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 rating downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in a rating upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Pikes Peak CLO 7. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. POST CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Post CLO 2024-1 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Post CLO 2024-1 Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-1 Loans LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Post CLO 2024-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Post Advisory Group, 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.17, 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 98.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.31% versus a minimum covenant, in accordance with the initial expected matrix point of 71.7%. Portfolio Composition (Positive): The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBBsf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D; and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D; and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Post CLO 2024-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PRESTIGE AUTO 2024-1: S&P Assigns Prelim 'BB-' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Prestige Auto Receivables Trust 2024-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of March 15, 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 59.90%, 51.88%, 42.54%, 33.23%, and 26.96% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.05x, 2.60x, 2.10x, 1.60x, and 1.27x coverage of S&P's expected cumulative net loss of 19.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x its expected loss level), all else being equal, S&P's 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, 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. -- S&P's assessment of the series' bank accounts at Citibank N.A. (Citibank), which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Prestige Financial Services Inc. as servicer, and its view of the company's underwriting and the backup servicing arrangements with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Prestige Auto Receivables Trust 2024-1 Class A-1, $34.00 million: A-1+ (sf) Class A-2, $66.64 million: AAA (sf) Class B, $34.42 million: AA (sf) Class C, $32.04 million: A (sf) Class D, $30.86 million: BBB (sf) Class E, $26.35 million: BB- (sf) PRET TRUST 2024-RPL1: Fitch Assigns 'B' Rating on Class B-2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by PRET 2024-RPL1 Trust (PRET 2024-RPL1). Entity/Debt Rating Prior ----------- ------ ----- PRET 2024-RPL1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf B 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 The PRET 2024-RPL1 notes are supported by 1,851 seasoned performing and reperforming loans that have a balance of $383.48 million as of the Jan. 31, 2024 cutoff date. The notes are secured by a pool of fixed, step-rate and adjustable rate mortgage loans, some of which have an initial interest-only (IO) period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first liens primarily on single-family residential properties, townhouses condominiums, co-ops, manufactured housing, multi-family homes, mobile homes and raw land. In the pool, 100% of the loans are seasoned performing and re-performing loans. According to Fitch, 18.2% of the loans are nonqualified mortgages (non-QM, or NQM) as defined by the ability to repay (ATR) rule (the Rule), and the remaining 81.8% are exempt from the QM rule as they are investment properties or were originated prior to the ATR rule taking effect in January 2014. Selene Finance LP (Selene) will service 100.0% of the loans in the pool; Fitch rates Selene 'RPS3+'. There is LIBOR exposure in this transaction. The majority of the loans in the collateral pool comprise fixed-rate mortgages, though 11.7% of the pool comprises STEP loans or loans with an adjustable rate. Of the pool, 8.3% consists of ARM loans that reference the one-month, three-month, six-month and one-year LIBOR index. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.5% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q23, up 1.68% 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 5.5% YoY nationally as of December 2023 despite modest regional declines, but are still being supported by limited inventory. Seasoned and Reperforming Credit Quality (Mixed): The collateral consists of 1,851 loans, totaling $383.48 million which includes deferred amounts. The loans are seasoned approximately 179 months in aggregate according to Fitch, as calculated from origination date (176 months per the transaction documents). Specifically, the pool comprises 88.3% fully amortizing fixed-rate loans, 9.2% fully amortizing ARM loans, and 2.6% STEP loans that were treated as ARM loans. The borrowers have a moderate credit profile, with a 665 Fitch model FICO score (667 FICO per the transaction documents) and 45% debt-to-income (DTI) ratios, as determined by Fitch after applying default values for missing data. The transaction has a weighted average (WA) sustainable loan-to-value (sLTV) ratio of 61.4%. The pool consists of 94.6% of loans where the borrower maintains a primary residence, while 5.4% is an investor property or second home. According to Fitch, 18.2% of the loans are designated as non-QM loans and 0.0% are safe-harbor QM loans, while the remaining 81.8% are exempt from QM status. In its analysis, Fitch considered loans originated after January 2014 to be non-QM since they are no longer eligible to be in GSE pools. In Fitch's analysis 81.3% of the loans are to single-family homes and planned unit developments (PUDs), 9.5% are to condos or coops, 8.6% are to manufactured housing or multifamily homes, and the remaining 0.5% are to land or mobile homes. In the analysis, Fitch treated manufactured properties as multifamily and the probability of default was increased for these loans as a result. The pool contains 27 loans over $1.0 million, with the largest loan at $3.59 million. Fitch considered 0.2% loans have subordinate financing. Fitch viewed all the loans in the pool to be in the first lien position based on data provided in the tape and confirmation from the servicer on the lien position. 97.6% of the pool is current as of Jan. 31, 2024. Overall, the pool characteristics resemble reperforming loan (RPL) collateral; therefore, the pool was analyzed using Fitch's RPL model and Fitch extended liquidation timelines as it typically does for RPL pools. Geographic Concentration (Negative): Approximately 20.5% of the pool is concentrated in New York. The largest metropolitan statistical area (MSA) concentration is in the New York MSA at 23.9%, followed by the Los Angeles MSA at 8.5% and the Chicago MSA at 4.5%. The top three MSAs account for 36.9% of the pool. As a result, there was a 1.02x penalty applied for geographic concentration which increased the 'AAAsf' loss by 24bps. Sequential Deal Structure (Positive): The transaction utilizes a sequential payment structure with no advancing of delinquent principal and interest payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfall prioritize the payment of interest to the A-1 and A-2 classes. Which is supportive of the A-1 receiving timely interest and the A-2 receiving ultimate if not timely interest. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for 'AAsf' to 'Bsf' category rated classes. The A-1 notes have a coupon based on a fixed rate that is capped at the net weighted average coupon (WAC) and the A-2, M and B notes have a coupon based on the net WAC. All expenses are coming out of the net WAC. Losses are allocated to classes reverse sequentially starting with the B-5 class. Classes will be written down if the transaction is under-collateralized. No Advancing (Mixed): The servicer will not be advancing delinquent monthly payments of principal and interest (P&I). Because 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. To provide liquidity and ensure timely interest will be paid to the 'AAA' and 'AA' rated classes and ultimate interest on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared with a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.5%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to 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 Opus, ProTitle, Service Link, Recovco, Selene and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch did adjust the expected losses. A large portion of the loans received 'C' and 'D' grades mainly due to missing documentation that resulted in the ability to test for certain compliance issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses by 2.50% and are further detailed in the Third-Party Due Diligence section of the presale. Fitch determined there were 35 loans with material TRID issues; a $15,500 LS penalty was given to loans with material TRID issues, though this did not have any impact on the rounded losses. A ProTitle search found outstanding liens that pre-date the mortgage. It was confirmed the majority of these liens are retired and nothing is owed. There are 37 loans that have delinquent taxes owed in the amount of $78,853 that were identified in the due diligence that if not advanced on could supersede the lien status of the mortgage in the pool. Additionally, there were superior HOA/COA and municipal judgments/liens found that are active in the amount of $344,807. The trust will be responsible for these amounts. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicer this amount. This did not have any impact on the rounded losses. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. The title report did show loans in the pool to not be in a first lien position, but the servicer confirmed that they are in a first lien status and that they will follow standard servicing practices to maintain the lien position disclosed in the tape. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. Due to this, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. 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 Opus, ProTitle, Service Link, Recovco, Selene and AMC to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do materially affect the overall credit risk of the loans; refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. 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 was populated by the due diligence company, and no material discrepancies were noted. ESG CONSIDERATIONS PRET 2024-RPL1 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. The Tier 2 representations and warranties (R&W) framework with an unrated counterparty resulted in an increase in expected losses. This 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. PRKCM 2024-AFC1: DBRS Finalizes B Rating on Class B-2 Notes ----------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on Mortgage-Backed Notes, Series 2024-AFC1 (the Notes issued by PRKCM 2024-AFC1 Trust (the Trust or the Issuer): -- $205.1 million Class A-1 at AAA (sf) -- $32.4 million Class A-2 at AA (high) (sf) -- $35.6 million Class A-3 at A (high) (sf) -- $15.8 million Class M-1 at BBB (sf) -- $11.7 million Class B-1 at BB (sf) -- $8.8 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 34.90% of credit enhancement provided by subordinate Notes. The AA (high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 24.60%, 13.30%, 8.30%, 4.60%, and 1.80% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, primarily first-lien (99.8%) residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2024-AFC1 (the Notes). The Notes are backed by 871 mortgage loans with a total principal balance of $316,079,251 as of the Cut-Off Date (February 1, 2024). Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Presale Report balance. This is the ninth securitization by the Sponsor, Park Capital Management Sponsor LLC, an affiliate of AmWest Funding Corp. (AmWest). AmWest is the Seller, Originator, and Servicer of the mortgage loans. The pool is about two month seasoned on a weighted-average (WA) basis; although, seasoning spans from zero to 6 months. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules where applicable, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, approximately 16.6% of the loans are designated as non-QM. Approximately 17.1% of the loans are designated as QM Safe Harbor and approximately 10.3% are designated as QM Rebuttable Presumption. Approximately 55.9% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on the property-level cash flows for approximately 31.1% of the loans, primarily the asset value for 8.4% of the loans, and mortgagor's credit profile and debt-to-income ratio, property value, and the available assets, where applicable, for approximately 16.6% of the loans. Since the loans were made to investors for business purposes, they are exempt from the CFPB ATR rules and Truth in Lending Act (TILA) and the Real Estate Settlement Procedures Act (RESPA) Integrated Disclosure rule. For investor loans originated to investors under debt service coverage ratio (DSCR) programs (31.1% of the pool), lenders use property-level cash flow or the DSCR to qualify borrowers for income. The DSCR is typically calculated as market rental value (validated by an appraisal report) divided by the principal, interest, taxes, insurance, and association dues (PITIA). Also, approximately 8.4% of the pool comprises residential investor loans underwritten to the property focused underwriting guidelines. The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) and the borrower assets to be the primary source of repayment. The lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. In addition, the pool contains five temporary buy-down mortgage loans (approximately 0.7%). The initial 24 monthly payments made by the borrowers for their respective loans will be less than their scheduled payments due to the trust, with the difference (for each borrower) compensated from funds held in a related account funded by the seller of the mortgaged property, the mortgage originator, or another party. The funds are not eligible for use to offset potential missed payments; however, if a loan is prepaid in full during its buy-down period, any remaining related funds will be credited to the related borrower. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 90 days delinquent or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails in its obligation to make P&I advances, the Master Servicer (Nationstar Mortgage LLC) will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as the Paying Agent, will be obligated to fund such advances. The Master Servicer and Paying Agent are only responsible for P&I Advances; the Servicer is responsible for P&I Advances and Servicing Advances. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class B-3 Notes and Class XS Notes, collectively representing at least 5% of the fair value of the Notes, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date on or after the earlier of (1) the payment date occurring in February 2027 or (2) on or after the payment date when the aggregate stated principal balance of the mortgage loans is reduced to less than or equal to 20% of the Cut-Off Date balance, the Sponsor may terminate the Issuer (Optional Termination) by purchasing the loans, any real estate owned (REO) properties, and any other property remaining in the Issuer at the optional termination price, specified in the transaction documents. After such a purchase, the Sponsor will have to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Controlling Holder in the transaction is a majority holder (or majority holders if there is no single majority holder) of the outstanding Class XS Notes, initially, the Seller. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Banker Association (MBA) Method at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a sequential-pay cash flow structure with a pro rata principal payment among the Class A-1, A-2, and A-3 Notes (senior classes of Notes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Also, principal proceeds can be used to cover interest shortfalls on the senior classes of Notes (IIPP) before being applied sequentially to amortize the balances of the Notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3 Notes. Of note, the interest and principal otherwise available to pay the Class B-3 Notes interest and interest shortfalls may be used to pay the Class A coupons' Cap Carryover Amounts on any payment date. Morningstar DBRS' credit ratings on the Notes 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 Notes are the related Interest Payment Amount, any Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings on the Class A-1, Class A-2, and Class A-3 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A-1, Class A-2, and Class A-3 Notes if the Class A-1, Class A-2, and Class A-3 Notes remain outstanding on the step-up date (March 2028) in accordance with the applicable transaction document(s). 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. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2024-RPL1: DBRS Finalizes BB Rating on Class B-1 Notes ----------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on PRPM 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1 (the Notes) issued by PRPM 2024-RPL1, LLC (the Issuer): -- $156.0 million Class A-1 at AAA (sf) -- $18.7 million Class A-2 at AA (sf) -- $14.4 million Class A-3 at A (sf) -- $11.8 million Class M-1 at BBB (sf) -- $26.2 million Class B-1 at BB (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 36.60% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (sf) credit ratings reflect 29.00%, 23.15%, 18.35%, and 7.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes of Notes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed securities (the Notes). The Notes are backed by 1,412 loans with a total principal balance of $246,078,965, as of the Cut-Off Date (January 31, 2024). The mortgage loans are approximately 176 months seasoned. As of the Cut-Off Date, 85.8% of the loans are current under the Mortgage Bankers Association (MBA) delinquency method, including 179 (12.4% of the loans) bankruptcy-performing loans. Below is the current delinquency status distribution for this pool. Although the number of months clean (consecutively zero times 30 (0 x 30) days delinquent) at issuance is weaker relative to some other Morningstar DBRS-rated seasoned transactions, the borrowers in this pool demonstrate reasonable cash flow velocity (as by number of payments over time) in the past 12 months. Over the past 12 months, 1,275 loans, or 90.0%, have made six or more payments, and 1,263 loans, or 87.7%, have made 12 or more payments. Modified loans make up 74.6% of the portfolio. The modifications happened more than two years ago for 88.8% of the modified loans. Within the pool, 488 mortgages (34.6% of the pool by loan count) have a total non-interest-bearing deferred amount of $18,736,821, which equates to approximately 7.6% of the total principal balance. To satisfy the credit risk retention requirements, as of the Closing Date, the Sponsor or a majority-owned affiliate of the Sponsors will hold the Class XS, Class B-3, and Class B-2 Notes and a requisite amount of the Class B-1 Notes. Following the transfer of servicing of 5.3% of the mortgage loans to SN Servicing Corporation (SNSC) from Nationstar Mortgage LLC (dba) Mr. Cooper on or before 45 days following the closing date, SNSC will service all the loans in this transaction. The Servicer will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicer is 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 of the Notes; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Interest Shortfalls and Net WAC Cap Carryover); and (3) accrued and unpaid Step-Up Interest Payment Amount; (4) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on any date on or after the earlier of (i) the Payment Date occurring in February 2026 or (ii) the date on which the aggregate Unpaid Principal Balance of the Mortgage Loans is less than or equal to 30% of the aggregate Unpaid Principal Balance of the Mortgage Loans as of the Cut-off Date. The Asset Manager is required to conduct a mandatory auction if the Notes have not been redeemed by the Issuer or otherwise paid in full by the payment date in January 2029 at a minimum auction price that covers the aggregate note balances, any accrued and unpaid interest (including any cap carryover), any servicing advances, and any outstanding fees, expenses, and indemnities of all the transaction parties. If the amount of the auction proceeds to be received would be less than the minimum auction price, payments on the Notes would be made by the Indenture Trustee on such payment date and subsequent payment dates in accordance with the priority of payments. Notwithstanding the above, if the Asset Manager receives a maximum bid that is equal to the sum of (i) the rated Notes, any accrued and unpaid interest thereon at the applicable Note Rates (including any Net WAC Cap Carryover) and any outstanding fees, expenses, and indemnities (without regard to the Annual Cap) of the transaction parties, including any unreimbursed Servicing Advances and (ii) the fees and expenses of the Asset Manager and the Auction Agent, the holders of the Class B-2, Class B-3, and Class XS Notes can submit their Notes to the Paying Agent for cancellation without payment. The transaction employs a sequential-pay cash flow structure with interest payment amount and interest shortfalls paid sequentially to all Notes, except for the Class B-3 Notes, which will have a zero coupon prior to the payment in February 2028 (Expected Redemption Date). Following the Expected Redemption Date, any Net WAC cap carryover of the Class A-1 Notes will be paid from interest payment and interest shortfall amounts due to the Class B-3 Notes that have been diverted to Net WAC Cap Carryover Reserve Account. Principal can be used to pay interest on all Notes after the Class A-1 and Class A-2 Notes have been paid to zero. Monthly Excess Cash flow can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1, and can be used to turbo down the Notes. For this transaction, the Class A-1 fixed rates step up by 100 basis points on and after the payment date in February 2028. On each Payment Date for so long as the Net WAC Cap Carryover on the Class A-1 Notes is greater than zero, interest and principal otherwise payable to the Class B-3 may also be used to pay Cap Carryover Amounts. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are listed at the end of this Press Release. The associated financial obligations for each of the rated Notes are the related interest payment amount, any interest shortfalls, and the related note amount. Morningstar DBRS' credit rating on the Class A-1 Notes also addresses the credit risk associated with the increased rate of interest applicable to these Notes if they're not redeemed on the Expected Redemption Date (February 2028) in accordance with the applicable transaction documents. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS ratings do not address the payment of any Net WAC cap carryover amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. RCKT MORTGAGE 2024-CES2: Fitch Gives 'B(EXP)sf' Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes issued by RCKT Mortgage Trust 2024-CES2 (RCKT 2024-CES2). RCKT 2024-CES2 utilizes Fitch's new Interactive RMBS Presale feature. To access the interactive feature, click the link at the top of the presale report first page, log into dv01 and explore Fitch's loan-level loss expectations. Entity/Debt Rating ----------- ------ RCKT 2024-CES2 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-1B LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-X-1A LT BB(EXP)sf Expected Rating B-X-1B LT BB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 5,542 closed-end second lien loans with a total balance of approximately $447 million as of the cutoff date. The pool consists of closed-end second lien mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a senior-subordinate, sequential pay structure, which also presents a 50% excess cashflow turbo feature. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (versus 11.1% on a national level as of 3Q23, up 1.68% qoq). Housing affordability is the worst it has been in decades, driven by both high interest rates and elevated home prices. Home prices increased 5.5% yoy nationally as of December 2023, despite modest regional declines, but are still being supported by limited inventory. Prime Credit Quality (Positive): The collateral consists of 5,542 loans totaling $447 million and seasoned at approximately three months in aggregate, as calculated by Fitch (one months, per the transaction documents) — taken as the difference between the origination date and the cutoff date. The borrowers have a strong credit profile consisting of a weighted-average (WA) Fitch model FICO score of 735; a 37.6% debt-to-income (DTI) ratio; and moderate leverage, with a sustainable loan-to-value (sLTV) ratio of 79.2%. Of the pool loans, 98.9% consist of those where the borrower maintains a primary residence and 1.1% represent second homes, while 91.9% of loans were originated through a retail channel. Additionally, 49.9% of loans are designated as qualified mortgages (QMs) and 20.0% are higher-priced QM (HPQM). Given the 100% loss severity (LS) assumption, no additional penalties were applied for the HPQM and non-QM loan statuses. Second Lien Collateral (Negative): The entirety of the collateral pool comprises closed-end second lien loans originated by Rocket Mortgage. Fitch assumed no recovery and a 100% LS based on the historical behavior of second lien loans in economic stress scenarios. Fitch assumes second lien loans default at a rate comparable to first lien loans; after controlling for credit attributes, no additional penalty was applied to Fitch's probability of default (PD) assumption. Sequential Structure with Turbo Feature (Positive): The transaction features a monthly excess cash flow priority of payments that distributes remaining amounts from the interest and principal priority of payments. These amounts will be applied as principal first to repay any current and previously allocated cumulative applied realized loss amounts and then to repay any potential net WAC shortfalls. A key difference from other transactions that include a material amount of excess interest is that, instead of distributing all remaining amounts to class XS notes, 50% of any remaining cash thereafter will be implemented to pay principal for classes A-1A/A-1B to B-3 sequentially. The other 50% is allocated to pay the owner trustee, collateral trustee, Delaware trustee, paying agent, custodian, asset manager and reviewer for extraordinary trust expenses to the extent not paid due to application of the annual cap and, subsequently, to class XS. This is a more supportive structure and ensures the transaction will benefit from excess interest, regardless of default timing. To haircut the excess cash flow present in the transaction, Fitch tested the structure at a 50-bp servicing fee and applied haircuts to the WAC through a rate modification assumption. This assumption was derived as a 2.5% haircut on 40% of the nondelinquent projection in Fitch's stresses. Given the lower projected delinquency (as a result of the chargeoff feature described below), there was a higher current percentage and a higher rate modification assumption, as a result. 180-Day Chargeoff Feature (Positive): The asset manager has the ability, but not the obligation, to instruct the servicer to write off the balance of a loan at 180 days delinquent (DQ) based on the Mortgage Bankers Association (MBA) delinquency method. To the extent the servicer expects a meaningful recovery in any liquidation scenario, the asset manager noteholder may direct the servicer to continue to monitor the loan and not charge it off. The 180-day chargeoff feature will result in losses incurred sooner while there is a larger amount of excess interest to protect against losses. This compares favorably with a delayed liquidation scenario, where the loss occurs later in the life of the transaction and less excess is available. If the loan is not charged off due to a presumed recovery, this will provide added benefit to the transaction, above Fitch's expectations. Additionally, subsequent recoveries realized after the writedown at 180 days' DQ (excluding forbearance mortgage or loss mitigation loans) will be passed on to bondholders as principal. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC. The third-party due diligence described in Form 15E focused on credit, regulatory compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% PD credit to the 24.9% of the pool by loan count in which diligence was conducted. This adjustment resulted in a 18bps 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. REGATTA XXVII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXVII Funding Ltd. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXVII Funding Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Regatta XXVII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.1, versus a maximum covenant, in accordance with the initial expected matrix point of 26. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.9% versus a minimum covenant, in accordance with the initial expected matrix point of 71.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Regatta XXVII Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RR 55 LTD: Fitch Assigns 'BB+sf' Rating on Class D-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 25 LTD reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RR 25 LTD A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAsf New Rating AA(EXP)sf B-R LT Asf New Rating A(EXP)sf C-1-R LT BBB+sf New Rating BBB+(EXP)sf C-2-R LT BBB-sf New Rating BBB-(EXP)sf D-R LT BB+sf New Rating BB+(EXP)sf E-R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY RR 25 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC which originally closed on March 8, 2023. The secured notes will be refinanced in whole on March 8, 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 $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.89% first-lien senior secured loans and has a weighted average recovery assumption of 74.93%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'BBB+sf' for class B-R, between less than 'B-sf' and 'BBB-sf' for class C-1-R, between less than 'B-sf' and 'BB+sf' for class C-2-R, and between less than 'B-sf' and 'B+sf' for class D-R. 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 A-2-R, 'AAsf' for class B-R, 'A+sf' for class C-1-R, 'Asf' for class C-2-R, and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SEQUOIA MORTGAGE 2024-3: Fitch Assigns BBsf Rating on Cl. B4 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-3 (SEMT 2024-3). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2024-3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2024-3 (SEMT 2024-3) as indicated. The certificates are supported by 359 loans with a total balance of approximately $388 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. Following the publication of presale and expected ratings, the issuer had notified Fitch of an updated tape that consisted of one loan drop and updated cutoff balances. In addition, Redwood had also provided Fitch an updated CDI structure to reflect the updated balances. There were no changes to the credit enhancement levels to the bonds. Fitch re-ran both its asset and cash flow analysis, and there were no changes to the loss feedback or expected ratings. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral consists of 359 loans totaling approximately $388.3 million and seasoned at approximately nine months in aggregate, as determined by Fitch. The borrowers have a strong credit profile, with a weighted-average Fitch model FICO score of 774 and 34.3% debt-to-income (DTI) ratio, and moderate leverage, with a 78.6% sustainable loan-to-value (sLTV) ratio and 72.1% mark-to-market combined loan-to-value (cLTV) ratio. Overall, the pool consists of 88.1% in loans where the borrower maintains a primary residence, while 11.9% are of a second home; 66.9% of the loans were originated through a retail channel. Additionally, 100.0% of the loans are designated as qualified mortgage (QM) loans. Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.5% above a long-term sustainable level (vs. 11.1% on a national level as of 3Q23, up 1.7% 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 5.5% YoY nationally as of December 2023 despite modest regional declines, but are still being supported by limited inventory. Shifting-Interest Structure (Negative): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement levels are not maintained. Interest Reduction Risk (Negative): The transaction incorporates a structural feature most commonly used by Redwood's program for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps to limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high delinquency scenarios. 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'. 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, AMC and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction in its loss analysis. This adjustment resulted in a 16bps reduction to the 'AAA' expected loss. ESG CONSIDERATIONS SEMT 2024-3 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in SEMT 2024-3 and includes strong R&W and transaction due diligence as well as a strong aggregator, which resulted in a reduction in the expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SIGNAL PEAK 5: S&P Affirms BB-p (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from Signal Peak CLO 5 Ltd./Signal Peak CLO 5 LLC (formerly Mariner CLO 5 Ltd./Mariner CLO 5 LLC), a CLO that is managed by ORIX Advisers LLC. At the same time, S&P withdrew its ratings on the original class A, B, C, D, and E debt from the Mariner CLO 5 Ltd./Mariner CLO 5 LLC transaction following payment in full on the March 15, 2024, refinancing date. The replacement debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt were issued at a higher spread over three-month CME term SOFR compared with the original debt spread over three-month LIBOR. -- The class A-1R and A-2R debt replaced the existing class A debt. -- The class D-1R and D-2R debt replaced the existing class D debt. -- The replacement class E-R debt is principal-only, and no interest will be due and payable on them. -- The class XE-R debt was also issued in connection with this refinancing. This debt is not rated by S&P Global Ratings. -- The class XE-R debt is interest-only, and the interest payable is calculated by referencing the outstanding balance of the class E-R debt during the relevant accrual period. -- The stated maturity was extended by six years. -- The non-call period and reinvestment period were re-established to April 2026 and April 2029, respectively. -- The target par balance was increased to $400.75 million from $400.00 million. Replacement And Original Debt Issuances Replacement debt Class A-1R, $240.00 million: Three-month CME term SOFR + 1.550% Class A-2R, $24.00 million: Three-month CME term SOFR + 1.750% Class B-R, $40.00 million: Three-month CME term SOFR + 2.200% Class C-R, $24.00 million: Three-month CME term SOFR + 2.700% Class D-1R, $24.00 million: Three-month CME term SOFR + 4.200% Class D-2R, $6.00 million: Three-month CME term SOFR + 5.250% Class E-R(i), $19.50 million: 0.000% Class XE-R(ii), Not applicable: Three-month CME term SOFR + 7.500% (i)The class E-R debt is principal-only, and no interest will be due and payable on the debt. (ii)The class XE-R debt is interest-only, and the interest payable will be calculated based off of the outstanding balance of the class E-R debt. Original debt (Mariner CLO 5 Ltd./Mariner CLO 5 LLC) Class A, $307.00 million: Three-month LIBOR + 1.11% Class B, $58.70 million: Three-month LIBOR + 1.45% Class C, $43.50 million: Three-month LIBOR + 1.80% Class D, $29.80 million: Three-month LIBOR + 2.65% Class E, $20.20 million: Three-month LIBOR + 5.65% Subordinated notes, $51.65 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." Ratings Assigned Signal Peak CLO 5 Ltd./Signal Peak CLO 5 LLC Class A-1R, $240.00 million: AAA (sf) Class A-2R, $24.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB (sf) Class D-2R (deferrable), $6.00 million: BBB- (sf) Class E-R(i), $19.50 million: BB-p (sf) Class XE-R (deferrable)(ii), not applicable: Not rated (i)The class E-R debt is principal-only, and no interest will be due and payable on the debt. (ii)The class XE-R debt is interest-only, and the interest payable will be calculated based off of the outstanding balance of the class E-R debt. P--Principal-only rating. Ratings Withdrawn Mariner CLO 5 Ltd./Mariner CLO 5 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' NR--Not rated. Other Outstanding Debt Signal Peak CLO 5 Ltd./Signal Peak CLO 5 LLC Subordinated notes, $51.65 million: Not rated SILVER POINT 4: Moody's Assigns B3 Rating to $225,000 Cl. F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Silver Point CLO 4, Ltd. (the "Issuer" or "Silver Point 4"). Moody's rating action is as follows: US$279,000,000 Class A-1 Secured Floating Rate Notes due 2037, Assigned Aaa (sf) US$225,000 Class F Secured Deferrable Floating Rate Notes due 2037, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Silver Point 4 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of assets that are not first lien senior secured loans and eligible investments. The portfolio is approximately 100% ramped as of the closing date. Silver Point RR Manager, L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3100 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 5.5% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. SLM STUDENT 2010-1: S&P Lowers Class A Notes Rating to 'CCC (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on SLM Student Loan Trust 2010-1's class A and B notes to 'CCC (sf)' from 'B (sf)'. The transaction is a student loan ABS backed by a pool of student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). S&P said, "In determining the ratings, we considered our criteria article for assigning 'CCC' and 'CC' ratings, which states that an obligation is rated 'CCC' when it is currently vulnerable to nonpayment and is dependent on favorable business, financial, and economic conditions for the obligor to meet its financial commitments on the obligation. "Our review considered the transaction's collateral performance and liquidity position, credit enhancement, and capital and payment structures. We also considered secondary credit factors, such as credit stability, peer comparisons, issuer-specific analyses, and the current macroeconomic environment." Rationale The class A notes had the following features as of the February 2024 distribution date: -- Current note balance: $94.36 million -- Remaining number of payment dates: 13 -- Average monthly principal paydown over the past year: $2.04 million Although the collateral pool factor is 11.07% and the class A note factor is 7.96% as of the transaction's most recent servicer report, the current pace of collateral amortization is not adequate to repay the class A notes by their legal final maturity date. The transaction has an optional collateral call feature that allows the servicer to purchase either an additional 2.00% or 10.00% of the collateral pool, which, if exercised, would provide the transaction liquidity and lower the pool factor to below 10.00%. Once the pool factor is below 10.00%, the collateral can be sold to the servicer or through an auction and the sale proceeds used to repay the notes in full. S&P believes the current macroeconomic and regulatory environment makes it less likely that the collateral call option will be exercised, and thus less likely that the class A notes will be repaid by their legal final maturity date in March 2025. The failure to pay the class A notes by their legal final maturity date will constitute an event of default (EOD) under the transaction documents, which would allow the noteholders and/or the trustee to take actions that could negatively affect the repayment of the class B notes by their legal final maturity date. Therefore, the likelihood of the class B notes' repayment is related to the repayment of the class A notes and the occurrence of an EOD. S&P will continue to monitor the macroeconomic environment and the transaction's performance (including the student loan receivables), available credit enhancement, and liquidity, and take further rating actions as we deem appropriate. SLM STUDENT 2013-2: Fitch Lowers Rating on Class B Notes to Bsf --------------------------------------------------------------- Fitch Ratings has affirmed the class A notes of SLM Student Loan Trust 2013-1, 2013-2, 2013-3, 2013-5, 2013-6, and 2014-2. Fitch has also downgraded the class B notes of all six transactions. All Rating Outlooks on the class A notes remain Stable. The Outlooks for the class B notes of SLM 2013-1, 2013-5, 2013-6, and 2014-2 are Stable following the downgrade, while the Outlooks for the class B notes of SLM 2013-2 and 2013-3 are Negative following the downgrade. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2013-2 A 78446CAA9 LT AA+sf Affirmed AA+sf B 78446CAB7 LT Bsf Downgrade Asf SLM Student Loan Trust 2013-5 A-3 78448BAC5 LT AA+sf Affirmed AA+sf B 78448BAD3 LT BBBsf Downgrade AAsf SLM Student Loan Trust 2013-1 A-3 78447MAC2 LT AA+sf Affirmed AA+sf B 78447MAD0 LT BBBsf Downgrade A+sf SLM Student Loan Trust 2014-2 A-3 78448GAC4 LT AA+sf Affirmed AA+sf B 78448GAD2 LT Asf Downgrade AAsf SLM Student Loan Trust 2013-6 A-3 78448CAG4 LT AA+sf Affirmed AA+sf B 78448CAH2 LT Asf Downgrade AAsf SLM Student Loan Trust 2013-3 A3 78447YAC6 LT AA+sf Affirmed AA+sf B 78447YAD4 LT Asf Downgrade AAsf TRANSACTION SUMMARY SLM 2013-1 and 2013-5: The class A-3 notes pass all credit and maturity stresses in cashflow modeling with sufficient hard credit enhancement (CE). Given seniority the notes were not impacted by Fitch increasing the sustainable constant default rate (sCDR) in cashflow modeling. Furthermore, the notes have more than 15 years to maturity, so maturity risk is muted. Fitch has affirmed the notes at 'AA+sf' with a Stable Outlook. The downgrade of the class B notes for both transactions to 'BBBsf' from 'A+sf' and 'AAsf' for 2013-1 and 2013-5, respectively, reflects the notes' inability to withstand credit stresses above the 'BBBsf' level and the principal shortfalls faced at higher stresses. The Outlook for the notes remains Stable, indicating the expectation for stability in ratings over the next one to two years; however, Fitch will monitor default performance over the next year and may need to increase the sCDR higher if default rates do not trend toward more normal levels from current highs. SLM 2013-2: The class A notes pass all credit and maturity stresses in cashflow modeling with sufficient hard credit enhancement (CE). Given seniority the notes were not impacted by Fitch increasing the sustainable constant default rate (sCDR) in cashflow modeling. Fitch has affirmed the notes at 'AA+sf' with a Stable Outlook. The class B notes miss their legal final maturity date under Fitch's baseline credit and maturity rating stresses. The rating of the notes was impacted by an increase in both credit and maturity risk in Fitch's cashflow modeling from the last review. The trailing twelve months CDR went to 9.63% in January 2024 from 4.14% in January 2023 and Fitch increased the sCDR to 6.00% from 3.80%. Furthermore, the remaining loan term increased 10.9 months. These factors had a material impact on Fitch's cashflow model results since the last surveillance period. The notes have been downgraded to 'Bsf' from 'Asf'. The Negative Outlook for the class B notes reflects the possibility of further negative rating pressure in the next one to two years if maturity risk increases, particularly if the increase in remaining loan term does not mitigate. The model-implied ratings of the outstanding notes are one category lower than the assigned ratings, as described by Fitch's Federal Family Education Loan Program (FFELP) rating criteria, which gives credit to the legal final maturity date of the notes being over 15 years away in 2043. SLM 2013-3 The class A-3 notes pass all credit and maturity stresses in cashflow modeling with sufficient hard credit enhancement (CE). Fitch has affirmed the notes at 'AA+sf' with a Stable Outlook. The downgrade of the class B notes to 'Asf' from 'AAsf' reflects the notes' inability to withstand credit stresses above the 'BBBsf' level and the principal shortfalls faced at higher stresses. Trailing twelve month CDR moved to 9.39% and 4.10%. Fitch increased sCDR assumptions to 6.00% from 3.80%. As a result, current the model-implied ratings of the outstanding notes are one category lower than the assigned ratings, in line with Fitch's Federal Family Education Loan Program (FFELP) rating criteria. The Negative Outlook for the notes reflects the possibility of further negative rating pressure in the next one to two years if credit risk increases, particularly if CDR for both transactions does not decrease toward the increase assumptions over the next review. SLM 2013-6 and 2014-2: The class A-3 notes pass all credit and maturity stresses in cashflow modeling with sufficient hard CE. Fitch has affirmed the notes at 'AA+sf' with a Stable Outlook. The downgrade of the class B notes for both transactions to 'Asf' from 'AAsf' reflects the notes' inability to withstand credit stresses above the 'Asf' level and the principal shortfalls faced at higher stresses in cashflow modeling. This change was driven by Fitch's increase of sCDR assumptions to 4.50% and 5.00% from 3.00% and 3.20% for SLM 2013-6 and 2014-2, respectively. The change in assumptions was driven by increasing TTM CDRs to 6.48% and 7.15% at January 2024 from 3.08% and 3.35% at January 2023, for the transactions respectively. The Outlook for the notes remains Stable. As a summary, the sustainable constant default rate (sCDR) assumption was increased to 5.00%, 6.00%, 6.00%, 4.50%, 4.50%, and 5.00% from 4.00%, 3.80%, 3.80%, 3.00%, 3.00%, and 3.20% for SLM 2013-1, 2013-2, 2013-3, 2013-5, 2013-6, and 2014-2, respectively, as Fitch has noted an increase in the trend of defaults that represent higher long-term trends for these transactions KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applies the standard default timing curve in its credit stress cash flow analysis. Loan consolidation activity stemming from the Public Service Loan Forgiveness Program waiver, which ended in October 2022, drove the short-term inflation of CPR and voluntary prepayments are expected to return to historical levels. Additionally, Fitch has noted an increase in defaults for all transactions above historical levels, resulting in increases in sCDR levels. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. SLM 2013-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 39.00% under the base case scenario and a default rate of 100.00% under the 'AA' stress scenario with an effective default rate of 99.66% after applying the default timing curve, as per criteria. Fitch is revising the sustainable constant default rate (sCDR) upwards to 5.00% from 4.00% and is maintaining the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 10.00% in cash flow modelling. The trailing-twelve-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 5.90% (6.18% at Jan. 31, 2023), 18.41% (17.34%) and 27.57% (24.74%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Delinquency buckets continue to stabilize and stand at 4.53% for 31-60 DPD and 2.55% for 91-120 DPD, compared to 4.89% and 1.85%, respectively from one year ago. The borrower benefit is approximately 0.08%, based on information provided by the sponsor. SLM 2013-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 47.75% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario with an effective default rate of 99.80% after applying the default timing curve, as per criteria. Fitch is revising the sCDR upwards to 6.00% from 3.80% and is maintaining the sCPR of 10.00% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 5.82% (5.79% at Jan. 31, 2023), 19.52% (17.89%) and 27.14% (24.66%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Delinquency buckets continue to stabilize and stand at 4.68% for 31-60 DPD and 2.15% for 91-120 DPD, compared to 4.54% and 1.69%, respectively from one year ago. The borrower benefit is approximately 0.05%, based on information provided by the sponsor. SLM 2013-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 53.25% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario with an effective default rate of 99.89% after applying the default timing curve, as per criteria. Fitch is revising the sCDR upwards to 6.00% from 3.80% and is maintaining the sCPR of 8.50% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 5.51% (5.54% at Jan. 31, 2023), 19.32% (17.96%) and 26.99% (24.44%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Delinquency buckets continue to stabilize and stand at 4.83% for 31-60 DPD and 1.86% for 91-120 DPD, compared to 5.06% and 1.85%, respectively from one year ago. The borrower benefit is approximately 0.04%, based on information provided by the sponsor. SLM 2013-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 34.25% under the base case scenario and a default rate of 94.19% under the 'AA' credit stress scenario with an effective default rate of 99.99% after applying the default timing curve, as per criteria. Fitch is revising the sCDR upwards to 4.50% from 3.00% and is maintaining the sCPR of 11.00% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 5.09% (5.49% at Jan. 31, 2023), 17.55% (16.42%) and 30.89% (28.27%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Delinquency buckets continue to stabilize and stand at 3.99% for 31-60 DPD and 1.92% for 91-120 DPD, compared to 3.89% and 1.69%, respectively from one year ago. The borrower benefit is approximately 0.08%, based on information provided by the sponsor. SLM 2013-6: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 36.50% under the base case scenario and a default rate of 100.00% under the 'AA' credit stress scenario with an effective default rate of 99.98% after applying the default timing curve, as per criteria. Fitch is revising the sCDR upwards to 4.50% from 3.00% and is maintaining the sCPR of 10.00% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 4.91% (5.38% at Jan. 31, 2023), 17.70% (16.30%) and 30.57% (27.94%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Delinquency buckets continue to stabilize and stand at 4.31% for 31-60 DPD and 2.25% for 91-120 DPD, compared to 3.55% and 1.68%, respectively from one year ago. The borrower benefit is approximately 0.09%, based on information provided by the sponsor. SLM 2014-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 36.75% under the base case scenario and a default rate of 86.86% under the 'AA' credit stress scenario. Fitch is revising the sCDR upwards to 5.00% from 3.20% and is maintaining the sCPR of 11.50% in cash flow modelling. The TTM levels of deferment, forbearance and IBR are 4.99% (5.05% at Jan. 31, 2023), 18.46% (17.01%) and 28.77% (26.25%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. Delinquency buckets continue to stabilize and stand at 4.87% for 31-60 DPD and 2.03% for 91-120 DPD, compared to 5.15% and 1.93%, respectively from one year ago. The borrower benefit is approximately 0.08%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent collection period, 99.76%, 99.78%, 99.84%, 100.00%, 100.00%, and 99.33% of the student loans in SLM 2013-1, 2013-2, 2013-3, 2013-5, 2013-6, and 2014-2, respectively, are indexed to SOFR, with the rest indexed to the 91-day T-Bill rate. All the notes in the six transactions are indexed to 30-day Average SOFR plus the spread adjustment of 0.11448%. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and for the class A notes, subordination provided by the class B notes. As of the most recent collection period, reported total parity is 101.01%, for all transactions. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance. The reserve accounts are currently sized at their floors of $1,249,799, $1,248,458, $1,249,991, $998,874, $998,463 and $995,345 for SLM 2013-1, 2013-2, 2013-3, 2013-5, 2013-6 and 2014-2, respectively. Excess cash will continue to be released as long as the reported total parity (excluding the reserve) is at least 101.01%. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient is an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024 that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA is not expected to interrupt the servicing activities RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. SLM Student Loan Trust 2013-1 Current Ratings: class A-3 'AA+sf'; class B 'BBBsf' Current Model-Implied Ratings: class A-3 'AA+sf' (Credit and Maturity Stress); class B 'BBBsf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Default increase 50%: class A 'AA+sf'; class B 'BBsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBBsf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'BBBsf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'BBBsf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'BBBsf'. SLM Student Loan Trust 2013-2 Current Ratings: class A 'AA+sf'; class B 'Bsf' Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'CCCsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'CCCsf'. - Remaining Term increase 25%: class A 'AAsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'Asf'; class B 'CCCsf'. SLM Student Loan Trust 2013-3 Current Ratings: class A-3 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-3 'AA+sf' (Credit and Maturity Stress); class B 'BBBsf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBsf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'Asf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'Asf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'Asf'. SLM Student Loan Trust 2013-5 Current Ratings: class A-3 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-3 'AA+sf' (Credit and Maturity Stress); class B 'Asf' (Credit Stress) / 'BBBsf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Default increase 50%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'CCCsf'; - CPR decrease 50%: class A 'Asf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'BBsf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'BBsf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'CCCsf'. SLM Student Loan Trust 2013-6 Current Ratings: class A-3 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-3 'AA+sf' (Credit and Maturity Stress); class B 'Asf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Default increase 50%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.5%: class A 'AAsf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'Asf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'Asf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'Asf'. SLM Student Loan Trust 2014-2 Current Ratings: class A-3 'AA+sf'; class B 'Asf' Current Model-Implied Ratings: class A-3 'AA+sf' (Credit and Maturity Stress); class B 'Asf' (Credit Stress) / 'AA+sf' (Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBBsf'; - Default increase 50%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBBsf'; - Basis Spread increase 0.5%: class A 'AA+sf'; class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR Usage increase 50%: class A 'AA+sf'; class B 'Asf'. - Remaining Term increase 25%: class A 'AA+sf'; class B 'Asf'; - Remaining Term increase 50%: class A 'AA+sf'; class B 'Asf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SLM Student Loan Trust 2013-1 No upgrade credit stress sensitivity is provided for the class A notes and no maturity stress sensitivity is provided for either the class A or class B notes, since they are already at their highest possible model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Asf'; - Basis spread decrease 0.25%: class B 'BBBsf'. SLM Student Loan Trust 2013-2 No upgrade credit or maturity stress sensitivity is provided for the class A notes, since they are already at their highest possible model-implied rating. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'Bsf'; - Basis spread decrease 0.25%: class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'BBsf'; - IBR usage decrease 25%: class B 'Bsf'; - Remaining Term decrease 25%: class B 'Asf'. SLM Student Loan Trust 2013-3 No upgrade credit stress sensitivity is provided for the class A notes and no maturity stress sensitivity is provided for either the class A or class B notes, since they are already at their highest possible model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AAsf'; - Basis spread decrease 0.25%: class B 'Asf'. SLM Student Loan Trust 2013-5 No upgrade credit or maturity stress sensitivity is provided for the class A notes, since they are already at their highest possible model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AAsf'; - Basis spread decrease 0.25%: class B 'Asf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'AAsf'; - IBR usage decrease 25%: class B 'Asf'; - Remaining Term decrease 25%: class B 'AA+sf'. SLM Student Loan Trust 2013-6 No upgrade credit stress sensitivity is provided for the class A notes and no maturity stress sensitivity is provided for either the class A or class B notes, since they are already at their highest possible model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'Asf'; - Basis Spread decrease 0.25%: class B 'Asf'. SLM Student Loan Trust 2014-2 No upgrade credit stress sensitivity is provided for the class A notes and no maturity stress sensitivity is provided for either the class A or class B notes, since they are already at their highest possible model-implied ratings. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AA+sf'; - Basis spread decrease 0.25%: class B 'Asf'. 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. SOFI PERSONAL 2024-2: Fitch Assigns 'BBsf' Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by SoFi Personal Loan Trust 2024-2 (SPLT 2024-2). Entity/Debt Rating ----------- ------ SoFi Personal Loan Trust 2024-2 A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBBsf New Rating E LT BBsf New Rating F LT BBsf New Rating TRANSACTION SUMMARY SPLT 2024-2 trust is a discrete trust backed by a static pool of unsecured consumer loans originated by SoFi Bank, National Association (SoFi Bank) under the SoFi Personal Loan Program. The transaction is being offered as a Rule 144A issuance. SoFi Bank is the sponsor, administrator and servicer. SPLT 2024-2 is the third SoFi-sponsored ABS transaction rated by Fitch. KEY RATING DRIVERS Solid Receivable Quality: The SPLT 2024-2 pool primarily consists of unsecured consumer loans made to obligors with strong credit scores (average credit score: 746) and high incomes (weighted average [WA] income: $183,395). The pool consists of amortizing loans with a WA net interest rate of 14.48% and a WA original term of 49 months, and has been seasoned for two months on average. Base Case Default Reflects Recent Performance Trends: SoFi's managed default performance was weaker in vintage year 2022 relative to originations since 2015. Fitch considered this recent weaker performance as part of its base case default assumption analysis. However, it looked to 2021 as a more relevant comparative year, due to observed early-stage performance improvements since 2022. As a result, it assigned its base case default assumption of 5.00%. Fitch applied a stress multiple of 4.5x at the 'AAAsf' stress level for the pool. Stable Historical Performance: To date, the default performance of SoFi's prior securitizations and overall managed portfolio has been stable. However, recent managed default performance, especially for vintage 2022 originations, has been trending weaker than historical originations. While early performance indicators show improving performance in more recent vintages, Fitch factored this recent weaker performance in its base case default assumptions and default stress multiple. Adequate Servicing Capabilities: SoFi has a long track record as an originator, underwriter and servicer. SoFi began originating personal loans in 2015. The entity's credit-risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. (SST). Fitch considers all parties to be adequate servicers for this pool at their expected rating levels. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than the initial base case. Fitch models cash flows with the revised default estimates while holding all other modeling assumptions constant. Current Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BBsf', 'BBsf'; Increased default base case by 10%: 'AA+sf', 'AA-sf', 'A-sf', 'BBB-sf', 'BBsf', 'BB-sf'; Increased default base case by 25%: 'AAsf', 'A+sf', 'BBB+sf', 'BB+sf', 'Bsf', 'Bsf'; Increased default base case by 50%: 'A+sf', 'A-sf', 'BBB-sf', 'BBsf', 'CCCsf', 'NRsf'; Increased default base case by 100%: 'BBB+sf', 'BBB-sf', 'BBsf', 'B-sf', 'NRsf', 'NRsf'; Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Current Ratings: 'AAAsf', 'AAsf', 'Asf', 'BBBsf', 'BBsf', 'BBsf'; Decreased default base case by 25%: 'AAAsf', 'AAAsf', 'AAsf', 'Asf', 'BBB-sf', 'BBB-sf'; USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparison and recalculation of certain characteristics with respect to 125 randomly selected statistical receivables. 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. STRUCTURED ASSET 2007-AR1: Moody's Ups I-A-1 Notes Rating to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds issued by Structured Asset Mortgage Investments II Trust 2007-AR1, backed by option ARM mortgages. The complete rating actions are as follows: Issuer: Structured Asset Mortgage Investments II Trust 2007-AR1 Cl. I-A-1, Upgraded to Ba1 (sf); previously on Sep 15, 2022 Upgraded to Caa1 (sf) Cl. II-A-1, Upgraded to Ba3 (sf); previously on Sep 15, 2022 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. No actions were taken on the other rated classes in this deal 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. SYMPHONY CLO 42: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 42, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 42, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Symphony CLO 42, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.16, versus a maximum covenant, in accordance with the initial matrix point of 25.25. 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 98.62% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.68% versus a minimum covenant, in accordance with the initial matrix point of 71.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 50% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. TABERNA PREFERRED I: Fitch Withdraws BB Rating on 2 Tranches ------------------------------------------------------------ Fitch Ratings has affirmed its ratings on class A-1A, A-1B, A-2, B-1, B-2, C-1, C-2, C-3, D and E notes in Taberna Preferred Funding I, Ltd./Inc. (Taberna I). The Rating Outlooks for class A-1A and A-1B remain Stable. Subsequent to such rating actions, Fitch has withdrawn the ratings. Accordingly, Fitch will no longer provide rating or analytical coverage for Taberna I. Entity/Debt Rating Prior ----------- ------ ----- Taberna Preferred Funding I, Ltd./Inc. A-1A 87330PAA0 LT BBsf Affirmed BBsf A-1A 87330PAA0 LT WDsf Withdrawn BBsf A-1B 87330PAB8 LT BBsf Affirmed BBsf A-1B 87330PAB8 LT WDsf Withdrawn BBsf A-2 87330PAC6 LT CCCsf Affirmed CCCsf A-2 87330PAC6 LT WDsf Withdrawn CCCsf B-1 87330PAD4 LT CCsf Affirmed CCsf B-1 87330PAD4 LT WDsf Withdrawn CCsf B-2 87330PAE2 LT CCsf Affirmed CCsf B-2 87330PAE2 LT WDsf Withdrawn CCsf C-1 87330PAF LT CCsf Affirmed CCsf C-1 87330PAF9 LT WDsf Withdrawn CCsf C-2 87330PAG7 LT CCsf Affirmed CCsf C-2 87330PAG7 LT WDsf Withdrawn CCsf C-3 87330PAH5 LT CCsf Affirmed CCsf C-3 87330PAH5 LT WDsf Withdrawn CCsf D 87330PAJ1 LT CCsf Affirmed CCsf D 87330PAJ1 LT WDsf Withdrawn CCsf E 87330PAK8 LT Csf Affirmed Csf E 87330PAK8 LT WDsf Withdrawn Csf TRANSACTION SUMMARY Taberna I is collateralized by trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITs), corporate issuers, tranches of structured finance collateralized debt obligations (CDOs) and commercial mortgage-backed securities. Fitch is withdrawing the ratings as a result of the changes to the 'U.S. Trust Preferred CDOs Surveillance Rating Criteria' (TruPS Criteria), published on Jan. 19, 2024. KEY RATING DRIVERS The CDO experienced one new defaulted issuer, comprising 11% of the portfolio, which caused the CDO's weighted average number to drop to 5. The notes were affirmed due to the moderate pace of deleveraging from collateral redemptions and excess spread, which led to the two senior classes of notes receiving paydowns of 3% of their last review note balances. The class A-1A, A-1B and A-2 notes in Taberna I are one notch higher than their model-implied ratings, driven by the outcome of the sensitivity analysis, which does not cause a downgrade to note ratings as described in Fitch's TruPS Criteria. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Negative sensitivities do not apply as the ratings have been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Positive sensitivities do not apply as the ratings have been withdrawn. 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, 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. TEXAS DEBT 2024-I: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Texas Debt Capital CLO 2024-I, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Texas Debt Capital CLO 2024-I, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Texas Debt Capital CLO 2024-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 24.09, versus a maximum covenant, in accordance with the initial expected matrix point of 26.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.55% versus a minimum covenant, in accordance with the initial expected matrix point of 73%. Portfolio Composition (Positive): The largest three industries may comprise up to 50% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' 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. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Texas Debt Capital CLO 2024-I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TOORAK MORTAGE 2024-RRTL1: DBRS Finalizes B Rating on B-1 Notes --------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings to the Mortgage-Backed Notes, Series 2024-RRTL1 (the Notes) to be issued by Toorak Mortgage Trust 2024-RRTL1 (TRK 2024-RRTL1 or the Issuer): -- $202.8 million Class A Notes at BBB (low) (sf) -- $182.6 million Class A-1 Notes at A (low) (sf) -- $20.3 million Class A-2 Notes at BBB (low) (sf) -- $13.2 million Class M-1 Notes at BB (low) (sf) -- $17.9 million Class B-1 Notes at B (sf) Morningstar DBRS assigned the following credit ratings to the Notes: -- $23.9 million Class B Notes at B (low) (sf) -- $6.0 million Class B-2 Notes at B (low) (sf) The issuer elected to make certain changes to the structure after Morningstar DBRS assigned a provisional rating of B (low) (sf) to Class B-1 Notes. The resulting finalized provisional rating Morningstar DBRS assigned to Class B-1 Notes was B (sf). Class A and Class B are exchangeable notes. These classes can be exchanged for proportionate shares of the exchange notes as specified in the offering documents. The A (low) (sf) credit rating reflects 26.96% of credit enhancement provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), B (sf) and B (low) (sf) credit ratings reflect 18.85%, 13.55%, 6.39% and 4.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTL) funded by the issuance of the Notes. As of the Statistical Calculation Date, the Notes are backed by (1) 370 mortgage loans with a total principal balance of $158,448,508 and (2) $91,551,492 in the Funding Account. Additional RTL may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TRK 2024-RRTL1 represents the ninth RTL securitization issued by the Sponsor, Toorak Capital Partners LLC (Toorak), and the inaugural rated RTL securitization. Formed in 2016 and headquartered in Summit, New Jersey, Toorak is a mortgage loan aggregator that partners with third-party loan originators to acquire business purpose residential, multifamily, and mixed-use bridge and term loans. Toorak is the named Servicer for the transaction, and the loans will be subserviced by Merchants Mortgage Trust & Corporation, LLC (Merchants), Servis One, Inc. doing business as BSI Financial Services, FCI Lender Services, Inc., and RCN Capital, LLC. Merchants is the largest originator in the revolving portfolio and will subservice the Merchants-originated loans. The revolving portfolio consists of first-lien, fixed-rate, interest only (IO) balloon RTL with original terms to maturity of five to 37 months. The loans also include extension options, which may lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 715. -- A maximum NZ WA As-Is Loan-to-Value ratio of 85.0%. -- A maximum NZ WA Loan-to-Cost ratio of 85.0%. -- A maximum NZ WA As Repaired Loan-to-Value ratio of 70.0%. RTL Features RTL are short-term bridge loans designed to help real estate investors purchase and renovate residential or small balance commercial properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTL are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTL are short-term IO balloon loans with the full amount of principal due at maturity. Borrowers generally rely on the sale or refinancing of the related mortgaged properties to repay the balloon payment due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Servicer. In the TRK 2024-RRTL1 revolving portfolio, RTL may be: (1) Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds allocated to an interest reserve escrow account for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded: -- With a commitment to fund construction draw requests upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TRK 2024-RRTL1 eligibility criteria, unfunded commitments are limited to 35.0% of the assets of the issuer, which includes (1) the unpaid principal balance (UPB) of the mortgage loans and (2) amounts in the Funding Account and the Reserve Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the revolving period, the Notes will generally be IO. After the revolving period, or on the Redemption Date, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in August 2026, the Class A-1 and Class A-2 fixed rates will step up by 1.000% (step-up event). There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer, the Subservicers, or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances, which include: -- Customary amounts: taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. -- Construction advances: borrower-requested draws for approved construction, repairs, restoration, and protection of the property. -- Interest draw advances: for loans with interest reserve escrow accounts, borrower-requested draws to cover interest payments for the related mortgage loan, subject to certain conditions. -- Purchase advances: amounts used to acquire additional mortgage loans up to 1.5% of the aggregate Class A-1 and Class A-2 Note amounts. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. Interest draw advances are related to certain loans that have mortgagor interest reserve escrow amounts that borrowers may draw upon and are unrelated to DQ interest payments. Historically, Toorak's RTL acquisition portfolio has generated robust prepayments, which have been able to cover unfunded commitments. Nonetheless, the transaction incorporates a Funding Account during the revolving period, which is used to fund draws and purchase additional loans. A Reserve Account, which is used to fund purchases of additional loans solely from Merchants, is also available for the transaction. During the revolving period, the Funding Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. The Reserve Account is replenished from the Funding Account from time to time at the direction of the Depositor. Amounts held in the Funding Account and Reserve Account, along with the mortgage collateral, must be sufficient to maintain a maximum effective advance rate of 96.0%, which ensures a minimum level of overcollateralization for the bonds until the amortization period begins. During and after the revolving period, an Expense Reserve Account will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. In the RTL space, because of the lack of amortization and the short-term nature of the loans, voluntary prepayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. In its analysis of historical RTL data, Morningstar DBRS considers both unscheduled and scheduled voluntary principal balance reductions in the construction of its cash flow stresses. In its cash flow analysis, Morningstar DBRS evaluates Toorak's historical paydowns relative to draw commitments and incorporates several stress scenarios where prepayments may or may not sufficiently cover draw commitments. Other Transaction Features The Issuer may be permitted to sell one or more mortgage loans in a discretionary sale, subject to certain conditions, for a price equal to the greater of (1) the UPB and (2) the fair market value of the mortgage loan. Prior to the two-year anniversary of the Closing Date, the Issuer will not be permitted to sell all the loans in aggregate in one or more discretionary sales. On or after the two-year anniversary of the Closing Date, the Issuer, at the direction of 100% of the Class P Certificateholders, may sell all the loans in aggregate in a discretionary sale at the Redemption Price (Optional Redemption). The Redemption Price is equal to par plus interest and fees. The Redemption Date is the date on which the aggregate Notes are redeemed in full. Similar to certain other issuers, each Seller will have the option to repurchase any related mortgage loan that becomes 60+ days DQ at a price equal to the UPB of the loan, as long as the UPB of the aggregate repurchased DQ mortgages does not exceed 10.0% of the cumulative principal balance of the mortgage loans. During the revolving period, if a Seller repurchases DQ loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Morningstar DBRS' credit ratings on the Notes 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 Notes are the related Note Interest Payment Amount, the Interest Carryover Amount, and the Note Amount. Morningstar DBRS' credit ratings on the Class A-1 and Class A-2 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A-1 and Class A-2 Notes if the Class A-1 and Class A-2 Notes remain outstanding on the step-up date (August 2026) in accordance with the applicable transaction document(s). 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. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. TRALEE CLO II: S&P Lowers Class E-R Notes Rating to 'B- (sf)' ------------------------------------------------------------- S&P Global Ratings raised and removed from CreditWatch positive its ratings on the class B-R, C-R, and D-R debt from Tralee CLO II Ltd. At the same time, S&P lowered its ratings on the class E-R and F-R debt, removed the class F-R rating from CreditWatch negative, and affirmed its ratings on the class A-R debt from the same transaction. S&P said, "The rating actions follow our review of the transaction's performance using data from the February 2024 trustee report and consider all rating actions and defaults on the underlying collateral that might have occurred subsequently. Although the same portfolio backs all of the tranches, there can be circumstances, such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it both experienced principal paydowns, which increased the senior credit support, and faced an increase in defaults and a decline in collateral credit quality, which decreased the junior credit support." The transaction has paid down $223.13 million to the class A-R debt since S&P's October 2021 rating actions. Since the August 2021 trustee report, which S&P used for its previous rating actions, the reported overcollateralization (O/C) ratios have changed: -- The class A/B O/C ratio improved to 191.10% from 128.52%. -- The class C O/C ratio improved to 140.14% from 118.25%. -- The class D O/C ratio improved to 115.90% from 111.27%. -- The class E O/C ratio declined to 101.04% from 105.96%. -- The class F O/C ratio declined to 94.96% from 103.49%. While the senior O/C ratios experienced positive movement due to the lower balances of the senior notes, the class E and F O/C ratios declined due to a combination of increase in defaults and increased haircuts following an increase in the portfolio's exposure to 'CCC' or lower quality assets and have been failing their respective O/C tests. Collateral obligations with ratings in the 'CCC' category have decreased in dollar value but have increased in percentage, with 17.8% ($28.37 million) reported as of the February 2024 trustee report, compared with 7.6% ($28.56 million) reported as of the August 2021 trustee report. Over the same period, the par amount of defaulted collateral has increased to $8.37 million from $0.91 million. The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects S&P's view that the credit support available is commensurate with the current rating level. The lowered rating reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class notes. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C-R and D-R debt. However, because the transaction currently has higher-than-average exposures to 'CCC' and 'D' rated collateral obligations, S&P's rating actions reflect additional sensitivity runs that consider the CLO's exposure to these lower-quality assets and those currently at distressed prices, and our preference for more cushion to offset any future potential negative credit migration in the underlying collateral. On a standalone basis, the cash flow results indicated a lower rating for the class E-R and F-R debt. At this time, the lowered rating on class E-R is limited to one notch, to 'B- (sf)', based on its existing credit enhancement as S&P believes the class can withstand current conditions and does not meet our 'CCC' criteria. The lowered rating on class F-R is limited to two notches, to 'CCC- (sf)', as it continues to be dependent on favorable market conditions and now relies on the recovery prospects of the defaulted assets. Tralee CLO II Ltd. has transitioned its liabilities to three-month CME term SOFR as its underlying index with the Alternative Reference Rates Committee-recommended credit spread adjustment. Our cash flow analysis reflects this change and assumes that the underlying assets have also transitioned to a term SOFR as their respective underlying index. If the trustee reports indicated a credit spread adjustment in any asset, S&P's cash flow analysis considered the same. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive Tralee CLO II Ltd. Class B-R: to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-R: to 'AA (sf)' from 'A (sf)/Watch Pos' Class D-R: to 'BBB+ (sf)' from 'BBB- (sf)/Watch Pos' Rating Lowered And Removed From CreditWatch Negative Tralee CLO II Ltd. Class F-R to 'CCC- (sf)' from 'CCC+(sf)/Watch Neg' Rating Lowered Tralee CLO II Ltd. Class E-R to 'B- (sf)' from 'B (sf)' Rating Affirmed Tralee CLO II Ltd. Class A-R: AAA (sf) TRINITAS CLO XXVII: S&P Assigns Prelim 'BB-(sf)' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC's floating- and fixed-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The preliminary ratings are based on information as of March 15, 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 collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trinitas CLO XXVII Ltd./Trinitas CLO XXVII LLC Class A-1, $312.50 million: AAA (sf) Class A-2, $12.50 million: AAA (sf) Class B, $55.00 million: AA (sf) Class C-1 (deferrable), $20.00 million: A (sf) Class C-2 (deferrable), $10.00 million: A (sf) Class D-1 (deferrable), $25.00 million: BBB+ (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $50.40 million: Not rated VENTURE XVII: Moody's Cuts Rating on $8.5MM Cl. F-RR Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Venture XVII CLO, Limited: US$37,500,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D-RR Notes"), Upgraded to Aa2 (sf); previously on December 12, 2023 Upgraded to A2 (sf) Moody's has also downgraded the rating on the following notes: US$8,500,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class F-RR Notes") (current outstanding balance of $8,787,286.82), Downgraded to Caa3 (sf); previously on December 12, 2023 Downgraded to Caa2 (sf) Venture XVII CLO, Limited, originally issued in May 2014, partially refinanced in July 2017, and fully refinanced in April 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 2020. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2023. The Class A-RR notes have been paid down by approximately 46.5% or $58.5 million since that time. Based on Moody's calculation, the OC ratio for the Class D-RR notes is currently 119.45% versus December 2023 level of 116.67%. The downgrade rating action on the Class F-RR notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratio for the Class F-RR notes is reported at 100.48% compared to the December 2023 level of 101.60%. Moody's also notes that the Class E-RR OC test has been failing, and as a result, the Class F-RR notes deferred interest due on the January 2024 payment date. No actions were taken on the Class A-RR, Class B-RR, Class C-RR, and Class E-RR notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in 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: $260,603,445 Defaulted par: $13,455,827 Diversity Score: 51 Weighted Average Rating Factor (WARF): 2423 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.18% Weighted Average Coupon (WAC): 9.95% Weighted Average Recovery Rate (WARR): 47.57% Weighted Average Life (WAL): 2.0 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. WB COMMERCIAL 2024-HQ: Moody's Assigns Ba1 Rating to Cl. HRR Certs ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by WB Commercial Mortgage Trust 2024-HQ, Commercial Mortgage Pass-Through Certificates, Series 2024-HQ: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa2 (sf) Cl. HRR, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interest in the Second Century (the "Property"), two newly developed, Class A LEED certified (expected in April 2024) office buildings totaling 810,648 SF located in Burbank, CA. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Second Century development, named for the 100-year anniversary of Warner Bros. Studios, is the centerpiece of a land swap agreement between the Sponsor and the Tenant. The Property consists of two, expected to be LEED-certified Frank Gehry designed office buildings, adjacent to the Warner Bros. main lot in Burbank's Media District. Together, they offer 810,648 SF of rentable area and serve as the Warner Bros. global headquarters. The office building complex contains a seven-story building of approximately 356,000 SF and a nine-story building of approximately 454,000 SF. It was built in two phases with Phase I completed in the second quarter of 2022 and Phase II completed in May 2023. The Property benefits from an expansive variety of amenities and a campus like setting. The complex also has various ESG friendly features such as MERV-16 filters, UV lights (Phase I), outdoor collaboration areas with power and AV stations, natural lighting, automated shades and hands-free controls. The Property is situated on a 9.945-acre site, which is parceled off via a lot line adjustment from the Burbank Studios, a studio soundstage campus which was previously owned by the Sponsor and acquired by the Tenant for $300 million in 2023, as part of the original lease/development agreement. Worthe acquired the 35-acre campus, which was formerly NBC Studios, in 2007 from General Electric and rebranded it as Burbank Studios. In 2019, construction of Second Century began on the quarter mile frontage along the 134 Freeway on the southern part of the campus. The agreement allowed for a total of 1,825,865 office equivalent gross square feet ("OEGSF"), consisting of sound stages, media office buildings, and other facilities and, of this amount, 658,195 OEGSF was transferred to The Pointe parcels, another Worthe-owned property, leaving 1,167,670 OEGSF remaining for Second Century. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage DSCR is 1.38x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.95x. The loan first mortgage balance of $475,000,000 represents a Moody's LTV ratio of 100.7% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 90.0% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 1.00. Notable strengths of the transaction include: the property's asset quality, media industry demand driver, tenancy, and experienced sponsorship. Notable concerns of the transaction include: the market vacancy conditions, high Moody's loan-to-value ("MLTV") ratio inclusive of subordinate debt, lack of asset diversification, interest-only loan profile and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. WELLINGTON MANAGEMENT 2: S&P Assigns BB- (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Wellington Management CLO 2 Ltd./Wellington Management CLO 2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Wellington Management CLO Advisors LLC, affiliated with Wellington Management Co. LLP and Wellington Alternate Investments LLC. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Wellington Management CLO 2 Ltd./Wellington Management CLO 2 LLC Class A, $204 million: AAA (sf) Class A loans, $50 million: AAA (sf) Class B, $50 million: AA (sf) Class C (deferrable), $24 million: A (sf) Class D (deferrable), $24 million: BBB- (sf) Class E (deferrable), $14 million: BB- (sf) Subordinated notes, $42 million: Not rated WELLS FARGO 2021-FCMT: Fitch Affirms 'B-sf' Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed all classes of Wells Fargo Commercial Mortgage Trust 2021-FCMT (WFCM 2021-FCMT), commercial mortgage pass-through certificates, series 2021-FCMT. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2021-FCMT A 95003EAA4 LT AAAsf Affirmed AAAsf B 95003EAC0 LT AA-sf Affirmed AA-sf C 95003EAE6 LT A-sf Affirmed A-sf D 95003EAG1 LT BBB-sf Affirmed BBB-sf E 95003EAJ5 LT BB-sf Affirmed BB-sf F 95003EAL0 LT B-sf Affirmed B-sf KEY RATING DRIVERS Mixed Performance Indicators: As of September 2023, the collateral was 81.1% occupied compared to 84.8% at issuance. As of September 2023, the servicer-reported NCF debt service coverage ratio (DSCR) was 1.17x, compared with 2.02x at YE 2022 and 2.74x at YE 2021 primarily due to increasing debt service. Fitch relied upon September 2023 reporting for its analysis. The updated Fitch NCF of $35.9 million exceeds the $32.2 million Fitch NCF at issuance. It incorporated an additional vacancy adjustment to account for upcoming rollover risk and operating expenses in line with issuance. Fitch noted at issuance that the largest rollover will occur in 2025. Per the September 2023 rent roll, approximately 33.8% ($11.8 million) of base rent expires in 2025; 19.4% ($6.7 million) is attributed to the RAND Corporation. The servicer indicated the tenant's future plans could not be determined at this time in response to a leasing status update. Fitch's analysis also considered a sensitivity scenario that applied a higher vacancy adjustment to account for the possibility of RAND Corporation vacating as the tenant is paying above-market rent. This sensitivity scenario combined with the loan's upcoming May 2024 maturity supports the affirmations. Fitch submitted an inquiry regarding a status update on the approaching maturity date. It is likely that the borrower will exercise one of the two remaining one-year extension options. Competitive Retail Position and Property Quality: Fitch assigned Fashion Centre and Metro Tower property quality grades of 'A-' and 'B+', respectively, at issuance. Fashion Centre currently has an A+ designation in GreenStreet's mall database, which tracks malls across the U.S. High Fitch Leverage: The $455.0 million mortgage loan has high leverage metrics, with a Fitch stressed loan-to- value (LTV), debt service coverage ratio (DSCR) and debt yield of 98.3%, 0.90x and 7.9%, respectively, and debt of $556 psf. Location: The property is located in the Pentagon City neighborhood of Arlington, VA and approximately four miles southwest of Washington, D.C. The Fashion Centre at Pentagon City is connected to an office (169,551-sf Metro Tower - collateral), a 366-key Ritz Carlton (ground lease is collateral; hotel improvements are not), and the Yellow and Blue Metro lines. Given the property's accessible urban location, it draws from a dense local trade area within five miles and has a diverse customer base that includes local shoppers, office workers, and domestic and international tourists. Strong Pre-Pandemic Sales Performance: Fitch considers Fashion Centre's reported 2019 in-line sales (over 10,000 sf) of $993 psf. The mall's reported in-line sales excluding Apple are $786 psf. While updated sales were requested, the servicer indicated they are not required under loan documentation. Institutional Sponsorship: The borrowers are each indirect subsidiaries of joint ventures between affiliates of Simon Property Group, L.P. (SPG) and Institutional Mall Investors (IMI), a co-investment venture owned by an affiliate of Miller Capital Advisory, Inc. (MCA) and California Public Employees' Retirement System (CalPERS). SPG is a real estate investment trust with an interest in 230 properties comprising 191 million sf, located in North America, Asia and Europe as of December 2020. The sponsor's U.S. portfolio includes 94 malls, 69 outlet properties (including 14 properties within the company's Mills portfolio), six lifestyle centers and 13 other retail properties. As of YE 2022, SPG's total U.S. portfolio was over 94.9% leased (up from 93.4% at YE 2021). SPG's U.S. mall and outlet portfolio generated sales psf of $753 in 2022. MCA is the investment manager for IMI. CalPERS is the largest public pension fund in the U.S. with $464 billion in assets under management as of June 2023. IMI's portfolio consists of 21.1 million sf of retail space and 1.3 million sf of office space as of September 2023. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible if tenants with leases expiring in 2025 do not renew or renew at significantly lower rates. Fitch will continue to monitor for leasing updates, particularly with the RAND Corporation Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Should the collateral demonstrate significant and sustained performance improvement exceeding Fitch's expectation of performance at issuance, future upgrades are possible. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WESTLAKE AUTOMOBILE 2024-1: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Westlake Automobile Receivables Trust 2024-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 50.07%, 43.02%, 34.58%, 26.84%, and 22.50% 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 S&P's final post-pricing stressed breakeven cash flow scenarios. These credit support levels provide at least 3.50x, 3.25x, 2.53x, 1.75x, and 1.50x coverage of its expected cumulative net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Westlake Automobile Receivables Trust 2024-1 Class A-1, $347.00 million: A-1+ (sf) Class A-2-A, $289.00 million: AAA (sf) Class A-2-B, $125.00 million: AAA (sf) Class A-3, $152.18 million: AAA (sf) Class B, $153.19 million: AA+ (sf) Class C, $165.11 million: A+ (sf) Class D, $168.52 million: BBB (sf) Class E, $109.79 million: BB (sf) ZIPLY FIBER: Fitch Gives 'BB-(EXP)' Rating on 2024-1 C Notes ------------------------------------------------------------ Fitch Ratings has issued a presale report for Ziply Fiber Issuer, LLC's, Secured Fiber Network Revenue Notes, Series 2024-1 and 2024-2. Fitch expects to rate Ziply Fiber Issuer, LLC's, Secured Fiber Network Revenue Notes, Series 2024-1 and 2024-2 as follows: - $400.0 million(a) 2024-2 class A-1 'A-sf'; Outlook Stable; - $1,144.2 million 2024-1 class A-2 'A-sf'; Outlook Stable; - $159.6 million 2024-1 class B 'BBB-sf'; Outlook Stable; - $289.9 million 2024-1 class C 'BB-sf'; Outlook Stable. (a) This note is a Variable Funding Note (VFN) and has a maximum commitment of $400 million contingent on Class A note leverage consistent with a 5.9x leverage ratio. This class will reflect a zero balance at issuance. TRANSACTION SUMMARY This transaction is a securitization of subscription and contract payments derived from an existing fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from operations of the collateral assets. The collateral consists of high-quality fiber lines that support the provision of broadband internet, voice and commercial services. The fiber network of consists of approximately 270,800 residential and small-medium businesses subscribers and 1.1 million households passed across four states in the Pacific Northwest. These assets represent approximately 50.3% of the sponsor's revenue for YE 2023. For the markets contributed to the transaction, the majority of the subscriber base, comprising 57.0% of annualized run rate revenue, is located in Washington, although the base is spread across a few distinct markets within the state. The collateral does not include Ziply's copper assets (47.2% of YE 2023 sponsor revenue) or video customer agreements (2.5%); however, copper assets and video customer agreements will be contributed to the asset entities pledged to the securitization. Operation of these assets and related expenses will be the responsibility of the manager, Northwest Fiber, LLC, and paid solely from copper and video revenues. The ratings reflect a structured finance analysis of cash flows from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Northwest Fiber, LLC (dba Ziply Fiber). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $163.4 million, implying a 15.0% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.8x, versus the debt-to-issuer NCF leverage of 8.3x. Inclusive of the future cash flow required to draw upon the variable funding note (VFN) maximum balance of $400 million, Fitch's NCF flow would be $220.5 million, implying a 15.7% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.0x, compared with the debt-to-issuer NCF leverage of 7.6x. Credit Risk Factors: Major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks, scale and diversity of the customer base, market penetration and seasoning, capability of the operator and strength of the transaction structure. Technology-Dependent Credit: This transaction's senior classes do not achieve ratings above 'Asf' for reasons that include the specialized nature of the collateral and the potential for changes in technology to affect net revenue from the collateral assets. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that technological obsolescence would impair current cash flow expectations. That said, data providers continue to invest in and utilize this technology given that fiber optic cable networks are currently the fastest, highest capacity and most reliable means to transmit information. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, customer churn, lower market penetration, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF was 15.0% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'BBB-sf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from rate increases, additional customers, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'Asf'; class C from 'BB-sf' to 'BBB-sf'. Upgrades, however, are unlikely given the issuer's ability to issue additional notes pari passu notes. In addition, the senior classes are capped in the 'Asf' category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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 Affirms 6 Timeshare Transactions by Holiday Inn --------------------------------------------------------- Fitch Ratings has affirmed all outstanding ratings of Orange Lake Timeshare Trust (OLTT) series 2016-A, 2018-A and 2019-A, HIN Timeshare Trust (HINTT) 2020-A, Accelerated 2021-1H LLC (AALLC 2021-1H), and HINNT 2022-A LLC (HINNT). The Rating Outlooks remain Stable for all classes of notes. Holiday Inn Club Vacations Incorporated (HICV) is the originator and servicer of all transactions. Entity/Debt Rating Prior ----------- ------ ----- Orange Lake Timeshare Trust 2016-A A 68504LAA9 LT Asf Affirmed Asf B 68504LAB7 LT BBBsf Affirmed BBBsf Orange Lake Timeshare Trust 2018-A A 68504WAA5 LT AAAsf Affirmed AAAsf B 68504WAB3 LT Asf Affirmed Asf C 68504WAC1 LT BBBsf Affirmed BBBsf Orange Lake Timeshare Trust 2019-A A 68504UAA9 LT AAAsf Affirmed AAAsf B 68504UAB7 LT Asf Affirmed Asf C 68504UAC5 LT BBBsf Affirmed BBBsf D 68504UAD3 LT BBsf Affirmed BBsf HIN Timeshare Trust 2020-A A 40439HAA7 LT AAAsf Affirmed AAAsf B 40439HAB5 LT Asf Affirmed Asf C 40439HAC3 LT BBBsf Affirmed BBBsf D 40439HAD1 LT BBsf Affirmed BBsf E 40439HAE9 LT Bsf Affirmed Bsf Accelerated 2021-1H LLC A 00439KAA4 LT AAAsf Affirmed AAAsf B 00439KAB2 LT Asf Affirmed Asf C 00439KAC0 LT BBBsf Affirmed BBBsf D 00439KAD8 LT BBsf Affirmed BBsf HINNT 2022-A LLC A 40486JAA5 LT AAAsf Affirmed AAAsf B 40486JAB3 LT Asf Affirmed Asf C 40486JAC1 LT BBBsf Affirmed BBBsf D 40486JAD9 LT BBsf Affirmed BBsf E 40486JAE7 LT Bsf Affirmed Bsf KEY RATING DRIVERS The affirmation of the notes reflects loss coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. As of the January 2024 collection period, the 61+ day delinquency rates for OLTT 2016-A, 2018-A, 2019-A, HINTT 2020-A, AALLC 2021-1H, and HINNT 2022-A were 1.34%, 1.71%, 2.92%, 3.10%, 3.15% and 3.40%, respectively. Cumulative gross defaults (CGDs; adjusted for substitutions) are currently at 23.78%, 23.71%, 30.54%, 21.58%, 19.02% and 14.41%, respectively. CGDs of OLTT 2016-A, 2018-A and 2019-A are currently above their initial base cases of 18.00%, 17.60%, and 21.50%, respectively. While HINTT 2020-A, AALLC 2021-1H, and HINNT 2022-A are currently within initial expectations, they are projecting above their initial base cases of 24.00%, 24.00% and 22.00%, respectively. Due to optional repurchases and substitutions by the seller, OLTT 2016-A, 2018-A, 2019-A, HINTT 2020-A, and HINNT 2022-A have not experienced a net loss to date. Cumulative net losses are at 16.15% for AALLC 2021-1H, as only a portion of defaults have been repurchased. The option to repurchase and substitute defaulted loans is capped at a combined 35%; OLTT 2019-A has a current unadjusted CGD of 34.48%. CGDs in OLTT 2019-A remain elevated and above Fitch's initial base case proxy; however, default pace has stabilized across the OLTT outstanding transactions. Stability in timeshare ABS performance trends are highly correlated to the positive signs exhibited within the travel and tourism industries. As such, all outstanding notes in 2019-A have been affirmed (Outlooks Stable) for classes A and B. HINTT 2020-A, AALLC 2021-1H and HINNT 2022-A continue to see increasing CGDs given their limited amortization. To account for recent performance in OLTT 2019-A, HINTT 2020-A, and HINNT 2022-A, Fitch revised up the lifetime CGD proxies to 34.50%, 27.00%, and 25.00% from 32.00%, 25.00%, and 22.00%, respectively, while maintaining proxies from the prior review for OLTT 2016-A, OLTT 2018-A and AALLC 2021-1H at 24.50%, 25.00%, and 27.00%, respectively. The updated base case default proxies for the revised transactions were conservatively derived using extrapolations based on performance to date. In certain cases, updated extrapolations were higher than the final CGD proxies. The servicer has the right, but not the obligation, to substitute or repurchase defaulted loans. As such, Fitch's analysis does not give any explicit credit to previously substituted or repurchased defaults, resulting in zero losses on most of the outstanding transactions and lower losses for AALLC 2021-1H. When accounting for previously substituted or repurchased defaults, the lifetime CGDs are materially lower than the CGD proxies. As such, Fitch believes the CGD proxies are appropriately conservative and account for the weaker performance. Under Fitch's stressed cash flow assumptions, loss coverage for the notes were consistent with the recommended multiples, any shortfalls were considered nominal and are within the range of the multiples for the current ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy and affect available loss coverage and multiples levels for the transaction; - Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage; - Fitch ran a down sensitivity for these transactions that would raise the CGD proxy by 2x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to three categories. 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. Fitch applied an up sensitivity, by reducing the base case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories of upgrades or affirmations of ratings with stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [*] Moody's Takes Action on $64.9MM of US RMBS Issued 2006-2007 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings of seven bonds and downgraded the rating of one bond from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2 Cl. A-1, Downgraded to Ca (sf); previously on Apr 14, 2010 Downgraded to Caa3 (sf) Cl. A-2B, Upgraded to Baa3 (sf); previously on May 23, 2023 Upgraded to Ba3 (sf) Cl. A-2C, Upgraded to Baa3 (sf); previously on May 23, 2023 Upgraded to Ba3 (sf) Cl. A-2D, Upgraded to Baa3 (sf); previously on May 23, 2023 Upgraded to Ba3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF8 Cl. I-A-1, Upgraded to Aaa (sf); previously on May 23, 2023 Upgraded to Aa2 (sf) Cl. II-A-4, Upgraded to Aa1 (sf); previously on May 23, 2023 Upgraded to A3 (sf) Issuer: Terwin Mortgage Trust 2006-5 Cl. I-A-2b, Upgraded to Aaa (sf); previously on May 23, 2023 Upgraded to Aa3 (sf) Cl. I-A-2c, Upgraded to Aa2 (sf); previously on May 23, 2023 Upgraded to Baa2 (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 a 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 Actions on $36.4MM of US RMBS Issued 2020 ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of 18 bonds from five US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2020-1 Cl. B-4, Upgraded to Aa3 (sf); previously on May 25, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to Baa1 (sf); previously on May 25, 2023 Upgraded to Ba1 (sf) Cl. B-5-Y, Upgraded to Baa1 (sf); previously on May 25, 2023 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Trust 2020-2 Cl. B-4, Upgraded to Aa3 (sf); previously on Jun 13, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Jun 13, 2023 Upgraded to Ba2 (sf) Cl. B-5-Y, Upgraded to A3 (sf); previously on Jun 13, 2023 Upgraded to Ba2 (sf) Issuer: J.P. Morgan Mortgage Trust 2020-3 Cl. B-4, Upgraded to Aa3 (sf); previously on May 25, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A2 (sf); previously on May 25, 2023 Upgraded to Baa3 (sf) Cl. B-5-Y, Upgraded to A2 (sf); previously on May 25, 2023 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2020-4 Cl. B-4, Upgraded to Aa3 (sf); previously on May 25, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A3 (sf); previously on Aug 15, 2022 Upgraded to Ba1 (sf) Cl. B-5-Y, Upgraded to A3 (sf); previously on Aug 15, 2022 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Trust 2020-5 Cl. B-3, Upgraded to Aa1 (sf); previously on May 25, 2023 Upgraded to Aa2 (sf) Cl. B-3-A, Upgraded to Aa1 (sf); previously on May 25, 2023 Upgraded to Aa2 (sf) Cl. B-3-X*, Upgraded to Aa1 (sf); previously on May 25, 2023 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Aa3 (sf); previously on May 25, 2023 Upgraded to A2 (sf) Cl. B-5, Upgraded to A1 (sf); previously on May 25, 2023 Upgraded to Ba1 (sf) Cl. B-5-Y, Upgraded to A1 (sf); previously on May 25, 2023 Upgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In Moody's analysis Moody's considered the additional risk of default on modified loans. Generally, Moody's apply a 7x multiple to the Probability of Default (PD) for private label modified mortgage loans and an 8x multiple to the PD for agency-eligible modified mortgage loans. However, Moody's may apply a lower multiple to the PD for loans that were granted short-term payment relief as long as there were no other changes to the loan terms, such as a reduced interest rate or an extended loan term, which can be used to lower the monthly payment on the loan. For loans granted short-term payment relief, servicers will generally defer the missed payments, which could be added as a non-interest-bearing balloon payment due at the end of the loan term. Alternatively, servicers could extend the maturity on the loan to match the number of missed payments. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. 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 and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Upgrades Rating on $79.1MM of US RMBS Issued 2006-2007 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of five bonds from four US residential mortgage-backed transactions (RMBS), backed subprime mortgages issued by multiple issuers. The complete rating actions are as follows: Issuer: Ownit Mortgage Loan Trust 2006-5 Cl. A-1B, Upgraded to Caa1 (sf); previously on Jun 9, 2023 Upgraded to Caa3 (sf) Issuer: Saxon Asset Securities Trust 2007-1, Mortgage Loan Asset Backed Certificates, Series 2007-1 Cl. A-1, Upgraded to Baa3 (sf); previously on Jun 9, 2023 Upgraded to Ba3 (sf) Cl. A-2d, Upgraded to A1 (sf); previously on Jun 9, 2023 Upgraded to Baa1 (sf) Issuer: SG Mortgage Securities Trust 2006-OPT2 Cl. A-1, Upgraded to Aa1 (sf); previously on Jun 9, 2023 Upgraded to Baa1 (sf) Issuer: Specialty Underwriting and Residential Finance Series 2006-AB1 Cl. A-4, Upgraded to A2 (sf); previously on Jun 9, 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. 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, sensitivity to excess spread, and interest risk from current or potential missed interest that remain unreimbursed. 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. [*] S&P Takes Various Action on 61 Classes From 18 U.S. RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 61 ratings from 18 U.S. RMBS transactions issued between 2001 and 2007. The review yielded nine upgrades, 10 downgrades, 30 affirmations, and 12 discontinuances. A list of Affected Ratings can be viewed at: https://rb.gy/2uiazl Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Historical and/or outstanding missed interest payments or interest shortfalls; -- Available subordination and/or overcollateralization; -- A small loan count; and -- Reduced interest payments due to loan modifications. Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P had previously anticipated. S&P said, "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "The majority of the downgrades reflect our assessment of reduced interest payments due to loan modifications and other credit-related events. To determine the maximum potential rating for these securities, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the remaining term of the security. "In accordance with our surveillance and withdrawal policies, we discontinued 10 ratings from two transactions with missed interest payments during recent remittance periods. We previously lowered our ratings on these classes to 'D (sf)' because of missed interest payments. 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. Additionally, we also discontinued two classes from one transaction due to the classes being paid down in full." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 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 ***